We consider selecting an econometric model when there is uncertainty over both the choice of variables and the occurrence and timing of multiple location shifts.  The theory of general-to-simple (Gets) selection is outlined and its efficacy demonstrated in a new set of simulation experiments...

This paper extends previous studies in modeling and estimating demand for gasoline for Nigeria from 1977 to 2008. The ingenious attempt of this study, contrast to earlier studies on Nigeria and other developing countries, lies in its assumption of structural breaks in the long run relationship...

This study examines the short- and the long-run relationship between electricity demand and its determinants in the Iranian residential sector. The study employs unit root tests, cointegration and error-correction models on annual time series for the period, 1967–2009. The results show that...

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

This paper extends previous studies in modeling and estimating energy demand functions for both gasoline and kerosene petroleum products for Nigeria from 1977 to 2008. In contrast to earlier studies on Nigeria and other developing countries, this study specifically tests for the possibility of...

We estimate the quantitative importance of labour market institutions for equilibrium unemployment in OECD. The empirical equation for unemployment is based on the solution of a dynamic macroeconomic model where wages and prices are jointly determined with unemployment. Compared to existing...

The goal of this paper is to empirically test for structural breaks of world mean temperatures that may have ignited at some date the phenomenon known as “Climate Change” or “Global Warming”. Estimation by means of the dynamic Generalized Method of Moments is conducted on a large dataset...

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Conjectures about inflation expectations are inextricably linked to our understanding of the relationship between the real and monetary sides of the economy; yet, direct empirical research on the matter has been scarce at best. This paper therefore examines the empirical properties of inflation...

The present paper offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select between regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...