- Gregory, Allan W. & Yetman, James, 2004.
"The evolution of consensus in macroeconomic forecasting,"
International Journal of Forecasting,
Elsevier, vol. 20(3), pages 461-473.
[Downloadable!] (restricted)
Cited by:
- Jordi Pons-Novell, 2006.
"An analysis of a panel of Spanish GDP forecasts,"
Applied Economics,
Taylor and Francis Journals, vol. 38(11), pages 1287-1292, June.
[Downloadable!] (restricted)
- Beetsma, Roel & Giuliodori, Massimo, 2007.
"On the Relationship between Fiscal Plans in the European Union: An Empirical Analysis Based on Real-Time Data,"
CEPR Discussion Papers
6088, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
- Allan W. Gregory & Alfred A. Haug & Nicoletta Lomuto, 2004.
"Mixed signals among tests for cointegration,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 19(1), pages 89-98.
[Downloadable!]
Cited by:
- Christian Bayer & Christoph Hanck, 2008.
"Is Double Trouble? – How to Combine Cointegration Tests,"
Ruhr Economic Papers
0048, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
[Downloadable!]
Other versions: - Felicitas Nowak-Lehmann D. & Inmaculada Martínez-Zarzoso & Dierk Herzer & Stephan Klasen & Axel Dreher, 2009.
"In Search for a Long-run Relationship between Aid and Growth: Pitfalls and Findings,"
Ibero America Institute for Econ. Research (IAI) Discussion Papers
196, Ibero-America Institute for Economic Research.
[Downloadable!]
- Christopher Bowdler & Eilev Jansen, 2004.
"Testing for a time-varying price-cost markup in the Euro area inflation process,"
University of California at San Diego, Economics Working Paper Series
2004-07, Department of Economics, UC San Diego.
[Downloadable!]
Other versions: - Badi H. Baltagi & Zijun Wang, 2006.
"Testing for Cointegrating Rank via Model Selection: Evidence from 165 Data Sets,"
Center for Policy Research Working Papers
83, Center for Policy Research, Maxwell School, Syracuse University.
[Downloadable!]
Other versions: - Alfred A. Haug & Syed A. Basher, 2004.
"Unit Roots, Nonlinear Cointegration and Purchasing Power Parity,"
Econometrics
0401006, EconWPA, revised 16 Nov 2005.
[Downloadable!]
Other versions: - Christopher Bowdler & Eilev S. Jansen, 2004.
"Testing for a time-varying price-cost markup in the Euro area inflation process,"
Economics Papers
2004-W10, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
- Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002.
"Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence,"
Journal of Econometrics,
Elsevier, vol. 107(1-2), pages 213-233, March.
[Downloadable!] (restricted)
Cited by:
- Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008.
"Empirical Likelihood Block Bootstrapping,"
Working Papers
08-18, Bank of Canada.
[Downloadable!]
Other versions: - Marco Taboga, 2009.
"The riskiness of corporate bonds,"
Temi di discussione (Economic working papers)
730, Bank of Italy, Economic Research Department.
[Downloadable!]
- Yasutomo Murasawa, 2009.
"Do coincident indicators have one-factor structure?,"
Empirical Economics,
Springer, vol. 36(2), pages 339-365, May.
[Downloadable!] (restricted)
- Sowell, Fallaw, 2009.
"The empirical saddlepoint likelihood estimator applied to two-step GMM,"
MPRA Paper
15494, University Library of Munich, Germany, revised May 2009.
[Downloadable!]
- Kelly Bedard & John Dorland & Allan W. Gregory & Joanne Roberts, 2000.
"Needs-based health care funding: implications for resource distribution in Ontario,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 33(4), pages 981-1008, November.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W. & Head, Allen C., 1999.
"Common and country-specific fluctuations in productivity, investment, and the current account,"
Journal of Monetary Economics,
Elsevier, vol. 44(3), pages 423-451, December.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Christopher Ferrall & Allan W. Gregory & William Tholl, 1998.
"Endogenous Work Hours and Practice Patterns of Canadian Physicians,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 31(1), pages 1-27, February.
Other versions: See citations under working paper version above.
- Gregory, Allan W & Head, Allen C & Raynauld, Jacques, 1997.
"Measuring World Business Cycles,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 677-701, August.
Other versions: See citations under working paper version above.
- Gregory, Allan W. & Nason, James M. & Watt, David G., 1996.
"Testing for structural breaks in cointegrated relationships,"
Journal of Econometrics,
Elsevier, vol. 71(1-2), pages 321-341.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W. & Smith, Gregor W., 1996.
"Measuring business cycles with business-cycle models,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 20(6-7), pages 1007-1025.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W & Hansen, Bruce E, 1996.
"Tests for Cointegration in Models with Regime and Trend Shifts,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 58(3), pages 555-60, August.
Cited by:
- Paul Cashin & Luis Felipe Céspedes & Ratna Sahay, 2003.
"Commodity Currencies and the Real Exchange Rate,"
Working Papers Central Bank of Chile
236, Central Bank of Chile.
[Downloadable!]
Other versions: - Francesco Zollino, 2001.
"Personal Saving and Social Security in Italy: Fresh Evidence from a Time Series Analysis,"
Temi di discussione (Economic working papers)
417, Bank of Italy, Economic Research Department.
[Downloadable!]
- Marashdeh, Hazem, 2005.
"Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach,"
Economics Working Papers
wp05-27, School of Economics, University of Wollongong, NSW, Australia.
[Downloadable!]
- Kentaro Iwatsubo & Yoshihiro Kitamura, 2008.
"Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate,"
Discussion Papers
0801, Graduate School of Economics, Kobe University.
[Downloadable!]
- Andreas Beyer & Alfred A. Haug & William G. Dewald, 2009.
"Structural Breaks, Cointegration and the Fisher Effect,"
Working Paper Series
1013, European Central Bank.
[Downloadable!]
- Vicente Esteve, 2004.
"Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales,"
Revista de Analisis Economico – Economic Analysis Review,
Ilades-Georgetown University, Economics Department, vol. 19(1), pages 3-29, June.
[Downloadable!]
Other versions: - W A Razzak, 1997.
"Testing the rationality of the National Bank of New Zealand's survey data,"
Reserve Bank of New Zealand Discussion Paper Series
G97/5, Reserve Bank of New Zealand.
[Downloadable!]
- Paul Cashin & Catherine Pattillo, 2006.
"African terms of trade and the commodity terms of trade: close cousins or distant relatives?,"
Applied Economics,
Taylor and Francis Journals, vol. 38(8), pages 845-859, May.
[Downloadable!] (restricted)
- Gael M. Martin, 2000.
"US deficit sustainability: a new approach based on multiple endogenous breaks,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
[Downloadable!]
Other versions: - Vicente Esteve & Juan Sanchis, .
"Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001,"
Studies on the Spanish Economy
161, FEDEA.
[Downloadable!]
Other versions: - Travaglini, Guido, 2007.
"The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001,"
MPRA Paper
3419, University Library of Munich, Germany, revised 15 Jun 2007.
[Downloadable!]
- Pierre Siklos, 2006.
"What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence,"
Working Papers
eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
[Downloadable!]
- Olekalns, N., 2001.
"An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect,"
Department of Economics - Working Papers Series
786, The University of Melbourne.
[Downloadable!]
- Harrison Fell, 2008.
"Rights-Based Management and Alaska Pollock Processors' Supply,"
American Journal of Agricultural Economics,
American Agricultural Economics Association, vol. 90(3), pages 579-592, 08.
[Downloadable!] (restricted)
- Vasco J. C. R. De A. Gabriel & Artur C. B. Da Silva Lopes & Luis C. Nunes, 2003.
"Instability in cointegration regressions: a brief review with an application to money demand in Portugal,"
Applied Economics,
Taylor and Francis Journals, vol. 35(8), pages 893-900, January.
[Downloadable!] (restricted)
- Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006.
"Structural breaks in labor productivity growth: the United States vs. the European Union,"
Banco de España Working Papers
0625, Banco de España.
[Downloadable!]
- Muthi Samudram & Mahendhiran Nair & Santha Vaithilingam, 2009.
"Keynes and Wagner on government expenditures and economic development: the case of a developing economy,"
Empirical Economics,
Springer, vol. 36(3), pages 697-712, June.
[Downloadable!] (restricted)
- Christian Dreger & Christian Schumacher, 2000.
"Zur empirischen Evidenz der Cobb-Douglas-Technologie in gesamtdeutschen Zeitreihen,"
IWH Discussion Papers
113, Halle Institute for Economic Research.
[Downloadable!]
- Fell, Harrison, 0.
"AJAE Appendix: Rights-Based Management and Alaska Pollock Processors' Supply,"
American Journal of Agricultural Economics Appendices,
Agricultural and Applied Economics Association.
[Downloadable!]
- Dekimpe, M.G. & Hanssens, D.M., 2003.
"Persistence Modeling for Assessing Marketing Strategy Performance,"
Research Paper
ERS-2003-088-MKT Revision, 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 Uni.
[Downloadable!]
- PERERA, Nelson & VARMA, Reetu, 2008.
"An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka,"
International Journal of Applied Econometrics and Quantitative Studies,
Euro-American Association of Economic Development, vol. 5(1), pages 79-92.
[Downloadable!]
- Kohlscheen, E, 2009.
"Emerging Floaters : Pass-Throughs and (Some) New Commodity Currencies,"
The Warwick Economics Research Paper Series (TWERPS)
905, University of Warwick, Department of Economics.
[Downloadable!]
Other versions: - Perry, L.J. & Wilson, P.J., 2001.
"The Accord and Strikes: An International Perspective,"
Economics Working Papers
wp01-03, School of Economics, University of Wollongong, NSW, Australia.
[Downloadable!]
Other versions: - M. DOLORES GADEA & EVA PARDOS & CLAUDIA PÉREZ-FORNIÉS, 2004.
"A Long-Run Analysis Of Defence Spending In The Nato Countries (1960-99),"
Defence and Peace Economics,
Taylor and Francis Journals, vol. 15(3), pages 231-249, June.
[Downloadable!] (restricted)
- Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero, 2007.
"The Role Of Commodity Terms Of Trade In Determining The Real Exchange Rates Of Mediterranean Countries,"
Working Papers. Serie AD
2007-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
- Gregory, Allan W. & Hansen, Bruce E., 1996.
"Residual-based tests for cointegration in models with regime shifts,"
Journal of Econometrics,
Elsevier, vol. 70(1), pages 99-126, January.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W & Smith, Gregor W, 1995.
"Business Cycle Theory and Econometrics,"
Economic Journal,
Royal Economic Society, vol. 105(433), pages 1597-1608, November.
[Downloadable!] (restricted)
Cited by:
- Yang-Woo Kim, 1996.
"Are prices countercyclical? Evidence from East Asian countries,"
Review,
Federal Reserve Bank of St. Louis, issue Sep, pages 69-82.
[Downloadable!]
- Paul Conway & David Frame, 2000.
"A spectral analysis of New Zealand output gaps using Fourier and wavelet techniques,"
Reserve Bank of New Zealand Discussion Paper Series
DP2000/06, Reserve Bank of New Zealand.
[Downloadable!]
- Gregory, Allan W, 1994.
"Testing for Cointegration in Linear Quadratic Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 347-60, July.
Other versions: See citations under working paper version above.
- Gregory, Allan W. & Wirjanto, Tony, 1993.
"The effect of sampling error on the time series behavior of consumption data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 267-273.
[Downloadable!] (restricted)
Cited by:
- Lars Hultkrantz & Christina Olsson, 1997.
"Chernobyl effects on domestic and inbound tourism in Sweden — A time series analysis,"
Environmental & Resource Economics,
European Association of Environmental and Resource Economists, vol. 9(2), pages 239-258, March.
[Downloadable!] (restricted)
- Backus, David K & Gregory, Allan W & Telmer, Chris I, 1993.
" Accounting for Forward Rates in Markets for Foreign Currency,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1887-1908, December.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Backus, David K & Gregory, Allan W, 1993.
"Theoretical Relations between Risk Premiums and Conditional Variances,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 11(2), pages 177-85, April.
Other versions: See citations under working paper version above.
- Gregory, Allan W. & Smith, Gregor W., 1992.
"Sampling variability in Hansen-Jagannathan bounds,"
Economics Letters,
Elsevier, vol. 38(3), pages 263-267, March.
[Downloadable!] (restricted)
Cited by:
- Christopher J. Neely, 1995.
"Testing asset pricing models with Euler equations: it's worse than you think,"
Working Papers
1995-018, Federal Reserve Bank of St. Louis.
[Downloadable!]
- Raymond Kan & Cesare Robotti, 2008.
"The exact distribution of the Hansen-Jagannathan bound,"
Working Paper
2008-09, Federal Reserve Bank of Atlanta.
[Downloadable!]
- Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002.
"Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 17(2), pages 149-174.
[Downloadable!]
Other versions:- Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000.
"Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation,"
Virginia Economics Online Papers
350, University of Virginia, Department of Economics.
[Downloadable!]
- Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998.
"Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation,"
Working Papers
99-01, University of Iowa, Department of Economics, revised Jan 1999.
[Downloadable!]
- Devereux, Michael B. & Gregory, Allan W. & Smith, Gregor W., 1992.
"Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model,"
Journal of International Money and Finance,
Elsevier, vol. 11(1), pages 3-16, February.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W & Smith, Gregor W, 1991.
"Calibration as Testing: Inference in Simulated Macroeconomic Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 9(3), pages 297-303, July.
Cited by:
- Meenagh, David & Minford, Patrick & Nowell, Eric & Sofat, Prakriti & Srinivasan, Naveen, 2008.
"Can the Facts of UK Inflation Persistence be Explained by Nominal Rigidity?,"
CEPR Discussion Papers
6834, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:- Meenagh, David & Minford, Patrick & Nowell, Eric & Sofat, Prakriti & Srinivasan, Naveen, 2008.
"Can the Facts of UK Inflation Persistence be Explained by Nominal Rigidity?,"
Cardiff Economics Working Papers
E2008/7, Cardiff University, Cardiff Business School, Economics Section, revised Dec 2008.
[Downloadable!]
- Fabio Canova & Eva Ortega, 1996.
"Testing Calibrated General Equilibrium Models,"
Economics Working Papers
166, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
- Canova, Fabio, 2002.
"Validating Monetary DSGE Models through VARs,"
CEPR Discussion Papers
3442, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- BOUAKEZ, Hafed & CARDIA Emanuela & RUGE-MURCIA, Francisco, 2005.
"The Transmission of Monetary Policy in a Multi-Sector Economy,"
Cahiers de recherche
2005-16, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
- Meenagh, David & Minford, Patrick & Wickens, Michael, 2008.
"Testing a DSGE model of the EU using indirect inference,"
Cardiff Economics Working Papers
E2008/11, Cardiff University, Cardiff Business School, Economics Section, revised Dec 2008.
[Downloadable!]
Other versions:- David Meenagh & Patrick Minford & Michael Wickens, 2009.
"Testing a DSGE Model of the EU Using Indirect Inference,"
Open Economies Review,
Springer, vol. 20(4), pages 435-471, September.
[Downloadable!] (restricted)
- David Meenagh & Patrick Minford & Michael Wickensy, 2007.
" Testing a DSGE model of the EU using indirect inference,"
CDMA Conference Paper Series
0709, Centre for Dynamic Macroeconomic Analysis, revised Mar 2008.
[Downloadable!]
- David Meenagh & Patrick Minford & Michael Wickens, 2008.
" Testing a DSGE model of the EU using indirect inference,"
CDMA Conference Paper Series
0801, Centre for Dynamic Macroeconomic Analysis.
[Downloadable!]
- Meenagh, David & Minford, Patrick & Wickens, Michael R, 2008.
"Testing a DSGE Model of the EU Using Indirect Inference,"
CEPR Discussion Papers
6838, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003.
"Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium,"
Working Paper
2003-4, Federal Reserve Bank of Atlanta.
[Downloadable!]
- Dag Kolsrud, 2008.
"Stochastic Ceteris Paribus Simulations,"
Computational Economics,
Springer, vol. 31(1), pages 21-43, February.
[Downloadable!] (restricted)
- Edward J. Balistreri & Christine A. McDaniel & Eina Vivian Wong, 2003.
"An Estimation of U.S. Industry-Level Capital-Labor Substitution,"
Computational Economics
0303001, EconWPA.
[Downloadable!]
- Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998.
"Dynamic equilibrium economies: a framework for comparing models and data,"
Staff Report
243, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions:- Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1997.
"Dynamic equilibrium economies: a framework for comparing models and data,"
Finance and Economics Discussion Series
1997-23, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
- Diebold, Francis X & Ohanian, Lee E & Berkowitz, Jeremy, 1998.
"Dynamic Equilibrium Economies: A Framework for Comparing Models and Data,"
Review of Economic Studies,
Blackwell Publishing, vol. 65(3), pages 433-51, July.
[Downloadable!] (restricted)
- Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1995.
"Dynamic Equilibrium Economies: A Framework for Comparing Models and Data,"
NBER Technical Working Papers
0174, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1997.
"Dynamic equilibrium economies: a framework for comparing models and data,"
Working Papers
97-7, Federal Reserve Bank of Philadelphia.
[Downloadable!]
- Alok Johri and Marc-André Letendre, 2006.
"What do “residuals” from first-order conditions reveal about DGE models?,"
Department of Economics Working Papers
2006-01, McMaster University.
[Downloadable!]
Other versions: - Mark A. Hooker, 1996.
"Maturity structure of term premia with time-varying expected returns,"
Working Papers
96-4, Federal Reserve Bank of Boston.
[Downloadable!]
- Pillai N., Vijayamohanan, 2008.
"In Quest of Truth: The War of Methods in Economics,"
MPRA Paper
8866, University Library of Munich, Germany.
[Downloadable!]
- Martin Boileau & Marc-André Letendre, 2004.
"Inventories, Sticky Prices and the Propogation of Nominal Shocks,"
Department of Economics Working Papers
2004-03, McMaster University.
[Downloadable!]
- Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008.
"Comparison of Misspecified Calibrated Models: The Minimum Distance Approach,"
Micro Theory Working Papers
vadim_marmer-2008-14, Microeconomics.ca Website, revised 02 Nov 2009.
[Downloadable!]
- Minford, Patrick & Theodoridis, Konstantinos & Meenagh, David, 2007.
"Testing a model of the UK by the method of indirect inference,"
Cardiff Economics Working Papers
E2007/2, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2008.
[Downloadable!]
Other versions:- Meenagh, David & Minford, Patrick & Theodoridis, Konstantinos, 2008.
"Testing a Model of the UK by the Method of Indirect Inference,"
CEPR Discussion Papers
6849, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Patrick Minford & Konstantinos Theodoridis & David Meenagh, 2009.
"Testing a Model of the UK by the Method of Indirect Inference,"
Open Economies Review,
Springer, vol. 20(2), pages 265-291, April.
[Downloadable!] (restricted)
- A. Johri & M-A. Letendre, 2001.
"Labour Market Dynamics in RBC Models,"
Department of Economics Working Papers
2001-03, McMaster University.
[Downloadable!]
- Zuzana Janko, 2008.
"Reexamination of Real Business Cycles in A Small Open Economy,"
Working Papers
2008-15, Department of Economics, University of Calgary, revised 11 Jan 2008.
[Downloadable!]
- ABDELKHALEK, Touhami & DUFOUR, Jean-Marie, 1997.
"Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy,"
Cahiers de recherche
9713, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Other versions: - Alexander Ludwig, 2005.
"Moment estimation in Auerbach-Kotlikoff models: How well do they match the data?,"
MEA discussion paper series
05093, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim.
[Downloadable!]
Other versions: - RUGE-MURCIA, Francisco J., 2003.
"Methods to Estimate Dynamic Stochastic General Equilibrium Models,"
Cahiers de recherche
17-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!]
Other versions:- Ruge-Murcia, Francisco J., 2007.
"Methods to estimate dynamic stochastic general equilibrium models,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 31(8), pages 2599-2636, August.
[Downloadable!] (restricted)
- RUGE-MURCIA, Francisco J., 2003.
"Methods to Estimate Dynamic Stochastic General Equilibrium Models,"
Cahiers de recherche
2003-23, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
- Francisco Ruge-Murcia, 2002.
"Methods to Estimate Dynamic Stochastic General Equilibrium Models,"
University of California at San Diego, Economics Working Paper Series
2002-18, Department of Economics, UC San Diego.
[Downloadable!]
- Francisco J. Ruge-Murcia, 2004.
"Methods to Estimate Dynamic Stochastic General Equilibrium Models,"
2004 Meeting Papers
83, Society for Economic Dynamics.
- David R.F. Love & Jean-Francois Lamarche, 2004.
"Anticipation and Real Business Cycles,"
Working Papers
0703, Brock University, Department of Economics, revised Sep 2007.
[Downloadable!]
- Allan W. Gregory & Graham M. Voss, 1991.
"The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 24(4), pages 923-39, November.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W & Sampson, Michael J, 1991.
"Testing Long-Run Properties of Stationary Time Series,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 9(3), pages 287-95, July.
Cited by:
- Fernandes, Marcelo, 2001.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes,"
Economics Working Papers (Ensaios Economicos da EPGE)
413, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
- Allan Gregory & Gregor Smith, 1990.
"Calibration as estimation,"
Econometric Reviews,
Taylor and Francis Journals, vol. 9(1), pages 57-89.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W, 1989.
"A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 7(1), pages 107-15, January.
Cited by:
- Stanislav Anatolyev & Andrey Vasnev, 2002.
"Markov chain approximation in bootstrapping autoregressions,"
Economics Bulletin,
Economics Bulletin, vol. 3(19), pages 1-8.
[Downloadable!]
- Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996.
"Testing for ARCH in the presence of additive outliers,"
Econometric Institute Report
59, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Other versions:- Van Dijk, D. & Franses, P.H. & Lucas, A., 1996.
"Testing for ARCH in the Presence of Additive Outliners,"
Papers
9659/a, Erasmus University of Rotterdam - Econometric Institute.
- Dijk, D.J.C. van & Franses, Ph.H.B.F. & Lucas, A., 1996.
"Testing for ARCH in the Presence of Additive Outliers,"
Econometric Institute Report
EI 9659-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
- van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999.
"Testing for ARCH in the Presence of Additive Outliers,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 14(5), pages 539-62, Sept.-Oct.
[Downloadable!]
- Burkhard Raunig, 2003.
"Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX,"
Working Papers
86, Oesterreichische Nationalbank (Austrian Central Bank).
[Downloadable!]
- Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner, 1991.
"Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques,"
Annales d'Economie et de Statistique,
ADRES, issue 24, pages 01, Octobre-D.
[Downloadable!]
- Backus, David K. & Gregory, Allan W. & Zin, Stanley E., 1989.
"Risk premiums in the term structure : Evidence from artificial economies,"
Journal of Monetary Economics,
Elsevier, vol. 24(3), pages 371-399, November.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Gregory, Allan W & Veall, Michael R, 1987.
"Formulating Wald Tests of the Restrictions Implied by the Rational Expectations Hypothesis,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 2(1), pages 61-68, January.
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Cited by:
- Francisco J. Goerlich Gisbert, 1992.
"Un test alternativo de la hipótesis de sustitución intertemporal del trabajo,"
Investigaciones Economicas,
Fundación SEPI, vol. 16(2), pages 259-280, May.
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- Allan W. Gregory, 1987.
"Testing Interest Rate Parity and Rational Expectations for Canada and the United States,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 20(2), pages 289-305, May.
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- G. Booth & Mustafa Chowdhory, 1992.
"Canadian foreign exchange policies: Intervention, control, cointegration,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 128(1), pages 21-33, March.
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- Jason Childs & Stuart Mestelman, 2004.
"Rate of Return Parity in Experimental Asset Markets,"
McMaster Experimental Economics Laboratory Publications
2004-07, McMaster University.
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Other versions:- Jason Childs & Stuart Mestelman, 2004.
"Rate of Return Parity in Experimental Asset Markets,"
Department of Economics Working Papers
2004-01, McMaster University.
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- Jason Childs & Stuart Mestelman, 2006.
"Rate-of-return Parity in Experimental Asset Markets,"
Review of International Economics,
Blackwell Publishing, vol. 14(3), pages 331-347, 08.
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- Jason Childs & Stuart Mestelman, 2004.
"Rate of Return Parity in Experimental Asset Markets,"
McMaster Experimental Economics Laboratory Publications
2004-01, McMaster University.
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- Gregory, Allan W. & Veall, Michael R., 1986.
"Wald tests of common factor restrictions,"
Economics Letters,
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Cited by:
- Francisco J. Goerlich Gisbert, 1992.
"Un test alternativo de la hipótesis de sustitución intertemporal del trabajo,"
Investigaciones Economicas,
Fundación SEPI, vol. 16(2), pages 259-280, May.
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- Gregory, Allan W. & McCurdy, Thomas H., 1986.
"The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany,"
European Economic Review,
Elsevier, vol. 30(2), pages 365-381, April.
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Cited by:
- Marco Tronzano, 1992.
"Efficiency in German and Japanese foreign exchange markets: Evidence from cointegration techniques,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 128(1), pages 1-20, March.
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- Gregory, Allan W & Raynauld, Jacques, 1985.
"An Econometric Model of Canadian Monetary Policy over the 1970s,"
Journal of Money, Credit and Banking,
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- Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996.
"Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve,"
Cahiers de recherche CREFE / CREFE Working Papers
42, CREFE, Université du Québec à Montréal.
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- Gregory, Allan W & Veall, Michael R, 1985.
"Formulating Wald Tests of Nonlinear Restrictions,"
Econometrica,
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"Invariant Tests Based on M-Estimators, Estimating Functions and the Generalized Method of Moments,"
Econometric Society World Congress 2000 Contributed Papers
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- J. Dufour, .
"Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration,"
Sonderforschungsbereich 373
1995-27, Humboldt Universitaet Berlin.
Other versions:- Dufour, J.M., 1995.
"Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration,"
Cahiers de recherche
9539, Universite de Montreal, Departement de sciences economiques.
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- Dufour, J.M., 1995.
"Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration,"
Cahiers de recherche
9539, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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"Strike Activity, Wage Settlements and Rationality,"
Levine's Working Paper Archive
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"Out of West Africa: Evidence on the Efficient Allocation of Resources within Farm Households,"
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0515, Harris School of Public Policy Studies, University of Chicago.
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"Nonlinear parametric regression analysis,"
Serie Research Memoranda
0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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- Oral CAPPS, 1993.
"Uses Of Supermarket Scan Data In Demand Analysis,"
Emerging Data Issues in Applied Food Demand Analysis;
s21693capp01, S216, Food Demand and Consumption Behavior Regional Committee.
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- Anyck Dauphin & Abdel-Rahmen El Lahga & Bernard Fortin & Guy Lacroix, 2008.
"Are Children Decision-Makers Within the Household?,"
Cahiers de recherche
0829, CIRPEE.
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Other versions: - Francisco J. Goerlich Gisbert, 1992.
"Un test alternativo de la hipótesis de sustitución intertemporal del trabajo,"
Investigaciones Economicas,
Fundación SEPI, vol. 16(2), pages 259-280, May.
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- James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004.
"Normalization in econometrics,"
Working Paper
2004-13, Federal Reserve Bank of Atlanta.
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Other versions: - Laura Crespo, 2005.
"Estimation And Testing Of Household Labour Supply Models: Evidence From Spain,"
Working Papers. Serie AD
2005-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008.
"Multivariate tests of asset pricing: Simulation evidence from an emerging market,"
Monash Econometrics and Business Statistics Working Papers
2/08, Monash University, Department of Econometrics and Business Statistics.
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- Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006.
"A Further Examination of the Expectations Hypothesis for the Term Structure,"
The School of Economics Discussion Paper Series
0611, Economics, The University of Manchester.
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Other versions: - Alessandra Canepa & Raymond O'Brien, 2000.
"The Size and Power of Bootstrap Tests for Linear Restrictions in Misspecified Cointegrating Relationships,"
Econometric Society World Congress 2000 Contributed Papers
1807, Econometric Society.
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- Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001.
"How Big is the Speculative Component in Australian Share Prices?,"
Economics Discussion / Working Papers
01-14, The University of Western Australia, Department of Economics.
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Other versions: - Eric Jondeau, 2001.
"La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?,"
Annales d'Economie et de Statistique,
ADRES, issue 62, pages 08, Avril-Jui.
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- Martin Browning & Pierre-André Chiappori & Arthur Lewbel, .
"Estimating Consumption Economies of Scale, Adult Equivalence Scales, and Household Bargaining Power,"
CAM Working Papers
2003-12, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, revised Dec 2003.
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Other versions:- Martin Browning & Pierre-Andre Chiappori & Arthur Lewbel, 2006.
"Estimating Consumption Economies of Scale, Adult Equivalence Scales, and Household Bargaining Power,"
Economics Series Working Papers
289, University of Oxford, Department of Economics.
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- Martin Browning & Pierre-AndrŽe Chiappori & Arthur Lewbel, 2004.
"Estimating Consumption Economies of Scale, Adult Equivalence Scales, and Household Bargaining Power,"
Boston College Working Papers in Economics
588, Boston College Department of Economics, revised 04 Sep 2006.
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- John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends,"
Cowles Foundation Discussion Papers
858, Cowles Foundation, Yale University.
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Other versions:- John Y. Campbell & Robert J. Shiller, 1989.
"Stock Prices, Earnings and Expected Dividends,"
NBER Working Papers
2511, National Bureau of Economic Research, Inc.
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- Campbell, J.Y. & Shiller, R.J., 1988.
"Stock Prices, Earnings And Expected Dividends,"
Papers
334, Princeton, Department of Economics - Econometric Research Program.
- Campbell, John Y & Shiller, Robert J, 1988.
" Stock Prices, Earnings, and Expected Dividends,"
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- Dastoor, Naorayex, 2009.
"The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?,"
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- Capps, Oral, 1993.
"Uses Of Supermarket Scan Data In Demand Analysis,"
Emerging Data Issues in Food Demand Analysis, Proceedings of the S216 Workshop, October 1993
11854, Regional Research Project S-278 Food Demand, Nutrition and Consumer Behavior.
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- Helen Popper, 1995.
"Term premia comovement in German, Japanese, and U.S. domestic markets,"
Open Economies Review,
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- Craig Burnside & Martin Eichenbaum, 1994.
"Small Sample Properties of Generalized Method of Moments Based Wald Tests,"
NBER Technical Working Papers
0155, National Bureau of Economic Research, Inc.
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Other versions: - Blix, Mårten, 1997.
"Rational Expectations in a VAR with Markov Switching,"
Seminar Papers
627, Stockholm University, Institute for International Economic Studies.
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- Samuel G. Berlinski, 2000.
"Contracting-out and the Interindustry Wage Structure: Do Norms of Internal Equity Matter in Wage Determination?,"
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1053, Econometric Society.
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"A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis,"
Economics Bulletin,
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- Joel L. Horowitz, 1996.
"Bootstrap Methods in Econometrics: Theory and Numerical Performance,"
Econometrics
9602009, EconWPA, revised 05 Mar 1996.
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- Bredin, Don & Cuthbertson, Keith, 2000.
"Risk Premia and Long Rates in Ireland,"
Research Technical Papers
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"Estimation of weights for the Monetary Conditions Index in Poland,"
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27, Department of Applied Econometrics, Warsaw School of Economics.
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- John Y. Campbell & Robert J. Shiller, 1988.
"Cointegration and Tests of Present Value Models,"
NBER Working Papers
1885, National Bureau of Economic Research, Inc.
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Other versions:- Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models,"
Journal of Political Economy,
University of Chicago Press, vol. 95(5), pages 1062-88, October.
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- John Y. Campbell & Robert J. Shiller, 1986.
"Cointegration and Tests of Present Value Models,"
Cowles Foundation Discussion Papers
785, Cowles Foundation, Yale University.
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- Michel Normandin, 1994.
"Budget Deficit Persistence and the Twin Deficits Hypothesis,"
Cahiers de recherche CREFE / CREFE Working Papers
31, CREFE, Université du Québec à Montréal.
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Other versions:- Michel Normandin, 1996.
"Budget Deficit Persistence and the Twin Deficits Hypothesis,"
Macroeconomics
9607001, EconWPA.
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- Normandin, Michel, 1999.
"Budget deficit persistence and the twin deficits hypothesis,"
Journal of International Economics,
Elsevier, vol. 49(1), pages 171-193, October.
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- Gregory, Allan W. & McCurdy, Thomas H., 1984.
"Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis,"
Journal of International Money and Finance,
Elsevier, vol. 3(3), pages 357-368, December.
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Cited by:
- HeeJoon Kang, 1992.
"Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation,"
Open Economies Review,
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- Thomas Chiang & Thomas Hindelang, 1988.
"Forward rate, spot rate and risk premium: An empirical analysis,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 124(1), pages 74-88, March.
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- Geert Bekaert & Robert J. Hodrick, 1991.
"On Biases in the Measurement of Foreign Exchange Risk Premiums,"
NBER Working Papers
3861, National Bureau of Economic Research, Inc.
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Other versions: - E. Levy & A.R. Nobay, 1988.
"On Evaluating Speculative Efficiency in Forward Markets,"
University of California at Los Angeles, Anderson Graduate School of Management
1191, Anderson Graduate School of Management, UCLA.
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- Lars Hörngren & Anders Vredin, 1989.
"Exchange risk premia in a currency basket system,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 125(2), pages 311-325, June.
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- Kenneth A. Froot & Jeffrey A. Frankel, 1989.
"Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations,"
NBER Working Papers
1963, National Bureau of Economic Research, Inc.
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- Takatoshi Ito, 1989.
"Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity,"
NBER Working Papers
1493, National Bureau of Economic Research, Inc.
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Other versions: - Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006.
"The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp123, IIIS.
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- Allan W. Gregory & Michael McAleer, 1983.
"Testing Non-Nested Specifications of Money Demand for Canada,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 16(4), pages 593-602, November.
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Cited by:
- Alston, Julian M. & Chalfant, James A., 1987.
"Weak Separability And A Test For The Specification Of Income In Demand Models With An Application To The Demand For Meat In Australia,"
Australian Journal of Agricultural Economics,
Australian Agricultural and Resource Economics Society, vol. 31(01), April.
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- Allan W. Gregory & James G. Mackinnon, 1980.
"Where's My Cheque? A Note on Postal Strikes and the Demand for Money in Canada,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 13(4), pages 683-87, November.
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Cited by:
- Robert E. Lucas, Jr., 1983.
"Financial Innovation and the Control of Monetary Aggregates: Some Evidence from Canada,"
NBER Working Papers
1157, National Bureau of Economic Research, Inc.
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- Alberto Giovannini & Bart Turtelboom, 1992.
"Currency Substitution,"
NBER Working Papers
4232, National Bureau of Economic Research, Inc.
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