We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...

Two terms of a second-order approximation to the bias of the multivariate OLS estimate are derived using the same technique as in Nicholls and Pope (1988). The resulting second-order bias approximation is then tested against first-order alternatives on two bivariate Monte Carlo simulated VAR...

This paper extends both theory and experimentation in the context of two parties in a group who contribute to a public good with a provision point. In the voluntary contributions game in which a public good is provided if and only if the sum of contributions meets a threshold and the...

Let (X,Y) be a pair of random variables with supp(X) \subseteq [0,1]?I and EY?2 \infinity. Let m* be the best approximation of the regression function of (X,Y) by sums of functions of at most d variables (formula). Estimation of m* from i.i.d. data is considered. For the estimation interaction...

Using the standard linear model as a base, a unified theory of Bayesian Analysis of Cointegration Models is constructed. This is achieved by defining (natural conjugate priors in the linear model and using the implied priors for the cointegration model

This paper draws on the work of DiNardo, Fortin and Lemieux (1996) and presents a new method for examining the distribution of the benefits of growth in developing countries. The method allows one to present decompositions in the form of cumulative distribution functions, Lorenz curves and...