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Dynamic Econometrics

Citations

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Cited by:

  1. Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
  2. Ahmed, Habib, 1998. "Responses in output to monetary shocks and the interest rate: a rational expectations model with working capital," Economics Letters, Elsevier, vol. 61(3), pages 351-358, December.
  3. Kazumi Endo, 2019. "Does the stock market value corporate environmental performance? Some perils of static regression models," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 26(6), pages 1530-1538, November.
  4. Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
  5. Patrik Tingvall & Andreas Poldahl, 2012. "Determinants of Firm R&D: The Role of Relationship-Specific Interactions for R&D Spillovers," Journal of Industry, Competition and Trade, Springer, vol. 12(4), pages 395-411, December.
  6. Acosta-González, Eduardo & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2012. "On factors explaining the 2008 financial crisis," Economics Letters, Elsevier, vol. 115(2), pages 215-217.
  7. Marco A. Espinosa-Vega & Alessandro Rebucci, 2004. "Retail Bank Interest Rate Pass-through: Is Chile Atypical?," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Antonio Ahumada & J. Rodrigo Fuentes & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking Market Structure and Monetary Policy, edition 1, volume 7, chapter 5, pages 147-182, Central Bank of Chile.
  8. Wirasti, Anisha & Widodo, Tri, 2017. "Twin Deficit Hypothesis and Feldstein-Horioka Hypothesis: Case Study of Indonesia," MPRA Paper 77442, University Library of Munich, Germany.
  9. Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2005. "Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Rivista di Politica Economica, SIPI Spa, vol. 95(3), pages 219-266, May-June.
  10. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
  11. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages 32-61, March.
  12. Ghosh, Soumya Kanti & Nath, Hiranya K., 2023. "What determines private and household savings in India?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 639-651.
  13. Fuinhas, José Alberto & Marques, António Cardoso, 2013. "Rentierism, energy and economic growth: The case of Algeria and Egypt (1965–2010)," Energy Policy, Elsevier, vol. 62(C), pages 1165-1171.
  14. David F. Hendry, 2002. "Forecast Failure, Expectations Formation and the Lucas Critique," Annals of Economics and Statistics, GENES, issue 67-68, pages 21-40.
  15. R. Quentin Grafton & Tom Kompas & Hang To & Michael Ward, 2009. "Residential Water Consumption: A Cross Country Analysis," Environmental Economics Research Hub Research Reports 0923, Environmental Economics Research Hub, Crawford School of Public Policy, The Australian National University, revised Aug 2009.
  16. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.
  17. Chen, Sheng-Syan & Chen, Hsien-Yi & Yang, Shu-Ling & Chang, Chong-Chuo, 2016. "Output spillovers from changes in sovereign credit ratings," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 48-63.
  18. Eijffinger, Sylvester & Geraats, Petra & van der Cruijsen, Carin, 2006. "Does Central Bank Transparency Reduce Interest Rates?," CEPR Discussion Papers 5526, C.E.P.R. Discussion Papers.
  19. Qin, Duo, 1998. "Disequilibrium institutional factors in aggregate money demand: evidence from three economies," Journal of Development Economics, Elsevier, vol. 57(2), pages 457-471.
  20. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," Working Papers Series 59, Institute for New Economic Thinking.
  21. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2022. "Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa," Working Papers 202254, University of Pretoria, Department of Economics.
  22. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“On the bi-directional causal relationship between public debt and economic growth in EMU countries”," IREA Working Papers 201512, University of Barcelona, Research Institute of Applied Economics, revised May 2015.
  23. repec:eid:wpaper:4/09 is not listed on IDEAS
  24. Kevin S. Nell & Maria M. De Mello, 2015. "Testing Capital Accumulation-Driven Growth Models in a Multiple-Regime Framework: Evidence from South Africa," CEF.UP Working Papers 1501, Universidade do Porto, Faculdade de Economia do Porto.
  25. Eberhardt, Markus & Teal, Francis, 2008. "Modeling technology and technological change in manufacturing: how do countries differ?," MPRA Paper 10690, University Library of Munich, Germany.
  26. Marçal, Emerson Fernandes & Zimmermann, Beatrice & de Prince, Diogo & Merlin, Giovanni, 2018. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 72(4), December.
  27. Belke, Ansgar & Volz, Ulrich, 2018. "Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors," IDOS Discussion Papers 23/2018, German Institute of Development and Sustainability (IDOS).
  28. Josh Ryan-Collins, 2015. "Is Monetary Financing Inflationary? A Case Study of the Canadian Economy, 1935-75," Economics Working Paper Archive wp_848, Levy Economics Institute.
  29. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October.
  30. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2011. "What Segments Equity Markets?," The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3841-3890.
  31. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
  32. Cicinelli, Claudio & Cossio, Andrea & Nucci, Francesco & Ricchi, Ottavio & Tegami, Cristian, 2010. "The Italian Treasury Econometric Model (ITEM)," Economic Modelling, Elsevier, vol. 27(1), pages 125-133, January.
  33. Katarina Juselius, 2011. "On the Role of Theory and Evidence in Macroeconomics," Chapters, in: John B. Davis & D. Wade Hands (ed.), The Elgar Companion to Recent Economic Methodology, chapter 17, Edward Elgar Publishing.
  34. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
  35. Tsang, Shu-ki & Ma, Yue, 1997. "Simulating the impact of foreign capital in an open-economy macroeconomic model of China," Economic Modelling, Elsevier, vol. 14(3), pages 435-478, July.
  36. Magnus, Jan R., 2007. "The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 23(5), pages 1022-1032, October.
  37. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201508, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
  38. Bjerkholt, Olav & Qin, Duo, 2010. "Teaching Economics as a Science: the 1930 Yale Lectures of Ragnar Frisch," Memorandum 05/2010, Oslo University, Department of Economics.
  39. n/a, 2007. "Monetary Policy, Beliefs, Unemployment and Inflation; Evidence from the UK," National Institute of Economic and Social Research (NIESR) Discussion Papers 305, National Institute of Economic and Social Research.
  40. Jungho Baek & Won W. Koo, 2010. "Analyzing Factors Affecting U.S. Food Price Inflation," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 58(3), pages 303-320, September.
  41. K Alec Chrystal & Paul Mizen, 2001. "Consumption, money and lending: a joint model for the UK household sector," Bank of England working papers 134, Bank of England.
  42. Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016. "An Overview of Forecasting Facing Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
  43. Duo Qin, 2019. "Let’s take the bias out of econometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 26(2), pages 81-98, April.
  44. Alvar Kangur, 2016. "What Rules in the ‘Deep’ Determinants of Comparative Development?," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 8(1).
  45. Mahadevan, Renuka & Suardi, Sandy, 2011. "The effects of uncertainty dynamics on exports, imports and productivity growth," Journal of Asian Economics, Elsevier, vol. 22(2), pages 174-188, April.
  46. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
  47. David Hendry & Felix Pretis, 2013. "Some Fallacies in Econometric Modelling of Climate Change," Economics Series Working Papers 643, University of Oxford, Department of Economics.
  48. Muhammad Asali & Aamer S. Abu‐Qarn & Michael Beenstock, 2017. "The cycle of violence in the Second Intifada: Causality in nonlinear vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1197-1205, September.
  49. Havranek, Tomas & Irsova, Zuzana & Lesanovska, Jitka, 2016. "Bank efficiency and interest rate pass-through: Evidence from Czech loan products," Economic Modelling, Elsevier, vol. 54(C), pages 153-169.
  50. Geneviève BOYREAU-DEBRAY, 1998. "Money Demand and the Potential of Seigniorage in China," Working Papers 199821, CERDI.
  51. Robert A. Blecker, 2016. "Wage-led versus profit-led demand regimes: the long and the short of it," Review of Keynesian Economics, Edward Elgar Publishing, vol. 4(4), pages 373-390, October.
  52. Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
  53. D Büttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
  54. António Afonso & João Tovar Jalles, 2017. "Fiscal Episodes and Market Power," Open Economies Review, Springer, vol. 28(2), pages 233-250, April.
  55. Tinsley, P A, 2002. "Rational Error Correction," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 197-225, April.
  56. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
  57. Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012. "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-22, January.
  58. Skalin, Joakim & Terasvirta, Timo, 1999. "Another Look at Swedish Business Cycles, 1861-1988," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 359-378, July-Aug..
  59. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
  60. Héctor Bravo L. & Carlos García T., 2002. "Measuring Monetary Policy and Pass-Through in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(3), pages 5-28, December.
  61. Martha Misas A. & Carlos Esteban Posada P & Diego Mauricio Vásquez E, 2003. "¿Está determinado el nivel de precios por las expectativas de dinero y producto en Colombia?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 21(43), pages 8-31, June.
  62. Sánchez-Fung, José R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," MPRA Paper 15648, University Library of Munich, Germany.
  63. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2018. "Nonfinancial debt and economic growth in euro-area countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 17-37.
  64. Athanasia Stylianou Kalaitzi & Trevor W. Chamberlain, 2023. "Manufactured exports, disaggregated imports and economic growth: the case of Kuwait," Economic Change and Restructuring, Springer, vol. 56(2), pages 919-940, April.
  65. José Mauricio Salazar Sáenz, 2009. "Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia," Borradores de Economia 575, Banco de la Republica de Colombia.
  66. repec:fgv:epgrbe:v:68:n:1:a:2 is not listed on IDEAS
  67. Hoover, Kevin D., 1997. "Real business-cycle realizations, 1925-1995 : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 281-290, December.
  68. Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross‐country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December.
  69. Anna M. Klepacka & Wojciech J. Florkowski & Cesar Revoredo-Giha, 2021. "Can Family Farms Depend on Price Information? Testing Butter and Curd Price Integration in Poland," Agriculture, MDPI, vol. 11(5), pages 1-16, May.
  70. Kevin S. Nell & A.P. Thirlwall, 2017. "Why does the productivity of investment vary across countries?," PSL Quarterly Review, Economia civile, vol. 70(282), pages 213-245.
  71. Jennifer L. Castle & David F. Hendry, 2007. "A Low-Dimension Collinearity-Robust Test for Non-linearity," Economics Series Working Papers 326, University of Oxford, Department of Economics.
  72. repec:oxf:wpaper:2000-w34.2 is not listed on IDEAS
  73. Rodolphe Desbordes & Céline Azémar, 2010. "Who Ultimately Bears the Burden of Greater Non-Wage Labour costs?," Working Papers 1004, University of Strathclyde Business School, Department of Economics.
  74. Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
  75. Cudjoe, Godsway & Breisinger, Clemens & Diao, Xinshen, 2008. "Local impacts of a global crisis: Food price transmission and poverty impacts in Ghana," GSSP working papers 15, International Food Policy Research Institute (IFPRI).
  76. Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020. "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, vol. 42(1), pages 153-172.
  77. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, February.
  78. Warr, Peter G., 2012. "Research and agricultural productivity in Indonesia," 2012 Conference (56th), February 7-10, 2012, Fremantle, Australia 124475, Australian Agricultural and Resource Economics Society.
  79. Luca Gattini & Huw Pill & Ludger Schuknecht, 2015. "A global perspective on inflation and propagation channels," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(3), pages 50-76, May.
  80. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-69.
  81. Büttner, David & Hayo, Bernd, 2010. "News and correlations of CEEC-3 financial markets," Economic Modelling, Elsevier, vol. 27(5), pages 915-922, September.
  82. Møller, Niels Framroze & Møller Andersen, Frits, 2015. "An econometric analysis of electricity demand response to price changes at the intra-day horizon: The case of manufacturing industry in West Denmark," MPRA Paper 66178, University Library of Munich, Germany, revised 15 Aug 2015.
  83. Aleksandra Riedl, 2008. "Contrasting the dynamic patterns of manufacturing and service FDI: Evidence from transition economies," Department of Economics Working Papers wuwp117, Vienna University of Economics and Business, Department of Economics.
  84. Julio Lopez G. & Armando Sanchez V., 2000. "Private savings and financial modernization in Mexico, 1988-95," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 53(214), pages 317-339.
  85. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
  86. Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  87. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.
  88. Carlos Santos & David Hendry, 2006. "Saturation in Autoregressive Models," Notas Económicas, Faculty of Economics, University of Coimbra, issue 24, pages 8-19, December.
  89. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
  90. Onisanwa Idowu Daniel & Adaji Mercy Ojochegbe, 2020. "Stock market development and investment growth in Nigeria," Journal of Economics and Management, Sciendo, vol. 42(4), pages 99-117, December.
  91. Manzi, Jorge & San Martin, Ernesto & Van Bellegem, Sébastien, 2010. "School System Evaluation By Value-Added Analysis under Endogeneity," IDEI Working Papers 631, Institut d'Économie Industrielle (IDEI), Toulouse.
  92. J Mingers, 2006. "A critique of statistical modelling in management science from a critical realist perspective: its role within multimethodology," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(2), pages 202-219, February.
  93. Tadesse, Tasew, 2011. "Foreign aid and economic growth in Ethiopia," MPRA Paper 33953, University Library of Munich, Germany, revised 20 Sep 2011.
  94. Alnasaa, Marwa & Gueorguiev, Nikolay & Honda, Jiro & Imamoglu, Eslem & Mauro, Paolo & Primus, Keyra & Rozhkov, Dmitriy, 2022. "Crypto-assets, corruption, and capital controls: Cross-country correlations," Economics Letters, Elsevier, vol. 215(C).
  95. Aleksandra Riedl & Silvia Rocha‐Akis, 2012. "How elastic are national corporate income tax bases in OECD countries? The role of domestic and foreign tax rates," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 632-671, May.
  96. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
  97. Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 18, European Central Bank.
  98. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, 02.
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