This paper tests for fractional roots in the futures prices for selected commodities, foreign currencies, and stock indexes. The fractional testing method is the spectral regression method suggested by Geweke and Porter-Hudak (1983). The empirical results suggest the presence of a fractional...

In this paper we investigate whether macroeconomic uncertainty could distort allocation of loanable funds. To provide a road--map for our empirical investigation, we present a simple framework which demonstrates that an increase in macroeconomic uncertainty will lead to more homogeneous behavior...

We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate...

In this paper we empirically investigate whether sectoral business investment fluctuations in the U.K. are due to aggregate or sector-specific innovations. Using quarterly business investment data for ten industrial sectors over 1978-2000, we evaluate the nature of their intercorrelations by the...

This presentation discusses how the tasks involved with carrying out a sizable research project, involving panel data at both monthly and daily frequencies, could be efficiently managed by making use of built-in and user-contributed features of Stata. The project entails the construction of a...

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

This presentation discusses how the tasks involved with carrying out a sizable research project, involving panel data at both monthly and daily frequencies, could be efficiently managed by making use of built-in and user-contributed features of Stata. The project entails the construction of a...