Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate. The risk of these concentrated holdings is not hedged. We propose here that cash-settled futures...

This paper provides a general framework for constructing specification tests for parametric and semiparametric models. The paper develops new specification tests using the general framework. In particular, specification tests for semiparametric partially linear regression, sample selection, and...

This paper reports an empirical application of new Baynesian methodology to Australian data on consumption, income, liquid assets and inflation. The methods involve the use of objective model based reference priors and objective posterior odds test criteria. The paper provides an overview of...

This paper derives exact finite sample distributions of maximum likelihood estimators of the cointegrating coefficients in error correction models. The distributions are derived for the leading case where the variables in the system are independent random walks. But important aspects of the...

This paper provides a theoretical overview of Wald tests for Granger causality in levels vector autoregressions (VAR's) and Johansen-type error correction models (ECM's) for VAR models the results for inference are not encouraging. The limit theory typically involves nonstandard distributions...

This paper provides detailed responses to the following 8 discussants of my paper "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends": Gary Koop and Mark Steel; Edward Leamer; In-Moo Kim and G.S. Maddala Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James...

In this paper we provide a comprehensive Bayesian posterior analysis of trend determination in general autoregressive models. Multiple lag autoregressive models with fitted drifts and time trends as well as models that allow for certain types of structural change in the deterministic components...

The paper is a survey written for the Sixth World congress of the Econometric Society. It is devoted largely to a discussion of the progress made in the last decade in understanding the structure of self-enforcing agreements in discounted supergames of complete information. Perfect and imperfect...

Eduard Marz's book was first published in German in 1983. I have read only his English translation, which he had completed with preliminary revisions, though not alas with final polishing, before his death in 1987. The book illuminates for us who knew him in America the intellectual and personal...

Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration space is greater than one. Indeed, individual...