In order to analyze a multi-player linear-quadratic alternating-move dynamic game, this paper develops a solution method by making use of the similar structure of this game and a simultaneous-move dynamic game with alternating payoff functions. It then applies the method to investigate whether...

This paper compares two methodologies that have been used to understand the evolution of bargaining conventions. The first is the analytical approach that employs a standard learning dynamic and computes equilibria numerically. The second approach simulates an environment with a finite...

The Hodrick-Prescott (HP) filter is the most popular method of transforming data in the Real Business Cycle (RBC) literature. An algorithm to invert the Hodrick-Prescott (HP) filter is described. This algorithm is applied, using Markov chain Monte Carlo methods, to the problem of evaluating a...

The classification of a set of objects into predefined homogenous groups is a problem with major practical interest in many fields. Over the past two decades several non-parametric approaches have been developed to address the classification problem, originating from several scientific fields....

Multivariate GARCH models constitute the workhorse of empirical applications in several fields, a notable example being financial econometrics. Unfortunately, ML (or quasi-ML) estimation of such models, although relatively straightforward in theory, is often made difficult by the fact that...

Trade among individuals occurs either because tastes (risk aversion) differ, endowments differ, or beliefs differ. Utilising the concept of "adaptively rational equilibrium" and a recent framework of Brock and Hommes (1977, 1997) this paper incorporates risk and learning schemes into a simple...

Zimmermann (1978) proposed a fuzzy method for solving multiple objective decision problems whose main difficulty is in specifying the membership functions of the objectives. We have considered two different approaches to construct those membership functions that give rise to two algorithms for...

The order of integration of different measures of the U.K. unemployment is investigated in this paper by means of semiparametric techniques. Several methods, such as the R/S statistic, along with others proposed by Robinson in a number of papers are applied in this article. The methods perform...

This paper considers the effect of GARCH errors on the tests proposed by Perron (1997) for a unit root in the presence of a structural break. We assess the impact of degeneracy and integratedness of the conditional variance individually and find that, apart from in the limit, the testing...