The objective of this paper is to investigate the relation between error correction and forward looking models for the U.K. consumers' expenditure on nondurable goods and services. The author establishes conditions under which the error correction model cannot be considered a reduced form of a...

The rate of inflation in the U.S. has declined from an average of 4.5% in the period 1960-79 to an average of 3.6% in 1980-98. Between those two periods, the standard deviations of inflation and the output gap have also declined. These facts can be attributed to the interaction of three possible...

This paper is a first attempt at evaluating the determinants of the interest rate differentials on government bonds between high yielders, namely Italy, Spain and Sweden, and Germany. In particular the authors concentrate on daily frequencies, where the relevance of economic fundamentals is...

This paper allows for the effect of taxation in the econometric model for the analysis of exploration and production policies of "price taking suppliers" recently proposed in Pesaran (1990). The tax system in the UKCS is not neutral, therefore the separation of the "deep" parameters in the model...

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator...