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Citations of

Stephen Gordon

Contents:

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.

    Mentioned in:

    1. Economic growth and convergence
      by Stephen Gordon in Worthwhile Canadian Initiative on 2009-12-24 11:00:00
    2. Economic growth and convergence
      by Stephen in Worthwhile Canadian Initiative on 2006-03-26 01:24:17
  2. Gordon, Stephen & St-Amour, Pascal, 2003. "Asset Returns and State-Dependent Risk Preferences," Cahiers de recherche 0316, CIRPEE.

    Mentioned in:

    1. Welfare costs of the business cycle and the equity premium
      by Stephen in Worthwhile Canadian Initiative on 2006-12-15 19:09:36
  3. Gordon, Stephen & St-Amour, Pascal, 1999. "A Preference Regime Model of Bull and Bear Markets," Cahiers de recherche 9906, Université Laval - Département d'économique.

    Mentioned in:

    1. Welfare costs of the business cycle and the equity premium
      by Stephen in Worthwhile Canadian Initiative on 2006-12-15 19:09:36

Working papers

  1. Stephen Gordon & Michel Truchon, 2006. "Social Choice, Optimal Inference and Figure Skating," Cahiers de recherche 0624, CIRPEE.

    Cited by:

    1. Pivato, Marcus, 2011. "Voting rules as statistical estimators," MPRA Paper 30292, University Library of Munich, Germany.
    2. Michel Truchon, 2002. "Choix social et comités de sélection : le cas du patinage artistique," CIRANO Burgundy Reports 2002rb-02, CIRANO.
    3. Truchon, Michel & Gordon, Stephen, 2009. "Statistical comparison of aggregation rules for votes," Mathematical Social Sciences, Elsevier, vol. 57(2), pages 199-212, March.

  2. Michel Truchon & Stephen Gordon, 2006. "Statistical Comparison of Aggregation Rules for Votes," Cahiers de recherche 0625, CIRPEE.

    Cited by:

    1. Pivato, Marcus, 2011. "Voting rules as statistical estimators," MPRA Paper 30292, University Library of Munich, Germany.
    2. Stephen Gordon & Michel Truchon, 2006. "Social Choice, Optimal Inference and Figure Skating," Cahiers de recherche 0624, CIRPEE.
    3. Michel Truchon, 2005. "Aggregation of Rankings: a Brief Review of Distance-Based Rules," Cahiers de recherche 0534, CIRPEE.

  3. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.

    Cited by:

    1. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8 Bank for International Settlements.
    2. Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Working Paper Series 11_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
    3. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
    4. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
    5. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
    6. Todd E. Clark & Michael W. McCracken, 2009. "Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 363-395, 05.
    7. Gary Koop & Simon M. Potter, 2007. "Prior Elicitation in Multiple Change-point Models," Working Paper Series 17-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
    8. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    9. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
    10. Yong Song, 2012. "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper Series 28_12, The Rimini Centre for Economic Analysis.
    11. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points," Discussion Papers in Economics 04/31, Department of Economics, University of Leicester.
    12. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
    13. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, vol. 26(2), pages 326-347, April.
    14. Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers.
    15. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    16. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
    17. Ko, Stanley I. M. & Chong, Terence T. L. & Ghosh, Pulak, 2014. "Dirichlet Process Hidden Markov Multiple Change-point Model," MPRA Paper 57871, University Library of Munich, Germany.
    18. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "On the Evolution of Monetary Policy," Working Paper Series 24-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
    19. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    20. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.

  4. Gordon, Stephen & St-Amour, Pascal, 2003. "Asset Returns and State-Dependent Risk Preferences," Cahiers de recherche 0316, CIRPEE.

    Cited by:

    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus.
    2. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, School of Economics and Management, University of Aarhus.
    3. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
    4. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
    5. Till Strohsal, 2013. "Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion," SFB 649 Discussion Papers SFB649DP2013-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
    7. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.
    8. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    9. Néstor Gándelman & Rubén Hernández-Murillo, 2011. "What do happiness and health satisfaction data tell us about relative risk aversion?," Working Papers 2011-039, Federal Reserve Bank of St. Louis.
    10. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
    11. Traian A. Pirvu & Huayue Zhang, 2012. "A Multi Period Equilibrium Pricing Model," Papers 1205.6193, arXiv.org.
    12. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
    13. Gandelman, Nestor & Hernandez-Murillo, Ruben, 2014. "Risk Aversion at the Country Level," Working Papers 2014-5, Federal Reserve Bank of St. Louis.
    14. Dominique Pepin, 2011. "Instabilité des comportements et cycles financiers : une relecture dans un cadre rationnel avec préférences endogènes," Working Papers hal-00960012, HAL.
    15. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.

  5. Gordon, Stephen & St-Amour, Pascal, 1999. "A Preference Regime Model of Bull and Bear Markets," Cahiers de recherche 9906, Université Laval - Département d'économique.

    Cited by:

    1. Carlos Capistrán & Allan Timmermann, 2008. "Disagreement and Biases in Inflation Expectations," CREATES Research Papers 2008-56, School of Economics and Management, University of Aarhus.
    2. Troy Davig & Eric Leeper, 2009. "Reply to "Generalizing the Taylor principle": a comment," Research Working Paper RWP 09-09, Federal Reserve Bank of Kansas City.
    3. David Dillenberger & Kareen Rozen, 2010. "History-Dependent Risk Attitude," Cowles Foundation Discussion Papers 1763, Cowles Foundation for Research in Economics, Yale University, revised Jul 2012.
    4. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
    5. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
    6. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
    7. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    8. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.).
    9. Tillmann, Peter, 2005. "Private sector involvement in the resolution of financial crises: How do markets react?," Journal of Development Economics, Elsevier, vol. 78(1), pages 114-132, October.
    10. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
    11. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Working Papers 05-2, Bank of Canada.
    12. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
    13. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    14. Jingjing Chai & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011. "Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply," Working Papers wp246, University of Michigan, Michigan Retirement Research Center.
    15. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
    16. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    17. Frédérique BEC & Songlin ZENG, 2013. "Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries," THEMA Working Papers 2013-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    18. Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
    19. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
    20. David Dillenberger & Kareen Rozen, 2011. "History-Dependent Risk Attitude, Second Version," PIER Working Paper Archive 12-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 14 Jul 2012.
    21. Traian A. Pirvu & Huayue Zhang, 2012. "A Multi Period Equilibrium Pricing Model," Papers 1205.6193, arXiv.org.
    22. Caroli, Eve & Garcia-Penalosa, Cecilia, 2002. "Risk aversion and rising wage inequality," Economics Letters, Elsevier, vol. 77(1), pages 21-26, September.
    23. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    24. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA.
    25. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Working Papers 05-9, Bank of Canada.
    26. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
    27. Shue-Jen Wu & Wei-Ming Lee, 2012. "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, vol. 32(4), pages 3174-3181.
    28. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.

  6. Gordon, Stephen & St-Amour, Pascal, 1997. "Asset Prices with Contingent Preferences," Cahiers de recherche 9712, Université Laval - Département d'économique, revised 08 Jun 1998.

    Cited by:

    1. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    2. Kirill Sossunov, 2002. "A Real Business Cycle Model with Changing Sentiments," Macroeconomics 0210005, EconWPA.

  7. BOLDUC, Denis & FORTIN, Bernard & GORDON, Stephen, 1995. "Multinomial Probit Estimation of Spatially Interdependent Choices: an Empirical Comparison of Two New Techniques," Cahiers de recherche 9508, Université Laval - Département d'économique.

    Cited by:

    1. Ziegler, Andreas, 2001. "Simulated z-tests in multinomial probit models," ZEW Discussion Papers 01-53, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    2. David Revelt and Kenneth Train., 2000. "Customer-Specific Taste Parameters and Mixed Logit: Households' Choice of Electricity Supplier," Economics Working Papers E00-274, University of California at Berkeley.
    3. Liesenfeld, Roman & Richard, Jean-François & Vogler, Jan, 2013. "Analysis of discrete dependent variable models with spatial correlation," Economics Working Papers 2013-01, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Raffaella Calabrese & Johan A. Elkink, 2012. "Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study," Working Papers 201215, Geary Institute, University College Dublin.
    5. Schmidheiny, Kurt, 2006. "Income segregation and local progressive taxation: Empirical evidence from Switzerland," Journal of Public Economics, Elsevier, vol. 90(3), pages 429-458, February.
    6. Axel Börsch-Supan & Moshe Ben-Akiva & Kenneth Train & Daniel McFadden, 2002. "Hybrid Choice Models: Progress and Challenges," MEA discussion paper series 02009, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    7. George M. Holmes, 2004. "Does the National Health Service Corps Improve Physician Supply in Underserved Locations?," Eastern Economic Journal, Eastern Economic Association, vol. 30(4), pages 563-581, Fall.
    8. De Pinto, Alessandro & Nelson, Gerald C., 2004. "A Dynamic Model Of Land Use Change With Spatially Explicit Data," 2004 Annual meeting, August 1-4, Denver, CO 20314, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. De Pinto, Alessandro & Nelson, Gerald C., 2002. "Correcting For Spatial Effects In Limited Dependent Variable Regression: Assessing The Value Of "Ad-Hoc" Techniques," 2002 Annual meeting, July 28-31, Long Beach, CA 19782, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Ozturk, Erdogan & Irwin, Elena G., 2001. "Explaining Household Location Choices Using A Spatial Probit Model," 2001 Annual meeting, August 5-8, Chicago, IL 20626, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    11. Aßmann, Christian, 2007. "Determinants and Costs of Current Account Reversals under Heterogeneity and Serial Correlation," Economics Working Papers 2007,17, Christian-Albrechts-University of Kiel, Department of Economics.
    12. Lei, J., 2013. "Smoothed Spatial Maximum Score Estimation of Spatial Autoregressive Binary Choice Panel Models," Discussion Paper 2013-061, Tilburg University, Center for Economic Research.
    13. Daziano, Ricardo A. & Achtnicht, Martin, 2012. "Forecasting adoption of ultra-low-emission vehicles using the GHK simulator and Bayes estimates of a multinomial probit model," ZEW Discussion Papers 12-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    14. PHOLO BALA, Alain & PEETERS, Dominique & THOMAS, Isabelle, 2013. "Spatial issues on a hedonic estimation of rents in Brussels," CORE Discussion Papers 2013036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Jacobs, Jan & Samarina, Anna & Heijnen, Pim & Elhorst, Paul, 2013. "State transfers at different moments in time: A spatial probit approach," Research Report 13006-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

  8. BERNARD, Jean-Thomas & GORDON, Stephen & TREMBLAY, Josée, 1995. "Electricity Prices and Elections in Québec," Cahiers de recherche 9501, Université Laval - Département d'économique.

    Cited by:

    1. Bernard, Jean-Thomas, 1999. "Le marché québécois de l'électricité: rétrospective et voies de l'avenir," Cahiers de recherche 9912, Université Laval - Département d'économique.
    2. Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Min, Brian & Golden, Miriam, 2014. "Electoral cycles in electricity losses in India," Energy Policy, Elsevier, vol. 65(C), pages 619-625.
    4. C. Robert Clark & Andrew Leach, 2007. "The Potential for Electricity Market Restructuring in Quebec," Canadian Public Policy, University of Toronto Press, vol. 33(1), pages 1-20, March.

  9. GORDON, Stephen, 1995. "Using Mixtures of Flexible Functional Forms to Estimate Factor Demand Elasticities," Cahiers de recherche 9502, Université Laval - Département d'économique.

    Cited by:

    1. McCausland, William J., 2008. "On Bayesian analysis and computation for functions with monotonicity and curvature restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 484-507, January.
    2. Hanrahan, Kevin F. & Westhoff, Patrick C. & Young, Robert E., II, 2001. "Trade Allocation Modeling: Comparing The Results From Armington And Locally Regular Ai Demand System Specifications Of A Uk Beef Import Demand Allocation Model," 2001 Annual meeting, August 5-8, Chicago, IL 20510, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Chua, C.L. & Griffiths, W.E. & O'Donnell, C.J., 2001. "Bayesian Model Averaging in Consumer Demand Systems with Inequality Constraints," Department of Economics - Working Papers Series 806, The University of Melbourne.
    4. Keane, Michael, 2003. "Comment on “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim," MPRA Paper 55141, University Library of Munich, Germany.

  10. GORDON, Stephen & BÉLANGER, Gilles, 1995. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," Cahiers de recherche 9509, Université Laval - Département d'économique.

    Cited by:

    1. Paquet, Marie-France & Bolduc, Denis, 2004. "Le problème des données longitudinales incomplètes : une nouvelle approche," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 341-361, Juin-Sept.

  11. Andrew J. Filardo & Stephen F. Gordon, 1995. "Business cycle turning points: two empirical business cycle model approaches," Research Working Paper 95-15, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
    2. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary, University of London, School of Economics and Finance.
    3. Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics.
    4. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, EconWPA, revised 30 Sep 1998.

  12. GORDON, Stephen, 1995. "Stochastic Trends, Deterministic Trends and Business Cycle Turning Points," Cahiers de recherche 9503, Université Laval - Département d'économique.

    Cited by:

    1. Hans-Martin Krolzig & Michael Clements, 2000. "Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions," Economics Series Working Papers 2000-W32, University of Oxford, Department of Economics.
    2. Lars-Erik Öller & Lasse Koskinen, 2004. "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 197-214.
    3. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
    4. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
    5. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.

  13. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
    2. Dufrénot, G. & Malik, S., 2010. "The changing role of house price dynamics over the business cycle," Working papers 309, Banque de France.
    3. Maria Dolores Gadea Rivas & Gabriel Perez-Quiros, 2012. "The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit," Banco de Espa�a Working Papers 1240, Banco de Espa�a.
    4. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
    5. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
    6. Ghent, Andra C. & Owyang, Michael T., 2010. "Is housing the business cycle? Evidence from US cities," Journal of Urban Economics, Elsevier, vol. 67(3), pages 336-351, May.
    7. Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
    8. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
    9. Alex Mandilaras & Graham Bird, 2007. "Foreign exchange markets in south-east Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods," Money Macro and Finance (MMF) Research Group Conference 2006 40, Money Macro and Finance Research Group.
    10. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics.
    11. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers 715, Queen Mary, University of London, School of Economics and Finance.
    12. Michael Dueker, 2004. "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 Latin American Meetings 34, Econometric Society.
    13. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
    14. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
    15. Abdul Abiad, 2003. "Early Warning Systems," IMF Working Papers 03/32, International Monetary Fund.
    16. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
    17. Gabriela Mundaca, B., 2000. "The effect of interventions on realignment probabilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 323-347, December.
    18. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
    19. Avouyi-Dovi, Sanvi & Idier, Julien, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 428-438.
    20. Gilles Dufrénot & Benjamin Keddad, 2013. "Business Cycles Synchronization in East Asia: A Markov-Switching Approach," Working Papers halshs-00861901, HAL.
    21. Gary Koop, 2004. "Modelling the evolution of distributions: an application to Major League baseball," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 167(4), pages 639-655.
    22. Erlandsson, Ulf, 2004. "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers 2004:4, Lund University, Department of Economics, revised 18 Mar 2004.
    23. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
    24. Castro, Vítor, 2008. "The duration of economic expansions and recessions : More than duration dependence," The Warwick Economics Research Paper Series (TWERPS) 860, University of Warwick, Department of Economics.
    25. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
    26. Agnello, Luca & Dufrénot, Gilles & Sousa, Ricardo M., 2013. "Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices," Economic Modelling, Elsevier, vol. 34(C), pages 25-36.
    27. Robert Gagné & Simon Van Norden & Bruno Versaevel, 2006. "Testing Optimal Punishment Mechanisms under Price Regulation: the Case of the Retail Market for Gasoline," Post-Print halshs-00142516, HAL.
    28. Shachat, Jason & Wei, Lijia, 2013. "Discrete Rule Learning and the Bidding of the Sexes," MPRA Paper 47953, University Library of Munich, Germany.
    29. TCHANA TCHANA, Fulbert, 2008. "The Empirics of Banking Regulation," MPRA Paper 9299, University Library of Munich, Germany.
    30. Philippe J. Deschamps, 2008. "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(4), pages 435-462.
    31. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Papers 367, University of Pittsburgh, Department of Economics, revised Sep 2008.
    32. Avouyi-Dovi, S. & Idier, J., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.
    33. Kaufmann Sylvia, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
    34. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
    35. Pierre L Siklos, 2013. "Forecast disagreement and the anchoring of inflation expectations in the Asia-Pacific Region," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 25-40 Bank for International Settlements.
    36. Manuela Goretti, 2005. "The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis," International Finance 0506001, EconWPA.
    37. Atish R. Ghosh & Juan Zalduendo & Manuela Goretti & Bikas Joshi & Alun H. Thomas, 2007. "Modeling Aggregate Use of Fund Resources," IMF Working Papers 07/70, International Monetary Fund.
    38. Peter M. Summers & Penelope A. Smith, 2005. "How well do Markov switching models describe actual business cycles? The case of synchronization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 253-274.
    39. Takeuchi, Fumihide, 2010. "US external debt sustainability revisited: Bayesian analysis of extended Markov switching unit root test," Japan and the World Economy, Elsevier, vol. 22(2), pages 98-106, March.
    40. Wai Mun Fong & Kim Hock See, 2003. "Basis variations and regime shifts in the oil futures market," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 499-513.
    41. Shin-Juh Lin & Jian Yang, 2000. "Examining Intraday Returns with Buy/Sell Information," Research Paper Series 38, Quantitative Finance Research Centre, University of Technology, Sydney.
    42. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
    43. Michael T. Owyang & Abbigail Chiodo, 2002. "Duration dependence in monetary policy: international evidence," Working Papers 2002-021, Federal Reserve Bank of St. Louis.
    44. Shyh-Wei Chen & Chung-Hua Shen, 2006. "Is there a duration dependence in Taiwan's business cycles?," International Economic Journal, Taylor & Francis Journals, vol. 20(1), pages 109-128.
    45. Allan Layton & Daniel R. Smith, 2005. "Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes," School of Economics and Finance Discussion Papers and Working Papers Series 200, School of Economics and Finance, Queensland University of Technology.
    46. M. Portugal & I.A. de Morais, 2004. "STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach," Econometric Society 2004 Latin American Meetings 346, Econometric Society.
    47. Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307, April.
    48. Martha Misas & María Teresa Ramírez, 2006. "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," BORRADORES DE ECONOMIA 002148, BANCO DE LA REPÚBLICA.
    49. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
    50. Erlandsson, Ulf, 2005. "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers 2005:25, Lund University, Department of Economics.
    51. Barthélemy, J. & Marx, M., 2011. "State-Dependent Probability Distributions in Non Linear Rational Expectations Models," Working papers 347, Banque de France.
    52. Andrew Filardo, 2004. "The 2001 US recession: what did recession prediction models tell us?," BIS Working Papers 148, Bank for International Settlements.
    53. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
    54. Andrew J. Filardo, 1998. "Choosing information variables for transition probabilities in a time-varying transition probability Markov switching model," Research Working Paper 98-09, Federal Reserve Bank of Kansas City.
    55. Martha Misas & María Teresa Ramírez, . "Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model," Borradores de Economia 340, Banco de la Republica de Colombia.
    56. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
    57. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
    58. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
    59. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften dp1307, Universitaet Bern, Departement Volkswirtschaft.
    60. Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14.
    61. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen
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      ," MPRA Paper 54352, University Library of Munich, Germany.
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    64. Luca Agnello & Gilles Dufrénot & Ricardo M. Sousa, 2012. "Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework," NIPE Working Papers 20/2012, NIPE - Universidade do Minho.
    65. Penelope A. Smith & Peter M. Summers, 2004. "Identification and normalization in Markov switching models of "business cycles"," Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City.

Articles

  1. Truchon, Michel & Gordon, Stephen, 2009. "Statistical comparison of aggregation rules for votes," Mathematical Social Sciences, Elsevier, vol. 57(2), pages 199-212, March.
    See citations under working paper version above.
  2. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
    See citations under working paper version above.
  3. Stephen Gordon & Michel Truchon, 2008. "Social choice, optimal inference and figure skating," Social Choice and Welfare, Springer, vol. 30(2), pages 265-284, February.
    See citations under working paper version above.
  4. Gordon S. & St-Amour P., 2004. "Asset Returns and State-Dependent Risk Preferences," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 241-252, July.
    See citations under working paper version above.
  5. Stephen Gordon & Lucie Samson, 2002. "Comparing Consumption-Based Asset-Pricing models," Canadian Journal of Economics, Canadian Economics Association, vol. 35(3), pages 586-610, August.

    Cited by:

    1. Smoluk, H. J. & VanderLinden, David, 2004. "Catching up with the Americans," Review of Financial Economics, Elsevier, vol. 13(3), pages 211-229.
    2. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.

  6. Pascal St-Amour & Stephen Gordon, 2000. "A Preference Regime Model of Bull and Bear Markets," American Economic Review, American Economic Association, vol. 90(4), pages 1019-1033, September.
    See citations under working paper version above.
  7. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
    See citations under working paper version above.
  8. Gordon, Stephen, 1997. "Stochastic Trends, Deterministic Trends, and Business Cycle Turning Points," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(4), pages 411-34, July-Aug..
    See citations under working paper version above.
  9. Jean-Thomas Bernard & Stephen Gordon & Josee Tremblay, 1997. "Electricity Prices and Elections in Quebec," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 505-25, August.
    See citations under working paper version above.
  10. Gordon, Stephen & Bélanger, Gilles, 1996. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
    See citations under working paper version above.
  11. Stephen Gordon, 1996. "Using Mixtures of Flexible Functional Forms to Estimate Factor Demand Elasticities," Canadian Journal of Economics, Canadian Economics Association, vol. 29(3), pages 717-36, August.
    See citations under working paper version above.
  12. Gordon, Stephen, 1992. "Costs of Adjustment, the Aggregation Problem and Investment," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 422-29, August.

    Cited by:

    1. Yuriy Gorodnichenko, 2007. "Using Firm Optimization to Evaluate and Estimate Returns to Scale," NBER Working Papers 13666, National Bureau of Economic Research, Inc.
    2. George Bitros, 2008. "Why the structure of capital and the useful lives of its components matter: A test based on a model of Austrian descent," The Review of Austrian Economics, Springer, vol. 21(4), pages 301-328, December.
    3. Charlotta Groth & Hashmat Khan, 2010. "Investment Adjustment Costs: An Empirical Assessment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1469-1494, December.
    4. Lubomir Lizal, 2001. "Does a Soft Macroeconomic Environment Induce Restructuring on the Microeconomic Level during the Transition Period? Evidence from Investment Behavior of Czech Enterprises," Development and Comp Systems 0012010, EconWPA.
    5. Varshavsky, Leonid, 2010. "Methodological basis of modeling evolution of markets of products with long life cycle: a study of the civil aircrafts’ market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 20(4), pages 53-74.

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