This paper models an inflation forecast density framework that closely resembles actual policy makers behaviour regarding the determination of the modal point, the uncertainty and asymmetry in the inflation forecasts. The framework combines policy makers prior information about these parameters...

Wage coordination plays an important role in macroeconomic stabilization. Pattern wage bargaining systems have been common in Europe, but in different forms, and with different degrees of success in terms of actual coordination reached. We focus on wage formation in Norway, a small open economy,...

In this paper, we borrow some of the key concepts of nonequilibrium statistical systems, to develop a framework for analyzing a self-organizing-optimizing system of independent interacting agents, with nonlinear dynamics at the macro level that is based on stochastic individual behavior at the...

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

We consider the situation when there is a large number of series, $N$, each with $T$ observations, and each series has some predictive ability for the variable of interest, $y$. A methodology of growing interest is to first estimate common factors from the panel of data by the method of...

We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler...

Accurate estimation of the dominant root of a stationary but persistent time series are required to determine the speed at which economic time series, such as real exchange rates or interest rates, adjust towards their mean values. In practice, accuracy is hampered by downward small- sample...

An econometric methodology is developed for nonparametric estimation of concave production technologies. The methodology, bases on the priciple of maximum likelihood, uses entropic distance and concvex programming techniques to estimate production functions.

El presente trabajo plantea un modelo estadístico flexible que captura paramétricamente la compleja condicionalidad y desvíos de normalidad que caracteriza a la estructura intertemporal de tasas de interés en la economía chilena entre los años 1992 y 2003. El modelo general consiste en una...

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a common news arrival variable. Consequently, these two variables should be correlated. This paper extends, and to some extent, globalises the concept of a common information arrival...