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COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION (repli...
In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to... -
COX REGRESSION WITH ALTERNATIVE CONCEPTS OF WAITING TIME: THE NEW ORLEANS YEL...
Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We... -
PERMANENT AND TRANSITORY SHOCKS, AND THE UK BUSINESS CYCLE (replication data)
In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent... -
A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY (replication d...
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance... -
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERN...
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced...
