In the fast growing literature that addresses the problem of the optimal bidding behaviour of power generation companies that sell energy in electricity auctions it is always assumed that every firm knows the aggregate supply function of its competitors. Since this information is generally not...

This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear components (Anderson and Vahid, 1998, J. Econometrics). If some time...

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration...

This paper proposes a strategy to detect the presence of common serial cor- relation in large‐dimensional systems. We show that partial least squares can be used to consistently recover the common autocorrelation space. Moreover, a Monte Carlo study reveals that univariate autocorrelation...

A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identified choice for these vectors). In previous work, such priors have been found to greatly...

We consider joint rank and variable selection in multivariate regression. Previously proposed joint rank and variable selection approaches assume that different responses are related to the same set of variables, which suggests using a group penalty on the rows of the coefficient matrix....

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...