Macroeconometric and financial researchers often use secondary or constructed binary random variables that differ in terms of their statistical properties from the primary random variables used in microeconometric studies. One important difference between primary and secondary binary variables...

Dungey and Pagan (2000) present an SVAR model of the Australian economy which models macro-economic outcomes as transitory deviations from a deterministic trend. In this paper we extend that model in two directions. Firstly, we relate it to an emerging literature on DSGE modelling of small open...

Macroeconomics has a long tradition of inspecting and interpreting patterns in graphs of aggregate data. However, the move towards more precise quantification of macroeconomic phenomena has seen academics shift away from a study of turning points, which are a natural and obvious way of...

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

We advance the proposal that DSGE models should not just be estimated and evaluated with reference to full information methods. These make strong assumptions and therefore there is uncertainty about their impact upon results. Some limited information analysis which can be used in a complementary...

The paper asks what is the most informative way of assessing the fit of a model to data. often an answer comes from the context. In particular, from a consideration of how the model is to be used. Such information often leads one to seek transformations of the data that deliver the requisite...

The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assume that the data are independently and identically distributed (i.i.d.). However, many recent...

Recent events suggest that the death of the business cycle has been exaggerated; the issue of how one learns about and monitors the business cycle remains centre stage. Advent of the Euro and the potential for tensions when sovereign nations subsume their monetary policy into a single response...

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...