In this paper Kuznets' U-Curve hypothesis is tested on two unbalanced panel data sets of 47 and 62 countries, for the period 1970-93, using two-way fixed and random effects models. Several competing model specifications are estimated and the one best fitting the data is selected by appropriate...

The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals which incorporate an allowance for sampling error associated with parameter estimates. The effect of constraints on parameters arising from stationary and...

A Bayesian estimation procedure is developed for estimating multiple regime vector autoregressive models appropriate for deviations from financial arbitrage relationships. This approach has clear advantages over classical stepwise threshold autoregressive analysis.

The degree of substitution between private and public per capita consumption for the G7 countries is estimated over the period 1960 to 1996. Special attention is given to isolating both long-run and short-run substitution effects.

The paper evaluates the usefulness of a nonparametric approach to Bayesian inferece by presenting two applications. Our first application considers an educational choice problem. The second application is to quantile regression.

In this paper, we explore Bayesian inference in models with many instrumental variables that are potentially weakly correlated with the endogenous regressor. The prior distribution has a hierarchical (nested) structure.