Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic relationships. The first reduces parameter space by imposing long-term...

It is well known that confidence intervals for weakly identified parameters are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Staiger and Stock, Econometrica 65, pp. 557-586), and that the asymptotic risk of their estimators is unbounded (Pötscher,...

New results for ratios of extremes from distributions with a regularly varying tail are presented. Deriving from independence results for certain functions of order statistics, 'consecutive' ratios of extremes are shown to be independent as well as non-distribution specific. They have tractable...

This paper conducts an analysis of the water markets in Victoria covered by Watermove. The analysis in this paper examines the weekly trading activity across trading zones. For the majority of trading zones there is little trading activity that occurs. There are three trading zones in which the...

Applications of exponential smoothing to forecast time series usually rely on three basic methods: simple exponential smoothing, trend corrected exponential smoothing and a seasonal variation thereof. A common approach to select the method appropriate to a particular time series is based on...

This paper examines the linkage of real interest rates of a group of Pacific-Basin countries with a focus on East Asia. We consider monthly real interest rates of the US, Japan, Korea, Singapore, and Thailand from 1980 and 2004. The impulse response analysis and half-life estimation are...

An approach to exponential smoothing that relies on a linear single source of error state space model is outlined. A maximum likelihood method for the estimation of associated smoothing parameters is developed. Commonly used restrictions on the smoothing parameters are rationalised. Issues...

Accurate estimates of future age-specific incidence and mortality are critical for allocation of resources to breast cancer control programs and evaluation of screening programs. The purpose of this study is to apply functional data analysis techniques to model age-specific breast cancer...

In the context of a general regression model in which some regression coefficients are of interest and others are purely nuisance parameters, we derive the density function of a maximal invariant statistic with the aim of testing for the inclusion of regressors (either linear or non-linear) in...

Competitor-oriented objectives, such as market-share targets, are promoted by academics and are common in business. A 1996 review of the evidence indicated that this violation of economic theory led to reduced profitability. We summarize the evidence as of 1996 then describe evidence from 12 new...