This paper provides a recursive empirical analysis of the scope for cost minimization in public debt management when the debt manager faces a given short-term interest rate dictated by monetary policy as well as risk and market impact constraints. It simulates the 'real-time' interest costs of...

This paper provides a synthesis and further development of a global modelling approach introduced in (Journal of Business and Economic Statistics, Vol. 22 (2004), pp. 129-162), where country-specific models in the form of VARX* structures are estimated relating a vector of domestic variables,...</sub>

This paper comments on recent developments in the literature on the econometric analysis of international growth and convergence. It notes that panel estimates of the neoclassical model, accommodating level effects for individual countries through heterogeneous intercepts, deal with some of the...

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

This paper focusses on survey expectations and discusses their uses for testing and modeling of expectations. Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations...

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coe.cients models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coe.cients formulation using both...