Estimation of Common Long-Memory Components in Cointegrated Systems The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1)common factors in every subsystem a...

Developments in the Nonlinear Analysis of Economic Series Abstract Various aspects of the analysis of nonlinearities are surveyed in this paper. A possibility of distinguishing between a (low-dimensional) deterministic chaotic process and...

Controversy_On Modelling the Long Run in Applied Economics I. OBJECTIVES Every month or so any developed economy will produce large quantities of data which attempt to summarise the major features of the macro economy. The process that gen...

Causality in the Long Run 1. INTRODUCTION The definition of causation, discussed in Granger (1980) and elsewhere, has been widely applied in economics and in other disciplines. For this definition, a series y, is said to cause x,+]if it co...

Can We Improve the Perceived Quality of Economic Forecasts SUMMARY A number of topics are discussed concerning how economic forecasts can be improved in quality or at least in presentation. These include the following: using 50% uncertaint...

A Review of Some Recent Textbooks of Econometrics Estimation and lnference in Econometrics, Russell Davidson and James G. MacKinnon, Oxford University Press, 1993, 874 + xx pages (Designated DM). A Course in Econometrics, Arthur S. Goldber...

Virtual Bayesian Implementation Allowing for incomplete information, this paper characterizes the social choice functions that can be approximated by the cquilibrium outcomes of a mechanism: incentive compatibility is necessary and almost...

Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods initial conditions, and given a prior density (possibly diffuse) of its parameters, this paper obtains the predictor of the time series k periods into the fut...

Correlated Equilibrium as an Expression of Bayesian Rationality Correlated equilibrium is formulated in a manner that does away with the dichotomy usually perceived between the Bsyesian and the game-theoretic view of the world. From the Ba...

Bayesian Vector Autoregressions with Stochastic Volatility This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the precision matrix is driven by a multivariat...