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Real-time pricing of electricity for residential customers: Econometric analy...
Under real-time pricing, a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs, and announces this... -
Cyclical output, cyclical unemployment, and Okun's coefficient: A new approac...
Estimates of Okun's coefficient are obtained using new estimates of cyclical GNP and cyclical unemployment rates for the post-war USA. Empirical estimates of the coefficient are... -
A class of binary response models for grouped duration data (replication data)
This paper explores the relationship between conventional models for binary response such as the probit and logit, and the proportional hazard (PH) and related specifications... -
Japan's financial deregulation and linkage of the Gensaki and Euroyen deposit...
This paper examines whether Japan's financial deregulation weakened the linkage between the Euroyen and Gensaki markets. It defines and analyses the linkage of the two markets... -
Forecasting exchange rates using feedforward and recurrent neural networks (r...
In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step... -
Modelling market fundamentals: A model of the aluminium market (replication d...
The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption surprises (i.e. the... -
Multiple regimes and cross-country growth behaviour (replication data)
This paper provides some new evidence on the behaviour of cross-country growth rates. We reject the linear model commonly used to study cross-country growth behaviour in favour... -
The structure of technology in Brazilian sugarcane production, 1975–87: An ap...
Sugarcane-based ethanol has become a primary automotive fuel in Brazil over the past 15 years. Because sugarcane costs are over two-thirds of the costs of ethanol production,... -
Institutional hypothesis of the long-run income velocity of money and paramet...
It has recently been argued that when the conventional specification of M2 income velocity is extended to include proxies for two types of institutional change, as emphasized by... -
Maximum likelihood estimation of a GARCH-stable model (replication data)
Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution... -
Heterogeneity biases, distributional effects, and aggregate consumption: An e...
Using stratified microdata from the Canadian FAMEX (78-86) surveys, this paper investigates whether observed heterogeneity in marginal propensities to consume across strata... -
Spectral tests of the martingale hypothesis for exchange rates (replication d...
A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape... -
A simple and efficient method for estimating the magnitude and precision of w...
In this article we propose a simple and efficient method of estimating welfare measures in an n-equation system. We also estimate the variance of these measures. The accuracy... -
Alternative procedures for converting qualitative response data to quantitati...
This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is... -
A nonlinear approach to US GNP (replication data)
A univariate nonlinear model is estimated for US GNP that on many criteria outperforms standard linear models. The estimated model is of the threshold autoregressive type and... -
Testing for homogeneity in demand systems when the regressors are nonstationa...
An implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has... -
The distribution of personal income: Revisited (replication data)
In a recent paper, Majumder and Chakravarty (1990) propose a four-parameter model which they find provides a better fit to some income data than the lognormal, gamma,... -
Semi-parametric estimation of simultaneous equations with limited dependent v...
We propose a general strategy to estimate semi-parametrically simultaneous equations with limited dependent variables. First, each reduced form (RF) is estimated with various... -
Forecasting in cointegrated systems (replication data)
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I(1) variables in levels, differences, and... -
Convergence in international output (replication data)
This paper proposes and tests new definitions of convergence and common trends for per capita output. We define convergence for a group of countries to mean that each country...
