1. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
2. Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
3. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Maurice Obstfeld & Jay Shambaugh & Alan Taylor, 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," Center for International and Development Economics Research, Working Paper Series 1049, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
   Other versions:
   • Obstfeld, Maurice & Shambaugh, Jay C & Taylor, Alan M, 2004. "The Trilemma in History: Trade-offs Among Exchange Rates, Monetary Policies and Capital Mobility," CEPR Discussion Papers 4352, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," NBER Working Papers 10396, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Maurice Obstfeld & Jay Shambaugh & Alan Taylor, 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," International Finance 0407003, EconWPA. [Downloadable!]
   • Maurice Obstfeld & Jay C.Shambaugh & Alan M.Taylor, 2003. "The Trilemma in History:Tradeoffs among Exchange Rates, Monetary Policies,and Capital Mobility," DNB Staff Reports (discontinued) 94, Netherlands Central Bank. [Downloadable!]
   • Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2005. "The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 423-438, December. [Downloadable!] (restricted)
5. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
   Other versions:
   • Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
6. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
7. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
8. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
   Other versions:
   • David Hendry, 1995. "On the interactions of unit roots and exogeneity," Econometric Reviews, Taylor and Francis Journals, vol. 14(4), pages 383-419. [Downloadable!] (restricted)
9. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
   Other versions:
   • Elena Pesavento, 2007. "Residuals-based tests for the null of no-cointegration: an Analytical comparison," Journal of Time Series Analysis, Blackwell Publishing, vol. 28(1), pages 111-137, 01. [Downloadable!] (restricted)
10. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
11. Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany. [Downloadable!]
12. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation, Yale University. [Downloadable!]
13. Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics 9610004, EconWPA. [Downloadable!]
14. Lucas, Andr‚, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
15. Mukhtar Ali, 2002. "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 89-119. [Downloadable!] (restricted)
16. Erik Hjalmarsson & Pär Österholm, 2007. "Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated," IMF Working Papers 07/141, International Monetary Fund. [Downloadable!]
    Other versions:
    • Erik Hjalmarsson & Par Osterholm, 2007. "Testing for cointegration using the Johansen methodology when variables are near-integrated," International Finance Discussion Papers 915, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
17. Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics. [Downloadable!]
18. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO. [Downloadable!]
19. Clifford A. Ball, Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 1-15, March. [Downloadable!] (restricted)
20. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]
21. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Documents de Travail 234, Banque de France. [Downloadable!]
22. Guillaume Chevillon, 2004. "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers 210, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
    • Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
23. Ai Deng, 2005. "Understanding Spurious Regression in Financial Economics," Boston University - Department of Economics - Working Papers Series WP2005-048, Boston University - Department of Economics. [Downloadable!]
24. Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Working Papers 0044, Department of Economics, Vanderbilt University. [Downloadable!]
    Other versions:
    • Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December. [Downloadable!] (restricted)
25. N. Gregory Mankiw & David H. Romer & Matthew D. Shapiro, 1989. "Stock Market Forecastability and Volatility: A Statistical Appraisal," NBER Working Papers 3154, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
    • Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 455-77, May. [Downloadable!] (restricted)
26. Rossen Valkanov, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management 1099, Anderson Graduate School of Management, UCLA. [Downloadable!]
27. Österholm, Pär, 2003. "The Taylor Rule: A Spurious Regression?," Working Paper Series 2003:20, Uppsala University, Department of Economics. [Downloadable!]
28. W.H. Buiter & U Patel, 1995. "Budgetary Aspects of Stabilization and Strucutral Adjustment in India: The Painful Road to a Sustainable Fiscal-Financial-Monetary Plan," CEP Discussion Papers dp0247, Centre for Economic Performance, LSE. [Downloadable!]

This page was last updated on 2009-12-22.