We Propose a Regression Model Accounting for Spatial Correlation Among Residuals Where the Data Decides on the Level of Impact of Increasing Degrees of Contiguity.

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that...

Moulin (1999) characterizes the fixed-path rationing methods by efficiency, strategy-proofness, consistency, and resource-monotonicity. In this note, we give a straightforward proof of his result.

Dans Cette Note, Nous Mettons L'accent Sur les Relations de Long Terme Entre les Variations de Salaires et la Productivite Marginale du Travail. L'equation de Salaire Est Centree Sur une Variable de Productivite, Mais Nous N'etablissons Pas Pour Autant de Relations Proportionnelles Entre le...

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second...