This paper presents some new results on exogeneity in models with latent variables. The concept of exogeneity is extended to the class of models with latent variables, in which a subset of parameters and latent variables is of interest. Exogeneity is discussed from the Bayesian point of view. We...

The objective of the current paper is to estimate the aggregate, country-level production function as a relationship between countries' aggregate inputs and their maximum attainable output, computed on the basis of the World Technology Frontier -- the best-practice frontier at each moment in...

In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility models to describe the conditional correlations between stock index returns. We consider four trivariate SV models, which differ in the structure of the conditional covariance matrix. Specifications...