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Citations for "An omnibus test for univariate and multivariate normalit"

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  1. Ericsson, Neil R & Hendry, David F & Prestwich, Kevin M, 1998. " The Demand for Broad Money in the United Kingdom, 1878-1993," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 100(1), pages 289-324, March.
  2. Jan Bo Jakobsen & Torben Voetmann, 2005. "A New Approach for Interpreting Long-Run Returns, Applied to IPO and SEO Stocks," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 337-363, November.
  3. Pedro M. G. Martins, 2010. "Fiscal Dynamics in Ethiopia: The Cointegrated VAR Model with Quarterly Data," Working Paper Series 0910, Department of Economics, University of Sussex.
  4. Harm Bandholz, 2005. "New Composite Leading Indicators for Hungary and Poland," Ifo Working Paper Series Ifo Working Paper No. 3, Ifo Institute for Economic Research at the University of Munich.
  5. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers, CEMFI wp2004_0411, CEMFI.
  6. R. Quentin Grafton & Tom Kompas & P. Dorian Owen, 2004. "Bridging the Barriers: Knowledge Connections, Productivity, and Capital Accumulation," International and Development Economics Working Papers, International and Development Economics idec04-5, International and Development Economics.
  7. Hubert Strauß, 2001. "Cointegration Analysis in an Inflationary Environment: What Can We Learn from Ukraine's Nominal Exports?," Kiel Working Papers 1084, Kiel Institute for the World Economy.
  8. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer, Springer, vol. 27(4), pages 397-429, December.
  9. Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 34(3), pages 407-424, April.
  10. Hatemi-J, Abdulnasser, 2012. "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, Elsevier, vol. 26(2), pages 273-280.
  11. Christopher Klein & Shea Slonaker, 2010. "Chart Turnover and Sales in the Recorded Music Industry: 1990–2005," Review of Industrial Organization, Springer, Springer, vol. 36(4), pages 351-372, June.
  12. Carlos A. Carrasco & Jesus Ferreiro, 2013. "Inflation targeting in Mexico," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 35(3), pages 341-372, April.
  13. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France 108, Banque de France.
  14. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  15. Guro Børnes Ringlund & Knut Einar Rosendahl & Terje Skjerpen, 2004. "Does oilrig activity react to oil price changes? An empirical investigation," Discussion Papers, Research Department of Statistics Norway 372, Research Department of Statistics Norway.
  16. Mohammad Reza Farzanegan, 2012. "Military Spending and Economic Growth: The Case of Iran," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201223, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  17. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers, University of Oxford, Department of Economics 654, University of Oxford, Department of Economics.
  18. Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers, European University Institute ECO2002/23, European University Institute.
  19. 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, Central Bank of Brazil, Research Department 163, Central Bank of Brazil, Research Department.
  20. Coenen, Günter & Vega, Juan Luis, 1999. "The demand for M3 in the euro area," Working Paper Series, European Central Bank 0006, European Central Bank.
  21. Guillaume Chevillon, 2004. "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2004-13, Observatoire Francais des Conjonctures Economiques (OFCE).
  22. Martha Misas & Enrique López Enciso, . "Desequilibrios Reales en Colombia," Borradores de Economia 181, Banco de la Republica de Colombia.
  23. Andreas Benedictow & Pål Boug, 2013. "Trade liberalisation and exchange rate pass-through: the case of textiles and wearing apparels," Empirical Economics, Springer, Springer, vol. 45(2), pages 757-788, October.
  24. Jakobsen, Jan & Sørensen, Ole, 1999. "Decomposing and testing Long-run Returns with an application to initial public offerings in Denmark," Working Papers, Copenhagen Business School, Department of Finance 2000-2, Copenhagen Business School, Department of Finance.
  25. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods and Applications, Springer, Springer, vol. 22(4), pages 535-572, November.
  26. Sándor Kovács & Prasert Chaitip & Chukiat Chaiboonsri & Péter Balogh, 2012. "The Long Memory Property of Hungarian Market Pig Prices: A Comparison of Three Different Methods," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, University of Petrosani, Romania, vol. 12(3), pages 123-138.
  27. Rashid, Shahidur, 2002. "Dynamics of agricultural wage and rice price in Bangladesh," MSSD discussion papers, International Food Policy Research Institute (IFPRI) 44, International Food Policy Research Institute (IFPRI).
  28. Dang, Hai-Anh & Lanjouw, Peter & Luoto, Jill & McKenzie, David, 2011. "Using repeated cross-sections to explore movements in and out of poverty," Policy Research Working Paper Series, The World Bank 5550, The World Bank.
  29. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Working Papers, Bank of Canada 07-20, Bank of Canada.
  30. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers, Tinbergen Institute 07-099/4, Tinbergen Institute.
  31. Kębłowski, Piotr & Welfe, Aleksander, 2012. "A risk-driven approach to exchange rate modelling," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1473-1482.
  32. Stefan Erdorf & Nicolas Heinrichs, 2011. "Co-movement of revenue: structural changes in the business cycle," Financial Markets and Portfolio Management, Springer, Springer, vol. 25(4), pages 411-433, December.
  33. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers, University of Oxford, Department of Economics 257, University of Oxford, Department of Economics.
  34. Lorenzo Pascual & Esther Ruiz & Diego Fresoli, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws113426, Universidad Carlos III, Departamento de Estadística y Econometría.
  35. L. Marattin & P. Paesani & S. Salotti, 2011. "Fiscal shocks, public debt, and long-term interest rate dynamics," Working Papers wp740, Dipartimento Scienze Economiche, Universita' di Bologna.
  36. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, Springer, vol. 43(1), pages 447-456, August.
  37. 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, University of Connecticut, Department of Economics 2008-49, University of Connecticut, Department of Economics.
  38. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working Papers, University of Nevada, Las Vegas , Department of Economics 1208, University of Nevada, Las Vegas , Department of Economics.
  39. Barbara Rossi & Tatevik Sekhposyan, 2013. "Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1370, Department of Economics and Business, Universitat Pompeu Fabra.
  40. Martha Misas A. & Carlos Esteban Posada & Diego Mauricio Vásquez, 2001. "¿Está Determinado el Nivel de Precios por las Expectativas de Dinero y Producto en Colombia?," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 003807, BANCO DE LA REPÚBLICA.
  41. Peiró-Palomino, Jesús & Tortosa-Ausina, Emili, 2013. "Can trust effects on development be generalized? A response by quantile," European Journal of Political Economy, Elsevier, Elsevier, vol. 32(C), pages 377-390.
  42. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers, Tinbergen Institute 03-031/4, Tinbergen Institute.
  43. James K. Galbraith & Olivier Giovannoni & Ann J. Russo, 2007. "The Fed's Real Reaction Function: Monetary Policy, Inflation, Unemployment, Inequality-and Presidential Politics," Economics Working Paper Archive, Levy Economics Institute wp_511, Levy Economics Institute.
  44. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, Springer, vol. 31(1), pages 207-216, March.
  45. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers, University of Oxford, Department of Economics 473, University of Oxford, Department of Economics.
  46. Mark Meyer & Peter Winker*, 2005. "Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations," AStA Advances in Statistical Analysis, Springer, Springer, vol. 89(3), pages 303-320, August.
  47. Jörg Döpke & Christian Pierdzioch, 2004. "Politics and the Stock Market � Evidence from Germany," Kiel Working Papers 1203, Kiel Institute for the World Economy.
  48. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006, Society for Computational Economics 309, Society for Computational Economics.
  49. A. Calza & C. Gartner & J. Sousa, 2003. "Modelling the demand for loans to the private sector in the euro area," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(1), pages 107-117.
  50. Luis Fernando Melo, . "Pronósticos Condicionados para Modelos VAR," Borradores de Economia 062, Banco de la Republica de Colombia.
  51. Hein, Eckhard & Schoder, Christian, 2009. "Interest rates, distribution and capital accumulation: A Post-Kaleckian perspective on the US and Germany," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE) 04/2009, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
  52. Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers, Economics Group, Nuffield College, University of Oxford 2004-W16, Economics Group, Nuffield College, University of Oxford.
  53. Dorothea Schäfer & Boriss Siliverstovs & Eva Terberger, 2005. "Banking Competition, Good or Bad?: The Case of Promoting Micro and Small Enterprise Finance in Kazakhstan," Discussion Papers of DIW Berlin 479, DIW Berlin, German Institute for Economic Research.
  54. Luis Fernando Melo & Franz A.Hamann, . "Inflación Básica.Una Estimación Basada en Modelos VAR Estructurales," Borradores de Economia 093, Banco de la Republica de Colombia.
  55. Vijverberg, Wim P., 2011. "Testing for IIA with the Hausman-McFadden Test," IZA Discussion Papers 5826, Institute for the Study of Labor (IZA).
  56. Barrera, Carlos R., 2011. "Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles," Working Papers, Banco Central de Reserva del Perú 2011-009, Banco Central de Reserva del Perú.
  57. Christos Alexakis & Emmanouil Mavrakis, 2010. "Is Moderate Market Performance in the U.S. a Sufficient Condition for Abnormal Returns on CEFs?," International Advances in Economic Research, Springer, Springer, vol. 16(1), pages 80-95, February.
  58. Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance, EconWPA 0409003, EconWPA.
  59. Sule Akkoyunlu, 2010. "Are Turkish migrants altruistic? Evidence from the macro data," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 10-246, KOF Swiss Economic Institute, ETH Zurich.
  60. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  61. repec:dgr:uvatin:0000032 is not listed on IDEAS
  62. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers, University of Oxford, Department of Economics 584, University of Oxford, Department of Economics.
  63. Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 49(S2), pages 145-157, March.
  64. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, Elsevier, vol. 25(3), pages 329-334, September.
  65. Mark Hon & Soo-Keong Yong, 2004. "The price of owning a car: an analysis of auction quota premium in Singapore," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(7), pages 739-751.
  66. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 38(13), pages 1489-1500.
  67. Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0509, Department of Economics, University of Insubria.
  68. Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20307, Hamburg University, Department of Economics.
  69. Ana María Iregui & Luis Fernando Melo & María Teresa Ramírez, 2006. "Productividad Regional Y Sectorial En Colombia:Análisis Utilizando Datos De Panel," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 003387, BANCO DE LA REPÚBLICA.
  70. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics, University of Munich, Department of Economics 10993, University of Munich, Department of Economics.
  71. Jakobsen, Jan & Voetmann, Torben, 1999. "Post-Acquisition Performance in the Short and Long Run Evidence from the Copenhagen Stock Exchange 1993-1997," Working Papers, Copenhagen Business School, Department of Finance 2000-4, Copenhagen Business School, Department of Finance.
  72. Martha Misas A>rango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar Restrepo, 2005. "La Inflación Subyacente En Colombia: Un Enfoque De Tendencias Estocásticas Comunes Asociadas A Un Vec Estructural," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 003026, BANCO DE LA REPÚBLICA.
  73. Sule Akkoyunlu, 2009. "Trade, Aid, Remittances and Migration," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 09-229, KOF Swiss Economic Institute, ETH Zurich.
  74. Hatemi-J, Abdulnasser & Uddin, Gazi Salah, 2012. "Is the causal nexus of energy utilization and economic growth asymmetric in the US?," Economic Systems, Elsevier, Elsevier, vol. 36(3), pages 461-469.
  75. Hernán Rincón, . "Testing the Short-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia," Borradores de Economia 120, Banco de la Republica de Colombia.
  76. Fernando de Holanda Barbosa & Tito Nícias Teixeira da Silva Filho, 2008. "Testing Hyperinflation Theories Using the Inflation Tax Curve: A Case Study," Working Papers Series, Central Bank of Brazil, Research Department 166, Central Bank of Brazil, Research Department.
  77. Friberg, Kent, 2003. "Intersectoral Wage Linkages in Sweden," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) 158, Sveriges Riksbank (Central Bank of Sweden).
  78. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0501, Department of Economics, University of Insubria.
  79. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 80, Quantitative Finance Research Centre, University of Technology, Sydney.
  80. Oliver Hülsewig & Peter Winker & Andreas Worms, 2004. "Bank Lending and Monetary Policy Transmission: A VECM Analysis for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(5), pages 511-529, September.
  81. Rob Luginbuhl & Siem Jan Koopman, 2004. "Convergence in European GDP series: a multivariate common converging trend-cycle decomposition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(5), pages 611-636.
  82. Emmanouil Mavrakis, 2011. "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-70.
  83. Derek W. Bunn & Carlo Fezzi, 2007. "Interaction of European Carbon Trading and Energy Prices," Working Papers, Fondazione Eni Enrico Mattei 2007.63, Fondazione Eni Enrico Mattei.
  84. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute 02-113/4, Tinbergen Institute.
  85. R. Quentin Grafton & Tom Kompas & P. Dorian Owen, 2004. "Productivity, Factor Accumulation and Social Networks: Theory and Evidence," Economics and Environment Network Working Papers, Australian National University, Economics and Environment Network 0401, Australian National University, Economics and Environment Network.
  86. J. M. Gil & B. Dhehibi & M. Ben Kaabia & A. M. Angulo, 2004. "Non-stationarity and the import demand for virgin olive oil in the European Union," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(16), pages 1859-1869.
  87. P.D. Koellinger & A.R. Thurik, 0000. "Entrepreneurship and the Business Cycle," Tinbergen Institute Discussion Papers, Tinbergen Institute 09-032/3, Tinbergen Institute, revised 30 Sep 2009.
  88. Stefan Reitz & Georg Stadtmann, 2005. "Consensus among FX forecasters?," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 1(4), pages 223-227, July.
  89. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 144-157.
  90. Christian Schumacher, 2008. "Measuring uncertainty of the euro area NAIRU: Monte Carlo and empirical evidence for alternative confidence intervals in a state space framework," Empirical Economics, Springer, Springer, vol. 34(2), pages 357-379, March.
  91. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  92. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(17), pages 3708-3714.
  93. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers, Lund University, Department of Economics 2004:17, Lund University, Department of Economics, revised 26 Nov 2004.
  94. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(8), pages 539-546.
  95. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, Springer, vol. 42(3), pages 791-818, June.