The recent years have witnessed an explosive growth in the use of simulation techniques in econometrics made possible by impressive advances in computing power. See eg, the special issue of the Journal of Applied Econometrics Brown et... more
The recent years have witnessed an explosive growth in the use of simulation techniques in econometrics made possible by impressive advances in computing power. See eg, the special issue of the Journal of Applied Econometrics Brown et al.(1993) on Econometric ...
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Available information is considered as partitioned into the sets: past, present, and future observations, other data of competing models and theory knowledge. In each case, specific concepts are relevant to empirical model formulation (eg... more
Available information is considered as partitioned into the sets: past, present, and future observations, other data of competing models and theory knowledge. In each case, specific concepts are relevant to empirical model formulation (eg innovations for past data, exogeneity for ...
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Page 1. A NONLINEAR FORECASTING MODEL OF GDP GROWTH David N. DeJong, Roman Liesenfeld, and Jean-François Richard* AbstractWe develop a model of GDP growth under which regime changes are triggered ...
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We study a model in which a potential bidder in a government procurement may challenge its exclusion from the procurement before a quasi-judicial board. In the case of a sole-source procurement, the excluded vendor does not know whether... more
We study a model in which a potential bidder in a government procurement may challenge its exclusion from the procurement before a quasi-judicial board. In the case of a sole-source procurement, the excluded vendor does not know whether the decision was justified in ...
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Allegations of bidder collusion at Forest Service timber sales in the Pacific Northwest were common in the 1970s. Of course, prices may be low for reasons other than collusion. We formulate an em-pirical model that allows for both bidder... more
Allegations of bidder collusion at Forest Service timber sales in the Pacific Northwest were common in the 1970s. Of course, prices may be low for reasons other than collusion. We formulate an em-pirical model that allows for both bidder collusion and supply ef-fects and in which ...
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A Maximum Likelihood (ML) approach based upon an Efficient Importance Sampling (EIS) procedure is used to estimate several extensions of the standard Stochastic Volatility (SV) model for daily financial return series. EIS provides a... more
A Maximum Likelihood (ML) approach based upon an Efficient Importance Sampling (EIS) procedure is used to estimate several extensions of the standard Stochastic Volatility (SV) model for daily financial return series. EIS provides a highly generic procedure for a very accurate Monte ...
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A model M 1 encompasses a rival model M 2 if M 1 can explain M 2 's results. A Wald Encompassing Test (WET) checks if a statistic of interest to M 2 coincides with an estimator of its predicted value under M 1 . We propose techniques... more
A model M 1 encompasses a rival model M 2 if M 1 can explain M 2 's results. A Wald Encompassing Test (WET) checks if a statistic of interest to M 2 coincides with an estimator of its predicted value under M 1 . We propose techniques for evaluating WETs in stationary, linear, dynamic, ...
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Available information is considered as partitioned into the sets: past, present, and future observations, other data of competing models and theory knowledge. In each case, specific concepts are relevant to empirical model formulation (eg... more
Available information is considered as partitioned into the sets: past, present, and future observations, other data of competing models and theory knowledge. In each case, specific concepts are relevant to empirical model formulation (eg innovations for past data, exogeneity for ...
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Page 1. Estimation of Dynamic Bivariate Mixture Models: Comments on Watanabe (2000) Roman LIESENFELD Department of Economics, Eberhard-Karls-Universitat, TObingen, Germany (roman.liesenfeld@uni-tuebingen.de) ...
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This article addresses the issues associated with the construction of posterior probabilities for violation of the independence axiom of expected utility from nonexperimental data. To illustrate the methodology of analyzing... more
This article addresses the issues associated with the construction of posterior probabilities for violation of the independence axiom of expected utility from nonexperimental data. To illustrate the methodology of analyzing nonexperimental evidence, we consider seat-belt-usage data. We find a posterior probability close to one of an Allais-type paradox in these data. In addition, the evidence is not inconsistent with Machina's
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... ROBERT C. MARSHALL AND MICHAEL J. MEURER Department of Economics, Duke University, Durham, North Carolina 27706 JEAN-FRANCOIS RICHARD Department of Economics, University of Pittsburgh, Pittsburgh, Pennsylvania I5260 AND WALTER... more
... ROBERT C. MARSHALL AND MICHAEL J. MEURER Department of Economics, Duke University, Durham, North Carolina 27706 JEAN-FRANCOIS RICHARD Department of Economics, University of Pittsburgh, Pittsburgh, Pennsylvania I5260 AND WALTER STROMQUIST ...
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SINCE "EXOGENEITY" IS FUNDAMENTAL to most empirical econometric modelling, its conceptualization, its role in inference, and the testing of its... more
SINCE "EXOGENEITY" IS FUNDAMENTAL to most empirical econometric modelling, its conceptualization, its role in inference, and the testing of its validity have been the subject of extensive discussion (see inter alia, Koopmans [21], Orcutt [28], Marschak [26], Phillips ...
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A model cM is said to encompass another model J\I if the former can explain the results obtained by the latter. In this paper, we propose a general notion of encompassing that covers both classical and Bayesian viewpoints and essen-tially... more
A model cM is said to encompass another model J\I if the former can explain the results obtained by the latter. In this paper, we propose a general notion of encompassing that covers both classical and Bayesian viewpoints and essen-tially represents a concept of sufficiency among ...
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... 25^57 LAURA PISCITELLI, ROD CROSS, MICHAEL GRINFELD and HARBIR LAMBA / A Test for Strong Hysteresis 59^78 Computational Econometrics ZUOHONG PAN and XIAODI WANG / A Wavelet-Based Non-parametric Estimator of the Variance Function 79^87... more
... 25^57 LAURA PISCITELLI, ROD CROSS, MICHAEL GRINFELD and HARBIR LAMBA / A Test for Strong Hysteresis 59^78 Computational Econometrics ZUOHONG PAN and XIAODI WANG / A Wavelet-Based Non-parametric Estimator of the Variance Function 79^87 ...