The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and...

We estimate real interest rates, bounds on inflation expectations and inflation risk premia in a CCAPM framework under four) different preference specifications.

Dans ce papier, on se propose de montrer qu'il est possible d'employer en premiere approximation, dans un cadre temporel stationnaire, la technique d'analyse factorielle statique (seulement adaptee a priori a des donnees individuelles) et d'en deriver une procedure de test du nombre de facteurs...

Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Corrections Cointegration Model (ECCM) and the Incomplete Simultaneous Equations Model (INSEM). The GMM (2SLS) estimators of the cointegrating vector in the ECCM are shown to have normal...

We construct limiting and small sample distributions of maximum likelihood estimators (mle) from the property that they satisfy the first order condition (foc). The foc relates the mle of the analyzed model to the mle of an encompassing model and shows that the mle of the analyzed model is a...