Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

This Paper develops a theoretical framework for the analysis of small sample properties of forecasts from general autoregressive models under structural breaks. Finite-sample results for the mean-squared forecast error of one-step-ahead forecasts are derived, both conditionally and...

In this article, we investigate the causality links between CO2 emissions, foreign direct investment, and economic growth using dynamic simultaneous-equation panel data models for a global panel of 54 countries over the peri-od 1990–2011. We also implement these empirical models for 3 regional...

The recent global recession requires policy makers to identify the relative importance of shock transmission mechanisms in each region and devise counter policy measures against future idiosyncratic shocks. In the last decade, world dynamics have changed considerably due to increased openness...

This special issue celebrates Professor Badi Baltagi’s myriad contributions to the field of econometrics, as well as his long service to Empirical Economics. The influential work carried out by Badi during the past four decades or so is recognised in this issue by nineteen peer-reviewed,...

Using monthly data from January 1996 up to May 2010 for a panel of 76 developed and emerging economies and adopting an instrumental variable estimation technique by correcting for both heterogeneity and endogeneity (correlation between the regressors and the idiosyncratic error) using the...

We employ senior bank loan officers' responses regarding actual and expected loan demand from enterprises linking successive surveys in order to determine the dominant expectation formation mechanism that best describes European senior bank loan officers’ expectations. We utilize quarterly...

A basic assumption of the gravity equation of international trade is that increasing trade costs lower exports. Butintuition and theory imply that a high export volume lowers bilateral trade costs as well, because a fixed cost intensivetrade sector probably bears lower average costs with more...