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Citations of
Alastair Hall

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

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Working papers

  1. 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!]

    Cited by:

    1. 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!]

  2. 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!]

    Cited by:

    1. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models," Cowles Foundation Discussion Papers 1724, Cowles Foundation, Yale University. [Downloadable!]
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    2. 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!]

  3. 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. 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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    6. 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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    7. 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!]
    8. 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!]
    9. Jean-Pierre DANTHINE & André KURMANN, 2007. "The Business Cycle Implications of Reciprocity in Labor Relations," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 07.12, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
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    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!]
    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)

  4. 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!]
      Other versions:
    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!]
      Other versions:
    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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  5. Alastair Hall & Fernanda P. M. Peixe, 2000. "A Consistent Method for the Selection of Relevant Instruments," Econometric Society World Congress 2000 Contributed Papers 0790, Econometric Society. [Downloadable!]

    Cited by:

    1. Timo Mitze, 2009. "Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or not IV?," Ruhr Economic Papers 0083, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    2. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
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    3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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    4. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
      Other versions:
    5. 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!]
      Other versions:
    6. 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:
    7. John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics. [Downloadable!]
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    8. Sambit Bhattacharyya, 2008. "Root Causes of African Underdevelopment," Departmental Working Papers 2008-16, Australian National University, Economics RSPAS. [Downloadable!]
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    9. Nikolaj Malchow-Møller & Jakob Roland Munch & Jan Rose Skaksen, 2007. "Do Immigrants Affect Firm-Specific Wages?," IZA Discussion Papers 3264, Institute for the Study of Labor (IZA). [Downloadable!]
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    10. Gorodnichenko, Yuriy & Svejnar, Jan & Terrell, Katherine, 2008. "Globalization and Innovation in Emerging Markets," IZA Discussion Papers 3299, Institute for the Study of Labor (IZA). [Downloadable!]
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    11. Weshah A. Razzak, 2003. "Wage-Price Dynamics, the Labour Market and Deflation in Hong Kong," Working Papers 242003, Hong Kong Institute for Monetary Research. [Downloadable!]
    12. Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, vol. 30(4), pages 1007-1033, January. [Downloadable!] (restricted)
    13. Jakob Roland Munch & Jan Rose Skaksen, 2006. "Human Capital and Wages in Exporting Firms," IZA Discussion Papers 2409, Institute for the Study of Labor (IZA). [Downloadable!]
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    14. Jakob Munch & Jan Skaksen, 2009. "Specialization, outsourcing and wages," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(1), pages 57-73, April. [Downloadable!] (restricted)
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    15. Mari Rege, Kjetil Telle and Mark Votruba, 2007. "Social Interaction Effects in Disability Pension Participation. Evidence from Plant Downsizing," Discussion Papers 496, Research Department of Statistics Norway. [Downloadable!]
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    16. Fragkiskos Filippaios & Constantina Kottaridi, 2008. "Complements or Substitutes? New Theoretical Considerations and Empirical Evidence on the Imports and FDI Relationship," Working Papers 0026, University of Peloponnese, Department of Economics. [Downloadable!]
    17. Alastair R. Hall, Fernanda P. M. Peixe, 2000. "Data mining and the selection of instruments," Journal of Economic Methodology, Taylor and Francis Journals, vol. 7(2), pages 265-277, June. [Downloadable!] (restricted)
    18. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne. [Downloadable!]

  6. Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO. [Downloadable!]
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    Published as:

    Cited by:

    1. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
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    2. Albert N. Link & David Paton & Donald S. Siegel, 2003. "An Econometric Analysis of Trends in Research Joint Venture Activity," Rensselaer Working Papers in Economics 0305, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
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    3. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO. [Downloadable!]
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    4. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
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    5. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are "deep" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston. [Downloadable!]
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    6. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile. [Downloadable!]
    7. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000. "How stable is the predictive power of the yield curve? evidence from Germany and the United States," Staff Reports 113, Federal Reserve Bank of New York. [Downloadable!]
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    8. Robert Rich & Charles Steindel, 2005. "A review of core inflation and an evaluation of its measures," Staff Reports 236, Federal Reserve Bank of New York. [Downloadable!]
    9. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO. [Downloadable!]
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    11. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis. [Downloadable!]
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    12. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
    13. Robert Rich & Charles Steindel, 2007. "A comparison of measures of core inflation," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 19-38. [Downloadable!]
    14. Arturo Estrella & Anthony P. Rodrigues, 2005. "One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory," Staff Reports 232, Federal Reserve Bank of New York. [Downloadable!]
    15. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute. [Downloadable!]
    16. Stanislav Anatolyev & Grigory Kosenok, 2008. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    17. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics. [Downloadable!]
    18. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO. [Downloadable!]
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    19. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    20. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal. [Downloadable!]
    21. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO. [Downloadable!]
    22. Amigues, J-P & Favard, P, Gaudet, G & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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  7. Ghysels, E. & Hall, A. & Lee, H.S., 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," Cahiers de recherche 9518, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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    Cited by:

    1. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies. [Downloadable!]
    2. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Denise Osborn & Paulo Rodrigues, 2002. "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor and Francis Journals, vol. 21(2), pages 221-241. [Downloadable!] (restricted)
    4. Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society. [Downloadable!]
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  8. Alastair R. Hall & Glenn D. Rudebusch & David W. Wilcox, 1994. "Judging instrument relevance in instrumental variables estimation," Finance and Economics Discussion Series 94-3, Board of Governors of the Federal Reserve System (U.S.).
    Published as:

    Cited by:

    1. Eric JONDEAU & Herve LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303006, EconWPA. [Downloadable!]
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    2. 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!]
    3. J. Dufour, . "Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration," Sonderforschungsbereich 373 1995-27, Humboldt Universitaet Berlin.
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    4. Benno Torgler & Maria A. Garcia-Valinas & Alison Macintyre, 2008. "Justifiability of Littering: An Empirical Investigation," School of Economics and Finance Discussion Papers and Working Papers Series 233, School of Economics and Finance, Queensland University of Technology, revised 17 Jun 2008. [Downloadable!]
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    5. Charles Nelson & Richard Startz & Eric Zivot, 2000. "Improved Inference for the Instrumental Variables Estimator," Econometric Society World Congress 2000 Contributed Papers 1600, Econometric Society. [Downloadable!]
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    6. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
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    7. Arcand, Jean-Louis & d'Hombres, Beatrice, 2006. "Testing for Separation in Agricultural Household Models and Unobservable Household-Specific Effects," MPRA Paper 1863, University Library of Munich, Germany. [Downloadable!]
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    8. Benno Torgler & Sascha L. Schmidt & Bruno S. Frey, 2006. "Relative Income Position And Performance: An Empirical Panel Analysis," IEW - Working Papers iewwp268, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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    9. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis," CIRANO Working Papers 2005s-30, CIRANO. [Downloadable!]
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    10. Colin Vance & Ralf Hedel, 2006. "On the Link between Urban Form and Automobile Use - Evidence from German Survey Data," RWI Discussion Papers 0048, Rheinisch-Westfälisches Institut für Wirtschaftsforschung. [Downloadable!]
    11. 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!]
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    12. Carlsson, Mikael, 2000. "Measures of Technology and the Short-Run Responses to Technology Shocks - Is the RBC-Model Consistent with Swedish Manufacturing Data?," Working Paper Series 2000:20, Uppsala University, Department of Economics.
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    13. Christopher D. Carroll & Andrew A. Samwick, 1995. "The Nature of Precautionary Wealth," NBER Working Papers 5193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    14. Jeffrey C. Fuhrer & Glenn D. Rudebusch, 2002. "Estimating the Euler equation for output," Working Papers 02-3, Federal Reserve Bank of Boston. [Downloadable!]
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    15. Benno Torgler, 2006. "Trust in International Organizations: An Empirical Investigation Focusing on the United Nations," CREMA Working Paper Series 2006-20, Center for Research in Economics, Management and the Arts (CREMA). [Downloadable!]
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    16. Chintrakarn, Pandej & Millimet, Daniel, 2005. "The Environmental Consequences of Trade: Evidence from Subnational Trade Flows," Departmental Working Papers 0501, Southern Methodist University, Department of Economics. [Downloadable!]
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    17. Benno Torgler & Maria A. Garcia-Valinas & Alison Macintyre, 2008. "Environmental Participation and Environmental Motivation," School of Economics and Finance Discussion Papers and Working Papers Series 238, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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    18. Susanto Basu & John Fernald & Miles Kimball, 1998. "Are technology improvements contractionary?," International Finance Discussion Papers 625, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    19. Chintrakarn, Pandej & Millimet, Daniel, 2006. "Subnational Trade Flows and State-Level Energy Intensity," Departmental Working Papers 0601, Southern Methodist University, Department of Economics. [Downloadable!]
    20. Jean-Marie Dufour & Joanna Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," Econometric Society World Congress 2000 Contributed Papers 1536, Econometric Society. [Downloadable!]
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    21. Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA. [Downloadable!]
    22. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    23. Sonia Manzoor & John Straub, 2005. "The robustness of Kingma’s crowd-out estimate: Evidence from new data on contributions to public radio," Public Choice, Springer, vol. 123(3), pages 463-476, June. [Downloadable!] (restricted)
    24. Bruno S. Frey & Benno Torgler, 2009. "Politicians: Be Killed or Survive," School of Economics and Finance Discussion Papers and Working Papers Series 242, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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    25. Céline Azémar & Rodolphe Desbordes & Jean-Louis Mucchielli, 2007. "Do tax sparing agreements contribute to the attraction of FDI in developing countries?," International Tax and Public Finance, Springer, vol. 14(5), pages 543-562, October. [Downloadable!] (restricted)
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    26. Rachel Connelly & Deborah DeGraff & Deborah Levison & Brian McCall, 2006. "Tackling the endogeneity of fertility in the study of women's employment in developing countries: Alternative estimation strategies using data from urban Brazil," Feminist Economics, Taylor and Francis Journals, vol. 12(4), pages 561-597, October. [Downloadable!] (restricted)
    27. Jeffrey A. Frankel & David Romer, 1996. "Trade and Growth: An Empirical Investigation," NBER Working Papers 5476, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    28. Pablo Selaya, 2005. "To aid or not to aid: Foreign aid and productivity in cross-country regressions," Development Research Working Paper Series 03/2005, Institute for Advanced Development Studies. [Downloadable!]
    29. Guy Debelle & Bruce Preston, 1995. "Consumption, Investment and International Linkages," RBA Research Discussion Papers rdp9512, Reserve Bank of Australia. [Downloadable!]
    30. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO. [Downloadable!]
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    31. D. S. Poskitt & C. L. Skeels, 2004. "Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model," Monash Econometrics and Business Statistics Working Papers 29/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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    32. D. Klepinger & S. Lundberg & R. Plotnick, . "Instrument selection: The case of teenage childbearing and women's educational attainment," Institute for Research on Poverty Discussion Papers 1077-95, University of Wisconsin Institute for Research on Poverty. [Downloadable!]
    33. Bronwyn H. Hall & Jacques Mairesse & Benoit Mulkay & Jacques Mairesse, 1999. "Firm Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years," Econometrics 9902001, EconWPA. [Downloadable!]
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    34. Zaka Ratsimalahelo, 2003. "Rank Test Based On Matrix Perturbation Theory," Econometrics 0306008, EconWPA. [Downloadable!]
    35. 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)
    36. Susanto Basu & John Fernald, 2001. "Why Is Productivity Procyclical? Why Do We Care?," NBER Chapters, in: New Developments in Productivity Analysis, pages 225-302 National Bureau of Economic Research, Inc. [Downloadable!]
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    37. Colin Vance & Ralf Hedel, 2007. "The impact of urban form on automobile travel: disentangling causation from correlation," Transportation, Springer, vol. 34(5), pages 575-588, September. [Downloadable!] (restricted)
    38. Benno Torgler & Friedrich Schneider, 2007. "Shadow Economy, Tax Morale, Governance and Institutional Quality: A Panel Analysis," Working Papers 04-2007, Institute of Local Public Finance. [Downloadable!]
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    39. Benno Torgler & Friedrich Schneider, 2007. "The Impact of Tax Morale and Institutional Quality on the Shadow Economy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    40. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington. [Downloadable!]
    41. d’Artis Kancs & Julda Kielyte, 2002. "Migration in the Enlarged European Union: Empirical Evidence for Labour Mobility in the Baltic States," EERI Research Paper Series EERI_RP_2002_04, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    42. Benno Torgler & Justina A.V. Fischer, 2006. "Does Envy Destroy Social Fundamentals? The Impact of Relative Income Position on Social Capital," Working Papers 2006.38, Fondazione Eni Enrico Mattei. [Downloadable!]
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    43. Hitzhusen, Fred & Jeanty, Pierre Wilner, 2006. "Analyzing the Effects of Conflicts on Food Security in Developing Countries: An Instrumental Variable Panel Data Approach," 2006 Annual meeting, July 23-26, Long Beach, CA 21483, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    44. Zaka Ratsimalahelo, 2003. "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series EERI_RP_2003_04, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    45. Charles R. Nelson & Richard Startz & Eric Zivot, 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Econometrics 9612002, EconWPA. [Downloadable!]
      Other versions:
    46. Weshah Razzak, 1997. "The inflation-output trade-off: Is the Phillips Curve symmetric? A policy lesson from New Zealand," Reserve Bank of New Zealand Discussion Paper Series G97/2, Reserve Bank of New Zealand. [Downloadable!]
    47. Jeffry Jacob & Thomas Osang, 2007. "Values, Beliefs and Development," Departmental Working Papers 0705, Southern Methodist University, Department of Economics. [Downloadable!]
    48. Laura Alfaro & Andrew Charlton, 2007. "Growth and the Quality of Foreign Direct Investment: Is All FDI Equal?," CEP Discussion Papers dp0830, Centre for Economic Performance, LSE. [Downloadable!]
    49. Benoit Perron, 2000. "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off," Econometric Society World Congress 2000 Contributed Papers 1576, Econometric Society. [Downloadable!]
      Other versions:
    50. Per G. Fredriksson & John A. List & Daniel L. Millimet, 2003. "Chasing the Smokestack: Strategic Policymaking With Multiple Instruments," NBER Working Papers 9801, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    51. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    52. Alastair Hall & Fernanda P. M. Peixe, 2000. "A Consistent Method for the Selection of Relevant Instruments," Econometric Society World Congress 2000 Contributed Papers 0790, Econometric Society. [Downloadable!]
    53. Fragkiskos Filippaios & Constantina Kottaridi, 2008. "Complements or Substitutes? New Theoretical Considerations and Empirical Evidence on the Imports and FDI Relationship," Working Papers 0026, University of Peloponnese, Department of Economics. [Downloadable!]
    54. Alastair R. Hall, Fernanda P. M. Peixe, 2000. "Data mining and the selection of instruments," Journal of Economic Methodology, Taylor and Francis Journals, vol. 7(2), pages 265-277, June. [Downloadable!] (restricted)
    55. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne. [Downloadable!]
    56. John Shea, 1996. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," NBER Technical Working Papers 0193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    57. Susanto Basu, 1998. "Technology and business cycles; how well do standard models explain the facts?," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, issue Jun, pages 207-269. [Downloadable!]

  9. Ghysels, E. & Hall, A., 1993. "On Periodic Time Series and Testing the Unit Root Hypothesis," Cahiers de recherche 9333, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO. [Downloadable!]

  10. Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Universite de Montreal, Departement de sciences economiques.
    Other versions:
    Published as:

    Cited by:

    1. Tommaso Mancini Griffoli, 2006. "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," HEI Working Papers 10-2006, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
    2. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO. [Downloadable!]
      Other versions:
    3. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    4. Kai Carstensen & Roberta Colavecchio, 2004. "Did the Revision of the ECB Monetary Policy Strategy Affect the Reaction Function?," Kiel Working Papers 1221, Kiel Institute for the World Economy. [Downloadable!]
    5. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO. [Downloadable!]
      Other versions:
    6. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," HEI Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006. [Downloadable!]
    7. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO. [Downloadable!]
      Other versions:

  11. Ghysels, E & Hall, A., 1988. "A Test For Structural Stability Of Euler Conditions Parameters Estimated Via The Generalized Methods Of Moments Estimators," Cahiers de recherche 8837, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Published as:

    Cited by:

    1. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
      Other versions:
    2. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    3. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO. [Downloadable!]
      Other versions:
    4. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    5. SOOREEA, Rajeev, 2007. "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 87-94. [Downloadable!] (restricted)
    6. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are "deep" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston. [Downloadable!]
      Other versions:
    8. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile. [Downloadable!]
    9. Benoît Carmichael & Pierre Mohnen & Stéphane Vigeant, 1990. "La demande de facteurs de production dans le secteur manufacturier québecois: une approche dynamique avec attentes rationnelles," Annales d'Economie et de Statistique, ADRES, issue 19, pages 03, Juillet-S. [Downloadable!]
      Other versions:
    10. Raffaella Giacomini & Barbara Rossi, 2006. "Detecting and predicting forecast breakdowns," Working Paper Series 638, European Central Bank. [Downloadable!]
      Other versions:
    11. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000. "How stable is the predictive power of the yield curve? evidence from Germany and the United States," Staff Reports 113, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    12. Joseph E. Gagnon, 1989. "A forward-looking multicountry model: MX3," International Finance Discussion Papers 359, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The Univeristy of Manchester. [Downloadable!]
    14. 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)
      Other versions:
    15. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 1994. "What Determines Expected International Asset Returns?," NBER Working Papers 4660, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Stuart Hyde & Mohamed Sherif, 2005. "Don’t break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 289-296, April. [Downloadable!] (restricted)
    18. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO. [Downloadable!]
      Other versions:
    19. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society. [Downloadable!]
      Other versions:
    20. 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!]
    21. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
    22. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute. [Downloadable!]
    23. 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!]
    24. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group. [Downloadable!]
    25. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO. [Downloadable!]
      Other versions:

  12. Ghysels, E. & Hall, A., 1987. "Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation," Cahiers de recherche 8703, Universite de Montreal, Departement de sciences economiques.
    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. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation, Yale University. [Downloadable!]

  13. Hall, A.R., 1984. "The Information Matrix Test for the Linear Model," The Warwick Economics Research Paper Series (TWERPS) 250, University of Warwick, Department of Economics.
    Published as:

    Cited by:

    1. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
    2. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    3. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society. [Downloadable!]
    4. Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance. [Downloadable!]
      Other versions:
    5. Andreas Georgiadis & Christos N. Pitelis, 2008. "HRM Practices and Knowledge Processes Outcomes: Empirical Evidence from a Quasi-Experiment on UK SMEs in the Tourism Hospitality and Leisure Sector," CEP Discussion Papers dp0850, Centre for Economic Performance, LSE. [Downloadable!]
    6. Joachim Zietz & Bobby Newsome, 2001. "A Note on Buyer's Agent Commision and Sales Price," Journal of Real Estate Research, American Real Estate Society, vol. 21(3), pages 245-254. [Downloadable!]
    7. Russell Davidson & James Mackinnon, 1991. "Une nouvelle forme du test de la matrice d'information," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 09, Octobre-m. [Downloadable!]

Articles

  1. 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:

  2. 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.

  3. Ghysels, Eric & Hall, Alastair, 2002. "Interview with Lars Peter Hansen," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 442-47, October.

    Cited by:

    1. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:

  4. Alastair R. Hall, 2000. "Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test," Econometrica, Econometric Society, vol. 68(6), pages 1517-1528, November.

    Cited by:

    1. Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, Economics Bulletin, vol. 3(44), pages 1-6. [Downloadable!]
    2. 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!]
    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!]
      Other versions:
    4. Sheng-Kai Chang, 2005. "The approximate slopes and the power of the GMM overidentifying restrictions test," Applied Economics Letters, Taylor and Francis Journals, vol. 12(13), pages 845-848, October. [Downloadable!] (restricted)
    5. Hélène Bonnal & Éric Renault, 2004. "On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood," CIRANO Working Papers 2004s-18, CIRANO. [Downloadable!]
    6. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE. [Downloadable!]
    7. Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI. [Downloadable!]
      Other versions:
    8. Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    9. Alastair R. Hall & Atsushi Inoue, 2005. "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics 0505002, EconWPA. [Downloadable!]
      Other versions:

  5. Hall, Alastair R & Sen, Amit, 1999. "Structural Stability Testing in Models Estimated by Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 335-48, July.

    Cited by:

    1. 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!]
    2. Jonathan McCarthy & Egon Zakrajsek, 2003. "Inventory dynamics and business cycles: what has changed?," Finance and Economics Discussion Series 2003-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    3. Candelon, Bertrand & Muysken, Joan & Vermeulen, Robert, 2008. "Fiscal Policy and Monetary Integration in Europe: An Update," Research Memoranda 038, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    4. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    5. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO. [Downloadable!]
      Other versions:
    6. Fabrice Collard & Patrick Feve & François Langot, 2002. "Structural Inference and the Lucas Critique," Annales d'Economie et de Statistique, ADRES, issue 67-68, pages 11, Juillet-D. [Downloadable!]
      Other versions:
    7. Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The Univeristy of Manchester. [Downloadable!]
    8. Stuart Hyde & Mohamed Sherif, 2005. "Don’t break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 289-296, April. [Downloadable!] (restricted)
    9. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
    10. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute. [Downloadable!]
    11. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Korean International Economic Association, vol. 19(4), pages 523-541, December. [Downloadable!] (restricted)
    12. 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!]
    13. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group. [Downloadable!]
    14. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO. [Downloadable!]
      Other versions:
    15. Gardebroek, Cornelis, 2001. "The Impact Of Manure Production Rights On Capital Investment In The Dutch Pig Sector," 2001 Annual meeting, August 5-8, Chicago, IL 20490, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]

  6. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Hall, Alastair R & Rudebusch, Glenn D & Wilcox, David W, 1996. "Judging Instrument Relevance in Instrumental Variables Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 283-98, May.
    Other versions:

    See citations under working paper version above.

  8. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.

    Cited by:

    1. Paresh Kumar Narayan & Russell Smyth, . "Are Shocks To Energy Consumption Permanent Or Temporary? Evidence From 182 Countries," Monash Economics Working Papers 2005-06, Monash University, Department of Economics. [Downloadable!]
      Other versions:
    2. Miguel León-Ledesma, 2000. "R&D Spillovers and Export Performance: Evidence from the OECD Countries," Studies in Economics 0014, Department of Economics, University of Kent. [Downloadable!]
    3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Hugo Oliveros C., 1995. "Estaciones y Pruebas de Raíces Unitarias: Algunas Consideraciones Generales," BORRADORES DE ECONOMIA 002591, BANCO DE LA REPÚBLICA. [Downloadable!]
    5. Alain DeSerres & Alain Guay, 1995. "Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions," Econometrics 9510001, EconWPA. [Downloadable!]
    6. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 547-556, May. [Downloadable!] (restricted)
    7. Yash P. Mehra, 1997. "The bond rate and actual future inflation," Working Paper 97-03, Federal Reserve Bank of Richmond. [Downloadable!]
    8. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    9. Roger Perman & David I. Stern, 1999. "The Environmental Kuznets Curve: Implications of Non-Stationarity," Working Papers in Ecological Economics 9901, Australian National University, Centre for Resource and Environmental Studies, Ecological Economics Program. [Downloadable!]
    10. Shyh-Wei Chen, 2008. "Are 19 Developed Countries' Real Per Capita GDP levels Non-stationary? A Revisit," Economics Bulletin, Economics Bulletin, vol. 3(2), pages 1-11. [Downloadable!]
    11. Ana María Iregui & Jesús Otero, 2008. "Testing The Law Of One Price In Food Markets: Evidence For Colombia Using Disaggregated Data," DOCUMENTOS DE TRABAJO 005102, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    12. Paresh Kumar Narayan & Ingrid Nielsen & Russell Smyth, 2005. "Is there a Natural Rate of Crime?," Monash Economics Working Papers 18/05, Monash University, Department of Economics. [Downloadable!]
    13. Peter Anker, 1999. "Pitfalls in panel tests of purchasing power parity," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 437-453, September. [Downloadable!] (restricted)
    14. Matthew B. Canzoneri & Robert E. Cumby & Behzad Diba, 1996. "Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," NBER Working Papers 5676, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. Ivan Paya & David A. Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor and Francis Journals, vol. 37(21), pages 2515-2522, December. [Downloadable!] (restricted)
      Other versions:
    16. Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," Econometrics 0310006, EconWPA, revised 24 Oct 2003. [Downloadable!]
      Other versions:
    17. Hugo Oliveros, . "Estacionalidad y Pruebas de Raíces Unitarias:Algunas Consideraciones Generales," Borradores de Economia 040, Banco de la Republica de Colombia. [Downloadable!]
    18. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008. [Downloadable!]
    19. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004. [Downloadable!]
      Other versions:
    20. Yin-Wong Cheung & Menzie Chinn, 1995. "Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis," Macroeconomics 9508005, EconWPA. [Downloadable!]
      Other versions:
    21. Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA. [Downloadable!]
    22. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 41-69, March. [Downloadable!] (restricted)
    23. Robert E. Cumby, 1996. "Forecasting Exchange Rates and Relative Prices with the Hamburger Standard: Is What You Want What You Get With McParity?," NBER Working Papers 5675, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    24. Günter W. Beck & Axel A. Weber, 2005. "Inflation Rate Dispersion and Convergence in Monetary and Economic Unions: Lessons for the ECB," CFS Working Paper Series 2005/31, Center for Financial Studies. [Downloadable!]
    25. Selahattin Dibooglu, 1995. "Accounting for U.S. Current Account Deficits: An Empirical Investigation," International Finance 9502003, EconWPA. [Downloadable!]
      Other versions:
    26. Diebold & Senhadji, . "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania. [Downloadable!]
      Other versions:
    27. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522_v1, HAL. [Downloadable!]
    28. Carsten Ochsen, 2004. "On the Measurement of Mismatch," Thuenen-Series of Applied Economic Theory 44, University of Rostock, Institute of Economics, Germany. [Downloadable!]
      Other versions:
    29. David Papell, 1998. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    30. Balagtas, Joseph V. & Holt, Matthew T., 2006. "Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis," 2006 Annual meeting, July 23-26, Long Beach, CA 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    31. Judith A. Giles, Cara L. Williams, 2000. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(4), pages 445-470, December. [Downloadable!] (restricted)
    32. Yash P. Mehra, 1995. "Some key empirical determinants of short-term nominal interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 33-51. [Downloadable!]
    33. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys," NBER Working Papers 6926, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    34. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    35. Gonzales, F. & Guillotreau, P. & Le Grel, L. & Simioni, M., 2003. "Asymmetry of price transmission within the french value chain of seafood products," Economics Working Paper Archive (Toulouse) 49, French Institute for Agronomy Research (INRA), Economics Laboratory in Toulouse (ESR Toulouse). [Downloadable!]
    36. Yin-Wong Cheung & Menzie Chinn, 1995. "Integration, cointegration and the forecast consistency of structural exchange rate models," International Finance 9508002, EconWPA. [Downloadable!]
      Other versions:
    37. Wouter den Haan & Andrew Levin, 2000. "Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order," University of California at San Diego, Economics Working Paper Series 2000-11, Department of Economics, UC San Diego. [Downloadable!]
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    38. Raghbendra Jha & Anurag Sharma, 2001. "Structural Breaks and Unit Roots: A Further Test of the Sustainability of the Indian Fiscal Deficit," ASARC Working Papers 2001-08, Australian National University, Australia South Asia Research Centre. [Downloadable!]
    39. Selahattin Dibooglu & Faik Koray, 2001. "The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes," Open Economies Review, Springer, vol. 12(2), pages 123-143, April. [Downloadable!] (restricted)
    40. Jean-Philippe Gervais & Bruno Larue & Olivier Bonroy, 2004. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Agricultural Trade," International Trade 0407004, EconWPA. [Downloadable!]
    41. Tastan Hüseyin, 2005. "Do real exchange rates contain a unit root? Evidence from Turkish data," Applied Economics, Taylor and Francis Journals, vol. 37(17), pages 2037-2053, September. [Downloadable!] (restricted)
    42. Jean-François Goux & Thomas Rusuhuzwa Kigabo, 2007. "Rupture structurelle et demande de monnaie au Rwanda," Working Papers 0727, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure. [Downloadable!]
    43. Andrew Levin & Chien-Fu Lin, 1993. "Unit Root Tests in Panel Data: New Results," University of California at San Diego, Economics Working Paper Series 93-56, Department of Economics, UC San Diego. [Downloadable!]
    44. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    45. Yash P. Mehra, 1996. "Monetary policy and long-term interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 27-49. [Downloadable!]
    46. Anurag Sharma & Preety Ramful, 2008. "Does disaggregation affect the relationship between health care expenditure and GDP? An analysis using regime shifts," Centre for Health Economics Research Papers 27/08, Monash University, Centre for Health Economics. [Downloadable!]
    47. Yash P. Mehra, 1994. "An error-correction model of the long-term bond rate," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-68. [Downloadable!]
    48. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington. [Downloadable!]
    49. Hooi Hooi Lean & Russell Smyth, 2006. "Asian Financial Crisis, Avian Flu And Terrorist Threats: Are Shocks To Malaysian Tourist Arrivals Permanent Or Transitory?," Monash Economics Working Papers 11/06, Monash University, Department of Economics. [Downloadable!]
    50. Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance 0501003, EconWPA. [Downloadable!]
    51. Vlad Ivanenko, 2004. "Access to liquidity and non-monetary trade in Russia," Post-Communist Economies, Taylor and Francis Journals, vol. 16(1), pages 21-38, March. [Downloadable!] (restricted)
    52. Nicolas Million, 2003. "The Fisher Effect revisited through an efficient non linear unit root testing procedure," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 951-954, December. [Downloadable!] (restricted)
    53. Benny Geys & Jan Vermeir, 2008. "Taxation and presidential approval: separate effects from tax burden and tax structure turbulence?," Public Choice, Springer, vol. 135(3), pages 301-317, June. [Downloadable!] (restricted)
    54. Selahattin Dibooglu, 1995. "Real Disturbances, Relative Prices, and Purchasing Power Parity," International Finance 9502002, EconWPA. [Downloadable!]
      Other versions:
    55. John M. Roberts & Norman J. Morin, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    56. Qayyum, Abdul, 2002. "Demand for Bank Lending by the Private Business Sector in Pakistan," MPRA Paper 2084, University Library of Munich, Germany, revised 2002. [Downloadable!]
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    57. Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186. [Downloadable!]
    58. Thompson, Stanley R. & Bohl, Martin T., 1999. "International Wheat Price Transmission And Cap Reform," 1999 Annual meeting, August 8-11, Nashville, TN 21705, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    59. Heimonen, Kari, 2001. "Substituting a Substitute Currency – The Case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    60. Yin-Wong Cheung & Menzie Chinn & Tron Tran, 1995. "How sensitive are estimated trends to data definitions? Results for East Asian and G-5 countries," Macroeconomics 9508004, EconWPA. [Downloadable!]
    61. Paresh Kumar Narayan & Stephan Popp, 2009. "A New Unit Root Test with Two Structural Breaks in Level and Slope at Unknown Time," Economics Series 2009_11, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    62. Claude Lopez, 2005. "A Panel Unit Root Test with Good Power in Small Samples," University of Cincinnati, Economics Working Papers Series 2005-01, University of Cincinnati, Department of Economics, revised 2007. [Downloadable!]
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    63. Marashdeh, Hazem & Wilson, E.J., 2005. "Structural Changes in the Middle East Stock Markets: The case of Israel and Arab Countries," Economics Working Papers wp05-22, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    64. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    65. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany. [Downloadable!]
    66. Paul Cashin & C. John McDermott, 2004. "Parity Reversion in Real Exchange Rates: Fast, Slow or Not at All?," IMF Working Papers 04/128, International Monetary Fund. [Downloadable!]
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    67. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria. [Downloadable!]
    68. Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics. [Downloadable!]
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    69. Judith A. Clarke & Sadaf Mirza, 2003. "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers 0305, Department of Economics, University of Victoria. [Downloadable!]
    70. Judith A. Giles & Cara L. Williams, 2000. "Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2," Econometrics Working Papers 0002, Department of Economics, University of Victoria. [Downloadable!]
    71. Jose Eduardo de A. Ferreira, 2006. "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics 0603, Department of Economics, University of Kent. [Downloadable!]
    72. John T. Cuddington & Diana L. Moss, 1996. "The Finding Cost of Natural Gas: Technological Change versus Resource Depletion," Microeconomics 9610004, EconWPA, revised 30 Jul 1998. [Downloadable!]
    73. D R Osborn & A Matas-Mir, 2001. "Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series," Centre for Growth and Business Cycle Research Discussion Paper Series 09, Economics, The Univeristy of Manchester. [Downloadable!]
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    74. Toru Konishi & Valerie A. Ramey, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Rela Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    75. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299. [Downloadable!]
    76. Yin-Wong Cheung & Menzie D. Chinn, 1996. "Further Investigation of the Uncertain Unit Root in GNP," NBER Technical Working Papers 0206, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    77. Matthew Canzoneri & Robert Cumby & Behzad Diba & Gwen Eudey, 1998. "TRENDS IN EUROPEAN PRODUCTIVITY: Implications for Real Exchange Rates, Real Interest Rates and Inflation Differentials," Working Papers 27, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    78. Maurice Kugler & Reza Ofoghi, 2005. "Does Insurance Promote Economic Growth? Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 8, Money Macro and Finance Research Group. [Downloadable!]
    79. Wojciech W. Charemza & Daniela Hristova & Peter Burridge, 2005. "Is inflation stationary?," Applied Economics, Taylor and Francis Journals, vol. 37(8), pages 901-903, May. [Downloadable!] (restricted)
    80. Guenter W. Beck, 2003. "Nominal Exchange Rate Regimes and Relative Price Dispersion: On the Importance of Nominal Exchange Rate Volatility for the Width of the Border," CFS Working Paper Series 2003/45, Center for Financial Studies. [Downloadable!]
    81. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington. [Downloadable!]
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    82. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22. [Downloadable!]
    83. Yash P. Mehra, 1998. "The bond rate and actual future inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 27-47. [Downloadable!]
    84. Yash P. Mehra, 1993. "Unit labor costs and the price level," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 35-52. [Downloadable!]
    85. Joseph D. ALBA & Donghyun PARK, 2004. "Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey," Econometric Society 2004 Far Eastern Meetings 530, Econometric Society. [Downloadable!]
    86. Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Working Papers 0129, Department of Economics, Vanderbilt University, revised Aug 2003. [Downloadable!]
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    87. Axel A. Weber & Günter W. Beck, 2005. "Price Stability, Inflation Convergence and Diversity in EMU: Does One Size Fit All?," CFS Working Paper Series 2005/30, Center for Financial Studies. [Downloadable!]
    88. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society. [Downloadable!]
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    89. Simón Sosvilla-Rivero & Emma García, . "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA. [Downloadable!]
    90. Begoña Eguía & Cruz Echevarría, . "Existe alguna relación entre las tasas de desempleo y la estructura demográfica en España?," Studies on the Spanish Economy 11, FEDEA. [Downloadable!]
    91. Ghysels, E. & Lee, H.S. & Siklos, P.L., 1992. "On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data," Cahiers de recherche 9237, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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    92. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand. [Downloadable!]
    93. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City. [Downloadable!]
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  9. Dufour, Jean-Marie & Ghysels, Eric & Hall, Alastair, 1994. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 199-229, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  10. Hall, Alastair, 1993. "Induced seasonality and production-smoothing models of inventory behavior," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 169-172. [Downloadable!] (restricted)

    Cited by:

    1. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Stephen G. Cecchetti & Anil Kashyap & David Wilcox, 1995. "Why Firms Smooth Seasonals in a Boom," Working Papers 001, Ohio State University, Department of Economics. [Downloadable!]

  11. Hall, Alastair, 1992. "Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 223-250. [Downloadable!] (restricted)

    Cited by:

    1. Kem Reat Viseth, 2001. "Currency Substitution and Financial Sector Developments in Cambodia," International and Development Economics Working Papers idec01-4, International and Development Economics. [Downloadable!]
    2. María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 1, pages 109-154, Junio. [Downloadable!] (restricted)

  12. Hall, Alastair & Hassett, Kevin, 1991. "Instrument choice and tests for a unit root," Economics Letters, Elsevier, vol. 35(2), pages 161-165, February. [Downloadable!] (restricted)

    Cited by:

    1. María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 1, pages 109-154, Junio. [Downloadable!] (restricted)

  13. Hall, Alastair & Rossana, Robert J, 1991. "Estimating the Speed of Adjustment in Partial Adjustment Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 441-53, October.

    Cited by:

    1. Glenn D. Rudebusch, 2005. "Monetary policy inertia: fact or fiction?," Working Papers in Applied Economic Theory 2005-19, Federal Reserve Bank of San Francisco. [Downloadable!]
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    2. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
    3. Scott Schuh, 1996. "Evidence on the link between firm-level and aggregate inventory behavior," Finance and Economics Discussion Series 96-46, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  14. Ghysels, Eric & Hall, Alastair, 1990. "Testing nonnested Euler conditions with quadrature-based methods of approximation," Journal of Econometrics, Elsevier, vol. 46(3), pages 273-308, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139. [Downloadable!] (restricted)

    Cited by:

    1. 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!]
    2. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    3. Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation, Yale University. [Downloadable!]
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    4. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
      Other versions:
    5. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    6. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Daniel G. Swaine, 2001. "Are taste and technology parameters stable? a test of "deep" parameter stability in real business cycle models of the U.S. economy," Working Papers 01-05, Federal Reserve Bank of Boston. [Downloadable!]
    8. Sangdai Ryoo, 2002. "Testing For Sunspots In The Foreign Exchange Market," International Economic Journal, Korean International Economic Association, vol. 16(3), pages 39-58, October. [Downloadable!] (restricted)
    9. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. John S. Irons & N.Ericsson, . "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics. [Downloadable!]
    11. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO. [Downloadable!]
      Other versions:
    12. Nicholas Apergis & Spyros Zikos, 2003. "The Law of Verdoorn: Evidence from Greek Disaggregated Manufacturing Time Series Data," The Economic and Social Review, Economic and Social Studies, vol. 34(1), pages 87–104. [Downloadable!]
    13. Jason G. Cummins & R. Glenn Hubbard, 1994. "The Tax Sensitivity of Foreign Direct Investment: Evidence from Firm-Level Panel Data," NBER Working Papers 4703, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
    15. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute. [Downloadable!]
    16. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO. [Downloadable!]

  16. Ghysels, Eric & Hall, Alastair, 1990. "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 355-64, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. Hall, Alastair, 1987. "The Information Matrix Test for the Linear Model," Review of Economic Studies, Blackwell Publishing, vol. 54(2), pages 257-63, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

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