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Abstract.  Fisher's equation for the determination of the real rate of interest is studied from a fresh econometric perspective. Some new methods of data description for nonstationary time series are introduced. The methods provide a nonparametric mechanism for modelling the spatial densities of a time series that displays random wandering characteristics, like interest rates and inflation. Hazard rate functionals are also constructed, an asymptotic theory is given, and the techniques are illustrated in some empirical applications to real interest rates for the United States. The paper ends by calculating semiparametric estimates of long‐range dependence in U.S. real interest rates, using a new estimation procedure called modified log periodogram regression and new asymptotics that covers the nonstationary case. The empirical results indicate that the real rate of interest in the United States is (fractionally) nonstationary over 1934–1997 and over the more recent subperiods 1961–1985 and 1961–1997. Unit root nonstationarity and short memory stationarity are both strongly rejected for all these periods.

AbstractIn this paper, we econometrically examine the performance of salience theory (ST) for explaining observed behavior outside of a fully defined state contingent setting. Using a well‐known dataset, we find that only a minority of people act consistently in the way proposed by ST when confronted with lottery choices for which only marginal probabilities are presented. By estimating the implied dependence structure of payoffs consistent with ST, only a minority of people infer independent payoffs when attaching probabilities to states, a finding at odds with ST. Instead, a majority treat lotteries as having positively correlated payoffs which raise questions about the independence assumption in ST. Finally, we also find that ST explains choice behavior less consistently than expected utility. Thus, ST should not be assumed to be superior to the most prominent models within the literature when employed outside of particular contexts.

This paper is an econometric study of the Indonesian economy. Our intention is to evaluate the interactions within the Indonesian economy, to forecast the selected economic variables under given assumptions, and to measure the effects of various policies. This is to be achieved through an cconometric analysis which uses the available statistics and which provides an analytical framework for the present national income statistics.

SUMMARYThis paper is a study of inflation in Portugal during the years 1953‐1980, a period marked by political revolution and the start of the country's modern economic development. The analysis is conducted within the context of the monetarist‐structuralist debate and employs, as explanatory variables, changes in expected prices, money, permanent income, exchange rates, and a vector of structural factors. Ordinary least squares and first‐ and second‐order autoregressive models, estimated by means of BEACH and MCKINNON'S full maximum likelihood technique, are the empirical methods used to investigate the sources of this inflation. In addition to the usual hypotheses, the question of economies of scale in money‐holding and the general equilibrium notion of a direct and proportional relationship between changes in money and prices are tested. The empirical results demonstrate that, despite political upheaval and government intervention in the market, neoclassical theory provides a reliable explanation of inflation in Portugal during the period considered.