The Rotterdam model and the Almost Ideal Demand System (AIDS) are often applied in consumer demand systems modeling. Using Monte Carlo techniques, we determine which model performs best in recovering the true elasticities of demand. The AIDS model is usually used in linearized form. Since the...

This paper attempts to estimate the housing wealth effect of households in different income levels. To endogenously split the sample by income levels, we use the threshold estimation technique, developed in Hansen (1999), for non-dynamic panels with individual-specific fixed effects. The data...

There has been increasing interest in continuous-time macroeconometric models. This research investigates stability of the Bergstrom, Nowman, and Wymer continuous-time model of the U.K. when system parameters change. This particularly well-regarded continuous-time macroeconometric model is...

We provide an operational identification of the complete class of superlative index numbers to track the exact aggregator functions of economic aggregation theory. If an index number is linearly homogeneous and a second order approximation in a formal manner that we define, we prove the index to...

Grandmont [J.M. Grandmont, On endogenous competitive business cycles, Econometrica 53 (1985) 995–1045] found that the parameter space of the most classical dynamic models is stratified into an infinite number of subsets supporting an infinite number of different kinds of dynamics, from...

We extend the monetary-asset user-cost risk adjustment of Barnett, Liu and Jensen (1997) and their risk-adjusted Divisia monetary aggregates to the case of multiple non-monetary assets and intertemporal non-separability. Our model can generate potentially larger and more accurate CCAPM user-cost...