Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near-integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the...

In this paper I describe the effect of parameter uncertainty on the way conditional forecast variances grow as the forecast horizon increases. Without parameter uncertainty, forecast variances for the unit root model grow linearly with the forecast horizon while with the trend stationary model...

In this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard...

Several nonnested fat-tailed distributions have been advocated for modeling exchange rate reurns. Instead of directly estimating these nonnested distributions the authors investigate the extremal distribution of the returns. The advantage is that the parameter which characterizes the amount of...

In empirical demand analysis separability restrictions are usually imposed as maintained hypotheses. The separability inflexibility of most functional forms makes parametric tests of these restrictions appear problematic. We follow Pudney (1981) in stressing the usefulness of a description of...

This paper is a comment on P. C. B. Phillips, "To criticize the critics: an objective Bayesian analysis of stochastic trends" [Phillips, (1991)]. Departing from the likelihood of an univariate autoregressive model different routes that lead to a posterior odds analysis of the unit root...

The separability of categories of consumption expenditures and savings are empirically examined in the context of an error-correction model of aggregate quarterly expenditure allocations in Canada. Some evidence is found for separability of consumption allocations from savings in both the long...