We relax the standard assumption in the dynamic stochastic general equilibrium (DSGE) literature that exogenous processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically, we contribute to the Bayesian DSGE literature by using...

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...

This paper uses a Threshold Autoregressive (TAR) model with exogenous variables to explain a change in regime in Brazilian nominal interest rates. By using an indicator of currency crises -which is chosen endogenously - the model tries to explain the difference in the dynamics of nominal...

In this paper modelling time series by single hidden layer feedforward neural network models is considered. A coherent modelling strategy based on statistical inference is discussed. The problems of selecting the variables and the number of hidden units are solved by using statistical model...

This paper provides an interpretation of the vast literature on testing for unit roots and estimating co-integrating relations. Emphasis is placed on identifying the particular ways in which methods of dynamic specification need to be modified in order to take account of the possible presence of...

We study nonparametric identifiability of finite mixture models of k-variate data with M subpopulations, in which the components of the data vector are independent conditional on belonging to a subpopulation. We provide a sufficient condition for nonparametrically identifying M subpopulations...

This paper investigates the determinants of Norwegian import prices of manufactures over the period 1970(1) - 1991(4). Multivariate cointegration analysis establishes a long-run relationship between import prices, foreign prices, the exchange rate and domestic unit labour costs. Normalized on...

This paper uses imperfect competition as a basis for modelling the export price for an aggregated commodity produced by the Norwegian private mainland economy. The long run solution is analysed using a cointegration technique. The dynamics are modelled according to two different approaches; a...

The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen...

The parameters in the cointegration vector and the loading parameters are not the only interesting parameters in a vector cointegration model. With a reformulation of the model the intercept parameters can be decomposed into growth parameters and cointegration mean parameters. These parameters...