Now showing items 1-6 of 6
Quantifying the uncertainty about the half-life of deviations from PPP
(John Wiley & Sons, Ltd., 2002-03)
We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution ...
Impulse response analysis in vector autoregressions with unknown lag order
(John Wiley & Sons, Ltd., 2001-04)
We show that the effects of overfitting and underfitting a vector autoregressive (VAR) model are strongly asymmetric for VAR summary statistics involving higher-order dynamics (such as impulse response functions, variance ...
Self Organization and Coordination
(Kluwer Academic Publishers; Springer Science+Business Media, 2001-08)
In this paper, I analyze the organization of tasks or activities by acollection of agents. I begin by formally defining organized collections androbustly organized collections of agents in the context of a simple model.Within ...
Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?
(John Wiley & Sons, Ltd., 1999-09)
The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange rates, and the findings are reconciled with those ...