A common problem in applied economics is to determine the impact on consumers of changes in prices and attributes of marketed products as a consequence of policy changes. Examples are prospective regulation of product safety and reliability, or retrospective compensation for harm from defective...

This paper surveys three topics: vector autoregressive (VAR) models with integrated regressors, cointegration, and structural VAR modeling. The paper begins by developing methods to study potential "unit root" problems in multivariate models, and then presents a simple set of rules designed to...

This paper provides an introduction to the use of empirical process methods in econometrics. These methods can be used to establish the large sample properties of econometric estimators and test statistics. In the first part of the paper, key terminology and results are introduced and discussed...

This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...