In recent research Leybourne and co-workers examined the behaviour of the Dickey-Fuller τ test in the presence of structural breaks under the null. It was found that breaks in either level or drift occurring early in the sample period resulted in severe size distortion, with the unit root...

This paper presents and assessess a procedure to evaluate dynamic, stochastic, general equilibrium macroeconomic models when agents in the economy use an information set superior to that used by researchers.

The purpose of this article is to investigate the relation of employment and IT capital. In particular, it examines whether employment increases or decreases as IT capital increases. The elasticity of substitution between IT capital and labour has drastically increased in the latter part of the...

This note develops a method for computing confidence intervals for estimates of decomposable inequality indices when the sample is characterized by contemporaneous dependence across members of the same household. This is particularly relevant in the context of measuring inequality among wage...

The paper examines the impact of exchange rate volatility on the exports of five Asian countries. The countries are Turkey, South Korea, Malaysia, Indonesia and Pakistan. The impact of a volatility term on exports is examined by using an Engle-Granger residual-based cointegrating technique. The...

The paper examines the changes in income inequality and welfare in urban China from 1981 to 1999. While the Lorenz curves estimated using Kakwani's interpolation method indicate that the level of income inequality in urban China has increased significantly since 1981, welfare comparisons based...

This paper extends the analyses of Frankel and Froot (1987b), Cavaglia et al. (1993a), and others, to a new data set of exchange rate expectations on Scandinavian exchange rates. It corroborates the earlier finding that exchange rate forecasts are not rational, and that agents do not use all...

Ramsey and Rothman (1996) design a statistical device to test for time reversibility (TR test). They claim that their procedure is not powerful against ARCH-type alternatives, which also allows Rothman (1998) to propose a strategy based on the TR test to detect bilinear and threshold...

One of the arguments against monetary union is that it can impose growth costs on fast growing countries following the loss of their exchange rate policy. Thus, differential growth rates among potential members can be seen as an obstacle to forming a monetary union. This letter shows that as a...

This paper investigates whether the stock return series of Australia, Hong Kong, Singapore and the US are covariance stationary using Omran and McKenzie's (The Statistician, 48, 361-69, 1999) testing procedure which comprises the Loretan and Phillips (1994) test and an intervention analysis. The...