The relationships between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994, are modelled using a cointegrated vector autoregression. There is evidence of a change in the underlying equilibria and in the dynamic evolution of the variables, probably...

The relationship between wages, prices, productivity, inflation and unemployment in Italy, Poland, and the UK between the 1960s and the early 1990s is modelled as a cointegrated vector autoregression subject to regime shifts. For each of these economies there is clear evidence of a change in the...

The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept...

Intertemporal models of the current account generally assume that global shocks do not affect the current account. We use this assumption to identify global and country-specific shocks in a bivariate VAR. We test the quality of the identification using evidence from G7-data. In accordance with...

We document and account for two facts regarding the relation between international interest rates and total factor productivity (TFP) in a sample of developing countries. First, there is a negative correlation between both variables at quarterly frequency. Second, the share of agricultural labor...

This paper is concerned with the use of the Durbin-Wu-Hausman test for correlated effects with panel data. The assumptions underlying the construction of the statistic are too strong in many empirical cases. The consequences of deviations from the basic assumptions are investigated. The size...

In intertemporal optimization models of current account dynamics, the budget constraint will induce high degrees of positive comovement in the levels of savings and investment and the two variables are likely to be cointegrated. Error correction will then also influence the correlations of the...

The possibility that a structural equation may not be identified casts doubt on the measures of estimator precision that are normally used. We argue that the observed identifiability test statistic is directly relevant to the precision with which the structural parameters can be estimated, and...