Statistical inference in nested linear models that result from linear restrictions on the parameters of encompassing linear models can be considered to result from the conditional distribution under the encompassing model. We extend this reasoning to nested models that result from general...

Diffuse priors lead to pathological posterior behavior when used in Bayesian analyses of Simultaneous Equation Models (SEMs). This results from the local nonidentification of certain parameters in SEMs. When this, a priori known, feature is not captured appropriately, an a posteriori favor for...

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large amount of these models impose restrictions which do not allow for the analytical construction of the probability density function (pdf) of the parameters given the restrictions....

We construct limiting and small sample distributions of maximum likelihood estimators (mle) from the property that they satisfy the first order condition (foc). The foc relates the mle of the analyzed model to the mle of an encompassing model and shows that the mle of the analyzed model is a...

The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing...

Experts often add domain knowledge to model-based forecasts while aiming to reduce forecast errors. Indeed, there is some empirical evidence that expert-adjusted forecasts improve forecast quality. However, surprisingly little is known about what experts actually do. Based on a large and...

This paper conjectures that the behaviour of experts who adjust statistical-model-based forecasts obeys the Law of Small Numbers [LSN]. To put this hypothesis to an empirical test, I propose a simple but effective methodology. It is applied to a database containing information on many experts...

This paper builds on De Groot and Franses (2005) (Econometric Institute Report 2005-01). It modifies the EICIE, the Econometric Institute Current Indicator of the Economy, by allowing for two regimes. These regimes are marked by positive or negative annual growth in the staffing services data....

We develop a method which measures the effect of the major international conventions in the area of safety, pollution, search and rescue and work related measures. We further distinguish between the effect of entry into force and the status of ratification of a convention by its parties. We use...

Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put...