Since Durbin (1954) and Sargan (1958), instrumental variable (IV) method has long been one of the most popular procedures among economists and other social scientists to handle linear models with errors-in-variables. A direct application of this method to nonlinear errors-in-variables models,...

When a certain procedure is applied to extract two component processes from a single observed process, it is necessary to impose a set of restrictions that defines two components. One popular restriction is the assumption that the shocks to the trend and cycle are orthogonal. Another is the...

This paper empirically examines what macroeconomic risks are shared (or not shared) internationally after stock market liberalization in several developing countries. To address this issue, we incorporate an international asset pricing model into a non-linear structural vector autoregression...