This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric...

This paper provides a model of firm and industry dynamics that allows for entry, exit and firm-specific uncertainty generating variability in the fortunes of firms. It focuses on the impact of uncertainty arising from investment in research and exploration-type processes. It analyzes the...

In this paper, we test whether a regime shift from expansion to recession and vice versa is, ceteris paribus, equally likely throughout the year. If not, then it may, for instance, be less likely to get out of a recession in the middle of the winter than it is, say, in the spring or summer. We...

Six months of the year, which for convenience we call the spring and Christmas seasons, have a statistically higher number of troughs than the other six months of the year. In contrast, peaks do not exhibit any clustering. These results are drawn from the NBER chronology as well as alternative...

Existing theory and evidence on the effects of monetary policy are reviewed. Substantial room for disagreement among economists remains. New evidence, based on multivariate time series studies of several countries, is presented. While certain patterns in the data consistent with effective...

The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from...

Multiple time series models with stochastic regressors are considered and primary attention is given to vector autoregressions (VAR's) with trending mechanisms that may be stochastic, deterministic or both. In a Bayesian framework, the data density in such a system implies the existence of a...

This paper offers an approach to time series modeling that attempts to reconcile classical and Bayesian methods. The central idea put forward to achieve this reconciliation is that the Bayesian approach relies implicitly on a frame of reference for the data generating mechanism that is quite...

It is shown that the fully modified ordinary least squares (FM-OLS) estimator of a unit root in time series regression is T^{3/2}-consistent. Relative to FM-OLS, therefore, the least squares and maximum likelihood estimators are infinitely deficient asymptotically. Simulations show that this...

The first part of the paper is a brief introduction to the concepts and methods used in recent endogenous business cycles models. Endogenous deterministic and stochastic fluctuations are bound to occur, under increasingly plausible assumptions, in models with individual optimization, market...