In this paper, we employ both calibration and modern (Bayesian) estimation methods to assess the role of neutral and investment-specific technology shocks in generating fluctuations in hours. Using a neoclassical stochastic growth model, we show how answers are shaped by the identification...

We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...

The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and...

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...

As a basis for information recovery in open dynamic microeconomic systems, we emphasize the connection between adaptive intelligent behavior, causal entropy maximization and self-organized equilibrium seeking behavior. This entropy-based causal adaptive behavior framework permits the use of...

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...

The editors of <i>Econometrics</i> would like to express their sincere gratitude to the following reviewers for assessing manuscripts in 2014:[...]

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s...

Since independence the countries of Central Asia embarked upon liberal reforms in their economic policies, including trade. However, persistence of formal and informal barriers to trade in general, and to services in particular, impedes further liberalization and development of the service...

Many econometric analyses have attempted to model medal winnings as dependent on per capita GDP and population size. This approach ignores the size and composition of the team of athletes, especially the role of female participation and the role of sports culture, and also provides an inadequate...