A strand of theoretical and empirical evidence in the literature suggests non-linearity in the output-inflation relationship, viz. a non-linear Phillips curve. We develop a VAR model of output, inflation, and terms of trade augmented with logistic smooth transition autoregression specifications....

This paper develops a model for optimal capital investment in continuous time when both existing and new capital stocks are subject to uncertainty. The model is generalized to allow for large and infrequent changes in the dynamics of the capital stock, which may arise as a result of natural and...

The restriction of exogeneity of certain variables in structural VAR models is rarely tested for consistency with the actual data. The reason is obvious: such a test requires estimates of the structural parameters. This paper proposes a solution for models that assume long-run or contemporaneous...

Two structural cointegrated models of consumption, labor income and wealth are specified and estimated with US data using the approach of Pagan and Pesaran (2008). We find that consumption and labor income are weakly exogenous in the estimated reduced form model and show that this imposes...

One of the key differences between exogenous and endogenous growth models is that a transitory shock to investment share exhibits different long-run effects on per-capita output. Exploring this difference, the present paper evaluates the empirical relevance of the two growth models for the G-7...