This paper analyzes the quality of life over time in the U.S. In this paper we propose a statistical cluster analysis method based on an informationbased measure. This method is then employed to cluster diverse attributes of the quality of life. Aggregate annual measures of welfare are computed...

In the optimal tax problem, the maximand is quasi-convex in consumer prices. In such a case, there exists no separating hyperplane between the upper contour set of the maximand and the constraint set. Therefore, the second order properties of optimal tax problems are somewhat non-standard...

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

This paper proposes a new kind of asymmetric GARCh where the conditional variance obeys two different regimes with a smooth transition function. In one formulation variance reacts differently to negative and positive shocks while a second formulation, small and big shocks have separate effects.

The paper considers parametric and nonparametric estimation of the distribution function F. Issues of particular interest are the identification properties of this model and, in the nonparametric case, the speed of convergence of the estimator F. The latter depends upon the properties of the...

In this study, PRISMA'98 -EIM's model for medium-term forecasting, policy analysis and scenario-building- is presented. PRISMA'98 is a macro-sectoral model of the Dutch economy; special feature of the model if the disaggregation of sectors of industry into groups of enterprises of different size.

More than thirty years ago Milton Friedman proposed a 'plucking' model of business fluctuations in which output cannot exceed a ceiling level, but will, from time to time, be plucked downward by recession. The model implied that business fluctuations are asymmetric, that recessions have only a...

The predictive accuracy of various econometrics models, including random walks, vector autoregressive and vector error-correction models, are investigated using daily futures prices of 4 commodities (the S&P500 index, treasury bonds, gold and crude oil).

A class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.

In this paper we propose a test statistic to compare two or more stationary time series that are not necessarily independent. The test is based on the difference between estimated parameters of the autoregressive models that are fitted to the series.