Due to weaknesses in traditional tests a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time-series. Bayesian posterior odds comparing unit root models to stationary and trend-stationary alternatives are calculated using informative priors. Two classes of...

In this paper hypotheses are tested concerning long-run relationships between the four indicator prices of coffee. These relationships are assumed to exist based on a previous study of the coffee market by the same author. The four coffee prices are investigated in more detail in this paper....

This paper explores the possibility of improved out of sample forecasting for stock returns and foreign exchange rates using observed nonlinearities in the two series. Forecasting is done using nonparametric techniques where important information is obtained from the current level of volatility...

Houses are routinely sold at prices below, but rarely sold at prices above, their list price. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behavior that explains why there are list prices in housing...

Through Monte-Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful...

The common observation made in the empirical nonlinear dynamics literature is the constraints imposed by the availability of a limited number of observations in the implementation of the existing algorithms of Lyapunov exponents. The algorithm discussed here can estimate all "n" Lyapunov...

Characterization of late nineteenth-century British economic performance rests heavily on identifying trends and turning points in GDP and productivity growth. N. Crafts, S. Leybourne and T. Mills (1989) provide the most sophisticated study in this genre, deploying a time-varying parameter...

If a researcher has mined the data (i.e. selected an empirical model based on a series of trial estimates), inferences based on the final set of results are in general incorrect. This note treats the entire data mining process as an estimator and shows how a bootstrapping technique may improve...