We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...

The essential idea of equilibrium search models of labour market behaviour is that wage policy matters. In contrast, the stylized neoclassical competitive model predicts that firms paying a wage above the competitive equilibrium will disappear; those offering less will attract no workers. The...

We have collected data on the one-year-ahead income expectations of members of American households in our Survey of Economic Expectations (SEE), a module of a national continuous telephone survey conducted at the University of Wisconsin. The income- expectations questions take this form: "What...

The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long- run restrictions implies, in general, a moving-average (MA) component in the...

We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression. We determine the form of priors that lead to posteriors for structural paameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

Deconvolving kernel estimators when noise is Gaussian entail heavy calculations. In order to obtain the density estimates numerical evaluation of a specific integral is needed. This work proposes an approximation to the deconvolving kernel which simplifies considerably calculations by avoiding...

This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991. The test assumes that bubbles display aparticular kind of regime-switching behaviour, which is shown to imply...

This exercice provides all eigenvalues and eigenvectors of the autoregressive matrix found in classical recursive least square theory.

There are both positive and negative aspects to liberalisation policies. Liberalisation policies are no less important than any other kind of economic policies, and so it can only be healthy that what was formerly an obscure and technocratic process has moved to centre-stage politically....