Evidence to support the Gibson paradox is often given in the form of a simple correlation between the nominal interest rate and the log of price level, or in the form of a simple linear regression between these two variables. Authors then show, using standard procedures of statistical inference,...

The author derives some exact finite sample disbibutions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. The reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of...

This paper is concerned with model determination methods and their use in the prediction of economic time series. The methods are Bayesian but they can be justified by classical arguments as well. The paper continues some recent work on Bayesian asymptotic, develops embedding techniques for...