Following prospect theory we consider decision making under risk in which the decision maker''s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker''s basic utility more than a comparable...

The scope for optimal international coordination of indirect taxes is examined in a macroeconomic game-theoretic framework which encompasses two regionally integrated economies, which have a single goods market. In each country there are tax-financed non-tradeable public goods, while labor is...

Following prospect theory we consider decision making under risk in which the decision maker''s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker''s basic utility more than a comparable...

We provide a joint treatment of three major issues that surround testing for a unit root in practice: uncertainty as to whether or not a linear deterministic trend is present in the data, uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not, and...

This paper compares the performance of three recently proposed estimators for dynamic panel data models (LSDV bias-corrected, MLE and MDE) along with GMM. Using Monte-Carlo, we find that MLE and biascorrected estimators have the smallest bias and are good alternatives for the GMM. System-GMM...

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid.We also...

This paper considers a cointegrated panel data model with common factors. Starting from the triangular representation of the model as used by Bai et al. (2008) a Granger type representation theorem is derived. The conditional error correction representation is obtained, which is used as a basis...

This paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled least squares estimate in the spurious panel regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit...

The purpose of this paper is to review and discuss the key improvements brought to OxGauss. Without having to install Gauss on his or her machine, the OxGauss user can run under Ox a wide range of Gauss programs and codes. Even with the console Ox version (free for academics), Gauss codes can...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency 'omega', where 'omega is an element of [0, pi]'.When a dynamic model is affected by a structural break, the new tests allow for detecting...