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On Markov error-correction models, with an application to stock prices and di...
This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our... -
The stochastic implications of rent maximization: an application to stumpage ...
We construct a model of rent-maximizing behaviour by a single seller of timber in the absence of a formal market, deriving the stochastic implications of rent maximization for... -
Mixed signals among tests for cointegration (replication data)
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e., ADF or ) with a...
