This study explains the role of economic uncertainty as a bridge between business cycles and investors' herding behavior. Starting with a conventional stochastic differential equation representing the evolution of stock returns, we provide a simple theoretical model and empirically demonstrate...

In this paper we (1) estimate the effects of international R&D spillovers on total factor productivity growth of the seven largest industrialized countries (G-7); (2) analyze the effect of spillovers on the structure of production , i.e. the effects on factor dema d such as labor and investment...

This article is concerned with explosive AR(1) processes generated by conditionally heteroscedastic errors. Conditional least squares as well as generalized least squares estimation for autoregressive parameter are discussed and relevant limiting distributions are expressed as products of...