We derive general formulae for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992) where the focus was on...

This paper considers the role of language in labour earnings in South Africa over the period 1996 to 1998. Our pooled cross-section comprises of over 160,000 working age adults, and the analysis considers the decision to participate in the labour force, employment prospects and labour earnings....

This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime...

In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real...

On any given night in Victoria, around 4,000 children and young people live under the care and protection of the State. For many young people, this care extends over a long period of time, sometimes until their 18th birthday. It is well documented that young people leaving State care often lack...

This paper investigates the empirical properties of autoregressive approximations to two classes of process for which the usual regularity conditions do not apply; namely the non-invertible and fractionally integrated processes considered in Poskitt (2006). In that paper the theoretical...

This paper investigates whether or not there are significant changes in the dependence between the Thai equity market and six Asian markets - namely, Singaporean, Malaysian, Hong Kong, Korean, Indonesian and Taiwanese markets - due to 1997-July financial crisis. If so, this may be an indication...

Cragg and Donald (1996) have pointed out that the asymptotic size of tests for overidentifying restrictions can be much smaller than the asymptotic nominal size when the structural equation is partially identified. This may lead to misleading inference if the critical values are obtained from a...

One of the key assumptions in spatial econometric modelling is that the spatial process is isotropic, which means that direction is irrelevant in the specification of the spatial structure. On one hand, this assumption largely reduces the complexity of the spatial models and facilitates...

It is a common practice to complement a forecasting method such as simple exponential smoothing with a monitoring scheme to detect those situations where forecasts have failed to adapt to structural change. It will be suggested in this paper that the equations for simple exponential smoothing...