The Gauss-Newton regression (GNR) tests for autoregressive (AR) processes are based on the asymptotic theory. Consequently, their finite sample properties are not known. The objective of this paper is to remedy this by undertaking a Monte Carlo study. It is hoped that the results reported will...

The Campbell-Shiller 'dividend-ratio' model is used to determine the extent to which the level and volatility of aggregate stock prices in Singapore deviate from their fundamental values. The results find support for the hypothesis that the past dividend-price ratio provides additional...

Public discourse in the United States has become increasingly dominated by debates over the impact of welfare expenditures on specific demographic groups. Of particular concern is the potential impact of welfare expenditures on the formation of female-headed households. Applying Granger...

The impact of futures trading on spot volatility is examined for a thinly traded contract, the FTSE Eurotrack. Futures trading increases the rate at which information is impounded into prices and reduces persistence. These benefits cease after the suspension of trading. The results suggest that...

This paper reports a significant causal relationship from the paper-bill spread to the civilian unemployment rate even after accounting for the importance of output growth in explaining the unemployment rate. However, this relationship apparently vanished in the 1970s. Adding the paper-bill...

A method of measuring the systematic component of dynamic efficiency characterized by Farrell's nonparametric method is developed and empirically applied over airlines data.

This letter reconsiders the empirical tests of the new Keynesian and new classical models performed by Ball Mankiw and Romer and Akerlof, Rose and Yellen. The original tests conform basically to cross-section analysis; we develop both time-series and pooled cross-section, time-series tests of...

The 'surprise' consumption function is estimated for selected industrial countries (France, Germany, Japan, and the USA) and four high-growth East Asian countries (Hong Kong, South Korea, Singapore, and Taiwan). The main objective of the paper is to test Hall's (1978) hypothesis that the rate of...

It is puzzling that previous studies have found causality only in one direction from sales to advertising, but not the reverse. Employing the sequential causality tests of Toda Phillips (1993), the casual relationship between advertising and sales appears to run in both directions. This finding...

New international evidence exists on the Fisher effect in the United States, the United Kingdom, Japan, Germany and Canada over the modern (post-March 1973) floating exchange rate experience. Some puzzling data has been observed which suggests that the Fisher effect appears to be strong only for...