We propose a general framework for specification testing of univariate continuous-time stationary interest rate models, as a complement to AÐt-Sahalia (1996) and Pritsker (1998). Based on the Pearson families of distributions [Cramer (1946), Wong (1964)], we define a class of stationary...

Present development of Internet leads us to imagine a near future in which electronic transactions between companies and consumers will be performed by electronic agents [1]. As these new markets will develop, interaction between buyers and sellers on the Internet will become more complex and...

China's telecommunication industry has always been a major bottleneck hindering its economic development. In the new wave of information revolution and with the imminent WTO deal, the telecommunication industry is undergoing a rapid deregulation process. In this paper, we build an economic model...

An increasing number of countries are investigating the desirability of placing fiscal policy under certain rules or constraints. The IMF has applauded and encouraged the idea of such fiscal framework as a way of transplanting the improvements that the last decade has seen in the operation of...

Defining the rules for monetary policy has been the subject of an extensive literature in monetary economics since the 1968 AMA presidential address by Milton Friedman. Starting from the contribution by Barro and Gordon (1983) the prevalent approach has hinged on optimal control techniques to...

This paper tests whether the high average returns on the S&P 500 index in recent history can be attributed to mistaken expectations (the ex-ante risk premium -- taken to be constant -- is systematically less than the ex-post measured risk premium), or, alternatively, whether can they be...

Optimal decisions robust to future uncertainties are considered. Both continuous and discrete sets of scenarios are discussed with algorithms for solving both cases. In the case of the former a quasi-Newton algorithm is discussed and in the case of the latter, a fast and easily implementable...

This paper is a simulation analysis of the stochastic growth model with heterogeneous agents. The environment is one of two agents, with a common technology for production, individual labor endowment shocks, constant relative risk aversion utility functions, and limited borrowing/lending...

A normality assumption is usually made for the discrimination between two stationary time series processes. A kernel approach is desirable whenever there is doubt concerning the validity of this normality assumption. In this paper a nonparametric approach is suggested based on kernel Density...