Policy evaluation based on the estimation of dynamic stochastic general equilibrium models with aggregate macroeconomic time series rests on the assumption that a representative agent can be identified, whose behavioural parameters are independent of the policy rules. Building on earlier work by...

The empirical evidence of the Purchasing Power Parity (PPP) Hypothesis in the exchange rate market is examined by means of fractional integration analysis.

Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

The seasonal structure of quarterly U.K. and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) nd Hylleberg, Engle,...

The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences between the true and nominal levels of tests based on smoothed maximum score estimates can be very...

This paper investigates the stability of households' consumption behaviour in France through a prcedure of discriminating between feedback and feedforward models connected to the notions of encompassing in invariance initially proposed by Hendry (1988).

A rank three demand system incorporating labour force participation, non-separability of demands from excluded goods and non-exeact aggregation in income and household characteristics is estimated using United States Consumer Expenditue Survey microdata.

This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.