We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numéraire process and multiplicative spreads between Libor rates and simply...

Proxy-means testing is a popular method of poverty targeting with imperfect information. In a now widely-used version, a regression for log consumption calibrates a proxy-means test score based on chosen covariates, which is then implemented for targeting out-of-sample. In this paper, the...

Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles...