Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing. Stationary diffusions that are rho-mixing have mixing coefficients that decay...

We study the identification of an econometric model that is linear in parameters from a generalized-method-of-moments perspective. We regard underidentification as a set of over- identifying restrictions imposed on an augmented structural model. Therefore, our proposal is to test for...

models and the prior distribution are correctly specified. We explain how the policy maker's desires to protect against misspecifications of the submodels, on the one hand, and misspecifications of the prior over them, on the other, have different effects on the decision rule.

This paper describes methods for conveniently formulating and estimating dynamic linear econometric models under the hypothesis of rational expectations. An econometrically convenient formula for the cross-equation rational expectations restrictions is derived. Models of error terms and the role...

This paper studies alternative methods for estimating parameters from multiperiod conditional moment restrictions. The authors' discussion is couched in the context of a multivariate linear time series model and they use the log-linear intertemporal asset pricing model as a prototype when...

The authors investigate the small sample properties of three alternative generalized method of moments estimators of asset pricing models. The estimators that they consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed...

This paper shows how the cross-equation restrictions delivered by the hypothesis of rational expectations can serve to solve the aliasing identification problem. It is shown how the rational expectations restrictions uniquely identify the parameters of a continuous time model from statistics of...