This chapter reviews inference about large autoregressive or moving average roots in
univariate time series, and structural change in multivariate time series regression. The …

The use of statistical significance and p-values has become a matter of substantial
controversy in various fields using statistical methods. This has gone as far as some journals …

Traditionally, economic growth and business cycles have been treated independently.
However, the dependence of GDP levels on its history of shocks, what economists refer to as …

In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a
unified, practical likelihood-based framework for the analysis of stochastic volatility models …

This paper proposes to estimate the effects of monetary policy shocks by a new agnostic
method, imposing sign restrictions on the impulse responses of prices, nonborrowed …

We argue that positive co‐movements between land prices and business investment are a
driving force behind the broad impact of land‐price dynamics on the macroeconomy. We …

We propose a cross‐sectional time‐series model to assess the impact of market
liberalizations in emerging equity markets on the cost of capital, volatility, beta, and …

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend
yield, the regression disturbance is correlated with the regressor's innovation. The OLS …

In this course we perform an introduction to Bayesian methods, we show some basic
definitions and properties of the bayesian approach. We have taken the content from the …

Past empirical research on the effects of monetary policy in closed and open economies
found evidence of several anomalies, such as the 'liquidity','price','exchange rate'and …