We describe an algorithm for the construction of optimum experimental designs for the parameters in a regression model when the errors have a correlation structure. Our example is drawn from chemical kinetics, so that the model is nonlinear. Our algorithm has been implemented to be used when the...

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific...

This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. A major limitation of this basic model is that it cannot successfully explain the degree of serial correlation observed in actual data. The proposed extensions...

This paper develops a model of money demand where the opportunity cost of holding money is subject to regime changes. The regimes are fully characterized by the mean and variance of inflation and are assumed to be the result of alternative government policies. Agents are unable to directly...

In many problems one wants to model the relationship between a response Y and a covariate X. Sometimes it is difficult, expensive, or even impossible to observe X directly, but one can instead observe a substitute variable W which is easier to obtain. By far the most common model for the...

In many problems one wants to model the relationship between a response Y and a covariate X. Sometimes it is difficult, expensive, or even impossible to observe X directly, but one can instead observe a substitute variable W which is easier to obtain. By far the most common model for the...

We propose a new model of cancer growth based on nonextensive entropy. The evolution equation depends on the nonextensive parameter q. The exponential, the logistic, and the Gompertz growth laws are particular cases of the generalized model. Experimental data of different tumors have been shown...

In this paper we study the relationship between regression analysis and a multivariate dependency measure. If the general regression model Y=f([InlineMediaObject not available: see fulltext.]) holds for some function f, where 1≤i <Subscript>1</Subscript> i <Subscript>2</Subscript>···i <Subscript> m </Subscript> ≤k, and X <Subscript>1</Subscript>,...,X <Subscript> k </Subscript> is a set of possible...</subscript></subscript></subscript></subscript></subscript>

Euler-equation methods for solving nonlinear dynamic models involve parameterizing some policy functions. We argue that in the typical macroeconomic model with valuable leisure, labor function is particularly convenient for parameterizing. This is because under the labor-function...

In this paper we analyze the convergence properties of the moving bounds algorithm to initialize the Parameterized Expectations Algorithm suggested by Maliar and Maliar (2003) [Journal of Business and Economic Statistics 1, pp. 88-92]. We carry out a Monte Carlo experiment to check its...