We consider two ways of distinguishing deterministic time-series from stochastic white noise; the Grassberger-Procaccia correlation exponent test and the Brock, Dechert, Scheinkman (or BDS) test. Using simulated data to test the power of these tests, the correlation exponent test can distinguish...

PCBRAP (Bayesian Regression Analysis Package for the Personal Computer) is a computer program designed by Carlos de Silva, John Abowd, Brent Moulton, and Arnold Zellner to perform Bayesian analysis of the linear regression model with normal errors. It also contains numerical integration...

A continuous-time dynamic model of consumers' demand, explicitly taking account of the roles of depreciation, interest rates, habits, and stocks, is estimated using recently developed techniques from discrete quarterly U.K. data on three broad commodity groupings. The results suggest that,...

If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper the authors examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to...

Variables are often measured subject to error, whether they are collected as part of an experiment or by sample surveys. A consequence of this is that there will be different estimates of the same variable, or, more generally, linear restrictions which the observations should satisfy but fail...

This paper uses some newly developed methods and techniques to examine the dynamic properties of international output in the presence of a structural break. The author provides statistical evidence to show that the unit root test results can, in some cases, be sensitive to whether a one-time...

The authors study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. They consider both stationary and non-stationary regressors. They find that biases can be severe for relatively small parameter...

This paper proposes four estimators for factor GARCH models: two-stage univariate GARCH (2SUE), two-stage quasi-maximum likelihood (2SML), quasi-maximum likelihood with known factor weights (RMLE), quasi-maximum likelihood with unknown factor weights (MLE). A Monte-Carlo study is designed for...

This paper reports empirical evidence on the sensitivity of unemployment duration regression estimates to distributional assumptions and to time aggregation. The results indicate that parameter estimates are robust to distributional assumptions, while estimates of duration dependence are not....