This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VAR) to examine the links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL) and Simultaneous Equations Models (SEM). In particular, it emphasises the...

Using a recursive modelling procedure which generalises existing methods for simulating investors' search in `real time' for a model that can forecast stock returns, the authors demonstrate the extent to which monthly stock returns in the UK were predictable during the period 1970-1993. Owing to...

This paper develops a new approach to testing for the existence of a linear long-run relationship, when the orders of integration of the underlying regressors are not known with certainty. The test is the standard Wald or F statistic for testing the significance of the lagged levels of the...

The use of residuals from the structural equations in a simultaneous-equations model can lead to misleading measures of association and to invalid diagnostic statistics for heteroscedasticity and functional form misspecifications. The issue of appropriate measures of goodness-of-fit for IV...

This paper considers the solution of nonlinear rational expectations models resulting from the optimality conditions of a finite-horizon intertemporal optimisation problem satisfying Bellman's principle of optimality (and possibly involving inequality constraints). A backward recursive procedure...

This paper argues in favour of a closer link between decision and forecast evaluation problems. Although the idea of using decision theory for forecast evaluation appears early in the dynamic stochastic programming literature, and has continued to be used in meteorological forecasts, it is...

This paper examines the extent to which social interactions affect optimal consumption decisions in peer groups. To this purpose, a standard life-cycle model with quadratic utility is augmented to allow for three different forks of social interaction, namely, conformism, altruism, and jealousy....

A small quarterly macroeconometric model of the UK is estimated over the period 1965Q1 to 1995Q4 in eight core variables: domestic and foreign outputs, domestic and foreign prices (both measured relative to oil prices), the nominal effective exchange rate, nominal domestic and foreign interest...