This discussion paper led to a publication in <A href="http://www.sciencedirect.com/science/article/pii/S0167947304001562">'Computational Statistics & Data Analysis'</A>, 49(2), 417-44.<P>We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an...</p></a>

We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

This paper outlines a method designed to help pension fund managers arrive at well substantiated policy decisions using asset/liability management (ALM) models. This is done by using techniques from the operations research literature on multi-criteria decision making and group decision support...

Traditional ALM first sets the policy parameters and then assesses the impact on some sub-set of risk and return measures. We propose a method to ‘invert' the traditional ALM approach: first formulate the desired level of risk and return measures and then systematically search through the...

This paper outlines a risk decision support system designed to arrive at well-substantiated policy decisions using asset liability management (ALM) models. The risk decision support system explicitly takes into account that 1) there are multiple risk and return measures that are all important to...