We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly...

We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the...

The large-sample behavior of one-period-ahead and multiperiod-ahead predictors for a dynamic nonlinear simultaneous system is examined in this paper. Conditional on final values of the endogenous variables, the asymptotic moments of the deterministic, closed-form, Monte Carlo stochastic, and...

A parental seller with market power to some degree in its product market can earn rents. In this context, there is a gain to granting credit for the purchase of the product and thus the establishment of captive finance company for expanding the sales by offering loans to consumers who need...

A holdup model is analyzed in which one party, the seller, has an investment project that the other party, the buyer, can subsidize. The investment project remains the seller's; she cannot transfer her entire control rights to it. In particular, she can always refuse to allow the buyer to...

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Abstract It is increasingly recognized that institutional factors such as trade unions do play a dominant role in determining the levels of wages, standard of working conditions. This is more pronounced in the industrial sector of developing economies. The role of labor organizations in the...