This paper uses a set of post-extraction information trees to generally model diverse information and agent specific state price processes to define present and fundamental values. It shows that there can be no negative or finite bubbles and that, if agents are impatient and the aggregate...

This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors. The standard fixed effects estimator is shown to suffer from a second order bias; analytical results, as well as Monte Carlo evidence, show that the bias and resulting size...

Using recently developed Monte Carlo methodology, this paper investigates the effect of dynamics and simultaneity on the finite sample properties of maximum likelihood and instrumental variables statistics for testing both nested and non-nested hypotheses. Numerical-analytical approximations...

We propose a parametric spectral estimation procedure for contructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research. We also perform Monte...

In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated with the endogenous variables in order to ensure the consistency and asymptotic normality of the usual instrumental variables estimator. Indeed, if the instruments are only...

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models,...

Fifty years of econometric modeling of U.S. import demand assumes that trade elasticities are autonomous parameters, that both cross-price effects and simultaneity biases are absent, and that expenditures on domestic and foreign goods can be studied independently of each other. To relax these...

Many recent papers have tried to identify behavioral disturbances in vector autoregressions (VAR's) by imposing restrictions on the long-run effects of shocks. This paper argues that this approach will support reliable struc­tured inferences only if the underlying economy satisfies strong...

This paper presents a method for solving a system of first order linear differential equations with constant coefficients when the elements of the forcing vector are step functions. The analysis presented in the text has been programmed for use in the computer simulation of linear continuous...