This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student`s t-density and...

This paper uses Bayesian vector autoregressive models to examine the usefulness of leading indicators in predicting U.S. home sales. The benchmark Bayesian model includes home sales, the price of homes, the mortgage rate, real personal disposable income, and the unemployment rate. We evaluate...

We evaluate the usefulness of the Hodrick-Prescott (HP) filter as a proxy for rational expectations, using long runs of annual US inflation data. Our conclusion is that while the HP series are not fully rational in the sense of Muth (1961), they do generally meet the criterion of `weak...