In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

Unit root tests are considered for time series with innovational outliers. The function representing the outliers can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of...

This paper evaluates complementarities of labor market institutions and the business cycle in the context of a stochastic dynamic general equilibrium model economy. Matching between workers and vacancies with endogenous time spent in search, Nash{bargained wages, payroll taxation, and...

A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that Phillips-Perron type tests have very poor small sample properties...

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for the false radius is used. This is done by numerical solution of the implicit equations which determine optimal robustness, for location, scale, and linear regression models,...

We compare the standard one-bid first price auction to a corresponding two-bid first price auction where each buyer may place two bids: a high bid and a low one and the winner pays his low bid if this was higher than all other bids. We characterize the equilibria of the two mechanisms and prove...

We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson's (1994) procedure, which is based on the Lagrange Multiplier (LM)...

In this paper, we consider simple and easy distributed computing abilities of the statistical system TISAS (TIme Series Analysis Supporting System). TISAS was mainly 'written in the Tcl / Tk language, and was designed for utilizing full merits of a GUI (Graphical User Interface). We add...

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...