This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the s...

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level, it provides a flexible approach of modelling interactions across panel units and can generate endogenous cross-sectional dependence that can resemble the dependence tha...

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions under which bimodality may arise in a just/over-identified model. JEL Classification C30

This article shows that the “risk premium” shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term US Treasury securities. Several implications of this interpretation are discussed. JEL Classification Numbers: E00, E1, E3, E4, E5, G1

This paper proposes a simple prototype model that describes the complex dynamics of a sophisticated monetary economy. The interaction between the current and intertemporal financial constraints on economic units brings about irregular fluctuations at both micro and macro levels. We use qualitative dynamic analysis and numerical simulations to investigate the interaction between financial fragil...

The enlargement of the European Union will bring many political, economical and structural changes on the Continent, which require careful and deep analysis to be made. This paper will grasp the enlargement of the European Union from the aspect of the trade pattern and trade specialization of six major European Union candidates; namely, Turkey, Bulgaria, Hungary, Romania, Poland and the Czech R...

E nergy consumption has increased significantly in Iran during the recent decades. In this study, an inter-industrial model has been improved to investigate the sources of the changes in the energy consumption of the country. The input-output tables of Iran for the years 1988 and 2001 have been employed as the database of the model. The innovation of this research allows the researchers to stud...

This paper presents structural estimates of bidding behavior in eBay computer monitor auctions. We use our estimates to reject the use of Jump Bidding (Avery 1998) or “Snipe or War” bidding (Roth and Ockenfels, 2000). We also find that longer auctions only have a small effect on price and experienced auctioneers respond to this incentive. JEL Classification Numbers: C1, C7, D44, L1.

This paper investigates the usefulness of information criteria for inference on the number of structural breaks in a standard linear regression model. In particular, we propose a modified penalty function for such criteria based on theoretical arguments, which implies each break is equivalent to estimation of three individual regression coefficients. A Monte Carlo analysis compares information ...

We take a fresh look at Theil’s BLUS residuals and ask why they have gone out of fashion. All our simulation experiments indicate that tests based on BLUS residuals have higher power than those based on the more popular recursive residuals, even in those cases (structural breaks) where intuition would favour the recursive residuals. JEL Classification: B23; C10; C13; C20