Building large models, with little dynamics, was long considered to be an alternative to small dimensional time series models involving many lags. The advantages of one modelling methodology are compared to others; such as the size of the model, the use of economic theory, and simultaneity in...

Introduction This is a report on a comparison of the effects of price differences on purchasing decisions obtained by observing the actual shopping behaviour of a group of housewives and the responses of a comparable group of subjects to hypothetical price situations similar to those found in...

This paper estimates models of electricity and gas consumption for individual households using the Miracle 4 to 6 data sets collected by San Diego Gas and Electricity Company. Two types of model were constructed: the first involves typical end-use models with consumption explained by appliance...

This paper re-examines the relationship between financial variables and real activity in a unified statistical framework. Using the methods of cointegration and separation. we characterize the long-run and short-run relationships between three sets of variables and then use the framework to...

Financial market volatility is an important input for investment, option pricing, and financial market regulation. The emphasis of this review article is on forecasting instead of modelling; it compares the volatility forecasting findings in 93 papers published and written in the last two...

This is a report on our studies of the systematical use of mixed-frequency datasets. We suggest that the use of high-frequency data in forecasting economic aggregates can increase the accuracy of forecasts. The best way of using this information is to build a single model that relates the data...