This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical tractability, relying instead on numerical simulation of the model's dynamic behaviour. Although one of the estimators is...

The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the Beveridge-Nelson-Stock-Watson decomposition of those variables. A test for the existence of common cycles among cointegrated variables is...

This paper discusses some of the problems which are encountered if an event Y is only recorded if its value satisfies a recording criterion A. It follows that we get an incorrect idea of the frequency of the events and of its true distribution. In order to solve these problems, an econometric...

A monthly labor input series designed to correct for the fact that all hours worked are not of the same quality is constructed and its properties compared with unadjusted hours worked. This efficiency unites series is constructed from BLS data on hours worked and earnings by age and sex. The...

There are current concerns about potential factor substitutions and their implications for factor employments and cost containment in U.S. hospital pharmacies. A translog production cost model is estimated for these pharmacies, using 1981-89 times-series data consisting of seven cross-sectional...

This paper uses the techniques of non-parametric density and regression estimation to estimate the Chinese age/income and age/wealth distributions, using survey data relating to 1987. Although there is evidence of a clear life-cycle profile of income earning and wealth accumulation, the results...

The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyze the consequences of the widely used detrending technique popularized by Hodrick and Prescott (1980). It is shown that mechanical detrending based on the...