This paper proposes an empirical growth model which is consistent with a stochastic steady-state labour productivity level varying over time and across countries, where the disequilibrium mechanism leading to long-run equilibrium follows a nonlinear equilibrium correction model. Using data for...

We present a model in which two of the most important features of the long-run growth process are reconciled: the massive changes in the structure of production and employment; and the Kaldor facts of economic growth. We assume that households expand their consumption along a hierarchy of needs...

In this paper we use unit roots/cointegration analysis and time-varying parameters procedures to test for a common growth path in the ex-communist block, both pre- and post-reform. We test whether there has been convergence within the block and between the block as a group and the West....

We introduce a frequency domain version of the EM algorithm for general dynamic factor models. We consider both AR and ARMA processes, for which we develop iterative indirect inference procedures analogous to the algorithms in Hannan (1969). Although our proposed procedure allows researchers to...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

This paper shows consistency of a two step estimator of the parameters of a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters are first estimated from an OLS on principal components. In the second step, the factors are estimated...

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...

In this paper I explore whether knowledge of the time-series properties of premia in the pricing of forward foreign exchange can be usefully exploited in forecasting future spot exchange rates. I use signal-extraction techniques, based on recursive application of the Kalman filter, to identify...

In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange. The methodology involves application of signal-extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in...

This paper considers the sources of long-term economic growth for Turkey over the period 1880-2005. The period in question covers the decline and eventual dissolution of the former Ottoman Empire and the emergence of the new Turkish Republic in 1923. Hence, the paper provides a unique look at...