Integrated input-output and econometric models are often claimed to be superior to either input-output or econometric models alone by virtue of capturing supply and demand interactions. This claim is examined by considering the structure of existing integrated models. It was found that existing...

This paper addresses the issue of wage specification in interregional econometric models. Several shortcomings in commonly used regional wage specifications are demonstrated, and a new inter-regional wage specification is developed. It is based on a wage transmission variable that is simple to...

We review the literature on long memory ARFIMA and GARMA models and introduce a new efficient estimator for GARMA models, which we show to be robust. Next we conduct a Monte Carlo study to demonstrate the power of the Dickie-Fuller test when the data are generated from a stationary GARMA...

This paper describes an accurate, fast and robust fixed point method for computing the stationary wealth distributions in macroeconomic models with a continuum of infinitely-lived households who face idiosyncratic shocks with aggregate certainty. The household wealth evolution is modeled as a...

In this paper we examine the impact of noisy earnings signals on the equity premium. The motivation for the model is that many agents make current investment decisions based upon IBIS reports that are later revised to actual earnings reports. Agents know that the earnings forecasts are less...

Theoretical predictions for and empirical analysis of real economic time series indicate that there is dependence among distant observations. Empirical autocorrelation functions of such data show high persistence, decay slowly and show persistent cyclical patterns. Long-memory models take these...

Prior research on the relationship between volatility and growth has produced mixed results. However, the times series research has only been done for a few countries, namely the United States, United Kingdom and Japan. We extend the prior research by performing a systematic search over several...