We examine the effect if two specific noises (either known or small ones) on a dynamical system. We obtain consistent estimates with their rates of convergence for the invariant density in that context.

We use post-war quarterly data from Belgium, Canada, France, Germany, Greece, Ireland, Japan, theNetherlands, the United Kingdom, and the United States to examine the Fisherian link between inflation and the short-term nominal interest rates.

This paper analyses the implications of basic tests for lotteries on the probability weighting function w(p). We first show that the three standard tests for lottery choices imply that the w(p) function has a S-shape (first concave then convex) but is not regressive. For the pricing of lotteries...

In this paper the authors model the monthly number of passengers flying with the Spanish airline Iberia from January 1985 to December 1992 and predict future values of the series up to October 1994. Those series are characterized by strong seasonal variations and by having an upward trend which...

This paper considers the construction of model selection procedures based on choosing the model with the largest maximised log-likelihood mimus a penalty, when key parameters are restricted to be in a closed interval. The approach adopted is based on King et al.'s (1995) representative models...

We show how to apply the fully-modified estimation method in the integrated seemingly unrelation regressions model. Three different fully-modified estimators are studied and their asymptotic distributions are found.

This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The paper explores the existence of long-run average relations between integrated panel vectors when there is no individual time series...

This paper overviews some recent developments in nonstationary panel data analysis. Underlying recent theory are asymptotics for multi-indexed processes in which both indexes may pass to infinity. We review some of the new limit theory that has been developed, show how it can be applied and give...

In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns....

In previous studies, measures of technical inefficiency derived from stochastic production frontiers have been estimated from residuals which are sensitive to specification errors. This study corrects for this inaccuracy by extending the doubly heteroscedastic stochastic cost frontier suggested...