This paper considers econometric issues related to time-series data that have been subject to abrupt governmental interventions. The motivating example for this study is the Brazilian monthly inflation rate (1974:1-1993:6) which we use throughout for illustration. This series has been heavily...

In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the literature for modelling exchange rates and GNP, among other variables. We take each of the empirical SETAR models in...

When estimating hedonic models of housing prices, the use of time series cross-section repeat sales data can provide improvements in estimator efficiency and correct for unobserved characteristics. However, in cases where serial correlation is present, the irregular timing of sales should also...

The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for all but two. Non-linear (STAR) models are estimated, and their properties are investigated. Business cycle frequency...

Using kernel density estimation we describe the distribution of household size-adjusted real income and how it changed over the business cycle of the 1980s in the United States and the United Kingdom. We confirm previous studies that show income inequality increased in the two countries and the...

This paper tests the random walk hypothesis for the log-differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is...

This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the Hylleberg-Engle-Granger-Yoo decomposition of these series when there exists a linear combination of their...

Bayesian Analysis, Computation and Communication (BACC) is a new Bayesian software package which is linked to Gauss and takes the form of a set of Gauss commands. In this review, I outline a list of qualities that a Bayesian software package should have. I then discuss whether BACC has these...

This paper ranks academic institutions by publication activity in applied econometrics over the period 1989-1995. Fourteen leading international journals that publish applied econometrics articles are used to provide the database. The rankings are based on standardized page counts of articles...