In this paper we develop a framework to analyze the optimal policy of an inflation-targeting monetary authority that is not fully confident about its model and the degree of mistrust changes over time as the structure of the economy changes. These changes can include structural breaks as well as...

This article explores extraction profiles in the Stackelberg equilibrium of exhaustible resource industry. Calibrated with real data of world petroleum market, the Stackelberg and Cournot–Nash equilibriums are solved numerically. The properties of the Stackelberg equilibrium are compared and...

Estimating limited dependent variable time series models through standard extremum methods can be a daunting computational task because of the need for integration of high order multiple integrals and/or numerical optimization of difficult objective functions. This paper proposes a classical...

Modern economic theory views the economy as a dynamical system in which rational decisions are made in the face of uncertainties. Optimizing decisions over time on market behavior such as consumption, investment, labor supply, and technology innovation is of practical importance. Interpreting...

This paper aims to detect the presence of local non-stationarity of nonlinear autoregressive processes with heteroskedastic errors. A Bayesian test is developed to test for the unit root in multi-regime threshold autoregression with heteroskedasticity. To implement a test, a posterior odds...

The renormalization procedure facilitates the detection of periodic and chaotic patterns of many two-dimensional systems of nonlinear equations. We first give a comprehensive presentation of this procedure. We then generalize it to make it more applicable to economic frameworks. Copyright...

This paper compares numerical methods for solving the competitive storage model. Because storage implies a nonnegativity constraint on stocks, the solution methods must be considered carefully. The model is solved using value function iteration and several projection approaches, including...

This paper considers the optimal control of small econometric models applying the OPTCON algorithm. OPTCON determines approximate numerical solutions to optimum control problems for nonlinear stochastic systems. These optimum control problems consist in minimizing a quadratic objective function...

Several valuable data sources, including the census and National Longitudinal Survey of Youth, include data measured using interval responses. Many empirical studies attempt estimation by assuming the data correspond to the interval midpoints and then use OLS or maximum likelihood assuming...

This article addresses the lack of reliable information about overnight interest rates in the Norwegian interbank market. We infer actual interest rates from interbank transactions recorded in the real-time gross settlement (RTGS) system of Norges Bank over the period October 2006–November...