The specification of dynamic models typically leads to the estimation of impact responses. A transformation that allows for the direct estimation of the implied long-run parameters is discussed and the problem of choosing an appropriate estimator is addressed. Because the standard estimators of...

A Bayesian vector autoregression (BVAR) can be thought of either as a method of alleviating the burden of the over-parameterisation usually associated with unrestricted VARs, or as a method of correcting coefficient bias when the time series are nonstationary. Monte Carlo evidence is provided to...

There has been a rapid increase in the number of corporate bonds issued in Australia since the middle of 1998. This increase has stimulated interest in characterising the yield curves and the factors that determine changes in these spreads. The focus of this paper is on measuring any impact of...

This paper uses provisional monthly data to predict the one-month-ahead and one-year-ahead current account balance. Single-equation methods are compared to an eight-equation vector autoregressive model that utilizes the Box-Tiao (1977) modifications. It is found that the single-equation model of...

A Bayesian procedure for forecasting S-shaped growth is introduced and compared to classical methods of estimation and prediction using three variants of the logistic functional form and annual times series of the diffusion of music compact discs in twelve countries. The Bayesian procedure was...