This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four-state model with...

The paper analyses the impact of persistence and volatility in the discount rate in present-value models on conintegration tests in levels and in logarithms. In simulations we find that the probability of not rejecting the null of no cointegration depends on the persistence of the discount rate...

SUMMARY This paper develops a long‐run output relation for a major oil‐exporting economy where the oil income‐to‐output ratio remains sufficiently high over a prolonged period. It extends the stochastic growth model developed in Binder and Pesaran (1999) by including oil exports as an...

A number of panel unit root tests that allow for cross-section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross-dependence of the series before standard panel unit root tests are applied to the transformed series. In...