We discuss two experimental designs and show how to use them to evaluate difficult empirical combinatorial problems. We restrict our analysis here to the knapsack problem but comment more generally on the use of computational testing to analyze the performances of algorithms. Citation Copyright...

Multicollinearity can seriously affect least-squares parameter estimates. Many methods have been suggested to determine those parameters most involved. This paper, beginning with the contributions of Belsley, Kuh, and Welsch (1980) and Belsley (1991), forges a new direction. A decomposition of...

This paper compares a linear model to predict quarterly stock market excess returns to several backpropagation networks. Research findings suggest that quarterly stock market returns are to some extent predictable but only marginal attention has been paid to possible nonlinearities in the...

In this paper we consider the estimation of some stochastic differential equation models by an indirect estimation method proposed by Gourieroux, Monfort and Renault (1993) using discrete data. The performance of this method is analysed via Monte Carlo experiments. In particular, we examine the...

In this paper we present a theoretically founded procedure in order to check for saddlepoint stability of rational expectations models. The proposed device uses some specific perturbed finite time approximations of the models and allows for an explicit theoretical foundation. Numerical evidence...

In this paper, a deterministic predictive technique is introduced, which is based on the embedding theorem by Takens and the recently developed wavelet networks. Several economic time series are tested by using this technique. As a result, the predicted values correspond quite well with the...

In this paper we develop a general financial equilibrium model with policy interventions, in terms of taxes and price controls, and with transaction costs. The equilibrium conditions governing the financial model are derived and the equilibrium assets, liabilities, and instrument prices are...

The paper describes a general spectral algorithm for numerical evaluation of contingent claims dependent on the term structure of interest rates. The evolution of the interest rates is modeled as a discrete Markov chain in a functional space. The functional basis in the state space and the...

In the economics literature on exchange rate determination, no theory has yet been found that performs well in out-of-sample prediction experiments. Until today, the simple random walk model has never been significantly outperformed. We have identified a set of fundamental long-run exchange rate...