In this paper, we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our leading indicators are taken from the variables in the European Central Bank's (ECB) Euro-area-wide model database, plus a set of similar variables for the US. We compare...

The authors show that, interpreted broadly, the error-correction form is a member of a general class of transformations including those of R. A. Bewley (1979) and G. Bardsen (1989), which give numerically equivalent estimates of long-run multipliers. Whereas the advantage of the Bewley form is...

The paper exposits Wiener distribution theory for I(1) time series as an overview to a special issue on testing integration and cointegration. The behavior of an I(1) series is related to a Wiener process to derive the limiting distribution of its sample mean. Other Wiener processes are related...

Recent developments in the field of the econometrics of panel data with non-stationary series are reviewed and interpreted. In particular, we discuss tests for unit roots and cointegration, and the roles of mean and variance correction, non-parametric correction and full modification for the...

The application of econometric analysis to the process of economic policy formulation is considered. A framework is provided by the theory of reduction, specifically reductions where key information losses would invalidate policy. Consequently, model evaluation, the role of econometric models,...

The literature on model comparison often requires the assumption that the true conditional distribution corresponds to that of one of the competing models. This strong assumption has been extended by the notion of encompassing and in likelihood based model comparisons. This paper takes the...

This paper proposes a dating algorithm based on an appropriately defined Markov chain that enforces alternation of peaks and troughs, and duration constraints concerning the phases and the full cycle. The algorithm, which implements Harding and Pagan's non-parametric dating methodology, allows...