The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assume that the data are independently and identically distributed (i.i.d.). However, many recent...

This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most of the popular methods are shown to suffer from errors-in-variables bias, and an instrumental variable method is suggested to overcome this problem. The technique exploits the...

Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are...

Many macroeconometric models are built to understand business cycles. However, the methods applied to assess them are rarely of the form that one learns whether they provide a good explanation of cycle characteristics. In this paper we review and apply techniques that do this for models with...

Simulation methods are now widely used in econometrics. The range of uses covers both the estimation of parameters in and the use of models. In this paper we discuss how simulation methods can be used to investigate some issues that have proven extremely difficult to handle analytically....