∗The authors would like to thank the Editor and a referee for some very thoughtful and constructive comments on an earlier draft of the paper. This research has been supported by Australian Research Council Discovery Grant No. DP0208333 and a Ph.D. Scholarship from the School of Business Systems, Monash University. All numerical results in the paper have been produced using the MATLAB software....

This paper is concerned with an iterative functional differential equation x′ x r z = c0z+ c1x z + c2x x z + · · · + cmx m z , where r and m are nonnegative integers, x 0 z = z x 1 z = x z x 3 z = x x x z , etc. are the iterates of the function x z , and ∑mj=0 cj = 0. By constructing a convergent power series solution y z of a companion equation of the form αy ′ αr+1z = y ′ αz ∑mj=0 cjy αz , an...

A theoretical framework is presented to explain how agents respond to information under uncertainty in contingent valuation surveys. Agents are provided with information signals and referendum prices as part of the elicitation process. Agents use Bayesian updating to revise prior distributions. An information prompt is presented to reduce hypothetical bias. However, we show the interaction betw...

We develop a stochastic frontier model with unknown locations and number of structural breaks for both efficiency and technology. The structural changes in technology and efficiency are different. It is possible to identify these two types of changes even under a short panel context. The algorithm to estimate the model is designed to avoid the potential pitfalls with panel data. Parallel comput...

This paper investigates a general procedure to estimate second-order approximations to a DSGE model and compares the performance with the widely used estimation technique for a log-linearized economy on a version of new Keynesian monetary model. It is done in the context of posterior distributions, welfare cost, and impulse response analysis. Our findings include the followings. First, we find ...

The multivariate reduced rank regression model plays an important role in econometrics. Examples include co-integration analysis and models with a factor structure. Geweke (1996) provided the foundations for a Bayesian analysis of this model. Unfortunately several of the full conditional posterior distributions, which forms the basis for constructing a Gibbs sampler for the poster distribution,...