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Citations of
Atsushi Inoue

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Inoue, Atsushi & Rossi, Barbara, 2008. "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers 08-02, Duke University, Department of Economics. [Downloadable!]

    Cited by:

    1. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research. [Downloadable!]
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  2. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics. [Downloadable!]
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    Cited by:

    1. Karel Mertens & Morten O. Ravn, 2008. "The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence," Economics Working Papers ECO2008/05, European University Institute. [Downloadable!]
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    2. Anna Kormilitsina, 2009. "Oil Price Shocks and the Optimality of Monetary Policy," Departmental Working Papers 0901, Southern Methodist University, Department of Economics. [Downloadable!]
    3. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 215-232. [Downloadable!]
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    4. Ravn, Morten O. & Schmitt-Grohé, Stephanie & Uribe, Martín & Uusküla, Lenno, 2009. "Deep Habits and the Dynamic Effects of Monetary Policy Shocks," CEPR Discussion Papers 7128, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    5. Jean-Pierre Danthine & André Kurmann, 2007. "The Business Cycle Implications of Reciprocity in Labor Relations," Cahiers de recherche 0743, CIRPEE. [Downloadable!]
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    6. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Working Papers 07-56, Bank of Canada. [Downloadable!]
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    7. Rochelle M. Edge & Thomas Laubach & John C. Williams, 3008. "Welfare-Maximizing Monetary Policy Under Parameter Uncertainty," CAMA Working Papers 2008-16, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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    8. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    9. 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!]
    10. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The Univeristy of Manchester. [Downloadable!]
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    11. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  3. Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data," CEPR Discussion Papers 5790, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Fabio Canova & Luca Gambetti, 2007. "Do expectations matter? The Great Moderation revisited," Economics Working Papers 1084, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2009. [Downloadable!]

  4. Inoue, Atsushi & Rossi, Barbara, 2005. "Monitoring and Forecasting Currency Crises," Working Papers 05-02, Duke University, Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Andrea Cipollini & George Kapetanios, 2008. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Center for Economic Research (RECent) 014, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
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  5. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  6. Alastair R. Hall & Atsushi Inoue, 2005. "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics 0505002, EconWPA. [Downloadable!]
    Published as:

    Cited by:

    1. Alastair R. Hall & Denis Pelletier, 2007. "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series 011, North Carolina State University, Department of Economics, revised Mar 2007. [Downloadable!]
    2. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models," Micro Theory Working Papers vadim_marmer-2008-13, Microeconomics.ca Website, revised 21 Aug 2009. [Downloadable!]
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    3. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society. [Downloadable!]
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    4. George Hall & John Rust, 2002. "Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market," NBER Technical Working Papers 0278, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics. [Downloadable!]
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    6. Jondeau, E. & Le Bihan, H., 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Documents de Travail 103, Banque de France. [Downloadable!]
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    7. Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series 2005-13, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    8. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," Working Paper 2006-10, Federal Reserve Bank of Atlanta. [Downloadable!]
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    9. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," Working Paper 2009-11, Federal Reserve Bank of Atlanta. [Downloadable!]
    10. 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!]
    11. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Papers 212, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
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    13. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper 2007-04, Federal Reserve Bank of Atlanta. [Downloadable!]
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    14. Jan F. Kiviet & Jerzy Niemczyk, 2006. "The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations," Tinbergen Institute Discussion Papers 06-078/4, Tinbergen Institute. [Downloadable!]
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    15. Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics. [Downloadable!]
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  7. Atsushi Inoue & Gary Solon, 2005. "Two-Sample Instrumental Variables Estimators," NBER Technical Working Papers 0311, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Cheti Nicoletti & John F. Ermisch, 2008. "Intergenerational Earnings Mobility: Changes across Cohorts in Britain," The B.E. Journal of Economic Analysis & Policy, Berkeley Electronic Press, vol. 7(2). [Downloadable!]
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    2. Sauro Mocetti, 2007. "Intergenerational Earnings Mobility in Italy," The B.E. Journal of Economic Analysis & Policy, Berkeley Electronic Press, vol. 7(2). [Downloadable!]
    3. Devereux, Paul & Hart, Robert A., 2008. "Forced to Be Rich? Returns to Compulsory Schooling in Britain," IZA Discussion Papers 3305, Institute for the Study of Labor (IZA). [Downloadable!]
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    4. Artem Prokhorov & Peter Schmidt, 2008. "GMM Redundancy Results for General Missing Data Problems," Working Papers 08003, Concordia University, Department of Economics. [Downloadable!]
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    5. Douglas Almond & Joseph J. Doyle, Jr. & Amanda E. Kowalski & Heidi Williams, 2008. "Estimating Marginal Returns to Medical Care: Evidence from At-Risk Newborns," NBER Working Papers 14522, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Christopher E. Dunn, 2007. "The Intergenerational Transmission of Lifetime Earnings: Evidence from Brazil," The B.E. Journal of Economic Analysis & Policy, Berkeley Electronic Press, vol. 7(2). [Downloadable!]

  8. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers 4333, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Cited by:

    1. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
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  9. Rossi, Barbara & Inoue, Atsushi, 2003. "Recursive Predictability Tests for Real-Time Data," Working Papers 03-24, Duke University, Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Fanelli, Luca, 2008. "Evaluating the New Keynesian Phillips Curve under VAR-Based Learning," Economics Discussion Papers 2008-15, Kiel Institute for the World Economy. [Downloadable!]
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    2. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
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    3. Fanelli, Luca, 2008. "Evaluating New Keynesian Phillips Curve under VAR-Based Learning," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(33), pages 1-24. [Downloadable!]
    4. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics. [Downloadable!]
    5. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City. [Downloadable!]
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    6. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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    7. Tatevik Sekhposyan & Barbara Rossi, 2008. "Has models’ forecasting performance for US output growth and inflation changed over time, and when?," Working Papers 09-02, Duke University, Department of Economics. [Downloadable!]
    8. Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand. [Downloadable!]
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    9. Stanislav Anatolyev & Grigory Kosenok, 2009. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    10. Tatevik Sekhposyan & Barbara Rossi, 2009. "Has Economic Models’ Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?," Working Papers 09-06, Duke University, Department of Economics. [Downloadable!]

  10. Lutz Kilian & Atsushi Inoue, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank. [Downloadable!]
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    Cited by:

    1. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics. [Downloadable!]
    2. Kerstin Gerling & Hans Peter Grüner & Alexandra Kiel & Elisabeth Schulte, 2003. "Information acquisition and decision making in committees: A survey," Working Paper Series 256, European Central Bank. [Downloadable!]
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    3. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    4. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    5. Thorsten V. Köppl, 2004. "Risk sharing through financial markets with endogenous enforcement of trades," Working Paper Series 319, European Central Bank. [Downloadable!]
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    6. Christopher Bowdler & Eilev S. Jansen, 2004. "A mark-up model of inflation for the euro area," Working Paper Series 306, European Central Bank. [Downloadable!]
    7. Kirstin Hubrich & Kenneth D. West, 2008. "Forecast Evaluation of Small Nested Model Sets," NBER Working Papers 14601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    8. Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do actions speak louder than words? Household expectations of inflation based on micro consumption data," Discussion Paper Series 1: Economic Studies 2006,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    9. Edith Skriner, . "Forecasting Global Flows," FIW Working Paper series 009, FIW. [Downloadable!]
    10. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis. [Downloadable!]
    11. Lutz Kilian & Atsushi Inoue, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank. [Downloadable!]
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    12. Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies. [Downloadable!]
    13. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series 1057, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
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    14. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, 03. [Downloadable!] (restricted)
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    15. Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
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    16. Ralph Süppel, 2003. "Comparing economic dynamics in the EU and CEE accession countries," Working Paper Series 267, European Central Bank. [Downloadable!]
    17. Lutz Kilian & Simone Manganelli, 2003. "The Central Bank as a risk manager: quantifying and forecasting fnflation risks," Working Paper Series 226, European Central Bank. [Downloadable!]
    18. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich. [Downloadable!]
    19. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
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    20. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics. [Downloadable!]
    21. Claus Brand & Hans-Eggert Reimers & Franz Seitz, 2003. "Forecasting real GDP: What role for narrow money?," Working Paper Series 254, European Central Bank. [Downloadable!]
    22. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," International Finance 0503006, EconWPA. [Downloadable!]
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    23. Lutz Kilian & Atsushi Inoue, 2002. "In-Sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series 195, European Central Bank. [Downloadable!]
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    24. William A. Barnett, 2003. "Aggregation-theoretic monetary aggregation over the Euro area; when countries are heterogeneous," Working Paper Series 260, European Central Bank. [Downloadable!]
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    25. Alessandro Calza & João Sousa, 2003. "Why has broad money demand been more stable in the Euro area than in other economies? A literature review," Working Paper Series 261, European Central Bank. [Downloadable!]
    26. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank. [Downloadable!]
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    27. Marco Catenaro & Jean-Pierre Vidal, 2003. "Implicit tax co-ordination under repeated policy interactions," Working Paper Series 259, European Central Bank. [Downloadable!]
    28. Tatevik Sekhposyan & Barbara Rossi, 2008. "Has models’ forecasting performance for US output growth and inflation changed over time, and when?," Working Papers 09-02, Duke University, Department of Economics. [Downloadable!]
    29. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City. [Downloadable!]
    30. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, EconWPA. [Downloadable!]
    31. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department. [Downloadable!]
    32. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City. [Downloadable!]
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    33. Annick Bruggeman & Paola Donati & Anders Warne, 2003. "Is the demand for Euro area M3 stable?," Working Paper Series 255, European Central Bank. [Downloadable!]
    34. Katharina Hampel & Marcus Kunz & Norbert Schanne & Ruediger Wapler & Antje Weyh, 2006. "Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation," ERSA conference papers ersa06p196, European Regional Science Association. [Downloadable!]
    35. Paul D. McNelis & Salih N. Neftci, 2006. "Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?," Working Papers 012006, Hong Kong Institute for Monetary Research. [Downloadable!]
    36. Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    37. Catherine Fuss & Philip Vermeulen, 2004. "Firms’ investment decisions in response to demand and price uncertainty," Working Paper Series 347, European Central Bank. [Downloadable!]
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    38. Rómulo Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Working Papers Central Bank of Chile 260, Central Bank of Chile. [Downloadable!]
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    39. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society. [Downloadable!]
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    40. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
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  11. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Cited by:

    1. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis. [Downloadable!]
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    2. Roberto Golinelli & Giuseppe Parigi, 2003. "What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries," Temi di discussione (Economic working papers) 484, Bank of Italy, Economic Research Department. [Downloadable!]
    3. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
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    4. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority. [Downloadable!]
    5. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    6. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    7. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers 11468, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    8. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    9. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Javier J. Pérez, 2005. "Early-warning tools to forecast general government deficit in the euro area: the role of intra-annual fiscal indicators," Working Paper Series 497, European Central Bank. [Downloadable!]
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    11. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society. [Downloadable!]
    12. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Paper 0705, Federal Reserve Bank of Cleveland. [Downloadable!]
    13. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics. [Downloadable!]
    14. Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series 1033, Department of Economics, UC Santa Cruz. [Downloadable!]
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    15. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004 112, Society for Computational Economics. [Downloadable!]
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    16. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
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    17. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City. [Downloadable!]
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    18. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11, University of Washington, Department of Economics. [Downloadable!]
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    19. Ansgar Belke & Wim Kösters & Martin Leschke & Thorsten Polleit, 2005. "Back to the rules," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 268/2005, Department of Economics, University of Hohenheim, Germany. [Downloadable!]
    20. Ramdane Djoudad & Jack Selody & Carolyn Wilkins, 2005. "Does Financial Structure Matter for the Information Content of Financial Indicators?," Working Papers 05-33, Bank of Canada. [Downloadable!]
    21. Andreas Billmeier, 2004. "Ghostbusting: Which Output Gap Measure Really Matters?," IMF Working Papers 04/146, International Monetary Fund. [Downloadable!]
    22. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile. [Downloadable!]
    23. Junsoo Lee & John A. List & Mark Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers 11487, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    24. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Lucas W. Davis & Lutz Kilian, 2008. "The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas," NBER Working Papers 14030, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City. [Downloadable!]
    27. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
    28. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics. [Downloadable!]
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    29. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy. [Downloadable!]
      Other versions:
    30. Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    31. Ana María Abarca & Felipe Alarcón & Pablo Pincheira & Jorge Selaive, 2007. "Chilean Nominal Exchange Rate: Forecasting Based Upon Technical Analysis," Working Papers Central Bank of Chile 425, Central Bank of Chile. [Downloadable!]
    32. Todd E. Clark & Michael W. McCracken, 2003. "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper RWP 03-06, Federal Reserve Bank of Kansas City. [Downloadable!]
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    33. Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    34. Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    35. Doyle, Matthew, 2006. "Empirical Phillips Curves in OECD Countries: Has There Been A Common Breakdown?," Staff General Research Papers 12684, Iowa State University, Department of Economics. [Downloadable!]
    36. Thomas Fullerton & Roberto Tinajero & Martha Barraza de Anda, 2006. "Short-Term Water Consumption Patterns in Ciudad Juárez, Mexico," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(4), pages 467-479, December. [Downloadable!] (restricted)
    37. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group. [Downloadable!]
    38. Guy Meredith, 2003. "Medium-Term Exchange Rate Forecasting: What Can We Expect?," IMF Working Papers 03/21, International Monetary Fund. [Downloadable!]

  12. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO. [Downloadable!]
    Published as:

    Cited by:

    1. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    2. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
      Other versions:
    3. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    4. Kerkhof, J. & Melenberg, B., 2002. "Backtesting for risk-based regulatory capital," Discussion Paper 110, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    5. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO. [Downloadable!]
    6. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    7. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research Department. [Downloadable!]
    8. Kerkhof, J. & Melenberg, B. & Schumacher, H., 2003. "Testing expected shortfall models for derivative positions," Discussion Paper 24, Tilburg University, Center for Economic Research. [Downloadable!]
    9. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics. [Downloadable!]
      Other versions:
    10. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge. [Downloadable!]
    11. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
    12. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    13. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]

  13. Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Working Papers 0129, Department of Economics, Vanderbilt University, revised Aug 2003. [Downloadable!]
    Published as:

    Cited by:

    1. W. Härdle & J. Horowitz & J.-P. Kreiss, . "Bootstrap Methods For Time Series," Sonderforschungsbereich 373 2001-59, Humboldt Universitaet Berlin.
    2. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    3. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Silvia Goncalves & Halbert White, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series 2000-32R, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    5. Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation, Yale University. [Downloadable!]
    6. 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. [Downloadable!]
    7. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    8. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    9. Zisimos Koustas & Jean-Francois Lamarche, 2009. "Comment on ``Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom''," Working Papers 0903, Brock University, Department of Economics, revised Apr 2009. [Downloadable!]
    10. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Papers 08-18, Bank of Canada. [Downloadable!]
      Other versions:
    11. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    12. Diana N. Weymark & Mototsugu Shintani, 2006. "Quantifying Inflation Pressure and Monetary Policy Response in the United States," Levine's Bibliography 321307000000000321, UCLA Department of Economics. [Downloadable!]
    13. Valentina Corradi & Norman R. Swanson, 2003. "Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data," Departmental Working Papers 200320, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    14. Diana N. Weymark & Mototsugu Shintani, 2004. "Measuring Inflation Pressure and Monetary Policy Response: A General Approach Applied to US Data 1966 - 2001," Working Papers 0424, Department of Economics, Vanderbilt University. [Downloadable!]
    15. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO. [Downloadable!]
    16. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society. [Downloadable!]
      Other versions:
    17. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:

  14. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    2. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer, vol. 33(4), pages 364-375, October. [Downloadable!] (restricted)
    3. Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The Univeristy of Manchester. [Downloadable!]
    4. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008. "Nonlinearity and Temporal Dependence," Working Papers 48, Yale University, Department of Economics. [Downloadable!]
      Other versions:
    5. Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    6. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October. [Downloadable!] (restricted)
    7. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Ibmec São Paulo. [Downloadable!]
      Other versions:
    8. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    9. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics. [Downloadable!]
    10. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
    11. Smith, Aaron, 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. [Downloadable!]
      Other versions:
    12. Luis Gil-Alana & Rolando Peláez, 2008. "The persistence of earnings per share," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 425-439, November. [Downloadable!] (restricted)
      Other versions:
    13. Patrick Minford & David Peel, 2007. "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," Open Economies Review, Springer, vol. 18(1), pages 119-125, February. [Downloadable!] (restricted)
      Other versions:
    14. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    15. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    16. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    17. John W. Dawson & John J. Seater, 2005. "The Macroeconomic Effects of Federal Regulation," Working Papers 05-02, Department of Economics, Appalachian State University. [Downloadable!]
    18. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
      Other versions:
    19. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24. [Downloadable!]
    20. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
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    21. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "The Stochastic Unit Root Model And Fractional Integration: An Extension To The Seasonal Case," Public Policy Discussion Papers 04-15, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    22. John Geweke & Gianni Amisano, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank. [Downloadable!]
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    23. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor and Francis Journals, vol. 39(2), pages 229-244, February. [Downloadable!] (restricted)
    24. Mstislav Elagin, 2008. "Locally adaptive estimation methods with application to univariate time series," Quantitative Finance Papers 0812.0449, arXiv.org. [Downloadable!]
    25. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
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    26. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society. [Downloadable!]
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    27. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    28. Claudio Morana & Andrea Beltratti, 2006. "Structural breaks and common factors in the volatility of the Fama--French factor portfolios," Applied Financial Economics, Taylor and Francis Journals, vol. 16(14), pages 1059-1073, October. [Downloadable!] (restricted)
    29. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t ," Computational Economics, Springer, vol. 31(3), pages 225-241, April. [Downloadable!] (restricted)
    30. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
    31. Juncal Cuñado & Luis A. Gil-Alaña, . "Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models," Faculty Working Papers 02/07, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    32. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    33. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    34. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Economics and Finance Discussion Papers 04-16, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    35. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics. [Downloadable!]
    36. Gilles Dufrénot & Valérie Mignon & Théo Naccache, . "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT. [Downloadable!]
    37. Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper 07-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    38. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
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    39. Willert, Juliane, 2009. "Mean Shift detection under long-range dependencies with ART," MPRA Paper 17874, University Library of Munich, Germany. [Downloadable!]
    40. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    41. John W. Dawson & John J. Seater, 2009. "Federal Regulation and Aggregate Economic Growth," Working Papers 09-02, Department of Economics, Appalachian State University. [Downloadable!]
    42. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90. [Downloadable!]
    43. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen. [Downloadable!]
    44. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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    45. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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    46. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    47. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
      • Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    48. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Quantitative Finance Papers 0808.1538, arXiv.org. [Downloadable!]
    49. Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    50. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics. [Downloadable!]
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    51. Aaron D. Smallwood & Stefan C. Norrbin, 2004. "Estimating cointegrating vectors using near unit root variables," Applied Economics Letters, Taylor and Francis Journals, vol. 11(12), pages 781-784, October. [Downloadable!] (restricted)
    52. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research. [Downloadable!]
    53. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics. [Downloadable!]
    54. Alfarano, Simone & Lux, Thomas, 2005. "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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    55. Helena Veiga, 2006. "Are Feedback Factors Important In Modelling Financial Data?," Statistics and Econometrics Working Papers ws060101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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    56. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2006,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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    57. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(4), pages 461-471, December. [Downloadable!] (restricted)
    58. Taner Yigit, 2007. "Inflation Targeting : An Indirect Approach to Assess the Direct Impact," Departmental Working Papers 0706, Bilkent University, Department of Economics. [Downloadable!]
    59. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    60. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    61. Wei Liu & Alex S. Maynard, 2007. "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1). [Downloadable!]
    62. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics. [Downloadable!]
    63. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    64. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists. [Downloadable!]
    65. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy. [Downloadable!]
    66. Luis Alberiko Gil-Alana, . "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    67. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series /2004/476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    68. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    69. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269_v1, HAL. [Downloadable!]
    70. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-410, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    71. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany. [Downloadable!]
    72. Taner Yigit, 2002. "Effects of Moments on Aggregation and Long Memory in Inflation," Departmental Working Papers 0210, Bilkent University, Department of Economics. [Downloadable!]
      Other versions:
    73. Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers UWEC-2008-20, University of Washington, Department of Economics. [Downloadable!]
    74. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    75. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research. [Downloadable!]
    76. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    77. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," Econometrics 0307001, EconWPA, revised 23 Jul 2003. [Downloadable!]
    78. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus. [Downloadable!]
    79. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]
    80. Les Oxley & Chris Price & William Rea & Marco Reale, 2008. "A New Procedure to Test for H Self-Similarity," Working Papers in Economics 08/16, University of Canterbury, Department of Economics. [Downloadable!]
    81. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    82. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    83. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    84. Tapas K. Mishra, 2006. "A Further Look into the Demography-based GDP Forecasting Method," Working Papers of BETA 2006-17, Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg. [Downloadable!]
    85. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research. [Downloadable!]
    86. N. Hyung & P.F. Franses, 2002. "Inflation rates," Econometric Institute Report 261, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    87. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 601-616. [Downloadable!]
    88. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007. "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers 2007-29, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    89. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics. [Downloadable!]
      Other versions:
    90. Bond, Derek & Dyson, Kenneth, 2006. "Long memory and non-linearity in Stock Markets," MPRA Paper 252, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    91. Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    92. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics. [Downloadable!]
    93. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    94. Rehim Kiliç, 2007. "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(3). [Downloadable!]
    95. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor and Francis Journals, vol. 17(2), pages 95-116, April. [Downloadable!] (restricted)
    96. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    97. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    98. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics. [Downloadable!]
    99. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]
    100. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610_v1, HAL. [Downloadable!]
    101. Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute. [Downloadable!]
    102. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    103. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]

  15. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society. [Downloadable!]
    Published as:

    Cited by:

    1. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    2. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
      Other versions:
    3. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO. [Downloadable!]
      Other versions:
    4. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria. [Downloadable!]
    5. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    6. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," NBER Working Papers 11706, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2004. "Measuring Half-Lives Using A Non-Parametric Bootstrap Approach," Public Policy Discussion Papers 04-13, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    9. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    10. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
      Other versions:
    11. Park, Joon, 2003. "A Bootstrap Theory for Weakly Integrated Processes," Working Papers 2003-16, Rice University, Department of Economics. [Downloadable!]
    12. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    13. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta. [Downloadable!]
    14. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series 2003-07, University of Cincinnati, Department of Economics. [Downloadable!]
      Other versions:
    15. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
    16. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
    17. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    18. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    19. Ruxandra Prodan, 2004. "Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity," Econometric Society 2004 North American Summer Meetings 90, Econometric Society. [Downloadable!]
    20. Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society. [Downloadable!]
      Other versions:
    21. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society. [Downloadable!]
      Other versions:

  16. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 1999. "Testing, Comparing, and Combining Value at Risk Measures," Center for Financial Institutions Working Papers 99-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

    Cited by:

    1. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
    2. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany. [Downloadable!]
    3. Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]

  17. Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann, 1997. "Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think," Center for Financial Institutions Working Papers 97-34, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

    Cited by:

    1. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    2. J. Q. Smith & António Santos, 2003. "Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outlier," GEMF Working Papers 2003-03, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
      Other versions:
    3. Peter F. Christoffersen & Francis X. Diebold, 1997. "How Relevant is Volatility Forecasting for Financial Risk Management?," Center for Financial Institutions Working Papers 97-45, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    4. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," CFS Working Paper Series 2005/02, Center for Financial Studies. [Downloadable!]
      Other versions:
    5. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    6. Amy S. K. Wong, 2006. "Basel II and the Risk Management of Basket Options with Time-Varying Correlations," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
    7. Odening, Martin & Hinrichs, Jan, 2002. "Assessment Of Market Risk In Hog Production Using Value-At-Risk And Extreme Value Theory," 2002 Annual meeting, July 28-31, Long Beach, CA 19907, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    8. Mark R. Manfredo & Raymond M. Leuthold, 1998. "Agricultural Applications of Value-at-Risk Analysis: A Perspective," Finance 9805002, EconWPA. [Downloadable!]

Articles

  1. Atsushi Inoue & Lutz Kilian & Fatma Burcu Kiraz, 2009. "Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1331-1363, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Atsushi Inoue & Barbara Rossi, 2008. "Monitoring and Forecasting Currency Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 523-534, 03. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Hall, Alastair R. & Inoue, Atsushi & Jana, Kalidas & Shin, Changmock, 2007. "Information in generalized method of moments estimation and entropy-based moment selection," Journal of Econometrics, Elsevier, vol. 138(2), pages 488-512, June. [Downloadable!] (restricted)

    Cited by:

    1. Rolf Scheufele, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10-08, Halle Institute for Economic Research. [Downloadable!]
    2. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics. [Downloadable!]
      Other versions:
    3. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers 6031, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  4. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Atsushi Inoue, 2006. "A bootstrap approach to moment selection," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 48-75, 03. [Downloadable!] (restricted)

    Cited by:

    1. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers 0302, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  6. Inoue, Atsushi & Shintani, Mototsugu, 2006. "Bootstrapping GMM estimators for time series," Journal of Econometrics, Elsevier, vol. 133(2), pages 531-555, August. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Inoue, Atsushi & Rossi, Barbara, 2005. "Recursive Predictability Tests for Real-Time Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 336-345, July. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. Hall, Alastair R. & Inoue, Atsushi & Peixe, Fernanda P.M., 2003. "Covariance Matrix Estimation And The Limiting Behavior Of The Overidentifying Restrictions Test In The Presence Of Neglected Structural Instability," Econometric Theory, Cambridge University Press, vol. 19(06), pages 962-983, December. [Downloadable!]

    Cited by:

    1. Alastair R. Hall & Sanggohn Han & Otilia Boldea, 2009. "Inference regarding multiple structural changes in linear models with endogenous regressors," Centre for Growth and Business Cycle Research Discussion Paper Series 125, Economics, The Univeristy of Manchester. [Downloadable!]

  10. Inoue, Atsushi & Kilian, Lutz, 2003. "The Continuity Of The Limit Distribution In The Parameter Of Interest Is Not Essential For The Validity Of The Bootstrap," Econometric Theory, Cambridge University Press, vol. 19(06), pages 944-961, December. [Downloadable!]

    Cited by:

    1. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO. [Downloadable!]
      Other versions:
    2. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:

  11. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 309-332, May. [Downloadable!] (restricted)

    Cited by:

    1. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    2. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    3. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
      Other versions:
    4. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    5. Luca Sala, 2004. "The Fiscal Theory of the Price Level: Identifying Restrictions and Empirical Evidence," Working Papers 257, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]

  12. Inoue, Atsushi, 2002. "Identifying the sign of the slope of a monotonic function via OLS," Economics Letters, Elsevier, vol. 75(3), pages 419-424, May. [Downloadable!] (restricted)

    Cited by:

    1. Vukina, Tomislav & Levy, Armando & Marra, Michele, 2006. "Do Farmers Value The Environment? Evidence from the Conservation Reserve Program Auctions," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25233, International Association of Agricultural Economists. [Downloadable!]

  13. Jinyong Hahn & Atsushi Inoue, 2002. "A Monte Carlo Comparison Of Various Asymptotic Approximations To The Distribution Of Instrumental Variables Estimators," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 309-336. [Downloadable!] (restricted)

    Cited by:

    1. Alastair R. Hall & Sanggohn Han & Otilia Boldea, 2009. "Inference regarding multiple structural changes in linear models with endogenous regressors," Centre for Growth and Business Cycle Research Discussion Paper Series 125, Economics, The Univeristy of Manchester. [Downloadable!]
    2. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper 9472, University Library of Munich, Germany. [Downloadable!]
    3. Paul A. Bekker & Jan van der Ploeg, 2000. "Instrumental Variable Estimation Based on Grouped Data," Econometric Society World Congress 2000 Contributed Papers 1862, Econometric Society. [Downloadable!]
    4. John Chao & Norman R. Swanson, 2003. "Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction," Cowles Foundation Discussion Papers 1418, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    5. Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    6. John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    7. Christian Hansen & Jerry Hausman & Whitney Newey, 2006. "Estimation with many instrumental variables," CeMMAP working papers CWP19/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    8. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper 9251, University Library of Munich, Germany, revised 20 Jun 2008. [Downloadable!]
    9. Jan F. Kiviet & Jerzy Niemczyk, 2006. "The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations," Tinbergen Institute Discussion Papers 06-078/4, Tinbergen Institute. [Downloadable!]
      Other versions:

  14. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  16. Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001. "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 325-342, July. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. Inoue, Atsushi, 2001. "Testing For Distributional Change In Time Series," Econometric Theory, Cambridge University Press, vol. 17(01), pages 156-187, February. [Downloadable!]

    Cited by:

    1. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    2. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    3. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO. [Downloadable!]
    4. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    5. Liangjun Su & Halbert White, 2004. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series 2003-14, Department of Economics, UC San Diego. [Downloadable!]
    6. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:

  18. Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June. [Downloadable!] (restricted)

    Cited by:

    1. 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!]
    2. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society. [Downloadable!]
    3. Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    4. Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series CIRJE-F-319, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    5. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
      Other versions:
    6. Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler, 2000. "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Econometric Society World Congress 2000 Contributed Papers 0364, Econometric Society. [Downloadable!]
      Other versions:
    7. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
      Other versions:
    8. H. Lütkepohl & P. Saikkonen & C. Trenkler, . "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Sonderforschungsbereich 373 2001-63, Humboldt Universitaet Berlin.
      Other versions:
    9. Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers ECO2004/21, European University Institute. [Downloadable!]
    10. Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 407-424, April. [Downloadable!] (restricted)
    11. Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo, 2002. "US dollar/Euro exchange rate: a monthly econometric model for forecasting," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 480-501, December. [Downloadable!] (restricted)
    12. Marco Gallegati, 2005. "Financial constraints and the balance sheet channel: a re-interpretation," Applied Economics, Taylor and Francis Journals, vol. 37(16), pages 1925-1933, September. [Downloadable!] (restricted)
      Other versions:
    13. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics. [Downloadable!]
      Other versions:
    14. Reza Anglingkusumo, 2005. "Stability of the Demand for Real Narrow Money in lndonesia," Tinbergen Institute Discussion Papers 05-051/4, Tinbergen Institute. [Downloadable!]

  19. Koehler, Anne & Diebold, Francis X. & Giogianni, Lorenzo & Inoue, Atsushi, 1996. "Software review," International Journal of Forecasting, Elsevier, vol. 12(2), pages 309-315, June. [Downloadable!] (restricted)

    Cited by:

    1. Julie Tam & Heather Kirkham, 2000. "Automatic Fiscal Stabilisers: Implications for New Zealand," Treasury Working Paper Series 01/10, New Zealand Treasury, revised 2001. [Downloadable!]

  20. Yabushita Shiro & Inoue Atsushi, 1993. "The Stability of the Japanese Banking System: A Historical Perspective," Journal of the Japanese and International Economies, Elsevier, vol. 7(4), pages 387-407, December. [Downloadable!] (restricted)

    Cited by:

    1. Tetsuji Okazaki & Michiru Sawada, 2006. "Effects of a bank consolidation promotion policy: Evaluating Bank Law in 1927 Japan," CIRJE F-Series CIRJE-F-400, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2009-12-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.