Analyses of forecasting that assume a constant, time-invariant data generating process (DGP), and so implicitly rule out structural change or regime shifts in the economy, ignore an aspect of the real world responsible for some of the more dramatic historical episodes of predictive failure. Some...

This paper uses panel data to estimate a two-tiered instead of a one-tiered frontier model. The innovation is to develop a two-step maximum likelihood procedure yielding consistent estimates of inefficiency, while at the same time accounting for heterogeneity. The model is applied by estimating...

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 this paper, I explore some of the ways in which the forecast cost function can be used in estimating the parameters and,...

This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991. The test assumes that bubbles display a particular kind of regime-switching behaviour, which is shown to imply...

This paper examines whether Japan's financial deregulation weakened the linkage between the Euroyen and Gensaki markets. It defines and analyzes the linkage of the two markets in terms of the persistence and predictability of yield spreads, as well as cross-market causality. By using Johansen...

Estimates of Okun's coefficient are obtained using new estimates of cyclical GNP and cyclical unemployment rates for the post-war U.S. Empirical estimates of the coefficient are near -0.25, somewhat smaller in magnitude than other recent estimates obtained applying similar econometric techniques...

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 contains evidence of asymmetric effects of shocks over the business cycle. In particular the nonlinear model suggests...