The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accomodate multiple and binary tests of autoregressive, non-nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981)...

The "official" (OPEC) prices of crude oil before the collapse inthe oil market in the mid-1980s can be interpreted as contract prices and analyzed on the basis of the theory of futures (or forward) markets. This paper uses the generalized method of moments estimation technique to test for...

In DeJong and Whiteman (1991a), the authors concluded that 11 of the 14 macroeconomic time-series originally studied by Nelson and Plosser (1982) supported trend-stationarity. Phillips (1991) criticizes this inference, claiming that their procedure is biased against integration, and that their...

Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near-integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the...

In this paper I describe the effect of parameter uncertainty on the way conditional forecast variances grow as the forecast horizon increases. Without parameter uncertainty, forecast variances for the unit root model grow linearly with the forecast horizon while with the trend stationary model...

In this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard...

Several nonnested fat-tailed distributions have been advocated for modeling exchange rate reurns. Instead of directly estimating these nonnested distributions the authors investigate the extremal distribution of the returns. The advantage is that the parameter which characterizes the amount of...

In empirical demand analysis separability restrictions are usually imposed as maintained hypotheses. The separability inflexibility of most functional forms makes parametric tests of these restrictions appear problematic. We follow Pudney (1981) in stressing the usefulness of a description of...