This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theoretical point of view as it symptotically...

This paper evaluates the ability of the multifactor model of Campbell <p> (1993, 1996) to explain time-series and cross-sectional patterns of <p> Danish stock and bond returns. The model is obtained by substituting <p> consumption out of the intertemporal budget constraint of the representative <p> agent in...</p></p></p></p>

We develop an extension to the Obstfeld and Rogoff (1995, 1996) two sector model with imperfect competition and norminal wage rigidities. Contrary to the Obstfeld and Rogoff (1995, 1996) analysis, we assume that technology exhibits decreasing returns to scale. We analyze the implications for the...

US and UK stock returns are highly positively correlated over the period 1918-1999. Using VAR-based variance decompositions, we investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates, and excess returns. We find...

In this comment I critically review some of the claims and analyses made by Hooker (2000) in his study of the Cagan hyperinflation model. I argue that: i) contrary to what Hooker claims, cointegration tests can be used to discriminate between bubbles and no bubbles; ii) contrary to Hooker's...

The consequences of errors in trade classification are potentially worse than documented in existing empirical research. This is demonstrated by the use of a formal model of classification errors in a generic regression-type microstructure model. The bias is a function of the probability of...