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Citations for "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative"

by Donald W.K. Andrews & Werner Ploberger

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  1. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo Group Munich.
  2. Luca Fanelli, 2010. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
  3. Changli He & Timo Terasvirta & Andres Gonzalez, 2009. "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
  4. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers, Centro de Investigacion Economica, ITAM 0401, Centro de Investigacion Economica, ITAM.
  5. Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers, Yale School of Management ysm254, Yale School of Management, revised 01 Aug 2007.
  6. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, Elsevier, vol. 148(1), pages 14-24, January.
  7. Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien, 2008. "Nonparametric simultaneous testing for structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 143(1), pages 123-142, March.
  8. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  9. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
  10. Goodness C. Aye & Mehmet Balcilar & John P. Dunne & Rangan Gupta & Renee van Eyden, 2013. "Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa," Working Papers 201344, University of Pretoria, Department of Economics.
  11. Anthony Makin & Paresh Narayan, 2013. "Re-examining the “twin deficits” hypothesis: evidence from Australia," Empirical Economics, Springer, Springer, vol. 45(2), pages 817-829, October.
  12. Marcellino, Massimliano, 2004. "Forecasting EMU macroeconomic variables," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 359-372.
  13. Thomas Laubach and John C. Williams, 2001. "Measuring the Natural Rate of Interest," Computing in Economics and Finance 2001, Society for Computational Economics 35, Society for Computational Economics.
  14. Donald W.K. Andrews & Xu Cheng, 2010. "Estimation and Inference with Weak, Semi-strong, and Strong Identification," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1773, Cowles Foundation for Research in Economics, Yale University.
  15. Luca Benati & Paolo Surico, 2006. "The Great Moderation and the ‘Bernanke Conjecture’," Computing in Economics and Finance 2006, Society for Computational Economics 158, Society for Computational Economics.
  16. Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 1998. "An Empirical Reassessment of Target-zone Nonlinearities," Cambridge Working Papers in Economics 9825, Faculty of Economics, University of Cambridge.
  17. Graham Elliott & Michael Jansson & Elena Pesavento, 2003. "Optimal Power For Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity," Emory Economics, Department of Economics, Emory University (Atlanta) 0303, Department of Economics, Emory University (Atlanta).
  18. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
  19. repec:onb:oenbwp:y::i:62:b:1 is not listed on IDEAS
  20. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "“The relationship between debt level and fiscal sustainability in OECD countries”," IREA Working Papers 201315, University of Barcelona, Research Institute of Applied Economics, revised Sep 2013.
  21. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
  22. Steven M. Fazzari & James Morley & Irina Panovska, 2012. "State-Dependent Effects of Fiscal Policy," INET Research Notes 3, Institute for New Economic Thinking (INET).
  23. Gerard O'Reilly & Karl Whelan, 2005. "Has Euro-Area Inflation Persistence Changed Over Time?," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 709-720, November.
  24. Marcellino, Massimiliano, 2002. "Instability and Non-Linearity in the EMU," CEPR Discussion Papers 3312, C.E.P.R. Discussion Papers.
  25. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers, Netherlands Central Bank, Research Department 139, Netherlands Central Bank, Research Department.
  26. Mohitosh Kejriwal & Pierre Perron, 2009. "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2009-005, Boston University - Department of Economics.
  27. Tue Gørgens & Christopher L. Skeels & Allan H. Würtz, 2009. "Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models," CREATES Research Papers 2009-51, School of Economics and Management, University of Aarhus.
  28. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2006. "The New Keynesian Phillips Curve: from Sticky Inflation to Sticky Prices," Centre for Growth and Business Cycle Research Discussion Paper Series 78, Economics, The Univeristy of Manchester.
  29. Denise R. Osborn & Marianne Sensier, 2009. "Uk Inflation: Persistence, Seasonality And Monetary Policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 24-44, 02.
  30. Jin Seo Cho & Meng Huang & Halbert White, 2009. "Testing for a Constant Mean Function using Functional Regression," Discussion Paper Series 0915, Institute of Economic Research, Korea University.
  31. Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December.
  32. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 1209-1231.
  33. Katrin Assenmacher-Wesche & Stefan Gerlach, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," Working Papers 2006-05, Swiss National Bank.
  34. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 551-76, December.
  35. Mohitosh Kejriwal & Claude Lopez, 2009. "Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation," Purdue University Economics Working Papers 1227, Purdue University, Department of Economics.
  36. van Tol, Michel R & Wolff, Christian C, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers.
  37. Alicia Pérez Alon & Silvestro Di Sanzo, 2005. "Unemployment And Hysteresis: A Nonlinear Unobserved Components Approach," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2005-34, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  38. Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
  39. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers, Czech National Bank, Research Department 2013/14, Czech National Bank, Research Department.
  40. Marwan Elkhoury, 2005. "A Time-Varying Parameter Model of A Monetary Policy Rule for Switzerland. The Case of the Lucas and Friedman Hypothesis," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 01-2006, Economics Section, The Graduate Institute of International Studies.
  41. Luis Fernando melo V. & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a traves de Minimos Cuadrados Flexibles," Borradores de Economia 282, Banco de la Republica de Colombia.
  42. Felix Chan Tommaso Mancini-Griffoli Laurent L. Pauwels, 2006. "Stability Tests for Heterogeneous Panel Data," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 24-2006, Economics Section, The Graduate Institute of International Studies, revised Dec 2006.
  43. José M. Campa & Linda S. Goldberg & José M. González-Mínguez, 2005. "Exchange rate pass through to import prices in the euro area," Banco de Espa�a Working Papers 0538, Banco de Espa�a.
  44. Aßmann, Christian & Boysen-Hogrefe, Jens, 2009. "A bayesian approach to model-based clustering for panel probit models," Economics Working Papers 2009,03, Christian-Albrechts-University of Kiel, Department of Economics.
  45. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers, Department of Economics, City University London 08/08, Department of Economics, City University London.
  46. Giovanni Forchini, 2005. "Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 20/05, Monash University, Department of Econometrics and Business Statistics.
  47. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach," Working Papers, Department of Applied Economics II, Universidad de Valencia 1303, Department of Applied Economics II, Universidad de Valencia.
  48. repec:ebl:ecbull:v:3:y:2004:i:34:p:1-11 is not listed on IDEAS
  49. Esmeralda Ramalho & Joaquim Ramalho & Jose M.R. Murteira, 2012. "A supremum-type RESET test for binary choice models," Economics Bulletin, AccessEcon, vol. 32(1), pages 905-912.
  50. Rossi, Barbara, 2006. "Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 10(01), pages 20-38, February.
  51. Balázs Égert & Amalia Morales-Zumaquero, 2005. "Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just Another Blur Project?," William Davidson Institute Working Papers Series wp782, William Davidson Institute at the University of Michigan.
  52. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile, Central Bank of Chile 355, Central Bank of Chile.
  53. Wolff, Guntram B. & Schulz, Alexander, 2008. "Sovereign bond market integration: the euro, trading platforms and globalization," Discussion Paper Series 1: Economic Studies 2008,12, Deutsche Bundesbank, Research Centre.
  54. Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(1), pages 1-27.
  55. Giovanni Arese-Visconti, 2002. "Inflation Differentials before and after the EMU," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2002_19, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  56. Jesús Crespo Cuaresma & Maria Antoinette Silgoner, 2004. "Groth effects of inflation in Europe: How low is too low, how high is too high?," Vienna Economics Papers, University of Vienna, Department of Economics 0411, University of Vienna, Department of Economics.
  57. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 382-395, October.
  58. Orley Ashenfelter & Daniel Hosken & Matthew Weinberg, 2009. "Generating Evidence to Guide Merger Enforcement," CPI Journal, Competition Policy International, vol. 5.
  59. Jonathan B. Hill, 2004. "Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition Alternatives," Working Papers 0406, Florida International University, Department of Economics.
  60. Neil Shephard & Anders Rahbek, 2002. "Autoregressive conditional root model," Economics Series Working Papers 2002-W07, University of Oxford, Department of Economics.
  61. Dima, Bogdan & Murgea, Aurora & Cristea, Stefana, 2009. "The pattern of Euronext volatility in the crisis period: an intrinsic volatility analysis," MPRA Paper 20145, University Library of Munich, Germany.
  62. Schmeling, Maik, 2006. "Institutional and Individual Sentiment: Smart Money and Noise Trader Risk," Hannover Economic Papers (HEP) dp-337, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  63. Emma Iglesias & Jean Marie Dufour, 2004. "Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors," Econometric Society 2004 North American Summer Meetings 161, Econometric Society.
  64. Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2006-052, Boston University - Department of Economics.
  65. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  66. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
  67. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  68. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, Springer, vol. 45(4), pages 465-515, October.
  69. Gerhard Reitschuler & Rupert Sendlhofer, 2011. "Fiscal policy, trigger points and interest rates: Additional evidence from the U.S," Working Papers 2011-23, Faculty of Economics and Statistics, University of Innsbruck.
  70. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Working Papers 04-39, Bank of Canada.
  71. Luis Fernando Melo & Héctor Núñez, . "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
  72. Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013. "Temporal Causality between House Prices and Output in the U.S.: A Bootstrap Rolling-Window Approach," Working papers, University of Connecticut, Department of Economics 2013-14, University of Connecticut, Department of Economics.
  73. Holm, Thore & Loy, Jens-Peter & Steinhagen, Carsten, 2012. "Bio Auch Bei Der Preissetzung: Konsummilch In Deutschland," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012, German Association of Agricultural Economists (GEWISOLA) 137159, German Association of Agricultural Economists (GEWISOLA).
  74. Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(3), pages 307-326.
  75. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006, Society for Computational Economics 493, Society for Computational Economics.
  76. Robineau, François-Mathieu & Bessec, Marie, 2003. "Comportements chartistes et fondamentalistes : Coexistence ou domination alternative sur le marché des changes ?," Economics Papers from University Paris Dauphine 123456789/10086, Paris Dauphine University.
  77. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001. "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, vol. 72(1), pages 11-18, July.
  78. Olmo, Jose & Pilbeam, Keith & Pouliot, William, 2011. "Detecting the presence of insider trading via structural break tests," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2820-2828, November.
  79. Eo, Yunjong, 2012. "Bayesian Inference about the Types of Structural Breaks When There are Many Breaks," Working Papers 2012-05, University of Sydney, School of Economics.
  80. Adom, Philip Kofi & Bekoe, William, 2013. "Modelling electricity demand in Ghana revisited: The role of policy regime changes," Energy Policy, Elsevier, vol. 61(C), pages 42-50.
  81. Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(4), pages 503-522.
  82. Alicia Puyana & José Romero, 2010. "Informalidad y dualismo en la economía mexicana," Serie documentos de trabajo del Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos 2010-04, El Colegio de México, Centro de Estudios Económicos.
  83. repec:onb:oenbwp:y:2004:i:1:b:1 is not listed on IDEAS
  84. Kevin J. Stiroh, 2001. "Information technology and the U.S. productivity revival: what do the industry data say?," Staff Reports 115, Federal Reserve Bank of New York.
  85. Gauger, Jean, 1998. "Economic Impacts on the Money Supply Process," Journal of Macroeconomics, Elsevier, Elsevier, vol. 20(3), pages 553-577, July.
  86. Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006. "Structural breaks in labor productivity growth: the United States vs. the European Union," Banco de Espa�a Working Papers 0625, Banco de Espa�a.
  87. Catherine Robinson & Mary O'Mahony & Michela Vecchi, 2004. "The Impact Of ICT On The Demand For Skilled Labour: A Cross-Country Comparison," Royal Economic Society Annual Conference 2004, Royal Economic Society 91, Royal Economic Society.
  88. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 60-67, January.
  89. Martin Mandler, 2010. "Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201012, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  90. Javier Hidalgo & Myunghwan Seo, 2011. "Testing For Structural Stability In The Whole Sample," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2011/558, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  91. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
  92. Lai, Kon S., 2008. "The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(1), pages 140-155, February.
  93. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
  94. Filippo Altissimo & Giovanni L. Violante, 2001. "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
  95. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers, European University Institute ECO2007/11, European University Institute.
  96. Simon van Norden, 2010. "Current Trends in the Analysis of Canadian Productivity Growth," CIRANO Working Papers 2010s-30, CIRANO.
  97. Jaya Krishnakumar & David Neto, 2005. "Partial Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 2005.04, Institut d'Economie et Econométrie, Université de Genève, revised Aug 2006.
  98. Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers, Banque de France 336, Banque de France.
  99. José Manuel Campa & Jose M. González Mínguez, 2002. "Differences in exchange rate pass-through in the euro area," Banco de Espa�a Working Papers 0219, Banco de Espa�a.
  100. Perron, Pierre, 1997. "L’estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 73(1), pages 457-505, mars-juin.
  101. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 44(1-2), pages 109-123, October.
  102. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  103. Prodan, Ruxandra, 2008. "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 26, pages 50-65, January.
  104. Alam, Mohammad Jahangir & McKenzie, Andrew M. & Buysse, Jeroen & Begum, Ismat Ara & Wailes, Eric J. & Van Huylenbroeck, Guido, 2012. "Measuring Market Integration in the Presence of Threshold Effect: The Case of Bangladesh Rice Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 124435, Agricultural and Applied Economics Association.
  105. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
  106. Strauss, Jack & Yigit, Taner, 2001. "Present value model, heteroscedasticity and parameter stability tests," Economics Letters, Elsevier, vol. 73(3), pages 375-378, December.
  107. Aksoy Yunus & Leon-Ledesma Miguel A., 2008. "Non-Linearities and Unit Roots in G7 Macroeconomic Variables," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 8(1), pages 1-44, February.
  108. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 7(4), pages 324-346, September.
  109. Bystrov, Victor, 2013. "A factor-augemented model of markup on mortgage loans in Poland," MPRA Paper 49683, University Library of Munich, Germany.
  110. Rebeca Jiménez-Rodríguez, 2002. "Oil Price Shock: A Nonlinear Approach," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2002-32, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  111. Colarossi, Silvio & Zaghini, Andrea, 2007. "Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission," CFS Working Paper Series 2007/16, Center for Financial Studies (CFS).
  112. Antonio Paradiso & Saten Kumar & B. Bhaskara Rao, 2011. "The Growth Effects of Education in Australia," Working Papers, Auckland University of Technology, Department of Economics 2011-05, Auckland University of Technology, Department of Economics.
  113. Gerald A. Carlino & Robert Defina & Keith Sill, 2013. "The Long and Large Decline in State Employment Growth Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 45(2-3), pages 521-534, 03.
  114. Gerlach, Stefan & Tillmann, Peter, 2012. "Inflation targeting and inflation persistence in Asia–Pacific," Journal of Asian Economics, Elsevier, vol. 23(4), pages 360-373.
  115. Jesus Crespo Cuaresma & Maria Antoinette Dimitz & Doris Ritzberger-Grünwald, 2002. "Growth, Convergence and EU Membership," Working Papers 62, Oesterreichische Nationalbank (Austrian Central Bank).
  116. Jens R. Clausen & Carsten-Patrick Meier, 2003. "Did the Bundesbank Follow a Taylor Rule? An Analysis Based on Real-Time Data," IWP Discussion Paper Series, Institute for Economic Policy, Cologne, Germany 02/2003, Institute for Economic Policy, Cologne, Germany.
  117. Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000, Society for Computational Economics 121, Society for Computational Economics.
  118. Jesús Crespo-Cuaresma & Balázs Égert & Ronald MacDonald, 2005. "Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States," William Davidson Institute Working Papers Series wp771, William Davidson Institute at the University of Michigan.
  119. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, Elsevier, vol. 68(2), pages 169-192.
  120. Samih A Azar, 2010. "Random risk aversion and the cost of eliminating the foreign exchange risk of the Euro," Economics Bulletin, AccessEcon, vol. 30(1), pages 157-168.
  121. Bajo-Rubio, Oscar & Diaz-Roldan, Carmen & Esteve, Vicente, 2007. "Change of regime and Phillips curve stability: The case of Spain, 1964-2002," Journal of Policy Modeling, Elsevier, Elsevier, vol. 29(3), pages 453-462.
  122. David Barr & Richard Priestley, . "Expected returns, risk and the integration of international bond markets," CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University 97-04, Economics and Finance Section, School of Social Sciences, Brunel University.
  123. Ai Deng & Pierre Perron, 2005. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-030, Boston University - Department of Economics.
  124. Kuikeu, Oscar, 2011. "Comment la dernière crise financière a relancé le débat relatif à l'arrimage du fcfa à l'euro
    [How the recent financial crisis have revived the debate on the parity between fcfa and euro]
    ," MPRA Paper 32077, University Library of Munich, Germany.
  125. Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo, 2014. "Testing linearity against threshold effects: uniform inference in quantile regression," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 66(2), pages 413-439, April.
  126. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
  127. Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi, 2012. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Working Papers 12-34, Bank of Canada.
  128. A. Morales-Zumaquero & Simon Sosvilla-Rivero, 2008. "Macroeconomic instability in the European monetary system?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(12), pages 965-983.
  129. Antonio Diez De Los Rios & René Garcia, 2011. "Assessing and valuing the nonlinear structure of hedge fund returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 193-212, March.
  130. Byrne, Joseph P & Nagayasu, Jun, 2011. "Common factors of the exchange risk premium in emerging European markets," MPRA Paper 31393, University Library of Munich, Germany.
  131. Nicolas Million, 2006. "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) v06067, Université Panthéon-Sorbonne (Paris 1).
  132. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer, Springer, vol. 13(1), pages 41-69, March.
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