JOSE A. F. MACHADO* AND JOSE MATA SUMMARY We propose a method to decompose the changes in the wage distribution over a period of time in several factors contributing to those changes. The method is based on the estimation of marginal wage...
H. PETER BOSWIJKa AND JURGEN A. DOORNIK SUMMARY The distribution of a functional of two correlated vector-Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration test...
RICHARD KLEIJN AND HERMAN K. VAN DIJK SUMMARY A flexible decomposition of a time series into stochastic cycles under possible non-stationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes pr...
LUC BAUWENS, SEBASTIEN LAURENT AND JEROEN V. K. ROMBOUTS SUMMARY This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely direc...
EMANUELE BACCHIOCCHI AND LUCA FANELLI SUMMARY This paper contributes to the empirical literature on the purchasing power parity (PPP) over the post-Bretton Woods period by providing a time-series based interpretation of the controversial e...
TESTING THE UNBIASED FORWARD EXCHANGE RATE HYPOTHESIS USING A MARKOV SWITCHING MODEL AND INSTRUMENTAL VARIABLES FABIO SPAGNOLO,ZACHARIAS PSARADAKIS AND MARTIN SOLA SUMMARY This paper develops a model for the forward and spot exchange rate...
DAVID N. DEJONG,a ROMAN LIESENFELDb AND JEAN-FRANCOIS RICHARDa* SUMMARY We propose a strategy for assessing structural stability in time-series frameworks when potential change dates are unknown. Existing stability tests are effective in d...
V.Pisarenko and D.Sornette Abstract. We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a functi...
基于panel数据模型的 中国区域经济增长收敛性分析 王远林郭多祚 （东北财经大学数量经济系，辽宁大连 116025） 摘要：本文以经济增长中的收敛性理论为基础，借鉴Farhad Rassekh、Michael J. Panik和Bharat R.Kolluri的研究方法，通过使用固定影响的panel模型...
第三产业与城镇人口比重 Granger 因果关系检验 张杨 （山东经济学院，济南，250014） 摘要 :根据《中国统计年鉴》(2003年)提供的数据检验后认为,1985-2002年第三产业的产值和城镇居民比重均为I(2)单整非平稳时间序列,第三产业和城镇居民比重是一阶协整关系。...
