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 cointegrated combinations. Asymptotic formulae are obtained for multi-step forecast error variances for each representation....

We propose a general strategy to estimate semi-parametrically simultaneous equations with limited dependent variables. First, each reduced form (RF) is estimated with various semi-parametric methods. Second, the specification of each RF is tested to select an appropriate method. Third, the...

We set out the main features of Maple V, Release 3, and discuss its potential value to econometricians. Computer algebra systems, of which Maple is a leading example, have developed with the increased power of modern computers, but require skill and patience to use. It seems likely they will...

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 repeatedly found this restriction to be rejected by the data. However, the hypothesis is often formulated in terms of...

This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the probability model, the time-varying parameter probability model, and the regression approach....

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, the economic efficiency of the renewable petroleum substitute hinges on the structure of technology in sugarcane...

This paper provides some new evidence on the behavior of cross-country growth rates. We reject the linear model commonly used to study cross-country growth behavior in favor of a multiple regime alternative in which different economies obey different linear models when grouped according to...

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 tests are consistent against all stationary non-white-noise alternatives from the martingale null. In this paper we...