An empirical assessment of a continuous time portfolio selection model is studied for the UK economy between 1970 and 1996. The estimates obtained from this study are both statistically significant and consistent with the model's predictions. The estimate of risk aversion parameter refers to low...

When production functions are estimated as frontier functions, the deviations from the frontier can be interpreted as individual inefficiency estimates. Unfortunately, it has recently been shown that efficiency differences across individuals are very often statistically insignificant. In this...

This paper deals with an alternative approach to treating seasonality in error correction models for consumption with a parsimonious parameterization as proposed by Harvey and Scott. We introduce an unobserved seasonal component into an error correction model for Austrian consumer expenditures...

This paper tests between fads and bubbles using a switching regression to distinguish between competing models. Two main features of the bubbles model distinguish it from the fads model. First, the bubbles model implies that returns are drawn from regimes which differ in the way returns vary...

We present an efficiency wage model in which workers' disutility of effort depends on the level and on the growth rate of their wage relative to an alternative wage. Using data for four countries (US, UK, FR, GY), the implications of the model are examined and are found to be in accordance with...

The paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the "second ERM" in March 1983. The empirical model investigates the determination of money, income, prices, and interest rates in Germany, Denmark, and Italy based on the cointegrated VAR...