Least squares cross-validation (CV) methods are often used for automated bandwidth selection. We show that they share a common structure which has an explicit asymptotic solution that we derive. Using the framework of density estimation, we consider unbiased, biased, and smoothed CV methods. We...

This paper investigates empirical models of the US short term interest rate. It make use of a combination of classical non-parametric methods and of parametric bayesian methods. In a first step, it investigates the shape of drift and volatility functions using non parametric tools. The paper...

This paper considers a special non-linear time series problem, that of testing for co-integration in a Bayesian framework when there is a break in the co-integrating relationship. It is shown that a partial linearization of the likelihood function solves many puzzling questions, in particular...

To what extent can the persistence of very high unemployment rates in most of the European countries be attributed to the presence of high real interest rates ? This question, essentially addressed by the ‘customer market’ price)setting school, was very much debated in Europe these last...

Classical tests for unit roots have been criticized of their unusual asymptotic theory leading to disconnected confidence intervals and their lack of power in small samples. Such critiques were initiated by SIMS (1998) who promoted a Bayesian approach to the question. Various papers then...

This paper examines the determinants of equilibrium wage and unemployment rates in Belgium within the framework of a quantity rationing, right-to-manage model with decentralised wage setting. Empirical results are obtained by first using the Johansen maximum-likelihood procedure for the analysis...

This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two différent regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks...

The ELIE scheme of Kolm taxes labour capacities instead of labour income in order to circumvent the distortionary effect of taxation on labour supply. Still, Kolm does not study the impact of ELIE on human capital formation and investment. In this paper, we build an overlapping generations (OLG)...

When a linear econometric model is expressed in logarithms, the presence of identities entails a strong non-linearity for the simulation stage of the complete model. This aspect can be damageable for the simulation algorithms which are implemented on microcomputers. A traditional solution...

A minimum disparity estimator minimizes a [phi]-divergence between the marginal density of a parametric model and its non-parametric estimate. This principle is applied to the estimation of stochastic differential equation models, choosing the Hellinger distance as particular [phi]-divergence....