This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional...

Using forecasts from Consensus Economics Inc., we provide evidence on the efficiency of real GDP growth forecasts by testing whether forecast revisions are uncorrelated. As the forecast data used are multi-dimensional-18 countries, 24 monthly forecasts for the current and the following year and...

In this paper we model and explain US macroeconomic outcomes subject to the discipline that monetary policy is set optimally. Exploiting the restrictions that come from optimal policymaking, we estimate the parameters in the Federal Reserve's policy objective function together with the...

The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury auctions. We find evidence of both informational and risk aversion asymmetries across bidders. A counter-factual analysis...

We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield curve....

Using the Box-Cox regression model with heteroscedasticity (BCHR), we re-examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata (2000) using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR...

Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group...

We propose a strategy for assessing structural stability in time-series frameworks when potential change dates are unknown. Existing stability tests are effective in detecting structural change, but procedures for identifying timing are imprecise, especially in assessing the stability of...

This paper identifies and nonparametrically estimates sharp bounds on school performance measures based on test scores that may not be valid for all students. A mixture model with verification is developed to handle this problem. This is a mixture model for data that can be partitioned into two...

This paper investigates the impact of human capital on the process of economic growth by allowing the contribution of traditional inputs (capital and labour) as well as that of human capital to vary both across countries and time. The former is accomplished by constructing an index of TFP growth...