Exchange rate modelling has been a persistent puzzle for international economists. Forecasts from popular models for the exchange rate generally fail to improve upon the random walk out-of-sample. While a multivariate nonparametric approach provides useful information about exchange rates, the...

This paper describes Bayesian techniques for analysing the effects of aggregate shocks on macroeconomic time-series. Rather than calculate point estimates of the response of a time-series to an aggregate shock, we calculate the whole probability density function of the response and use...

This paper presents two simple tests of sample selection bias for models where the primary equation of interest has a censored or discrete dependent variable. The first test is derived as a conditional moment test and can be implemented.in a regression-based framework. The second test is an...