The General Linear Model (GLM) is the parent model of econometrics. Simultaneous equations and seemingly unrelated regression equation (SURE) models, to name but a few, can be formulated as a GLM. The estimation of the GLM can be viewed as a Generalized Linear Least-Squares problem (GLLSP). The...

The Dutch social security system is quite elaborate. From a budget point of view, it is divided in two parts. The larger part is financed by insurance premiums, the remainder by taxes. The insurance part takes care for allowances for people with little or no income: the elder, the disabled, the...

Time series are frequently affected by different unexpected events such as revolution, war, strike, etc. We call these external events interventions (or structural change) which should be detected and considered carefully in statistical analysis.In this research both parametric and...

We consider regressions of nonstationary fractionally integrated variables dominated by linear time trends. The regression errors can be short memory, long memory, or even nonstationary, and hence allow for a very flexible cointegration model. Our main contributions are two: First, we analyze...

In this paper, we examine the performance of the Troll Stacked- time algorithm in the simulation of large scale overlapping generations (OLG) models. At each period of time, the number of equations is proportional to the individual length of lifetime. The model size and the data requirements may...

This paper analyses optimal monetary policy in a linearised open-economy dynamic general equilibrium model with sticky prices. The model extends a version of the new-Keynesian closed economy model discussed in Rotemberg and Woodford (1997), Goodfriend and King (1997) and Clarida, Gali and...

Treating endogeneity and flexibility in such a way that efficiency is not sacrificed constitutes a rising point of interest in count data models. Endogeneity typically appears when unobservable characteristics affect both the count outcome and individuals decision represented by the dummy...

In this paper I introduce maxmin portfolios as hedging strategies in contingent claims pricing models. I show that portfolios of derivatives securities can be better hedged with maxmin strategies, and I examine the relation among maxmin strategies, {\it Greeks} hedging, and value-at-risk...

A natural bound on rationality arises from computability:-I can't use a number if I can't compute it, and \hfill\break -I can't use a preference relation or utility function that I can't compute.We assume that all magnitudes (quantities, prices) are computable real numbers, and all relations and...