In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive process with the threshold effect only in the...

In this paper we contrast a number of univariate models of Canadian GDP. We find that non-linear models are prefered to linear models, and that the most recent recession in Canada was unique in both its length and in the slow speed of recovery. We also briefly explore the link between stages of...

In this paper, we draw on both the consistent specification testing and the predictive ability testing literatures and propose a test for predictive accuracy which is consistent against generic nonlinear alternatives. Broadly speaking, given a particular reference model, assume that the...

A partir d'une description detaillee du deroulement concret des activites bord a quai, sur un terminal a conteneurs, des outils econometriques simples sont mis en oeuvre pour elucider les relations fonctionnelles entre les facteurs de production. La robustesse du modele de production propose est...

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

This paper proposes a semiparametric proportional hazard model for bivariate duration data in the analysis of two-component systems. Examples include the two infection times of the left and the right kidneys of patients and the two retirement times of married couples. As a generalization of the...

We consider whether the introduction of the psychological concept of loss aversion into agents' preferences could generate a macroeconomic model in which changes in the money supply can have real, persistent effects. It is demonstrated that the macroeconomic implications of loss aversion depend...

A general model of derived demand linkages in terms of technological interdependence of both the segments -modern and traditional- of a dual economy is developed.

In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...

This paper analyzes the relationship between age-specific fertility, mortality and real wages in Sweden during the demographic transition. We take an overlapping generations model of life cycle fertility and fit it to actual Swedish time-series data over the past two and a half centuries. The...