We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...

This paper deals with the effect of inequality on subsequent long run growth. Using a threshold regression analysis, we find two threshold variables, namely human capital and inequality. Three clubs are then identified. One of our results is that the estimated relationship exhibits multiple...

In this paper, we propose an economic model to analyse the sales out of new products. This model accounts for the fact that even among firms for which R&D is a permanent activity, a fraction of firms does not have sales of innovative products during a two-year observation period. We propose a...

This paper presents a Bayesian approach using Markov chain Monte Carlo methods and the generalized-t (GT) distribution to predict loss reserves for the insurance companies. Existing models and methods cannot cope with irregular and extreme claims and hence do not offer an accurate prediction of...

We consider a threshold time series model in order to take into account some stylized facts of the business cycle such as asymmetries in the phases. Our aim is to point out some thresholds under (over) which a signal of turning point could be given. First, we introduce the various threshold...