This paper proposes a class of test procedures for a structural change with an unknown change point. In particular, we consider a general financial time series model with conditional heteroskedasticity. The test statistics are constructed via the empirical distribution approach and are aiming...

Discrete choice models used in statistical applications typically interpret an unobservable term as the interaction of unobservable horizontal differentiation and idiosyncratic consumer preferences. An implicit assumption in most such models is that all choices are equally horizontally...

This paper develops an extended version of Turner, Startz, and Nelson's (1989) Markov-switching model of stock returns. The model is motivated as an alternative version of Campbell and Hentschel's (1992) volatility feedback model, with news about future dividends subject to a two-state...

This paper develops a macroeconomic general-equilibrium model fully parameterized for the Chilean economy. The model's basic relations can be rigorously derived from intertemporal optimization by rational forward-looking agents. However, it also introduces critical real-world features - such as...

This is an analysis of strategic voting under qualified majority voting. Existing formal analyses of the plurality rule predict complete coordination of strategic voting: a strict interpretation of Duverger's Law. This conclusion is rejected. Unlike previous models, the popular support for each...

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Recently there have been several studies that examined monetary policy under model uncertainty. These studies formulated uncertainty in a number of different ways. One of the prominent ways to formulate model uncertainty is to form a non-parametric set of perturbations around some nominal model...

This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered. Based on the log-linearized DSGE model, a Gaussian probability model...

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local...

While the European Monetary Union (EMU) is now a reality, debate among economists nonetheless continues about the design and desirability of monetary unions. Since an the essential element of a monetary union is the delegation of monetary power to a single centralized entity, one of the key...