We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

The present study analyses the dynamics of a nonlinear Cournot duopoly with managerial delegation and bounded rational players. Problems concerning strategic delegation (based on relative performance evaluations) have recently received in depth attention in both the theoretical and empirical...

This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the...

The economy is an adaptive and evolving complex system. The recognition of this fact has produced, over the last few years, a gradual but firm shift on the direction taken by mainstream economic thought. The representative agent paradigm is giving place to settings of interacting heterogeneous...

We consider the extent to which different time-series models can generate simulated data with the same business cycle features that are evident in U.S. real GDP. We focus our analysis on whether multivariate linear models can improve on the previously documented failure of univariate linear...

This study analyses the dynamics of a two-dimensional overlapping generations economy with endogenous labour supply à la Reichlin (1986) and aspirations, i.e. effective consumption by individuals of the current generation depends on the standard of living (based on consumption experience) of...

Though the price-volume relations are widely documented by practitioners and empirical studies, few theoretical models can reproduce these relations and provide persuasive arguments. By simply generalizing the classical market maker framework, our heterogeneous agent model not only simulates...

This discussion paper led to a publication in the <I>Electronic Journal of Statistics</I> (2014). Vol. 8, pages 1088-1112.<P> We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We...</p></i>

Nonlinearities in growth have important implications for cross-country income inequality. In particular, they imply that countries may spend long periods of time in a low-growth poverty trap. However, finding evidence of such nonlinearities in the data and accounting for their emergence pose...

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...