-
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test... -
Estimating time series models using the relevant cost function (replication d...
In many forecasting problems, the forecast cost function is used only in evaluating the forecasts; a second cost function is used in estimating the parameters in the model. In... -
Analytic derivatives and the computation of GARCH estimates (replication data)
In the context of univariate GARCH models we show how analytic first and second derivatives of the log-likelihood can be successfully employed for estimation purposes. Maximum... -
Optimal response to a shift in regulatory regime: The case of the US nuclear ...
This paper studies the impact of the March 1979 Three Mile Island (TMI) accident on the regulation of nuclear power plants (NPPs) and its consequences for the operating... -
Estimating a nonlinear rational expectations commodity price model with unobs...
This paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process, the harvest of an agricultural commodity, generates a... -
On the estimation of simultaneous-equations error-components models with an a...
An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964-1987. In...
