This paper surveys the growing literature on diagnostic testing of models based on unit record data. We argue that while many of these tests are produced in a Lagrange multiplier framework they are often more readily derived, and more easily applied, if approached from the conditional moment...

The paper argues that it is important to realize that the concept of a cycle has rarely been precisely articulated in empirical work and that often researchers are using very different definitions of it. We propose a two-fold classification based upon what series one is measuring a cycle in and...

We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific...

SUMMARY Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a structural vector error correction model by supplementing restrictions from economic theory with assumptions for...

An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during periods of financial crises, including spillover and contagion effects, are formally specified. The model also...

A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH-type specifications as well as exhibiting serial dependence. An indirect estimator is used to...