In their influential work on the consumption-wealth relationship, Lettau and Ludvigson found that while consumption responds to permanent changes in wealth in the expected manner, most changes in wealth are transitory with no effect on consumption. We investigate the robustness of these results...

This paper discusses Bayesian inference in change-point models. Current approaches place a possibly hierarchical prior over a known number of change points. We show how two popular priors have some potentially undesirable properties, such as allocating excessive prior weight to change points...

This paper motivates and develops a nonlinear extension of the Vector Autoregressive model which we call the Vector Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context of an application involving U.S. macroeconomic data. In...