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Citations of
Adrian Rodney Pagan

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

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Working papers

  1. Martin Fukac & Adrian Pagan, 2008. "Limited Information Estimation and Evaluation of DSGE Models," Reserve Bank of New Zealand Discussion Paper Series DP2008/11, Reserve Bank of New Zealand. [Downloadable!]

    Cited by:

    1. Fabio Milani, 2009. "Expectations, Learning, and the Changing Relationship between Oil Prices and the Macroeconomy," Working Papers 080923, University of California-Irvine, Department of Economics. [Downloadable!]
    2. Fabio Canova & Filippo Ferroni, 2009. "Multiple filtering devices for the estimation of cyclical DSGE models," Economics Working Papers 1135, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    3. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany. [Downloadable!]
    4. Mardi Dungey & Denise R Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 121, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:
    5. Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. Adrian R. Pagan & M. Hashem Pesaran, 2008. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers 2008-04, School of Economics, The University of New South Wales. [Downloadable!]
    Published as:

    Cited by:

    1. Assenmacher-Wesche, K. & Pesaran, M.H., 2008. "A VECX* Model of the Swiss Economy," Cambridge Working Papers in Economics 0809, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    2. Antonio Ribba, 2009. "On Some Neglected Implications of the Fisher Effect," Center for Economic Research (RECent) 033, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
    3. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute. [Downloadable!]
    4. Holly, S. & Petrella, I., 2008. "Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations," Cambridge Working Papers in Economics 0827, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    5. Stéphane Dées & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2008. "Identification of New Keynesian Phillips Curves from a global perspective," Working Paper Series 892, European Central Bank. [Downloadable!]
      Other versions:

  3. A. R. Pagan & Luis Catão & Douglas Laxton, 2008. "Monetary Transmission in an Emerging Targeter: The Case of Brazil," IMF Working Papers 08/191, International Monetary Fund. [Downloadable!]

    Cited by:

    1. Eduardo Fernandez-Arias & Andrew Powell & Alessandro Rebucci, 2009. "The Multilateral Response to the Global Crisis: Rationale, Modalities, and Feasibility," RES Working Papers 4629, Inter-American Development Bank, Research Department. [Downloadable!]
    2. André Minella & Nelson F. Souza-Sobrinho, 2009. "Monetary Channels in Brazil through the Lens of a Semi-Structural Model," Working Papers Series 181, Central Bank of Brazil, Research Department. [Downloadable!]

  4. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research. [Downloadable!]

    Cited by:

    1. Andrew Mountford & Harald Uhlig, 2008. "What are the Effects of Fiscal Policy Shocks?," NBER Working Papers 14551, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Zeno Enders & Gernot J. Müller & Almut Scholl, 2008. "How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States," CFS Working Paper Series 2008/22, Center for Financial Studies. [Downloadable!]
    3. Zsolt Darvas, 2009. "Monetary Transmission in three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions," Working Papers 0903, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest. [Downloadable!]
      Other versions:
    4. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]

  5. Pagan, A. & Pesaran, M.H., 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," Cambridge Working Papers in Economics 0704, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:

    Cited by:

    1. Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007. "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers 2007-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  6. Martin Fukac & Adrian Pagan, 2006. "Limited Information Estimation and Evaluation of DSGE Models. Working paper #6," NCER Working Paper Series 6, National Centre for Econometric Research. [Downloadable!]

    Cited by:

    1. Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino, 2007. "Factor Analysis in a Model with Rational Expectations," NBER Working Papers 13404, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Mardi Dungey & Adrian Pagan, 2008. "Extending an SVAR Model of the Australian Economy," NCER Working Paper Series 21, National Centre for Econometric Research. [Downloadable!]
      Other versions:

  7. Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank, Research Department. [Downloadable!]
    Other versions:

    Cited by:

    1. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    2. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," BORRADORES DE ECONOMIA 005480, BANCO DE LA REPÚBLICA. [Downloadable!]
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    3. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    4. Sofia Bauducco & Ales Bulir & Martin Cihak, 2008. "Monetary policy rules with financial instability," Working Papers 2008/8, Czech National Bank, Research Department. [Downloadable!]
    5. Giorgio Fagiolo & Andrea Roventini, 2008. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," LEM Papers Series 2008/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
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    6. Martin Cihák & Sofia Bauducco & Ales Bulir, 2008. "Taylor Rule Under Financial Instability," IMF Working Papers 08/18, International Monetary Fund. [Downloadable!]
    7. Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts," Reserve Bank of New Zealand Discussion Paper Series DP2007/01, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    8. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2008. "Minimal state variable solutions to Markov-switching rational expectations models," Working Paper 2008-23, Federal Reserve Bank of Atlanta. [Downloadable!]
    9. Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2008. "Schumpeter Meeting Keynes: A Policy-Friendly Model of Endogenous Growth and Business Cycles," LEM Papers Series 2008/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
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    10. Harvey, A., 2008. "Modeling the Phillips curve with unobserved components," Cambridge Working Papers in Economics 0805, Faculty of Economics, University of Cambridge. [Downloadable!]

  8. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne. [Downloadable!]

    Cited by:

    1. M. Ayhan Kose & Stijn Claessens & Marco Terrones, 2008. "What Happens During Recessions, Crunches, and Busts?," IMF Working Papers 08/274, International Monetary Fund. [Downloadable!]
      Other versions:
    2. Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    3. Edward E. Leamer, 2008. "What's a Recession, Anyway?," NBER Working Papers 14221, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  9. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]

    Cited by:

    1. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis. [Downloadable!]
    2. T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research. [Downloadable!]
      Other versions:
    3. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  10. Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

    Cited by:

    1. Pesaran, M.H. & Timmermann, A., 2006. "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics 0648, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    2. Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  11. Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

    Cited by:

    1. Adrian R. Pagan & M. Hashem Pesaran, 2008. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers 2008-04, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
    2. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    3. Magdalena Morgese Borys & Roman Horváth, 2007. "The Effects of Monetary Policy in the Czech Republic: An Empirical Study," Working Papers IES 2007/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2007. [Downloadable!]
      Other versions:
    4. Efrem Castelnuovo & Paolo Surico, 2006. "The Price Puzzle: Fact or Artifact?," "Marco Fanno" Working Papers 0016, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
      Other versions:
    5. Matthias Paustian, 2007. "Assessing Sign Restrictions," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 7(1). [Downloadable!]

  12. A. Pagan & J. Engel & D. Haugh, 2004. "Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting," Econometric Society 2004 Australasian Meetings 284, Econometric Society. [Downloadable!]

    Cited by:

    1. Frédérick Demers & Ryan Macdonald, 2007. "The Canadian Business Cycle: A Comparison of Models," Working Papers 07-38, Bank of Canada. [Downloadable!]

  13. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany. [Downloadable!]

    Cited by:

    1. Michael ARTIS & Massimiliano MARCELLINO & Tommaso PROIETTI, 2002. "Dating the Euro Area Business Cycle," Economics Working Papers ECO2002/24, European University Institute. [Downloadable!]
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    2. Maria Silgoner & Jesus Crespo Cuaresma & Gerhard Reitschuler, 2004. "The fiscal smile - on the effectiveness and limits of fiscal stabilizers," Money Macro and Finance (MMF) Research Group Conference 2003 87, Money Macro and Finance Research Group. [Downloadable!]
    3. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, EconWPA. [Downloadable!]
      Other versions:
    4. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," Centre for Growth and Business Cycle Research Discussion Paper Series 11, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:
    5. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    6. AndrŽ, NYEMBWE & Konstantin, KHOLODILIN, 2005. "North-South Asymmetric Relationships : Does the EMU Business Affect Small African Economies ?," Discussion Papers (ECON - Département des Sciences Economiques) 2005032, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    7. J. Polzehl & V. Spokoiny & C. Starica, 2004. "When did the 2001 recession really start?," Econometrics 0411017, EconWPA. [Downloadable!]
      Other versions:
    8. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    9. Viviana Fernandez & Ali M. Kutan, 2005. "Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence From APEC and NAFTA," William Davidson Institute Working Papers Series wp765, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
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    10. Tamim Bayoumi & Thomas Helnling, 2003. "Are They All in the Same Boat? The 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages," IMF Working Papers 03/46, International Monetary Fund. [Downloadable!]
    11. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Springer, vol. 27(2), pages 229-259, May. [Downloadable!] (restricted)
    12. Julien GARNIER, 2003. "Has the Similarity of Business Cycles in Europe Increased with the Monetary Integration," Economics Working Papers ECO2003/12, European University Institute. [Downloadable!]
    13. Emanuel Mönch & Harald Uhlig, 2003. "Towards a Monthly Business Cycle Chronology for the Euro Area," SFB 649 Discussion Papers SFB649DP2005-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Apr 2005. [Downloadable!]
      Other versions:
    14. Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    15. Giancarlo Bruno & Marco Malgarini, 2002. "An Indicator of Economic Sentiment for the Italian Economy," ISAE Working Papers 28, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    16. Andrew Hughes Hallett & Christian Richter, 2006. "Is the convergence of business cycles a global or regional issue? The UK, US and Euroland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 177-194. [Downloadable!]
    17. Willem Boshoff, 2005. "The properties of cycles in South African financial variables and their relation to the business cycle," Working Papers 02/2005, Stellenbosch University, Department of Economics. [Downloadable!]
    18. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    19. James Mitchell & Michael Massmann, 2004. "Reconsidering the evidence: are Eurozone business cycles converging?," Money Macro and Finance (MMF) Research Group Conference 2003 67, Money Macro and Finance Research Group. [Downloadable!]
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    20. Maria Antoinette Silgoner & Gerhard Reitschuler & Jesús Crespo-Cuaresma, 2003. "The Fiscal Smile: The Effectiveness and Limits of Fiscal Stabilizers," IMF Working Papers 03/182, International Monetary Fund. [Downloadable!]
    21. Tahsin Saadi-Sedik & Joannes Mongardini, 2003. "Estimating Indexes of Coincident and Leading Indicators: An Application to Jordan," IMF Working Papers 03/170, International Monetary Fund. [Downloadable!]

  14. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society. [Downloadable!]
    Published as:

    Cited by:

    1. Kirill Sossunov, 2002. "A Real Business Cycle Model with Changing Sentiments," Macroeconomics 0210005, EconWPA. [Downloadable!]
    2. Avouyi-Dovi, S. & Kierzenkowski, R. & Lubochinsky, C., 2006. "Are Business and Credit Cycles Converging or Diverging? A comparison of Poland, Hungary, the Czech Republic and the Euro Area," Documents de Travail 144, Banque de France. [Downloadable!]
    3. Viv B Hall & C. John McDermott, 2005. "Regional business cycles in New Zealand:Do they exist? What might drive them?," Urban/Regional 0509013, EconWPA. [Downloadable!]
      Other versions:
    4. Victor Zarnowitz & Ataman Ozyildirim, 2002. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," NBER Working Papers 8736, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Valerie Cerra & Sweta C. Saxena, 2005. "Growth Dynamics: The Myth of Economic Recovery," Macroeconomics 0508008, EconWPA. [Downloadable!]
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    6. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers 04-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    7. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memoranda 019, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    8. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne. [Downloadable!]
    9. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "What is the Best Approach to Measure the Interdependence between Different Markets?," Documents de Travail 95, Banque de France. [Downloadable!]
    10. Issler, João Victor & Vahid, Farshid, 2003. "The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity," Economics Working Papers (Ensaios Economicos da EPGE) 492, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    11. Ceron, Jose A. & Suarez, Javier, 2006. "Hot and Cold Housing Markets: International Evidence," CEPR Discussion Papers 5411, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    12. Jeremy Piger & James Morley & Chang-Jin Kim, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309. [Downloadable!]
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    13. Issler, João Victor & Notini, Hilton Hostalacio & Rodrigues, Claudia Fontoura, 2009. "Um Indicador Coincidente e Antecedente da Atividade Econômica Brasileira," Economics Working Papers (Ensaios Economicos da EPGE) 695, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    14. 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!]
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    15. M. Ayhan Kose & Stijn Claessens & Marco Terrones, 2008. "What Happens During Recessions, Crunches, and Busts?," IMF Working Papers 08/274, International Monetary Fund. [Downloadable!]
      Other versions:
    16. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    17. Irina Bunda & Michele Ca’ Zorzi, 2009. "Signals from housing and lending booms," Working Paper Series 1094, European Central Bank. [Downloadable!]
    18. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements. [Downloadable!]
    19. Eurilton Araújo & Luciane Carpena & Alexandre Cunha, 2005. "Brazilian Business Cycles And Growth From 1850 To 2000," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
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    20. David Norman & Thomas Walker, 2004. "Co-movement of Australian State Business Cycles," RBA Research Discussion Papers rdp2004-09, Reserve Bank of Australia. [Downloadable!]
    21. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2004. "Business cycle phases in U.S. states," Working Papers 2003-011, Federal Reserve Bank of St. Louis. [Downloadable!]
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    22. M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2008. "Global Business Cycles: Convergence or Decoupling?," NBER Working Papers 14292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    23. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
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    24. Avouyi-Dovi, S. & Matheron, J., 2005. "Interactions between Business Cycles, stock Market Cycles and Interest Rates: the Stylised Facts," Documents de Travail 121, Banque de France. [Downloadable!]
    25. Camacho, Maximo & Pérez-Quirós, Gabriel, 2005. "Jump-and-Rest Effects of US Business Cycles," CEPR Discussion Papers 4975, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    26. A.H.J. den Reijer, 2002. "International Business Cycle Indicators, Measurement and Forecasting," WO Research Memoranda (discontinued) 689, Netherlands Central Bank, Research Department. [Downloadable!]
    27. Frédérick Demers & Ryan Macdonald, 2007. "The Canadian Business Cycle: A Comparison of Models," Working Papers 07-38, Bank of Canada. [Downloadable!]
    28. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    29. Albert Jaeger & Ludger Schuknecht, 2004. "Boom-Bust Phases in Asset Prices and Fiscal Policy Behavior," IMF Working Papers 04/54, International Monetary Fund. [Downloadable!]
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    30. Konstantin A. Kholodilin, 2006. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Discussion Papers of DIW Berlin 554, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    31. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany. [Downloadable!]
    32. Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14. [Downloadable!]
    33. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 507-518. [Downloadable!]
    34. Luis A. Gil-Alana & Bertrand Candelon, 2004. "Fractional Integration and Business Cycles Features," Faculty Working Papers 09/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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    35. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    36. Selim Elekdag & Roberto Cardarelli & Subir Lall, 2009. "Financial Stress, Downturns, and Recoveries," IMF Working Papers 09/100, International Monetary Fund. [Downloadable!]
    37. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289. [Downloadable!]
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    38. Howard J. Wall, 2007. "Regional business cycle phases in Japan," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 61-80. [Downloadable!]
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    39. Domenico Giannone & Lucrezia Reichlin, 2005. "Trends and cycles in the Euro Area: how much heterogeneity and should we worry about it?," Macroeconomics 0511016, EconWPA. [Downloadable!]
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    40. Ravi Balakrishnan & Sam Ouliaris, 2006. "U.S. Inflation Dynamics: What Drives Them Over Different Frequencies?," IMF Working Papers 06/159, International Monetary Fund. [Downloadable!]
    41. Ariño, Miguel A. & Canela, Miguel A., 2006. "Study of the dollar-euro exchange rate," IESE Research Papers D/620, IESE Business School, revised 30 Mar 2006. [Downloadable!]
    42. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    43. James Morley & Jeremy Piger & Pao-Lin Tien, 2009. "Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?," Wesleyan Economics Working Papers 2009-003, Wesleyan University, Department of Economics. [Downloadable!]
    44. Ghassan Dibeh, 2005. "A Kaleckian model of business cycle synchronization," Review of Political Economy, Taylor and Francis Journals, vol. 17(2), pages 253-267, April. [Downloadable!] (restricted)
    45. Richard Dennis, 2002. "Exploring the role of the real exchange rate in Australian monetary policy," Working Papers in Applied Economic Theory 2002-19, Federal Reserve Bank of San Francisco. [Downloadable!]
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    46. Marco Gallegati & Mauro Gallegati, 2005. "Wavelet variance and correlation analyses of output in G7 countries," Macroeconomics 0512017, EconWPA. [Downloadable!]
    47. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    48. Amstad, Marlene & Fischer, Andreas M, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    49. Michael A. Kouparitsas & Daisuke J. Nakajima, 2006. "Are U.S. and Seventh District business cycles alike?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 45-60. [Downloadable!]
    50. James Laurenceson & Corrine Dobson, . "China’s business cycles since 1979: a chronology and comparative analysis," EAERG Discussion Paper Series 1705, School of Economics, University of Queensland, Australia. [Downloadable!]
    51. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]
    52. Alain Hecq, 2005. "Should we really care about building business cycle coincident indexes!," Applied Economics Letters, Taylor and Francis Journals, vol. 12(3), pages 141-144, February. [Downloadable!] (restricted)
    53. Francisco Nadal-De Simone, 2003. "Common and Idiosyncratic Components in Real Output: Further International Evidence," IMF Working Papers 02/229, International Monetary Fund. [Downloadable!]
    54. Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    55. Benk, Szilárd & Gillman, Max & Kejak, Michal, 2005. "Credit Shocks in the Financial Deregulatory Era: Not the Usual Suspects," Cardiff Economics Working Papers E2005/13, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
      Other versions:
    56. M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    57. Kajal Lahiri & Wenxiong Yao, 2004. "A dynamic factor model of the coincident indicators for the US transportation sector," Applied Economics Letters, Taylor and Francis Journals, vol. 11(10), pages 595-600, August. [Downloadable!] (restricted)
    58. Emanuel Mönch & Harald Uhlig, 2003. "Towards a Monthly Business Cycle Chronology for the Euro Area," SFB 649 Discussion Papers SFB649DP2005-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Apr 2005. [Downloadable!]
      Other versions:
    59. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings, Federal Reserve Bank of Kansas City, pages 9-56. [Downloadable!]
    60. Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    61. Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    62. Gloria Jarne, Julio Sánchez-Chóliz, Francisco Fatás-Villafranca, . ""S-shaped" Economic Dynamics. The Logistic and Gompertz curves generalized," The Electronic Journal of Evolutionary Modeling and Economic Dynamics, IFReDE - Université Montesquieu Bordeaux IV. [Downloadable!]
    63. 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!]
    64. A. Pagan & J. Engel & D. Haugh, 2004. "Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting," Econometric Society 2004 Australasian Meetings 284, Econometric Society. [Downloadable!]
    65. W A Razzak, 2001. "Money in the era of inflation targeting," Reserve Bank of New Zealand Discussion Paper Series DP2001/02, Reserve Bank of New Zealand. [Downloadable!]
    66. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research. [Downloadable!]
    67. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany. [Downloadable!]
    68. Willem Boshoff, 2005. "The properties of cycles in South African financial variables and their relation to the business cycle," Working Papers 02/2005, Stellenbosch University, Department of Economics. [Downloadable!]
    69. Marco Aiolfi & Allan Timmermann & Luis Catão, 2006. "Common Factors in Latin America's Business Cycles," IMF Working Papers 06/49, International Monetary Fund. [Downloadable!]
    70. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics. [Downloadable!]
    71. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    72. Thomas Walker & David Norman, 2004. "Co-movement of Australian State Business Cycles," Econometric Society 2004 Australasian Meetings 334, Econometric Society. [Downloadable!]
    73. James Mitchell & Michael Massmann, 2004. "Reconsidering the evidence: are Eurozone business cycles converging?," Money Macro and Finance (MMF) Research Group Conference 2003 67, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    74. João Loureiro & Manuel M. F. Martins & Ana Paula Ribeiro, 2009. "Cape Verde: The Case for Euroization," FEP Working Papers 317, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    75. Kajal Lahiri & Wenxiong Yao & Peg Young, 2003. "Cycles in the Transportation Sector and the Aggregate Economy," Discussion Papers 03-14, University at Albany, SUNY, Department of Economics. [Downloadable!]
    76. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]
    77. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]
    78. Javier Gómez Biscarri, 2002. "Dating Recessions from Industrial Production Indexes: An Analysis for Europe and the US," Faculty Working Papers 05/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    79. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122. [Downloadable!]
    80. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 04/136, International Monetary Fund. [Downloadable!]
    81. Michael D. Bordo & Joseph G. Haubrich, 2009. "Credit Crises, Money and Contractions: an historical view," NBER Working Papers 15389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    82. Michael D. Bordo & Joseph G. Haubrich, 2009. "Credit crises, money, and contractions: A historical view," Working Paper 0908, Federal Reserve Bank of Cleveland. [Downloadable!]
    83. Jean-Philippe Cotis & Jonathan Coppel, 2005. "Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
    84. Luis Carranza & José E. Galdón-Sánchez & Javier Gómez Biscarri, 2004. "Exchange Rate and Inflation Dynamics in Dollarized Economies," Faculty Working Papers 10/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    85. Di Guilmi, C. & Gaffeo, E. & Gallegati, M. & Palestrini, A., 2005. "International Evidence on Business Cycle Magnitude Dependence: An Analyisis of 16 Industrialized Countries, 1881-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(1), pages 5-16. [Downloadable!]
    86. Richard Jong-A-Pin & Jakob de Haan, 2007. "Political Regime Change, Economic Reform and Growth Accelerations," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    87. Penelope A. Smith & Peter M. Summers, 2004. "Identification and normalization in Markov switching models of "business cycles"," Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City. [Downloadable!]
    88. Issler, João Victor & Notini, Hilton Hostalacio & Rodrigues, Claudia Fontoura, 2009. "Constructing Coincident and Leading Indices of Economic Activity for the Brazilian Economy," Economics Working Papers (Ensaios Economicos da EPGE) 694, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    89. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    90. Javier Jareño, 2007. "Opinion-based surveys in the conjunctural analysis of the Spanish economy," Banco de España Occasional Papers 0706, Banco de España. [Downloadable!]
    91. Lars Jonung & Ludger Schuknecht & Mika Tujula, 2006. "The Boom-Bust Cycle in Finland and Sweden 1984-1995 in an International Perspective," CFS Working Paper Series 2006/13, Center for Financial Studies. [Downloadable!]
    92. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de España Working Papers 0518, Banco de España. [Downloadable!]
      Other versions:
    93. Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, Bank of Finland. [Downloadable!]
    94. Ossama Mikhail, 2004. "No More Rocking Horses: Trading Business-Cycle Depth for Duration Using an Economy-Specific Characteristic," Macroeconomics 0402026, EconWPA. [Downloadable!]
    95. Theologos Dergiades & Lefteris Tsoulfidis, 2007. "Estimating Capacity Utilization Using a SVAR Model: An Application to the US and Canadian Economies," Economics Bulletin, Economics Bulletin, vol. 5(4), pages 1-12. [Downloadable!]
    96. Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December. [Downloadable!]
      Other versions:
    97. Mark Mink & Jan P.A.M. Jacobs & Jakob de Haan, 2007. "Measuring Synchronicity And Co-Movement Of Business Cycles With An Application To The Euro Area," CAMA Working Papers 2007-19, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    98. Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    99. Dr Alicia Rambaldi & Bortolussi, 2004. "Interactions of Source State and Market Price Trends for Cattle of Korean, Japanese and USA Market Specifications," Discussion Papers Series 334, School of Economics, University of Queensland, Australia. [Downloadable!]
    100. Renee Fry, 2002. "International SVAR Factor Modelling," School of Economics and Finance Discussion Papers and Working Papers Series 109, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    101. Maurizio Bovi, 2003. "Nonparametric Analysis Of The International Business Cycles," ISAE Working Papers 37, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    102. Richard Kleijn & Herman K. van Dijk, 2006. "Bayes model averaging of cyclical decompositions in economic time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 191-212. [Downloadable!]
    103. Sofia Gouveia & Leonida Correia, 2008. "Business cycle synchronisation in the Euro area: the case of small countries," International Economics and Economic Policy, Springer, vol. 5(1), pages 103-121, July. [Downloadable!] (restricted)
    104. Viv B. Hall & John McDermott, 2006. "The Ups and Downs of New Zealand House Prices," Working Papers 06_03, Motu Economic and Public Policy Research. [Downloadable!]
    105. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics. [Downloadable!]

  15. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]

    Cited by:

    1. Alasdair Scott, 2000. "Stylised facts from output gap measures," Reserve Bank of New Zealand Discussion Paper Series DP2000/07, Reserve Bank of New Zealand. [Downloadable!]
    2. Marcelle Chauvet, 2001. "The Brazilian Economic Fluctuations," Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting] 033, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    3. Andrea Brischetto & Graham Voss, 2000. "Forecasting Australian Economic Activity Using Leading Indicators," RBA Research Discussion Papers rdp2000-02, Reserve Bank of Australia. [Downloadable!]
    4. Marco Del Negro, 2001. "Turn, turn, turn: Predicting turning points in economic activity," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 1-12. [Downloadable!]
    5. Philip Bodman & Mark Crosby, 2005. "Are business cycles independent in the G7?," International Economic Journal, Korean International Economic Association, vol. 19(4), pages 483-499, December. [Downloadable!] (restricted)
    6. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2004. "Business cycle phases in U.S. states," Working Papers 2003-011, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    7. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    8. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society. [Downloadable!]
      Other versions:
    9. Marcelle Chauvet & Elcyon C.R. Lima & Brisne Vasquez, 2002. "Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models," Working Paper 2002-28, Federal Reserve Bank of Atlanta. [Downloadable!]
    10. Harding, Don, 2002. "The Australian Business Cycle: A New View," MPRA Paper 3698, University Library of Munich, Germany. [Downloadable!]
    11. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    12. Julien GARNIER, 2003. "Has the Similarity of Business Cycles in Europe Increased with the Monetary Integration," Economics Working Papers ECO2003/12, European University Institute. [Downloadable!]
    13. Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers 08/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    14. C John McDermott & Alasdair Scott, 1999. "Concordance in business cycles," Reserve Bank of New Zealand Discussion Paper Series G99/7, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    15. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany. [Downloadable!]
    16. James Mitchell & Michael Massmann, 2004. "Reconsidering the evidence: are Eurozone business cycles converging?," Money Macro and Finance (MMF) Research Group Conference 2003 67, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    17. Javier Gómez Biscarri, 2002. "Dating Recessions from Industrial Production Indexes: An Analysis for Europe and the US," Faculty Working Papers 05/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    18. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    19. Phil Bodman, . "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia. [Downloadable!]
    20. Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]

  16. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]

    Cited by:

    1. Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany. [Downloadable!]

  17. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]

    Cited by:

    1. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    2. Paul Cashin & Sam Ouliaris, 2001. "Key Features of Australian Business Cycles," IMF Working Papers 01/171, International Monetary Fund. [Downloadable!]
      Other versions:
    3. McKay, Alisdair & Reis, Ricardo, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute. [Downloadable!]
    5. Chris R. Birchenhall & Marianne Sensier & Denise R. Osborn, 2000. "Predicting Uk Business Cycle Regimes," Computing in Economics and Finance 2000 134, Society for Computational Economics. [Downloadable!]
      Other versions:
    6. Issler, João Victor & Vahid, Farshid, 2002. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Economics Working Papers (Ensaios Economicos da EPGE) 450, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    7. Hans-Martin Krolzig & Juan Toro, 2002. "Classical and Modern Business Cycle Measurement: The European Case," Economic Working Papers at Centro de Estudios Andaluces E2002/20, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    8. Allan P. Layton & Anirvan Banerji, 2001. "What Is A Recession?: A Reprise," School of Economics and Finance Discussion Papers and Working Papers Series 095, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    9. Penelope A. Smith & Peter M. Summers, 2002. "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles," Melbourne Institute Working Paper Series wp2002n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    10. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "Booms and slumps in world commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/8, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    11. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
    12. Alain Hecq, 2005. "Should we really care about building business cycle coincident indexes!," Applied Economics Letters, Taylor and Francis Journals, vol. 12(3), pages 141-144, February. [Downloadable!] (restricted)
    13. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society. [Downloadable!]
    14. Julien GARNIER, 2003. "Has the Similarity of Business Cycles in Europe Increased with the Monetary Integration," Economics Working Papers ECO2003/12, European University Institute. [Downloadable!]
    15. Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers 08/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    16. Penelope A. Smith & Peter M. Summers, 2004. "How Well Do Markov Switching Models Describe Actual Business Cycles? The Case of Synchronization," Melbourne Institute Working Paper Series wp2004n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    17. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, . "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    18. Hans-Martin Krolzig & Michael Clements, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 058, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    19. Henry, O.T. & Summers, P.M., 2000. "Australian Economic Growth: Non-Linearities and Internaitonal Influences," Department of Economics - Working Papers Series 738, The University of Melbourne. [Downloadable!]
    20. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87. [Downloadable!]
      Other versions:
    21. Michael Tomz & Mark L. J. Wright, 2007. "Do countries default in “bad times”?," Working Paper Series 2007-17, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    22. Mirko Abbritti; Sebastian Weber, 2008. "Labor Market Rigidities and the Business Cycle: Price vs. Quantity Restricting Institutions," HEI Working Papers 01-2008, Economics Section, The Graduate Institute of International Studies, revised Jan 2008. [Downloadable!]
    23. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "The myth of co-moving commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/9, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    24. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March. [Downloadable!] (restricted)
    25. Allan P. Layton & Anirvan Banerji, 2003. "What is a recession?: A reprise 1 Various sections of this paper draw very significantly on our earlier paper, Layton and Banerji (2001), in which the same conceptual arguments were made and a detaile," Applied Economics, Taylor and Francis Journals, vol. 35(16), pages 1789-1797, November. [Downloadable!] (restricted)
    26. Edda Claus & Iris Claus, 2007. "Six Leading Indexes Of New Zealand Employment," CAMA Working Papers 2007-17, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  18. David Gruen & Adrian Pagan & Christopher Thompson, 1999. "The Phillips Curve in Australia," RBA Research Discussion Papers rdp1999-01, Reserve Bank of Australia. [Downloadable!]
    Published as:

    Cited by:

    1. Tito Nícias Teixeira da Silva Filho, 2008. "Searching for the Natural Rate of Unemployment in a Large Relative Price Shocks' Economy: the Brazilian Case," Working Papers Series 163, Central Bank of Brazil, Research Department. [Downloadable!]
    2. Durán, Christian & Ramos, Raúl, 2006. "NAIRU Evolution in the Spanish Economy: a Kalman Filter Estimation Approach/Evolución de la NAIRU en la economía española: una estimación mediante el filtro de Kalman," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 647 (23 p, Agosto. [Downloadable!] (restricted)
    3. Franz, Wolfgang, 2000. "Neues von der NAIRU?," ZEW Discussion Papers 00-41, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    4. Robert Dixon & John Freebairn & Emayenesh Seyoum-Tegegn, 2008. "State & Territory Beveridge Curvesand the National Equilibrium Unemployment Rate," Department of Economics - Working Papers Series 1033, The University of Melbourne. [Downloadable!]
    5. Tim Robinson & Andrew Stone & Marileze van Zyl, 2003. "The Real-time Forecasting Performance of Phillips Curves," RBA Research Discussion Papers rdp2003-12, Reserve Bank of Australia. [Downloadable!]
    6. JUNCAL CUñNADO & FERNANDO PÉREZ DE GRACIA, 2003. "Sacrifice Ratios: some lessons from EMU countries, 1960-2001," International Review of Applied Economics, Taylor and Francis Journals, vol. 17(3), pages 327-337, July. [Downloadable!] (restricted)
    7. C. L. Chua & G. C. Lim & Sarantis Tsiaplias, 2009. "A Latent Variable Approach to Forecasting the Unemployment Rate," Melbourne Institute Working Paper Series wp2009n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    8. Juncal Cuñado Eizaguirre & Fernando Pérez de Gracía Hidalgo, . "Tasa de sacrificio en la UEM: Un análisis empírico," Studies on the Spanish Economy 70, FEDEA. [Downloadable!]
    9. Dixon, R. & Shepherd, D., 2000. "Trends and Cycles in Australian State and Territory Unemployment Rates," Department of Economics - Working Papers Series 730, The University of Melbourne. [Downloadable!]
      Other versions:
    10. Jennifer V Greenslade & Richard G Pierse & Jumana Saleheen, . "A Kalman filter approach to estimating the UK NAIRU," Bank of England working papers 179, Bank of England. [Downloadable!]
    11. Eliasson, Ann-Charlotte, 2001. "Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States," Working Paper Series 124, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    12. Glenn D. Rudebusch, 2002. "Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty," Economic Journal, Royal Economic Society, vol. 112(479), pages 402-432, April. [Downloadable!] (restricted)
      Other versions:
    13. Mardi Dungey & John Pitchford, 2001. "An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States," CEPR Discussion Papers 438, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    14. Jane Ihrig & Jaime Marquez, 2003. "An empirical analysis of inflation in OECD countries," International Finance Discussion Papers 765, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    15. Meyler, Aidan, 1999. "The Non-Accelerating Inflation Rate of Unemployment (NAIRU) in a Small Open Economy: The Irish Context," Research Technical Papers 5/RT/99, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
      Other versions:
    16. Jacqueline Dwyer & Kenneth Leong, 2000. "Nominal Wage Rigidity in Australia," RBA Research Discussion Papers rdp2000-08, Reserve Bank of Australia. [Downloadable!]
    17. Nilss Olekalns, 2002. "The Teaching of First Year Economics in Australian Universities," Department of Economics - Working Papers Series 848, The University of Melbourne. [Downloadable!]
    18. Katharine Neiss & Edward Nelson, 2002. "Inflation dynamics, marginal cost, and the output gap: evidence from three countries," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
    19. Rebecca L Driver & Jennifer V Greenslade & Richard G Pierse, . "The role of expectations in estimates of the NAIRU in the United States and the United Kingdom," Bank of England working papers 180, Bank of England. [Downloadable!]
    20. Karunaratne, Neil Dias, 2006. "The New Economy and the Dollar Puzzle," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 36(1-2), pages 25-43, March/Sep. [Downloadable!]
    21. Bertocco Giancarlo, 2002. "The role of credit in a Keynesian monetary economy," Economics and Quantitative Methods qf0222, Department of Economics, University of Insubria. [Downloadable!]
      Other versions:
    22. Chris Ryan & Christopher Thompson, 2000. "Inflation Targeting and Exchange Rate Fluctuations in Australia," RBA Research Discussion Papers rdp2000-06, Reserve Bank of Australia. [Downloadable!]
    23. Nicolaas Groenewold & Sam Hak Kan Tang, 2001. "The Asian Financial Crisis and Natural Rate of Unemployment: Estimates from a Structural VAR for the Newly Industrializing Economies of Asia," Economics Discussion / Working Papers 01-12, The University of Western Australia, Department of Economics. [Downloadable!]
    24. Charles Wyplosz, 2001. "Do we know how low inflation should be?," HEI Working Papers 06-2001, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
      Other versions:
    25. Edward Nelson, 2004. "Monetary policy neglect and the Great Inflation in Canada, Australia, and New Zealand," Working Papers 2004-008, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    26. Li-gang Liu & Andrew Tsang, 2008. "Exchange Rate Pass-Through to Domestic Inflation in Hong Kong," Working Papers 0802, Hong Kong Monetary Authority. [Downloadable!]
    27. Beissinger, Thomas, 2004. "Strukturelle Arbeitslosigkeit in Europa: Eine Bestandsaufnahme," Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 389, University of Regensburg, Department of Economics. [Downloadable!]
    28. Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics. [Downloadable!]
    29. Pui Chi Ip, 2004. "Inflation and Growth Targeting," Research Papers 0401, Macquarie University, Department of Economics. [Downloadable!]
    30. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    31. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany. [Downloadable!]
    32. Nicolaas Groenewold, 2001. "Long-Run Shifts of the Beveridge Curve and the Frictional Unemployment Rate in Australia," Economics Discussion / Working Papers 01-09, The University of Western Australia, Department of Economics. [Downloadable!]
    33. J.G. Hirschberg & J. N. Lye, 2007. "Providing Intuition to the Fieller Method with Two Geometric Representations using STATA and Eviews," Department of Economics - Working Papers Series 992, The University of Melbourne. [Downloadable!]
    34. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, Australian National University, Economics RSPAS. [Downloadable!]
    35. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2001. "Modelling Wages and Prices in Australia," Working Paper Series 1202, Department of Economics, Norwegian University of Science and Technology, revised 30 Sep 2005. [Downloadable!]
      Other versions:
    36. Jeff Borland & Ian McDonald, 2000. "Labour Market Models of Unemployment in Australia," Melbourne Institute Working Paper Series wp2000n15, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    37. Lei Lei Song & John Freebairn, 2004. "ow Big Was the Effect of Budget Consolidation on the Australian Economy in the 1990s?," Melbourne Institute Working Paper Series wp2004n30, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    38. W A Razzak, 2002. "Monetary policy and forecasting inflation with and without the output gap," Reserve Bank of New Zealand Discussion Paper Series DP2002/03, Reserve Bank of New Zealand. [Downloadable!]
    39. Franz, Wolfgang, 2003. "Will the (German) NAIRU Please Stand up?," ZEW Discussion Papers 03-35, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    40. Marika Karanassou & Hector Sala, 2008. "Labour Market Dynamics in Australia: What Drives Unemployment?," Discussion Papers 2008-26, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
    41. Mardi Dungey & John Pitchford, 1999. "The Steady Inflation Rate of Economic Growth," CEPR Discussion Papers 414, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
      Other versions:

  19. Pagan, A.R., 1996. "Simulation Based Estimation of Some Factor Models in Econometrics," Department of Economics - Working Papers Series 521, The University of Melbourne.

    Cited by:

    1. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor and Francis Journals, vol. 20(4), pages 385-424. [Downloadable!] (restricted)
    2. Andrew D. Sanford & Gael M. Martin, 2003. "Simulation-Based Bayesian Estimation of Affine Term Structure Models," Monash Econometrics and Business Statistics Working Papers 15/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    3. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715. [Downloadable!]
    4. de Jong, Frank, 1999. "Time-series and Cross-section Information in Affine Term Structure Models," CEPR Discussion Papers 2065, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  20. Hylleberg, S. & Pagan, A.R., 1996. "Seasonal Integration and the Evolving Seasonals Models," Economics Working Papers 1996-14, School of Economics and Management, University of Aarhus.
    Other versions:
    Published as:

    Cited by:

    1. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
    2. Gary Koop & Herman K. van Dijk, 1999. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 99-072/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    3. Alvaro Forteza, . "Overinsurance in the Welfare State," Economics Working Papers 1997-3, School of Economics and Management, University of Aarhus. [Downloadable!]
    4. 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)
    5. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]

  21. Pagan, A.R. & Robertson, J.C., 1995. "Structural Models of the Liquidity Effect," Papers 283, Australian National University - Department of Economics.
    Published as:

    Cited by:

    1. Adrian Pagan & M. Hashem Pesaran, 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    2. Don Bredin & Gerard O'Reilly, 2004. "An analysis of the transmission mechanism of monetary policy in Ireland," Applied Economics, Taylor and Francis Journals, vol. 36(1), pages 49-58, January. [Downloadable!] (restricted)
      Other versions:
    3. Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research. [Downloadable!]
    4. Adrian R. Pagan & M. Hashem Pesaran, 2008. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers 2008-04, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
    5. David L. Haugh, 2005. "The Influence Of Consumer Confidence And Stock Prices On The United States Business Cycle, 1953-2003," CAMA Working Papers 2005-03, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    6. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]
    7. Keuk-Soo Kim & W. Douglas McMillin, 2003. "Estimating the effects of monetary policy shocks: does lag structure matter?," Applied Economics, Taylor and Francis Journals, vol. 35(13), pages 1515-1526, September. [Downloadable!] (restricted)
      Other versions:
    8. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Stephen G. Cecchetti & Robert W. Rich, 1999. "Structural estimates of the U.S. sacrifice ratio," Staff Reports 71, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    10. W. Douglas McMillin & William D. Lastrapes, . "Cross-Country Variation in the Liquidity Effect," Departmental Working Papers 2001-04, Department of Economics, Louisiana State University. [Downloadable!]
    11. Jinill Kim, 1998. "Monetary policy in a stochastic equilibrium model with real and nominal rigidities," Finance and Economics Discussion Series 1998-02, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    12. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall. [Downloadable!] (restricted)
    13. Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics. [Downloadable!]
      Other versions:
    14. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    15. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics. [Downloadable!]
    16. Jón Daníelsson & Ryan Love, 2006. "Feedback trading

      This paper is also available at www.riskresearch.org

      ," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53. [Downloadable!]
    17. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research. [Downloadable!]

  22. Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.

    Cited by:

    1. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, . "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England. [Downloadable!]
    2. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    3. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society. [Downloadable!]
    4. Francis X. Diebold & Canlin Li, 2004. "Forecasting the Term Structure of Government Bond Yields," CFS Working Paper Series 2004/09, Center for Financial Studies. [Downloadable!]
      Other versions:
    5. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    6. Matt Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Clive Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series 2008fe24, Oxford Financial Research Centre. [Downloadable!]
      Other versions:
    8. Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    9. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529. [Downloadable!]
    10. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715. [Downloadable!]
    11. S. Lardic & V. Mignon, 2002. "Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries," THEMA Working Papers 2002-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    12. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society. [Downloadable!]
    14. S. Lardic & V. Mignon, 2002. "Fractional cointegration and term structure of interest rates," THEMA Working Papers 2002-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    15. Petko S. Kalev & Brett A. Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor and Francis Journals, vol. 38(1), pages 33-45, January. [Downloadable!] (restricted)
    16. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics. [Downloadable!]
      Other versions:
    17. Clive G. Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers 2006-W05, Economics Group, Nuffield College, University of Oxford.
    18. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    19. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies. [Downloadable!]
      Other versions:
    20. Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(8), pages 583-606, May. [Downloadable!] (restricted)

  23. Pagan, A.R. & Robertson, J.C., 1994. "Resolving the Liquidity Effect," Papers 277, Australian National University - Department of Economics.
    Published as:

    Cited by:

    1. Michael J. Dueker & Apostolos Serletis, 1996. "The sensitivity of empirical studies to alternative measures of the monetary base and reserves," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 51-69. [Downloadable!]
    2. Thornton, Daniel L., 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target : is it open market or open mouth operations?," Discussion Paper Series 1: Economic Studies 2000,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    3. Daniel L. Thornton, 1996. "The information content of discount rate announcements: what's behind the announcement effect?," Working Papers 1994-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    4. Chan Huh, 1995. "Regime switching in the dynamic relationship between the federal funds rate and nonborrowed reserves," Working Papers in Applied Economic Theory 95-11, Federal Reserve Bank of San Francisco. [Downloadable!]
    5. Michel Normandin & Louis Phaneuf, 1996. "The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility," Econometrics 9607001, EconWPA. [Downloadable!]
      Other versions:
    6. Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    7. Charles Evans & Kenneth Kuttner, 1998. "Can VARs describe monetary policy?," Research Paper 9812, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    8. Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 03-04, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
      Other versions:
    9. Seth Carpenter & Selva Demiralp, 2004. "The liquidity effect in the federal funds market: evidence from daily open market operations," Finance and Economics Discussion Series 2004-61, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    10. David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," Working Paper 95-7, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    11. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]
    12. Daniel F. Waggoner & Tao Zha, 2000. "Likelihood-preserving normalization in multiple equation models," Working Paper 2000-8, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    13. Keuk-Soo Kim & W. Douglas McMillin, 2003. "Estimating the effects of monetary policy shocks: does lag structure matter?," Applied Economics, Taylor and Francis Journals, vol. 35(13), pages 1515-1526, September. [Downloadable!] (restricted)
      Other versions:
    14. Norrbin, Stefan, 2001. "What Have We Learned from Empirical Tests of the Monetary Transmission Effect," Working Paper Series 121, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    15. Selva Demiralp & Oscar Jorda, . "The Pavlovian Response of Term Rates to Fed Announcements," Department of Economics 99-06, California Davis - Department of Economics. [Downloadable!]
      Other versions:
    16. Hafedh Bouakez & Michel Normandin, 2008. "Fluctuations in the Foreign Exchange Market: How Important are Monetary Policy Shocks?," Cahiers de recherche 0818, CIRPEE. [Downloadable!]
    17. Verónica Mies & Felipe Morandé & Matías Tapia, 2002. "Política Monetaria y Mecanismos de Transmisión: Nuevos Elementos para una Vieja Discusión," Working Papers Central Bank of Chile 181, Central Bank of Chile. [Downloadable!]
    18. Jon Faust & John H. Rogers, 1999. "Monetary policy's role in exchange rate behavior," International Finance Discussion Papers 652, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    19. Michel Normandin, 2006. "The Effects of Monetary-Policy Shocks on Real Wages: A Multi-Country Investigation The Effects of Monetary-Policy Shocks on Real Wages: A Multi-Country Investigationv," Cahiers de recherche 06-04, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    20. W. Douglas McMillin & William D. Lastrapes, . "Cross-Country Variation in the Liquidity Effect," Departmental Working Papers 2001-04, Department of Economics, Louisiana State University. [Downloadable!]
    21. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society. [Downloadable!]
    22. Chan G. Huh & Kevin J. Lansing, 1998. "Expectations, credibility, and disinflation in a small macroeconomic model," Working Papers in Applied Economic Theory and Econometrics 98-01, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    23. Martin Eichenbaum, 1996. "Some comments on the role of econometrics in economic theory," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jan, pages 22-31. [Downloadable!]
    24. H. L"Utkepohl & P. Saikkonen, . "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," Sonderforschungsbereich 373 1995-11, Humboldt Universitaet Berlin.
      Other versions:
    25. Lucio Sarno & Daniel L. Thornton & Yi Wen, 2002. "What's unique about the federal funds rate? evidence from a spectral perspective," Working Papers 2002-029, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    26. Harold L. Cole & Lee E. Ohanian, 1997. "Shrinking money and monetary business cycles," Working Papers 579, Federal Reserve Bank of Minneapolis. [Downloadable!]
    27. Daniel L. Thornton, 2005. "Open market operations and the federal funds rate," Working Papers 2005-063, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    28. Patrick K. Asea & S. Brock Blomberg, 1997. "Lending Cycles," NBER Working Papers 5951, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. Daniel L. Thornton, 2008. "Monetary policy: why money matters and interest rates don't," Working Papers 2008-011, Federal Reserve Bank of St. Louis. [Downloadable!]
    30. Benjamin J. C. Kim & Noor A. Ghazali, 1998. "The Liquidity Effect Of Money Shocks On Short-Term Interest Rates: Some International Evidence," International Economic Journal, Korean International Economic Association, vol. 12(4), pages 49-63, December. [Downloadable!] (restricted)
    31. Daniel L. Thornton, 1996. "Identifying the liquidity effect: the case of nonborrowed reserves," Working Papers 1996-002, Federal Reserve Bank of St. Louis. [Downloadable!]
    32. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics. [Downloadable!]
    33. Chan Huh, 1996. "Regime switching in the dynamic relationship between the federal funds rate and innovations in nonborrowed reserves," International Finance Discussion Papers 536, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    34. J. Weymark & H. König & J. Backhaus & B. Hayo & A. Gabriele, 2001. "Book reviews," Journal of Economics, Springer, vol. 73(3), pages 348-368, October. [Downloadable!] (restricted)
      Other versions:
      • S. Littlechild & S. Klasen & J. Oechssler & K. Futagami & B. Hayo & K. Hamada, 1999. "Book reviews," Journal of Economics, Springer, vol. 70(3), pages 328-346, October. [Downloadable!] (restricted)
      • W. Krelle & H. Siebert & P. Schönfeld & R. Gradus & D. Wildasin & J. Weymark & G. Tullock & C. Keuschnigg & A. Endres & R. Schwarze & U. Kamecke & A. Wellink, 1990. "Book reviews," Journal of Economics, Springer, vol. 52(3), pages 295-326, October. [Downloadable!] (restricted)
    35. Lawrence J. Christiano, 1996. "Identification and the liquidity effect: a case study," Economic Perspectives, Federal Reserve Bank of Chicago, issue May, pages 2-13. [Downloadable!]
    36. Tony Caporale & Barbara McKiernan, 1999. "Monetary policy shocks and interest rates: Further evidence on the liquidity effect," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(2), pages 306-316, June. [Downloadable!] (restricted)
    37. Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 1999. "A VAR Model for Monetary Policy Analysis in a Small Open Economy," Working Paper Series 77, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    38. John C. Robertson & Ellis W. Tallman, 1999. "Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models," Working Paper 99-13, Federal Reserve Bank of Atlanta. [Downloadable!]

  24. Gregogy, A.W. & Pagan, A.R. & Smith, G.W., 1990. "Estimating Linear Quadratic Models With Integrated Processes," RCER Working Papers 247, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Jati Sengupta, 2003. "Stochastic Growth In Schumpeterian Dynamics," University of California at Santa Barbara, Economics Working Paper Series wp2-99, Department of Economics, UC Santa Barbara. [Downloadable!]
    2. Robert A. Amano & Tony S. Wirjanto, . "A Further Analysis of Exchange Rate Targeting in Canada," Working Papers 94-2, Bank of Canada. [Downloadable!]
      Other versions:
    3. Robert A. Amano, . "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Working Papers 95-3, Bank of Canada. [Downloadable!]
      Other versions:
    4. John Hunter & Christos Ioannidis, 2004. "Identifying and Solving Multivariate Rational Expectations Models," Economics and Finance Discussion Papers 04-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    5. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Michael PEDERSEN, 2002. "Does the Purchasing Power Parity Hold Within the US?," Economics Working Papers ECO2002/18, European University Institute. [Downloadable!]
    7. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips Curve," Working Papers 1026, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    8. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    9. Robert A. Amano & Tony S. Wirjanto, . "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Working Papers 94-6, Bank of Canada. [Downloadable!]
      Other versions:
    10. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research. [Downloadable!]
    11. 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!]

  25. 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:
    Published as:

    Cited by:

    1. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    2. Blake LeBaron, . "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison. [Downloadable!]
    3. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. H. L. Leon & DeLisle Worrell, . "Price Volatility and Financial Instability," IMF Working Papers 01/60, International Monetary Fund. [Downloadable!]
    5. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal. [Downloadable!]
    6. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Robert F. Engle & Gary G.J. Lee, 1993. "Long Run Volatility Forecasting for Individual Stocks in a One Factor Model," University of California at San Diego, Economics Working Paper Series 93-30, Department of Economics, UC San Diego. [Downloadable!]
    8. Kang-Soek Lee & Philippe Saucier, 2005. "La coopération monétaire régionale est-elle un préalable à l'intégration commerciale de l'Asie ?," Mondes en développement, De Boeck Université, vol. 130(2), pages 95-110. [Downloadable!]
    9. José R. Sánchez-Fung, 2003. "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 247-250, March. [Downloadable!] (restricted)
    10. Giot,Pierre & Laurent,Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    11. Helena Veiga, 2006. "Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1," Statistics and Econometrics Working Papers ws062509, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    12. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO. [Downloadable!]
    13. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003. [Downloadable!]
    14. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
      Other versions:
    15. Carlos Fernández, 2001. "Further Evidence on Friedman's Hypothesis," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 257-273. [Downloadable!]
    16. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    17. Khurshid Kiani, 2009. "Inflation in Transition Economies: An Empirical Analysis," Transition Studies Review, Springer, vol. 16(1), pages 34-46, May. [Downloadable!] (restricted)
    18. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    19. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril. [Downloadable!] (restricted)
    20. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
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    21. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    22. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics. [Downloadable!]
    23. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    24. Pérez Rodríguez, Jorge V. & Murillo Fort, Carlos, 1997. "Contrastes de especificación para los modelos de varianza Heterocedástica condicionada," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 7, pages 101-129, Junio. [Downloadable!] (restricted)
    25. KIANI, Khurshid M., 2007. "Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 103-118. [Downloadable!]
    26. J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics. [Downloadable!]
    27. F. Gonzalez Miranda, N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," European Journal of Finance, Taylor and Francis Journals, vol. 3(2), pages 137-157, June. [Downloadable!] (restricted)
    28. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March. [Downloadable!]
      Other versions:
    29. Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    30. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York. [Downloadable!]
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    31. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August. [Downloadable!] (restricted)
    32. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies. [Downloadable!]
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    33. 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!]
    34. Marquering, W. & Verbeek, M., 2000. "The economic value of predicting stock index returns and volatility," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    35. Klaassen, F., 1999. "Long swings in exchange rates : are they really in the data," Discussion Paper 8, Tilburg University, Center for Economic Research. [Downloadable!]
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    36. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    37. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics. [Downloadable!]
    38. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
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    39. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    40. J. Huston McCulloch & Prasad V. Bidarkota, 2002. "Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 02-04, Ohio State University, Department of Economics. [Downloadable!]
    41. Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47. [Downloadable!]
    42. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]
    43. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, School of Economics and Management, University of Aarhus. [Downloadable!]
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    44. Manzan, S., 2002. "Model Selection for Nonlinear Time Series," CeNDEF Working Papers 02-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    45. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1333-1342, December. [Downloadable!] (restricted)
    46. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    47. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
    48. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    49. Kin Lam & Li Wei, . "Optimal Trading Strategy When Return Process is AR(1)," Computing in Economics and Finance 1997 16, Society for Computational Economics. [Downloadable!]
    50. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    51. G. William Schwert & Paul J. Seguin, 1991. "Heteroskedasticity in Stock Returns," NBER Working Papers 2956, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    52. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
    53. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00333582_v1, HAL. [Downloadable!]
    54. Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper 9524, Federal Reserve Bank of New York. [Downloadable!]
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    55. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    56. Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series 2004-69, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    57. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
    58. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella. [Downloadable!]
    59. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," European Journal of Finance, Taylor and Francis Journals, vol. 9(6), pages 557-580, December. [Downloadable!] (restricted)
    60. Klaassen, F., 1998. "Improving garch volatility forecasts," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]
    61. Klaassen, F., 1999. "Have exchange rates become more closely tied? : evidence from a new multivariate garch model," Discussion Paper 10, Tilburg University, Center for Economic Research. [Downloadable!]
    62. P. Bossaerts & C. Hafner & W. H"Ardle, . "Foreign Exchange Rates Have Surprising Volatility," Sonderforschungsbereich 373 1996-68, Humboldt Universitaet Berlin.
    63. Giannis Vardas & Anastasios Xepapadeas, 2006. "Preserving Biodiversity: Ambiguity and Safety Rules," Working Papers 0607, University of Crete, Department of Economics. [Downloadable!]
    64. Marc Saez Zafra & Jorge V. Pérez Rodríguez, 1994. "Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH)," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 2, pages 71-106, Diciembre. [Downloadable!] (restricted)
    65. Adrian Pagan, 2002. "Learning About Models And Their Fit To Data ," International Economic Journal, Korean International Economic Association, vol. 16(2), pages 1-18, June. [Downloadable!] (restricted)
    66. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO. [Downloadable!]
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    67. Issler, João Victor, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using Arch Models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    68. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    69. Michel LUBRANO, 2001. "Smooth Transition Garch Models : a Baysian Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2001032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    70. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    71. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003. [Downloadable!]
    72. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003. [Downloadable!]
    73. Gabriel Perez-Quiros & Allan G. Timmermann, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 058, European Central Bank. [Downloadable!]
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    74. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    75. Marquering, W.A. & Verbeek, M.J.C.M., 2001. "The Economic Value of Predicting Stock Index Returns and Volatility," Research Paper ERS-2001-75-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    76. Klaassen, F., 1999. "Purchasing power parity : evidence from a new test," Discussion Paper 9, Tilburg University, Center for Economic Research. [Downloadable!]
    77. Beum-Jo Park, 2002. "Asymmetric Volatility Of Exchange Rate Returns Under The Ems: Some Evidence From Quantile Regression Appoach For Tgarch Models," International Economic Journal, Korean International Economic Association, vol. 16(1), pages 105-125, April. [Downloadable!] (restricted)
    78. Hyytinen, Ari, 1999. "Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry," Research Discussion Papers 19/1999, Bank of Finland. [Downloadable!]
    79. Prasad Bidarkota & J. Huston McCulloch, 2003. "News or Noise? Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 0304, Florida International University, Department of Economics. [Downloadable!]
    80. Terry Boulter, 2000. "Asymmetric Information Arrival and the Short-Run Dynamics of Australian Dollar Volatility: a Mixture of Distributions Approach," School of Economics and Finance Discussion Papers and Working Papers Series 073, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    81. Nikiforos Laopodis, 2001. "International Interest-Rate Transmission and the “German Dominance Hypothesis†Within EMS," Open Economies Review, Springer, vol. 12(4), pages 347-377, October. [Downloadable!] (restricted)
    82. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    83. Allan Timmerman & Luis Catão, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund. [Downloadable!]
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    84. Dennis W. Jansen, 2001. "Limited Downside Risk In Portfolio Selection Among U.S. And Pacific Basin Equities," International Economic Journal, Korean International Economic Association, vol. 15(4), pages 1-22, December. [Downloadable!] (restricted)
    85. Sergio L. Schmukler & Luis Serven, 2002. "Pricing Currency Risk: Facts and Puzzles from Currency Boards," NBER Working Papers 9047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    86. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    87. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    88. Arie Preminger & Uri Ben-Zion & David Wettstein, 2006. "Extended switching regression models with time-varying probabilities for combining forecasts," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 455-472, October. [Downloadable!] (restricted)
    89. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 255-275, September. [Downloadable!] (restricted)
    90. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December. [Downloadable!] (restricted)
    91. Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute. [Downloadable!]
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    92. Paul D McNelis, 1993. "The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities," RBA Research Discussion Papers rdp9301, Reserve Bank of Australia. [Downloadable!]
    93. Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    94. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers 1283, Cowles Foundation, Yale University. [Downloadable!]
    95. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]
    96. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]
    97. GIOT, Pierre & LAURENT, SŽbastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    98. Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper 02-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    99. Daniel Ventosa, . "A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang," UFAE and IAE Working Papers 513.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    100. Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat, 2004. "An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 1(2), pages 101-115, December. [Downloadable!]
    101. 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!]
    102. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers 0601, University of Crete, Department of Economics. [Downloadable!]
    103. Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series /2003/453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    104. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(15), pages 1-14. [Downloadable!]
    105. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society. [Downloadable!]
    106. John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    107. Al-Rjoub, Samer & Hassan, M. Kabir & Varela, Oscar Albert, 2003. "January reversal in the US weekend effect," Working Papers 2003-05, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    108. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June. [Downloadable!] (restricted)
    109. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136. [Downloadable!]
    110. Khurshid M. Kiani, 2006. "Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(3), pages 369-381. [Downloadable!]
    111. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    112. Takayuki Shiohama, 2006. "Asymptotically Efficient Estimation of the Change Point for Semiparametric GARCH models," Discussion Paper Series a471, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    113. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    114. 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!]
    115. Eric Girardin & Zhenya Liu, 2003. "The Chinese Stock Market: A Casino with 'Buffer Zones'?," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 1(1), pages 57-70, January. [Downloadable!] (restricted)
    116. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," CORE Discussion Papers 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    117. Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    118. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]

  26. Hoffman, D. & Pagan, A., 1988. "Post-Sample Prediction Tests For Generalized Method Of Moment Estimators," RCER Working Papers 129, University of Rochester - Center for Economic Research (RCER).
    Published as:

    Cited by:

    1. 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:
    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. 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:
    4. Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. 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!]
    6. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics. [Downloadable!]
      Other versions:
    7. 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!]
    8. 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!]

  27. Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications," Cowles Foundation Discussion Papers 741, Cowles Foundation, Yale University. [Downloadable!]
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    Cited by:

    1. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    2. Robert J. Lemke & Robert J. Witt & Ann Dryden Witte, 2004. "The Transition from Welfare to Work," Department of Economics Discussion Papers 0504, Department of Economics, University of Surrey. [Downloadable!]
      Other versions:
    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. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society. [Downloadable!]
    5. Louis Lévy-Garboua & Claude Montmarquette, 1997. "Reported Job Satisfaction: What Does It Mean?," CIRANO Working Papers 97s-09, CIRANO. [Downloadable!]
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    6. 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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    7. Giulia Bettin & Riccardo Lucchetti, . "Instrumental Variable Interval Regression," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
    8. Amir Kia, 2006. "Economic policies and demand for money: evidence from Canada," Applied Economics, Taylor and Francis Journals, vol. 38(12), pages 1389-1407, July. [Downloadable!] (restricted)
    9. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2002. "The Impact of Macroeconomic Uncertainty on Bank Lending Behavior," Computing in Economics and Finance 2002 94, Society for Computational Economics. [Downloadable!]
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    10. Thorsten Vogel, 2006. "Reassessing Intergenerational Mobility in Germany and the United States: The Impact of Differences in Lifecycle Earnings Patterns," SFB 649 Discussion Papers SFB649DP2006-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    11. Andeaou, E. & Werker, B.J.M., 2004. "An alternative asymptotic analysis of residual-based statistics," Discussion Paper 56, Tilburg University, Center for Economic Research. [Downloadable!]
    12. Pettersson-Lidbom, Per & Dahlberg, Matz, 2003. "An Empirical Approach for Evaluating Soft Budget Constraints," Working Paper Series 2003:28, Uppsala University, Department of Economics. [Downloadable!]
    13. Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    14. Bernardo Maggi & Marco Guida, 2009. "Modeling non performing loans probability in the commercial banking system: efficiency and effectiveness related to credit risk in Italy," Working Papers 1, Dipartimento di Economia, Sapienza University of Rome, revised May 2009. [Downloadable!]
    15. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan & Oleksandr Talavera, 2002. "The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity," Boston College Working Papers in Economics 552, Boston College Department of Economics, revised 15 Dec 2005. [Downloadable!]
      Other versions:
    16. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2002. "The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds," Boston College Working Papers in Economics 521, Boston College Department of Economics, revised 31 Aug 2008. [Downloadable!]
      Other versions:
    17. Magda Kandil, 2006. "On the transmission of exchange rate fluctuations to the macroeconomy: Contrasting evidence for developing and developed countries," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 15(1), pages 101-127, March. [Downloadable!] (restricted)
    18. Nour Meddahi & Éric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO. [Downloadable!]
    19. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    20. M. Suresh Babu, 2002. "Economic reforms and entry barriers in Indian manufacturing," Centre for Development Studies, Trivendrum Working Papers 331, Centre for Development Studies, Trivendrum, India. [Downloadable!]
    21. Godwin Nwaobi, 2004. "Money and output interaction in Nigeria: an econometric investigation using multivariate cointegration technique," Economics Bulletin, Economics Bulletin, vol. 3(30), pages 1-10. [Downloadable!]
    22. Claus Brand & Daniel Buncic & Jarkko Turunen, 2008. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Discussion Papers 2008-11, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
    23. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
      Other versions:
    24. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," CIRJE F-Series CIRJE-F-650, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    25. Christopher F. Baum & Mustafa Caglayan, 2008. "The Volatility of International Trade Flows and Exchange Rate Uncertainty," Boston College Working Papers in Economics 695, Boston College Department of Economics. [Downloadable!]
    26. S. Holle & M. Demertzis, 2002. "External Wealth and the Trade Balance: A Time-Series Analysis for the Netherlands," WO Research Memoranda (discontinued) 716, Netherlands Central Bank, Research Department. [Downloadable!]
    27. Gilbert, Christopher L., 1990. "The rational expectations hypothesis in models of primary commodity prices," Policy Research Working Paper Series 384, The World Bank. [Downloadable!]
    28. Dr.Godwin Chukwudum Nwaobi, 2004. "Money And Output Interraction In Nigeria," Macroeconomics 0405012, EconWPA. [Downloadable!]
    29. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series 2001-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    30. Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2004. "The second moments matter: The response of bank lending behavior to macroeconomic uncertainty," Computing in Economics and Finance 2004 172, Society for Computational Economics. [Downloadable!]
      Other versions:
    31. Aviv Nevo, 2001. "Using Weights to Adjust for Sample Selection When Auxiliary Information is Available," NBER Technical Working Papers 0275, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    32. Leonardo Hernández, 1991. "Credibilidad, Problema Peso y Comportamiento de las Tasas de Interés: Chile 1979-1982," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 28(85), pages 385-410. [Downloadable!]
    33. Darolles, Serge & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
      Other versions:
    34. Michael S. Gibson, 1997. "The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships," International Finance Discussion Papers 584, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    35. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2003. "The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms," Boston College Working Papers in Economics 566, Boston College Department of Economics. [Downloadable!]
    36. Newman, John L. & Lavy, Victor & Salomon, Raoul & de Vreyer, Philippe, 1990. "Firms'responses to relative price changes in Cote d'Ivoire : the implications for export subsidies and devaluations," Policy Research Working Paper Series 550, The World Bank. [Downloadable!]
    37. Landon, Stuart & Smith, Constance, 1998. "Quality expectations, reputation, and price," MPRA Paper 9774, University Library of Munich, Germany. [Downloadable!]

  28. McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers 39, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Frain, John, 1995. "Econometrics and Truth," Research Technical Papers 2/RT/95, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    2. Adam Fforde, 2004. "Persuasion: Reflections on Economics, Data and the 'Homogeneity Assumption'," Department of Economics - Working Papers Series 919, The University of Melbourne. [Downloadable!]
    3. Stéphane Straub, 2000. "Factores determinantes empíricos de las buenas instituciones: ¿sabemos algo a ciencia cierta?," RES Working Papers 4216, Inter-American Development Bank, Research Department. [Downloadable!]
    4. Jeffrey A. Edwards & Alfred Sams & Benhua Yang, 2006. "A Refinement in the Specification of Empirical Macroeconomic Models as an Extension to the EBA Procedure," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(2). [Downloadable!]
    5. W. Robert Reed, 2006. "The Determinants of U. S. State Economic Growth: A Less Extreme Bounds Analysis," Working Papers in Economics 06/05, University of Canterbury, Department of Economics. [Downloadable!]
      Other versions:
    6. Clarke, George, 2001. "How the quality of institutions affects technological deepening in developing countries," Policy Research Working Paper Series 2603, The World Bank. [Downloadable!]
    7. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    8. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    9. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    10. Stéphane Straub, 2000. "Empirical Determinants of Good Institutions: Do We Know Anything?," RES Working Papers 4215, Inter-American Development Bank, Research Department. [Downloadable!]
    11. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," NBER Working Papers 10025, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Adam Fforde, 2005. "Persuasion: Reflections on economics, data, and the 'homogeneity assumption'," Journal of Economic Methodology, Taylor and Francis Journals, vol. 12(1), pages 63-91, March. [Downloadable!] (restricted)
    13. J.G. Hirschberg & D.J. Slottje, 2002. "Bounding Estimates of Wage Discrimination," Department of Economics - Working Papers Series 854, The University of Melbourne. [Downloadable!]
      Other versions:
    14. Robert L. Basmann & Michael McAleer & Daniel Slottje, 2003. "Patent Activity and Technical Change," CIRJE F-Series CIRJE-F-217, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    15. Hoover, Kevin, 2000. "Truth and Robustness in Cross-Country Growth Regression," Working Papers 01-1, University of California at Davis, Department of Economics. [Downloadable!]
      Other versions:
    16. Peter Sandholt Jensen & Allan H. Würtz, 2006. "On determining the importance of a regressor with small and undersized samples," Economics Working Papers 2006-08, School of Economics and Management, University of Aarhus. [Downloadable!]
    17. Kevin D. Hoover & Mark V. Siegler, 2005. "Sound and Fury: McCloskey and Significance Testing in Economics," Econometrics 0511018, EconWPA. [Downloadable!]
      Other versions:
    18. Peter Sandholt Jensen & Allan H. Würtz, 2005. "The Ill-Posed Problem in Growth Empirics," CAM Working Papers 2005-11, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
    19. Mayer, Thomas, 2006. "The Empirical Significance of Econometric Models," Working Papers 06-20, University of California at Davis, Department of Economics. [Downloadable!]
    20. Levine, Ross & Renelt, David, 1991. "A sensitivity analysis of cross-country growth regressions," Policy Research Working Paper Series 609, The World Bank. [Downloadable!]
      Other versions:
    21. Peter Graeff, 2004. "Medien und Korruption: die korruptionsenkende Wirkung der Mediennutzung und der "neuen Medien"," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 73(2), pages 212-225.
    22. David F. Hendry & Neil R. Ericsson, 1989. "An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz," International Finance Discussion Papers 355, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    23. Clarke, George R. G., 1992. "More evidence on income distribution and growth," Policy Research Working Paper Series 1064, The World Bank. [Downloadable!]
      Other versions:
    24. George R. G. Clarke, 2001. "How institutional quality and economic factors impact technological deepening in developing countries," Journal of International Development, John Wiley & Sons, Ltd., vol. 13(8), pages 1097-1118. [Downloadable!]
    25. Hashem Dezhbakhsh & Paul Rubin, 2007. "From the “Econometrics of Capital Punishment” to the “Capital Punishment” of Econometrics: On the Use and Abuse of Sensitivity Analysis," Emory Economics 0715, Department of Economics, Emory University (Atlanta). [Downloadable!]
    26. Mumtaz Hussain & Oscar Brookins, 2001. "On the determinants of national saving: An extreme-bounds analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(1), pages 150-174, March. [Downloadable!] (restricted)

Articles

  1. Pagan, A.R. & Pesaran, M. Hashem, 2008. "Econometric analysis of structural systems with permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3376-3395, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May. [Downloadable!] (restricted)

    Cited by:

    1. Gogas, Periklis & Kothroulas, George, 2009. "Two speed Europe and business cycle synchronization in the European Union: The effect of the common currency," MPRA Paper 13909, University Library of Munich, Germany. [Downloadable!]
    2. Michael ARTIS & Massimiliano MARCELLINO & Tommaso PROIETTI, 2002. "Dating the Euro Area Business Cycle," Economics Working Papers ECO2002/24, European University Institute. [Downloadable!]
      Other versions:
    3. Viv B Hall & C. John McDermott, 2005. "Regional business cycles in New Zealand:Do they exist? What might drive them?," Urban/Regional 0509013, EconWPA. [Downloadable!]
      Other versions:
    4. Bruno Giancarlo & Edoardo Otranto, 2004. "Dating the Italian BUsiness Cycle: A Comparison of Procedures," ISAE Working Papers 41, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
      Other versions:
    5. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memoranda 019, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    6. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne. [Downloadable!]
    7. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA. [Downloadable!]
    8. Ariel Burstein & Christopher Johann Kurz & Linda Tesar, 2004. "Trade, Production Sharing and the International Transmission of Business Cycles," Working Papers 522, Research Seminar in International Economics, University of Michigan. [Downloadable!]
      Other versions:
    9. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," ECARES Working Papers 2008_040, Université Libre de Bruxelles, Ecares. [Downloadable!]
      Other versions:
    10. Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2003. "Similarities and Convergence in G-7 Cycles," Economics Working Papers 924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004. [Downloadable!]
      Other versions:
    11. Don Harding, 2004. "Using turning point information to study economic dynamics," Econometric Society 2004 Australasian Meetings 214, Econometric Society. [Downloadable!]
    12. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall & Christopher H. Wheeler, 2007. "The economic performance of cities: a Markov-switching approach," Working Papers 2006-056, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    13. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
      Other versions:
    14. Mardi Dungey & Jan P.A.M. Jacobs & Lestano, 2005. "Synchronisation Of Financial Crises," CAMA Working Papers 2005-20, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    15. Peter M. Summers & Penelope A. Smith, 2005. "How well do Markov switching models describe actual business cycles? The case of synchronization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 253-274. [Downloadable!]
      Other versions:
    16. Fabrizio Carmignani, 2009. "Endogenous optimal currency areas: The case of the Central African Economic and Monetary Community," Discussion Papers Series 390, School of Economics, University of Queensland, Australia. [Downloadable!]
    17. Vasyl Golosnoy & Jens Hogrefe, 2009. "Sequential Methodology for Signaling Business Cycle Turning Points," Kiel Working Papers 1528, Kiel Institute for the World Economy. [Downloadable!]
    18. Camacho, Maximo & Pérez-Quirós, Gabriel & Sáiz Matute, Lorena, 2005. "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers 4824, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    19. D.M Nachane & R. Lakshmi, 2001. "Measuring variability of monetary policy lags: a frequency domain approach," Economics Working Papers ECO2001/07, European University Institute. [Downloadable!]
    20. Domenico Giannone & Lucrezia Reichlin, 2005. "Trends and cycles in the Euro Area: how much heterogeneity and should we worry about it?," Macroeconomics 0511016, EconWPA. [Downloadable!]
      Other versions:
    21. Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank, Research Centre. [Downloadable!]
    22. Pesaran, M.H. & Timmermann, A., 2006. "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics 0648, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    23. Francisco Nadal-De Simone, 2003. "Common and Idiosyncratic Components in Real Output: Further International Evidence," IMF Working Papers 02/229, International Monetary Fund. [Downloadable!]
    24. Julien GARNIER, 2003. "Has the Similarity of Business Cycles in Europe Increased with the Monetary Integration," Economics Working Papers ECO2003/12, European University Institute. [Downloadable!]
    25. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Documents de Travail 187, Banque de France. [Downloadable!]
    26. Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    27. 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!]
    28. Eduardo Borensztein & Catherine A. Pattillo & Andrew Berg, 2004. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Working Papers 04/52, International Monetary Fund. [Downloadable!]
      Other versions:
    29. Shruthi Jayaram, 2009. "Examining the Decoupling Hypothesis for India," Working Papers id:2119, esocialsciences.com. [Downloadable!]
    30. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics. [Downloadable!]
    31. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2009. "Optimal sticky prices under rational inattention," Working Paper Series 1010, European Central Bank. [Downloadable!]
    32. João Loureiro & Manuel M. F. Martins & Ana Paula Ribeiro, 2009. "Cape Verde: The Case for Euroization," FEP Working Papers 317, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    33. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122. [Downloadable!]
    34. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    35. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 04/136, International Monetary Fund. [Downloadable!]
    36. Mirko Abbritti; Sebastian Weber, 2008. "Labor Market Rigidities and the Business Cycle: Price vs. Quantity Restricting Institutions," HEI Working Papers 01-2008, Economics Section, The Graduate Institute of International Studies, revised Jan 2008. [Downloadable!]
    37. Marcelle Chauvet & Jeremy M. Piger, 2005. "A comparison of the real-time performance of business cycle dating methods," Working Papers 2005-021, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    38. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    39. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de España Working Papers 0518, Banco de España. [Downloadable!]
      Other versions:
    40. Eric Girardin, 2004. "Regime-dependent synchronization of growth cycles between Japan and East Asia," Money Macro and Finance (MMF) Research Group Conference 2004 66, Money Macro and Finance Research Group. [Downloadable!]
    41. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    42. Edward E. Leamer, 2008. "What's a Recession, Anyway?," NBER Working Papers 14221, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    43. Mark Mink & Jan P.A.M. Jacobs & Jakob de Haan, 2007. "Measuring Synchronicity And Co-Movement Of Business Cycles With An Application To The Euro Area," CAMA Working Papers 2007-19, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    44. Maurizio Bovi, 2003. "Nonparametric Analysis Of The International Business Cycles," ISAE Working Papers 37, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    45. Viv B. Hall & John McDermott, 2006. "The Ups and Downs of New Zealand House Prices," Working Papers 06_03, Motu Economic and Public Policy Research. [Downloadable!]

  3. Adrian Pagan & Don Harding, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 151-159. [Downloadable!]

    Cited by:

    1. Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Frédérick Demers & Ryan Macdonald, 2007. "The Canadian Business Cycle: A Comparison of Models," Working Papers 07-38, Bank of Canada. [Downloadable!]
    3. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    4. Beate Schirwitz, 2009. "A comprehensive German business cycle chronology," Empirical Economics, Springer, vol. 37(2), pages 287-301, October. [Downloadable!] (restricted)
    5. Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    6. Willem Boshoff, 2005. "The properties of cycles in South African financial variables and their relation to the business cycle," Working Papers 02/2005, Stellenbosch University, Department of Economics. [Downloadable!]
    7. João Loureiro & Manuel M. F. Martins & Ana Paula Ribeiro, 2009. "Cape Verde: The Case for Euroization," FEP Working Papers 317, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    8. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122. [Downloadable!]
    9. Hao Tan & John A. Mathews, 2007. "Cyclical Dynamics in Three Industries," DRUID Working Papers 07-07, DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies. [Downloadable!]
    10. Sinchan Mitra & Tara M. Sinclair, . "Output Fluctuations in the G-7: An Unobserved Components Approach," MRG Discussion Paper Series 2509, School of Economics, University of Queensland, Australia. [Downloadable!]

  4. Engel, J. & Haugh, D. & Pagan, A., 2005. "Some methods for assessing the need for non-linear models in business cycle analysis," International Journal of Forecasting, Elsevier, vol. 21(4), pages 651-662. [Downloadable!] (restricted)

    Cited by:

    1. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Documents de Travail 239, Banque de France. [Downloadable!]
      Other versions:
    2. Louis J. Maccini & Adrian Pagan, 2006. "Inventories, Fluctuations and Business Cycles. Working paper #4," NCER Working Paper Series 4, National Centre for Econometric Research. [Downloadable!]
    3. Michael Arghyrou, 2009. "Monetary policy before and after the euro: evidence from Greece," Empirical Economics, Springer, vol. 36(3), pages 621-643, June. [Downloadable!] (restricted)
      Other versions:

  5. Jonathan Ohn & Larry W. Taylor & Adrian Pagan, 2004. "Testing for duration dependence in economic cycles," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 528-549, December. [Downloadable!] (restricted)

    Cited by:

    1. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Working Papers 07-2, Bank of Canada. [Downloadable!]
    2. Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho. [Downloadable!]
      Other versions:
    3. Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    4. Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    5. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research. [Downloadable!]
    6. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]

  6. S. G. B Henry & A. R. Pagan, 2004. "The Econometrics of the New Keynesian Policy Model: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 581-607, 09. [Downloadable!] (restricted)

    Cited by:

    1. Paul Turner, 2007. "Some UK evidence on the Forward Looking IS Equation:," Discussion Paper Series 2007_16, Department of Economics, Loughborough University, revised May 2007. [Downloadable!]
    2. Funke, Michael, 2005. "Inflation in mainland China – modelling a roller coaster ride," BOFIT Discussion Papers 6/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    3. Bill Russell, Anindya Banerjee, 2006. "The Long-Run Phillips Curve and Non-Stationary Inflation," Economics Working Papers ECO2006/16, European University Institute. [Downloadable!]
      Other versions:
    4. Juselius, Mikael, 2008. "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(24), pages 1-26. [Downloadable!]
    5. Juselius, Mikael, 2008. "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics Discussion Papers 2008-23, Kiel Institute for the World Economy. [Downloadable!]
    6. Glenn Otto & Graham Voss, 2009. "Strict and Flexible Inflation Forecast Targets: An Empirical Investigation," Working Papers 202009, Hong Kong Institute for Monetary Research. [Downloadable!]
      Other versions:
    7. Philip Arestis & Alexander Mihailov, 2007. "Flexible Rules cum Constrained Discretion: A New Consensus in Monetary Policy," Economics & Management Discussion Papers em-dp2007-53, Henley Business School, Reading University. [Downloadable!]
      Other versions:
    8. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    9. Livio Stracca, 2006. "A speed limit monetary policy rule for the euro area," Working Paper Series 600, European Central Bank. [Downloadable!]
      Other versions:
    10. James M. Nason & Gregor W. Smith, 2008. "The new Keynesian Phillips curve : lessons from single-equation econometric estimation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 361-395. [Downloadable!]
    11. Fanelli, Luca, 2005. "Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area," MPRA Paper 1617, University Library of Munich, Germany, revised Jan 2007. [Downloadable!]
      Other versions:

  7. Harding, Don & Pagan, Adrian, 2003. "Rejoinder to James Hamilton," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1695-1698, July. [Downloadable!] (restricted)

    Cited by:

    1. Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers FARGO 1060101, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
    3. Beate Schirwitz, 2009. "A comprehensive German business cycle chronology," Empirical Economics, Springer, vol. 37(2), pages 287-301, October. [Downloadable!] (restricted)
    4. Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    5. Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    6. Javier Gómez Biscarri, 2002. "Dating Recessions from Industrial Production Indexes: An Analysis for Europe and the US," Faculty Working Papers 05/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    7. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    8. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:

  8. Robert Breunig & Serinah Najarian & Adrian Pagan, 2003. "Specification Testing of Markov Switching Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 703-725, December. [Downloadable!] (restricted)

    Cited by:

    1. Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    2. Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany. [Downloadable!]
    3. 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!]
      Other versions:
    4. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    5. Serwa, Dobromił, 2007. "Banking crises and nonlinear linkages between credit and output," MPRA Paper 5946, University Library of Munich, Germany. [Downloadable!]
    6. T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research. [Downloadable!]
      Other versions:
    7. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    8. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth centre Working Paper Series 0602, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    9. Beate Schirwitz, 2009. "A comprehensive German business cycle chronology," Empirical Economics, Springer, vol. 37(2), pages 287-301, October. [Downloadable!] (restricted)
    10. Robert Breunig & Alison Stegman, 2003. "Testing for Regime Switching in Singaporean Business Cycles," Departmental Working Papers 2003-20, Australian National University, Economics RSPAS. [Downloadable!]
      Other versions:
    11. Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    12. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series wp2006n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    13. Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16525, University Library of Munich, Germany. [Downloadable!]
    14. Buncic, Daniel, 2008. "A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)," MPRA Paper 6904, University Library of Munich, Germany. [Downloadable!]
      Other versions:

  9. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]

    Cited by:

    1. Don Harding & Adrian Pagan, 2009. "An Econometric Analysis of Some Models for Constructed Binary Time Series," NCER Working Paper Series 39, National Centre for Econometric Research, revised 02 Jul 2009. [Downloadable!]
      Other versions:
    2. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis. [Downloadable!]
    3. Viv B Hall & C. John McDermott, 2005. "Regional business cycles in New Zealand:Do they exist? What might drive them?," Urban/Regional 0509013, EconWPA. [Downloadable!]
      Other versions:
    4. Yu, Tongkui & Li, Honggang, 2008. "Dynamic Regimes of a Multi-agent Stock Market Model," MPRA Paper 14339, University Library of Munich, Germany. [Downloadable!]
    5. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memoranda 019, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    6. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 111-135, June. [Downloadable!] (restricted)
    7. M. Ayhan Kose & Stijn Claessens & Marco Terrones, 2008. "What Happens During Recessions, Crunches, and Busts?," IMF Working Papers 08/274, International Monetary Fund. [Downloadable!]
      Other versions:
    8. Hans-Joachim Voth, 2000. "A Tale of Five Bubbles- Asset Price Inflation and Central Bank Policy in Historical Perspective," CEPR Discussion Papers 416, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    9. Saumitra N. Bhaduri & S. Raja Sethu Durai, 2006. "Asymmetric beta in bull and bear market conditions: evidences from India," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 55-59, January. [Downloadable!] (restricted)
    10. Michael D. Bordo & David C. Wheelock, 2004. "Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms," NBER Working Papers 10704, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics. [Downloadable!]
    12. Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    13. Pesaran, M.H. & Timmermann, A., 2006. "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics 0648, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    14. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers FARGO 1060101, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
    15. Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers 08/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    16. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research. [Downloadable!]
    17. Willem Boshoff, 2005. "The properties of cycles in South African financial variables and their relation to the business cycle," Working Papers 02/2005, Stellenbosch University, Department of Economics. [Downloadable!]
    18. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]
    19. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. Javier Gómez Biscarri, 2002. "Dating Recessions from Industrial Production Indexes: An Analysis for Europe and the US," Faculty Working Papers 05/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    21. Luis Carranza & José E. Galdón-Sánchez & Javier Gómez Biscarri, 2004. "Exchange Rate and Inflation Dynamics in Dollarized Economies," Faculty Working Papers 10/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    22. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    23. Sanvi Avouyi-Dovi & Julien Matheron, 2005. "Interactions between business cycles, financial cycles and monetary policy: stylised facts," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 273-98 Bank for International Settlements. [Downloadable!]
    24. Michael D. Bordo & David C. Wheelock, 2007. "Stock market booms and monetary policy in the twentieth century," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 91-122. [Downloadable!]
    25. Michael D. Bordo & David C. Wheelock, 2006. "When do stock market booms occur? the macroeconomic and policy environments of 20th century booms," Working Papers 2006-051, Federal Reserve Bank of St. Louis. [Downloadable!]
    26. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  10. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July. [Downloadable!] (restricted)

    Cited by:

    1. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004. [Downloadable!]
    2. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005. [Downloadable!]
    3. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne. [Downloadable!]
    4. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada. [Downloadable!]
      Other versions:
    5. Jeremy Piger & James Morley & Chang-Jin Kim, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309. [Downloadable!]
      Other versions:
    6. M. Ayhan Kose & Stijn Claessens & Marco Terrones, 2008. "What Happens During Recessions, Crunches, and Busts?," IMF Working Papers 08/274, International Monetary Fund. [Downloadable!]
      Other versions:
    7. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics. [Downloadable!]
    8. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309_v1, HAL. [Downloadable!]
      Other versions:
    9. Adrian Pagan & Don Harding, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 151-159. [Downloadable!]
    10. Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Harding, Don, 2002. "The Australian Business Cycle: A New View," MPRA Paper 3698, University Library of Munich, Germany. [Downloadable!]
    12. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis. [Downloadable!]
    13. Peter McAdam, 2007. "USA, Japan and the Euro Area: Comparing Business-Cycle Features," International Review of Applied Economics, Taylor and Francis Journals, vol. 21(1), pages 135-156, January. [Downloadable!] (restricted)
      Other versions:
    14. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    15. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers FARGO 1060101, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
    16. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics. [Downloadable!]
    17. Julien GARNIER, 2003. "Has the Similarity of Business Cycles in Europe Increased with the Monetary Integration," Economics Working Papers ECO2003/12, European University Institute. [Downloadable!]
    18. Beate Schirwitz, 2009. "A comprehensive German business cycle chronology," Empirical Economics, Springer, vol. 37(2), pages 287-301, October. [Downloadable!] (restricted)
    19. Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    20. Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    21. Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    22. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research. [Downloadable!]
    23. Roberto S. Mariano & Yasutomo Murasawa, 2004. "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers 22-2004, Singapore Management University, School of Economics, revised Oct 2004. [Downloadable!]
      Other versions:
    24. Maximo Camacho & Gabriel Perez-Quiros & Lorena Saiz & Universidad de Murcia, 2006. "Do european business cycles look like one $\_?$," Computing in Economics and Finance 2006 175, Society for Computational Economics. [Downloadable!]
    25. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    26. James Mitchell & Michael Massmann, 2004. "Reconsidering the evidence: are Eurozone business cycles converging?," Money Macro and Finance (MMF) Research Group Conference 2003 67, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    27. João Loureiro & Manuel M. F. Martins & Ana Paula Ribeiro, 2009. "Cape Verde: The Case for Euroization," FEP Working Papers 317, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
    28. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]
    29. Javier Gómez Biscarri, 2002. "Dating Recessions from Industrial Production Indexes: An Analysis for Europe and the US," Faculty Working Papers 05/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    30. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122. [Downloadable!]
    31. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    32. Marcelle Chauvet & Jeremy M. Piger, 2005. "A comparison of the real-time performance of business cycle dating methods," Working Papers 2005-021, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    33. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA. [Downloadable!]
    34. Robert A Buckle & David Haugh & Peter Thomson, 2002. "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series 02/08, New Zealand Treasury. [Downloadable!]
    35. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    36. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Banco de España Working Papers 0518, Banco de España. [Downloadable!]
      Other versions:
    37. Edward E. Leamer, 2008. "What's a Recession, Anyway?," NBER Working Papers 14221, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    38. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Papers 367, University of Pittsburgh, Department of Economics, revised Sep 2008. [Downloadable!]
    39. Maurizio Bovi, 2003. "Nonparametric Analysis Of The International Business Cycles," ISAE Working Papers 37, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]

  11. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Adrian Pagan, 2002. "Learning About Models And Their Fit To Data ," International Economic Journal, Korean International Economic Association, vol. 16(2), pages 1-18, June. [Downloadable!] (restricted)

    Cited by:

    1. Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany. [Downloadable!]
    2. Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39. [Downloadable!]
    4. Serineh Najarian & H. L. Leon, 2003. "Time-Varying Thresholds: An Application to Purchasing Power Parity," IMF Working Papers 03/181, International Monetary Fund. [Downloadable!]
    5. Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    6. Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16525, University Library of Munich, Germany. [Downloadable!]
    7. Daniel Buncic, 2008. "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers 2008-02, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:

  13. Adrian R. Pagan, Michael R. Veall, 2000. "Data mining and the econometrics industry: comments on the papers of Mayer and of Hoover and Perez," Journal of Economic Methodology, Taylor and Francis Journals, vol. 7(2), pages 211-216, June. [Downloadable!] (restricted)

    Cited by:

    1. Roger E. Backhouse, Mary S. Morgan, 2000. "Introduction: is data mining a methodological problem?," Journal of Economic Methodology, Taylor and Francis Journals, vol. 7(2), pages 171-181, June. [Downloadable!] (restricted)
    2. Mayer, Thomas, 2006. "The Empirical Significance of Econometric Models," Working Papers 06-20, University of California at Davis, Department of Economics. [Downloadable!]

  14. Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-42, December.

    Cited by:

    1. Renée Fry, 2004. "International demand and liquidity shocks in a SVAR model of the Australian economy," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 849-863, May. [Downloadable!] (restricted)
    2. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2009. "VARMA models for Malaysian Monetary Policy Analysis," Monash Econometrics and Business Statistics Working Papers 6/09, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    3. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics. [Downloadable!]
    4. Sebastian Sosa & Paul Cashin, 2009. "Macroeconomic Fluctuations in the Caribbean: the Role of Climatic and External Shocks," IMF Working Papers 09/159, International Monetary Fund. [Downloadable!]
    5. Edda Claus & Mardi Dungey & Renée Fry, 2008. "Monetary Policy in Illiquid Markets: Options for a Small Open Economy," Open Economies Review, Springer, vol. 19(3), pages 305-336, July. [Downloadable!] (restricted)
      Other versions:
    6. Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    7. Iris Claus & Aaron Gill & Boram Lee & Nathan McLellan, 2006. "An empirical investigation of fiscal policy in New Zealand," Treasury Working Paper Series 06/08, New Zealand Treasury. [Downloadable!]
    8. Sebastian Sosa, 2008. "External Shocks and Business Cycle Fluctuations in Mexico: How Important are U.S. Factors?," IMF Working Papers 08/100, International Monetary Fund. [Downloadable!]
    9. Paul Cashin & Sam Ouliaris, 2001. "Key Features of Australian Business Cycles," IMF Working Papers 01/171, International Monetary Fund. [Downloadable!]
      Other versions:
    10. Edda Claus & ris Claus, 2007. "Transmitting shocks to the economy: The contribution of interest and exchange rates and the credit channel," The Institute for International Integration Studies Discussion Paper Series iiisdp206, IIIS. [Downloadable!]
      Other versions:
    11. K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(3), pages 267-283, September. [Downloadable!] (restricted)
    12. Furlani, Luiz G. C. & Portugal, Marcelo S. & Laurini, Márcio P., 2008. "Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence," Ibmec Working Papers wpe_122, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    13. Lei Lei Song & John Freebairn & Don Harding, 2001. "Policy Options to Reduce Unemployment: TRYM Simulations," Melbourne Institute Working Paper Series wp2001n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    14. Eric Leeper & Tao Zha, 2002. "Empirical analysis of policy interventions," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
      Other versions:
    15. A.H.J. den Reijer, 2002. "International Business Cycle Indicators, Measurement and Forecasting," WO Research Memoranda (discontinued) 689, Netherlands Central Bank, Research Department. [Downloadable!]
    16. A. R. Pagan & Luis Catão & Douglas Laxton, 2008. "Monetary Transmission in an Emerging Targeter: The Case of Brazil," IMF Working Papers 08/191, International Monetary Fund. [Downloadable!]
    17. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    18. Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 08/23, International Monetary Fund. [Downloadable!]
    19. Aron, Janine & Muellbauer, John, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," CEPR Discussion Papers 3595, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    20. Richard Dennis, 2002. "Exploring the role of the real exchange rate in Australian monetary policy," Working Papers in Applied Economic Theory 2002-19, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    21. Dean Scrimgeour, 2001. "Exchange rate volatility and Currency Union: Some theory and New Zealand evidence," Reserve Bank of New Zealand Discussion Paper Series DP2001/04, Reserve Bank of New Zealand. [Downloadable!]
    22. Robert A Buckle & Kunhong Kim & Nathan McLellan, 2003. "The impact of monetary policy on New Zealand business cycles and inflation variability," Treasury Working Paper Series 03/09, New Zealand Treasury. [Downloadable!]
      Other versions:
    23. Dan Andrews & Marion Kohler, 2005. "International Business Cycle Co-movements through Time," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
    24. de Silva, Ashton, 2008. "Forecasting macroeconomic variables using a structural state space model," MPRA Paper 11060, University Library of Munich, Germany. [Downloadable!]
    25. Mardi Dungey, 2001. "International Shocks and the Role of Domestic Policy in Australia," CEPR Discussion Papers 443, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
      Other versions:
    26. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    27. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany. [Downloadable!]
    28. Hsiao Chink Tang, 2006. "The Relative Importance Of Monetary Policy Transmission Channels In Malaysia," CAMA Working Papers 2006-23, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    29. Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia. [Downloadable!]
    30. Mardi Dungey & Adrian Pagan, 2008. "Extending an SVAR Model of the Australian Economy," NCER Working Paper Series 21, National Centre for Econometric Research. [Downloadable!]
      Other versions:
    31. Leon Berkelmans, 2005. "Credit and Monetary Policy: An Australian SVAR," RBA Research Discussion Papers rdp2005-06, Reserve Bank of Australia. [Downloadable!]
    32. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, Australian National University, Economics RSPAS. [Downloadable!]
    33. Jean-Philippe Cotis & Jonathan Coppel, 2005. "Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
    34. Hyeon-Seung Huh, 2005. "A simple test of exogeneity for recursively structured VAR models," Applied Economics, Taylor and Francis Journals, vol. 37(20), pages 2307-2313, November. [Downloadable!] (restricted)
    35. Lei Lei Song & John Freebairn, 2004. "ow Big Was the Effect of Budget Consolidation on the Australian Economy in the 1990s?," Melbourne Institute Working Paper Series wp2004n30, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
      Other versions:
    36. Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury. [Downloadable!]
    37. Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand. [Downloadable!]
    38. Wilson Au-Yeung & Jason McDonald & Amanda Sayegh, 2006. "Australian Government Balance Sheet Management," NBER Working Papers 12302, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    39. Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings 148, Econometric Society. [Downloadable!]
    40. Thomas A Lubik, 2005. "A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism," Reserve Bank of New Zealand Discussion Paper Series DP2005/06, Reserve Bank of New Zealand. [Downloadable!]
    41. Renee Fry, 2002. "International SVAR Factor Modelling," School of Economics and Finance Discussion Papers and Working Papers Series 109, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    42. Helmut Franken & Guillermo Le Fort & Eric Parrado, 2005. "Business Cycle Dynamics and Shock Resilience in Chile," Working Papers Central Bank of Chile 331, Central Bank of Chile. [Downloadable!]
    43. Philippe D Karam & Adrian Pagan, 2008. "A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation," IMF Working Papers 08/64, International Monetary Fund. [Downloadable!]

  15. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715. [Downloadable!]

    Cited by:

    1. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI. [Downloadable!]
    2. Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007. "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," NBER Working Papers 13588, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Kerstin Bernoth & Guntram B. Wolff, 2006. "Fool the Markets? Creative Accounting, Fiscal Transparency and Sovereign Risk Premia," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    4. Ludger Schuknecht & Jürgen von Hagen & Guido Wolswijk, 2008. "Government risk premiums in the bond market. EMU and Canada," Working Paper Series 879, European Central Bank. [Downloadable!]
      Other versions:
    5. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    6. Mark Hallerberg & Guntram Wolff, 2008. "Fiscal institutions, fiscal policy and sovereign risk premia in EMU," Public Choice, Springer, vol. 136(3), pages 379-396, September. [Downloadable!] (restricted)
    7. Kenneth W. Clements & Renee Fry, 2006. "Commodity Currencies And Currency Commodities," CAMA Working Papers 2006-19, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    8. Favero, Carlo A & Pagano, Marco & von Thadden, Ernst-Ludwig, 2008. "How Does Liquidity Affect Government Bond Yields?," CEPR Discussion Papers 6649, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    9. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund. [Downloadable!]
    10. Fiess, Norbert, 2003. "Capital flows, country risk, and contagion," Policy Research Working Paper Series 2943, The World Bank. [Downloadable!]
    11. Balli, Faruk, 2008. "Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?," MPRA Paper 10162, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    12. Carlo Favero & Iryna Kaminska & Ulf Soderstrom, 2005. "The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation," Working Papers 280, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    13. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    14. Shakila Aruman, 2003. "The Effectiveness of Foreign Exchange Intervention in Australia: A Factor Model Approach with GARCH Specifications," School of Economics and Finance Discussion Papers and Working Papers Series 135, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    15. Hallerberg, Mark & Wolff, Guntram B., 2006. "Fiscal institutions, fiscal policy and sovereign risk premia," Discussion Paper Series 1: Economic Studies 2006,35, Deutsche Bundesbank, Research Centre. [Downloadable!]
    16. Kerstin Bernoth & Jürgen von Hagen & Ludger Schuknecht, 2006. "Sovereign Risk Premiums in the European Government Bond Market," Discussion Papers 151, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
    17. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    18. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund. [Downloadable!]
      Other versions:
    19. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2005. "Valutation, Liquidity and Risk in Government Bond Markets," Working Papers 281, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    20. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund. [Downloadable!]
    21. Chris Heaton & Victor Solo, 2002. "Identification and Estimation of Causal Factor Models of Stationary Time Series," Research Papers 0201, Macquarie University, Department of Economics. [Downloadable!]
    22. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  16. Gruen, David & Pagan, Adrian & Thompson, Christopher, 1999. "The Phillips curve in Australia," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 223-258, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. McKibbin, Warwick J. & Pagan, Adrian R. & Robertson, John C., 1998. "Some experiments in constructing a hybrid model for macroeconomic analysis," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 113-142, December. [Downloadable!] (restricted)

    Cited by:

    1. Peter N. Ireland, 1999. "A method for taking models to the data," Working Paper 9903, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:
    2. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    3. James B. Ang, 2007. "A Survey Of Recent Developments In The Literature Of Finance And Growth," Monash Economics Working Papers 03/07, Monash University, Department of Economics. [Downloadable!]
      Other versions:
    4. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    5. Warwick J. McKibbin & Kanhaiya Singh, 2000. "Issues in the Choice of a Monetary Regime for India," ASARC Working Papers 2000-01, Australian National University, Australia South Asia Research Centre. [Downloadable!]

  18. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 202-217, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  19. Levtchenkova, S & Pagan, A R & Robertson, J C, 1998. " Shocking Stories," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 507-32, December. [Downloadable!] (restricted)

    Cited by:

    1. Jeon, Yongil & Shields, Michael P., 2008. "The Impact of Relative Cohort Size on U.S. Fertility, 1913-2001," IZA Discussion Papers 3587, Institute for the Study of Labor (IZA). [Downloadable!]
    2. Katrin Assenmacher-Wesche, 2008. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 197-246, June. [Downloadable!]
    3. David I. Harvey & Terence C. Mills, 2005. "Evidence for common features in G7 macroeconomic time series," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 165-175, February. [Downloadable!] (restricted)
    4. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]
    5. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    6. Antonio Ribba, 2006. "The joint dynamics of inflation, unemployment and interest rate in the United States since 1980," Empirical Economics, Springer, vol. 31(2), pages 497-511, June. [Downloadable!] (restricted)
    7. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    8. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007. [Downloadable!]
    9. Fielding, David & Lee, Kevin & Shields, Kalvinder, 2004. "The Characteristics of Macroeconomic Shocks in the CFA Franc Zone," Working Papers UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
      Other versions:
    10. Héctor F. Bravo & Carlos J. García & Verónica Mies & Matías Tapia, 2003. "Heterogeneity in Monetary Transmission: Sectoral and Regional Effects," Working Papers Central Bank of Chile 235, Central Bank of Chile. [Downloadable!]
    11. Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007. "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers 2007-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    12. Mardi Dungey & Denise R Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 121, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:

  20. Hylleberg, S. & Pagan, A. R., 1997. "Seasonal integration and the evolving seasonals model," International Journal of Forecasting, Elsevier, vol. 13(3), pages 329-340, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  21. Pagan, Adrian, 1997. "Policy, Theory, and the Cycle," Oxford Review of Economic Policy, Oxford University Press, vol. 13(3), pages 19-33, Autumn.

    Cited by:

    1. Renée Fry, 2004. "International demand and liquidity shocks in a SVAR model of the Australian economy," Applied Economics, Taylor and Francis Journals, vol. 36(8), pages 849-863, May. [Downloadable!] (restricted)
    2. Michael J. Artis, 2002. "Reflections on the Optimal Currency Area (OCA) criteria in the light of EMU," Working Papers 69, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    3. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society. [Downloadable!]
      Other versions:
    4. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    5. Hans-Martin Krolzig & Juan Toro, 2002. "Classical and Modern Business Cycle Measurement: The European Case," Economic Working Papers at Centro de Estudios Andaluces E2002/20, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    6. Alasdair Scott, 2000. "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series DP2000/04, Reserve Bank of New Zealand. [Downloadable!]
    7. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]

  22. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May. [Downloadable!] (restricted)

    Cited by:

    1. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    2. Niklas Wagner & Terry Marsh, 2003. "Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes," Research Program in Finance, Working Paper Series 1012, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    3. John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 827-840, April. [Downloadable!] (restricted)
      Other versions:
    4. Cotter, John, 2004. "Downside Risk for European Equity Markets," MPRA Paper 3537, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    5. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Quantitative Finance Papers physics/0305089, arXiv.org. [Downloadable!]
    6. Andreas Behr & Ulrich Pötter, 2009. "Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models," Annals of Finance, Springer, vol. 5(1), pages 49-68, January. [Downloadable!] (restricted)
    7. Niklas Wagner & Terry Marsh, 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance, Working Paper Series 1000, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    8. Cotter, John, 2000. "Volatility and the Euro: an Irish perspective," MPRA Paper 3535, University Library of Munich, Germany. [Downloadable!]
    9. Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Documents de Travail 77, Banque de France. [Downloadable!]
    10. John Cotter, 2005. "Extreme risk in futures contracts," Applied Economics Letters, Taylor and Francis Journals, vol. 12(8), pages 489-492, June. [Downloadable!] (restricted)
    11. John Galbraith & Serguei Zernov, 2002. "Circuit Breakers and the Tail Index of Equity Returns," CIRANO Working Papers 2002s-62, CIRANO. [Downloadable!]
      Other versions:
    12. Patrice Bertail & Christian Haefke & D Politis & Halbert White, 2000. "A Subsampling Approach to Estimating The Distribution of Diverging Statistics with Applications to Assessing Financial Market Risk," University of California at San Diego, Economics Working Paper Series 2000-01, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    13. Jose Lopez, 1998. "Methods for evaluating value-at-risk estimates," Research Paper 9802, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    14. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006. [Downloadable!]
    15. Jón Daníelsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," Tinbergen Institute Discussion Papers 98-016/2, Tinbergen Institute. [Downloadable!]
      Other versions:
    16. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers 1283, Cowles Foundation, Yale University. [Downloadable!]
    17. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer, vol. 26(1), pages 19-49, August. [Downloadable!] (restricted)
    18. Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's," Cowles Foundation Discussion Papers 1080, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    19. John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics. [Downloadable!]
    20. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    21. Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001. [Downloadable!]
      Other versions:

  23. Adrian Pagan, 1997. "Towards an Understanding of Some Business Cycle Characteristics," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 30(1), pages 1-15. [Downloadable!] (restricted)

    Cited by:

    1. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    3. Hans-Martin Krolzig & Juan Toro, 2002. "Classical and Modern Business Cycle Measurement: The European Case," Economic Working Papers at Centro de Estudios Andaluces E2002/20, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    4. Allan P. Layton & Anirvan Banerji, 2001. "What Is A Recession?: A Reprise," School of Economics and Finance Discussion Papers and Working Papers Series 095, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    5. Alasdair Scott, 2000. "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series DP2000/04, Reserve Bank of New Zealand. [Downloadable!]
    6. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January. [Downloadable!] (restricted)
      Other versions:
    7. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    8. C John McDermott & Alasdair Scott, 1999. "Concordance in business cycles," Reserve Bank of New Zealand Discussion Paper Series G99/7, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    9. Hans-Martin Krolzig & Michael Clements, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 058, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    10. Henry, O.T. & Summers, P.M., 2000. "Australian Economic Growth: Non-Linearities and Internaitonal Influences," Department of Economics - Working Papers Series 738, The University of Melbourne. [Downloadable!]
    11. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 04/136, International Monetary Fund. [Downloadable!]
    12. Phil Bodman, . "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia. [Downloadable!]
    13. Allan P. Layton & Anirvan Banerji, 2003. "What is a recession?: A reprise 1 Various sections of this paper draw very significantly on our earlier paper, Layton and Banerji (2001), in which the same conceptual arguments were made and a detaile," Applied Economics, Taylor and Francis Journals, vol. 35(16), pages 1789-1797, November. [Downloadable!] (restricted)
    14. Maurizio Bovi, 2003. "Nonparametric Analysis Of The International Business Cycles," ISAE Working Papers 37, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]

  24. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May. [Downloadable!] (restricted)

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Tracey West & Andrew C. Worthington, 2003. "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M," School of Economics and Finance Discussion Papers and Working Papers Series 160, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    4. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management. [Downloadable!]
    5. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, . "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Department of Economics, University of Glasgow. [Downloadable!]
    6. Mike R Wickens & Peter N Smith, . "Macroeconmic Sources of FOREX Risk," Discussion Papers 01/13, Department of Economics, University of York. [Downloadable!]
      Other versions:
    7. Michel Beine & Agnes Benassy-Quere & Christelle Lecourt, 1999. "The impact of foreign exchange interventions: new evidence from FIGARCH estimations," Working Papers 1999-14, CEPII research center. [Downloadable!]
    8. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society. [Downloadable!]
    9. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]
    10. Shaun Bond & Stephen Satchell, 2006. "Asymmetry and downside risk in foreign exchange markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(4), pages 313-332, June. [Downloadable!] (restricted)
    11. Martin Scheicher & Ernst Glatzer, 2003. "Modelling the implied probability of stock market movements," Working Paper Series 212, European Central Bank. [Downloadable!]
    12. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    13. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The econometric analysis of microscopic simulation models," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    14. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Quantitative Finance Papers cond-mat/0109410, arXiv.org. [Downloadable!]
    15. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    16. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
    17. Rama CONT & Jean-Philippe BOUCHAUD, 1997. "Herd behavior and aggregate fluctuations in financial markets," Finance 9712008, EconWPA, revised 30 Dec 1997. [Downloadable!]
    18. J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics. [Downloadable!]
    19. 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!]
    20. 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!]
    21. Rama Cont, 1997. "Scaling and correlation in financial data," Quantitative Finance Papers cond-mat/9705075, arXiv.org, revised May 1997. [Downloadable!]
    22. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Quantitative Finance Papers cond-mat/9712318, arXiv.org, revised Jan 1998. [Downloadable!]
    23. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University. [Downloadable!]
    24. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    25. Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Quantitative Finance Papers cond-mat/0111310, arXiv.org. [Downloadable!]
    26. J. Huston McCulloch & Prasad V. Bidarkota, 2002. "Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 02-04, Ohio State University, Department of Economics. [Downloadable!]
    27. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer, vol. 54(4), pages 445-462, December. [Downloadable!] (restricted)
    28. Andrew C. Worthington & Helen Higgs, 2003. "A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market," School of Economics and Finance Discussion Papers and Working Papers Series 140, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    29. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics. [Downloadable!]
    30. Bertrand Maillet, Thierry Michel, 2000. "Further insights on the puzzle of technical analysis profitability," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 196-224, June. [Downloadable!] (restricted)
    31. Andrew C. Worthington & Helen Higgs, 2003. "Modelling the Intraday Return Volatility Process In The Australian Equity Market: An Examination Of The Role Of Information Arrival In S&P/Asx 50 Stocks," School of Economics and Finance Discussion Papers and Working Papers Series 150, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    32. Gaunersdorfer, A. & Hommes, C.H.,, 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    33. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    34. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA. [Downloadable!]
      Other versions:
    35. Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    36. Ozun, Alper & Cifter, Atilla, 2007. "Nonlinear Combination of Financial Forecast with Genetic Algorithm," MPRA Paper 2488, University Library of Munich, Germany. [Downloadable!]
    37. Andrew C. Worthington & Adam Kay-Spratley & Helen Higgs, 2002. "Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis," School of Economics and Finance Discussion Papers and Working Papers Series 114, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    38. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Quantitative Finance Papers physics/0305089, arXiv.org. [Downloadable!]
    39. Andrea Morone, 2005. "Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts," Papers on Strategic Interaction 2005-27, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
      Other versions:
    40. Adam Clements & Scott White, 2005. "Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage," School of Economics and Finance Discussion Papers and Working Papers Series 192, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    41. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    42. Ardia, David, 2003. "Analysis of dependencies in low frequency financial data sets," MPRA Paper 12682, University Library of Munich, Germany. [Downloadable!]
    43. Adrian Pagan, 2002. "Learning About Models And Their Fit To Data ," International Economic Journal, Korean International Economic Association, vol. 16(2), pages 1-18, June. [Downloadable!] (restricted)
    44. Dahl, Christian M. & Nielsen, Steen, 2001. "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers 07-2001, Copenhagen Business School, Department of Economics. [Downloadable!]
    45. Adam Clements & Scott White, 2005. "Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model," School of Economics and Finance Discussion Papers and Working Papers Series 191, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    46. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
      Other versions:
    47. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
    48. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy. [Downloadable!]
    49. Prasad Bidarkota & J. Huston McCulloch, 2003. "News or Noise? Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 0304, Florida International University, Department of Economics. [Downloadable!]
    50. Andrea Morone, 2004. "Financial Market in the Laboratory," Experimental 0401002, EconWPA. [Downloadable!]
      Other versions:
    51. Thomas Lux & Didier Sornette, 1999. "On Rational Bubbles and Fat Tails," Discussion Paper Serie B 458, University of Bonn, Germany. [Downloadable!]
      Other versions:
    52. Menelaos Karanasos, . "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York. [Downloadable!]
    53. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series /2003/460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    54. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    55. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 249-274, September. [Downloadable!] (restricted)
    56. Young-Kyu Moh & Nelson C. Mark, 2004. "Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market," Econometric Society 2004 Far Eastern Meetings 762, Econometric Society. [Downloadable!]
      Other versions:
    57. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Quantitative Finance Papers nlin/0312040, arXiv.org. [Downloadable!]
    58. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 623-633, September. [Downloadable!] (restricted)
    59. Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Quantitative Finance Papers cond-mat/0004263, arXiv.org, revised May 2000. [Downloadable!]
    60. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer, vol. 26(1), pages 19-49, August. [Downloadable!] (restricted)
    61. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]
    62. Thomas Lux & D. Sornette, 1999. "On Rational Bubbles and Fat Tails," Quantitative Finance Papers cond-mat/9910141, arXiv.org. [Downloadable!]
    63. Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2009. "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," LEM Papers Series 2009/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
      Other versions:
    64. Laurence Copeland & Biqiong Zhang, 2003. "Volatility and Volume in Chinese Stock Markets," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 1(3), pages 287-300, September. [Downloadable!] (restricted)
    65. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation," Quantitative Finance Papers cond-mat/0101371, arXiv.org. [Downloadable!]
    66. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    67. Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    68. 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!]
    69. Taisei Kaizoji, 2005. "Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices," Quantitative Finance Papers physics/0506114, arXiv.org. [Downloadable!]
    70. M.F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 201-206, December. [Downloadable!] (restricted)
    71. Martin Scheicher, 2000. "Time-varying risk in the German stock market," European Journal of Finance, Taylor and Francis Journals, vol. 6(1), pages 70-91, March. [Downloadable!] (restricted)
    72. Yuming Fu & Stephen Ching, 2001. "Examining Competition in Land Market: An Application of Event Study to Land Auctions in Hong Kong," Wisconsin-Madison CULER working papers 01-01, University of Wisconsin Center for Urban Land Economic Research. [Downloadable!]
    73. Chris Downing & Stephen Oliner, 2004. "The term structure of commercial paper rates," Finance and Economics Discussion Series 2004-18, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    74. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    75. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
    76. Cotter, John, 2000. "Margin Exceedences for European Stock Index Futures using Extreme Value Theory," MPRA Paper 3534, University Library of Munich, Germany, revised 2001. [Downloadable!]
      Other versions:
    77. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    78. Menelaos Karanasos, . "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York. [Downloadable!]
      Other versions:
    79. D. Sornette, 2000. ""Slimming" of power law tails by increasing market returns," Quantitative Finance Papers cond-mat/0010112, arXiv.org, revised Sep 2001. [Downloadable!]
    80. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    81. Shu-Heng Chen & Chia-Hsuan Yeh, 1999. "Evolving Traders and the Faculty of the Business School: A New Architecture of the Artificial Stock Market," Computing in Economics and Finance 1999 613, Society for Computational Economics. [Downloadable!]
    82. Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute. [Downloadable!]
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    83. Stefan Lundbergh & Timo Teräsvirta, 1999. "Modelling Economic High-Frequency Time Series," Tinbergen Institute Discussion Papers 99-009/4, Tinbergen Institute. [Downloadable!]
    84. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    85. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    86. Helen Higgs & Andrew C Worthington, 2004. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," School of Economics and Finance Discussion Papers and Working Papers Series 186, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    87. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," CORE Discussion Papers 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    88. Claudio Soto & Rodrigo Valdés, 1999. "Exchange Volatility and Risk Premium," Working Papers Central Bank of Chile 46, Central Bank of Chile. [Downloadable!]
    89. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]

  25. Adrian R. Pagan & John C. Robertson, 1995. "Resolving the liquidity effect," Proceedings, Federal Reserve Bank of St. Louis, issue May, pages 33-54. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  26. Pagan, Adrian, 1994. "Calibration and Econometric Research: An Overview: Introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S1-10, Suppl. De. [Downloadable!] (restricted)

    Cited by:

    1. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic equilibrium economies: a framework for comparing models and data," Staff Report 243, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:

  27. Adián R. Pagan & Hernán Sabau, 1992. "Consistency tests for heteroskedastic and risk models," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(1), pages 3-30.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. 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:

  28. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  29. Pagan, Adrian R. & Schwert, G. William, 1990. "Testing for covariance stationarity in stock market data," Economics Letters, Elsevier, vol. 33(2), pages 165-170, June. [Downloadable!] (restricted)

    Cited by:

    1. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    2. Ahamada Ibrahim, 2003. "Non stationarity characteristics of the S\&P500 returns:An approach based on the evolutionary spectral density," Economics Bulletin, Economics Bulletin, vol. 3(32), pages 1-7. [Downloadable!]
    3. Ibrahim Ahamada & Jamel Jouini & Mohamed Boutahar, 2004. "Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density," Applied Economics, Taylor and Francis Journals, vol. 36(10), pages 1095-1101, June. [Downloadable!] (restricted)
    4. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics. [Downloadable!]
    5. Ramsey, James B. & Zhang, Zhifeng, 1995. "The Analysis of Foreign Exchange Data Using Waveform Dictionaries," Working Papers 95-03, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    6. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA. [Downloadable!]
    7. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249_v1, HAL. [Downloadable!]
    8. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 623-633, September. [Downloadable!] (restricted)
    9. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers 1283, Cowles Foundation, Yale University. [Downloadable!]
    10. Jack H. Rubens & David A. Louton & Elizabeth J. Yobaccio, 1998. "Measuring the Significance of Diversification Gains," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 73-86. [Downloadable!]
    11. Leïla Nouira & Ibrahim Ahamada & Jamel Jouini & Alain Nurbel, 2004. "Long-memory and shifts in the unconditional variance in the exchange rate euro/US dollar returns," Applied Economics Letters, Taylor and Francis Journals, vol. 11(9), pages 591-594, January. [Downloadable!] (restricted)
    12. M.F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 201-206, December. [Downloadable!] (restricted)
    13. Ignacio Mauleon, Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student’s t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239, June. [Downloadable!] (restricted)

  30. Pagan, Adrian R & Wickens, M R, 1989. "A Survey of Some Recent Econometric Methods," Economic Journal, Royal Economic Society, vol. 99(398), pages 962-1025, December. [Downloadable!] (restricted)

    Cited by:

    1. Frain, John, 1995. "Econometrics and Truth," Research Technical Papers 2/RT/95, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    2. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Joseph H. Haslag & Michael Nieswiadomy & D.J. Slottje, 1990. "Are net discount ratios stationary?: the implications for present value calculations," Research Paper 9006, Federal Reserve Bank of Dallas. [Downloadable!]
    4. Jaime Vallés Giménez & Anabel Zárate Marco, . "Influyen las ayudas públicas por descendientes la fecundidad?. Un estudio para España por tramos de edad," Studies on the Spanish Economy 148, FEDEA. [Downloadable!]
    5. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  31. Pagan, Adrian, 1989. "On the role of simulation in the statistical evaluation of econometric models," Journal of Econometrics, Elsevier, vol. 40(1), pages 125-139, January. [Downloadable!] (restricted)

    Cited by:

    1. Jaime Marquez & Neil R. Ericsson, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Albert Ando & Flint Brayton, 1993. "Prices, Wages, and Employment in the U.S. Economy: A Traditional Model and Tests of Some Alternatives," NBER Working Papers 4568, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Hukkinen, Juhana & Viren, Matti, 1996. "Assessing the Forecasting Performance of a Macroeconomic Model," Research Discussion Papers 23/1996, Bank of Finland. [Downloadable!]
    4. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    5. Hukkinen, Juhana & Viren, Matti, 1998. "How to Evaluate the Forecasting Performance of a Macroeconomic Model," Research Discussion Papers 5/1998, Bank of Finland. [Downloadable!]

  32. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S29-59, Supplemen. [Downloadable!] (restricted)

    Cited by:

    1. Raffaele Miniaci & Sergio Pastorello, 2008. "Mean-Variance Econometric Analysis of Household Portfolios," Working Papers 0807, University of Brescia, Department of Economics. [Downloadable!]
    2. Astrid Grasdal, 2001. "The performance of sample selection estimators to control for attrition bias," Health Economics, John Wiley & Sons, Ltd., vol. 10(5), pages 385-398. [Downloadable!]
    3. John Mullahy, 1998. "Much Ado About Two: Reconsidering Retransformation and the Two-Part Model in Health Economics," NBER Technical Working Papers 0228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. M. Genius & Elisabetta Strazzera, 2003. "The copula approach of sampling selection modelling: an application to the recreational value of forests," Working Paper CRENoS 200308, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    5. Spermann, Alexander & Strotmann, Harald, 2005. "The Targeted Negative Income Tax (TNIT) in Germany: Evidence from a Quasi Experiment," ZEW Discussion Papers 05-68, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
      Other versions:
    6. Elisabetta Strazzera & Margarita Genius, 2004. "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers 2004.73, Fondazione Eni Enrico Mattei. [Downloadable!]
    7. Pieter Serneels, 2004. "The Nature of Unemployment in Urban Ethiopia," Development and Comp Systems 0409042, EconWPA. [Downloadable!]
    8. Stefan Hochguertel, 2003. "Precautionary motives and portfolio decisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 61-77. [Downloadable!]
      Other versions:
    9. Samuel Muehlemann & Stefan C. Wolter & Jürg Schweri & Rainer Winkelmann, 2007. "An empirical analysis of the decision to train apprentices," Economics of Education Working Paper Series 0005, University of Zurich, Institute for Strategy and Business Economics (ISU). [Downloadable!]