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Sam Ouliaris

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Fong, Wai Mun & Ouliaris, Sam, 1995. "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 255-271, July-Sept.

    Mentioned in:

    1. Spectral tests of the martingale hypothesis for exchange rates (Journal of Applied Econometrics 1995) in ReplicationWiki ()
  2. Corbae, Dean & Ouliaris, Sam, 1989. "A Random Walk through the Gibson Paradox," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 295-303, July-Sept.

    Mentioned in:

    1. A random walk through the Gibson paradox (Journal of Applied Econometrics 1989) in ReplicationWiki ()
  3. Borland, Jeff & Ouliaris, S, 1994. "The Determinants of Australian Trade Union Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(4), pages 453-468, Oct.-Dec..

    Mentioned in:

    1. The determinants of Australian trade union membership (Journal of Applied Econometrics 1994) in ReplicationWiki ()

Working papers

  1. S Ouliaris & A R Pagan, 2015. "A New Method for Working With Sign Restrictions in SVARs," NCER Working Paper Series 105, National Centre for Econometric Research.

    Cited by:

    1. Mansur, Alfan, 2015. "Identifying Shocks on the Economic Fluctuations in Indonesia and US: The Role of Oil Price Shocks in a Structural Vector Autoregression Model," MPRA Paper 94018, University Library of Munich, Germany, revised 09 Jun 2015.
    2. Masud Alam, 2021. "Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach," Papers 2106.10844, arXiv.org.
    3. Masud Alam, 2021. "Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States," Papers 2107.13678, arXiv.org.

  2. Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997. "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers 1163, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Felipe, Jesus & Lanzafame, Matteo, 2018. "The PRC’s Long-Run Growth through the Lens of the Export-Led Growth Model," ADB Economics Working Paper Series 555, Asian Development Bank.
    2. Alfred A. Haug & Ian P. King, 2011. "Empirical Evidence on Inflation and Unemployment in the Long Run," Working Papers 1109, University of Otago, Department of Economics, revised Aug 2011.
    3. Andersson, Fredrik N.G. & Edgerton, David L. & Opper, Sonja, 2013. "A Matter of Time: Revisiting Growth Convergence in China," World Development, Elsevier, vol. 45(C), pages 239-251.
    4. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
    5. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, University Library of Munich, Germany.
    6. Mr. Paul Cashin & Mr. Sam Ouliaris, 2001. "Key Features of Australian Business Cycles," IMF Working Papers 2001/171, International Monetary Fund.
    7. Gan, Li & Zhang, Qinghua, 2006. "The thick market effect on local unemployment rate fluctuations," Journal of Econometrics, Elsevier, vol. 133(1), pages 127-152, July.
    8. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
    9. Canova, Fabio, 2020. "FAQ: How do I measure the Output gap?," CEPR Discussion Papers 14943, C.E.P.R. Discussion Papers.
    10. Neslihan Sakarya & Robert M. de Jong, 2022. "The spectral analysis of the Hodrick–Prescott filter," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 479-489, May.
    11. Andersson , Fredrik N. G. & Ljungberg, Jonas, 2014. "Grain Market Integration in the Baltic Sea Region in the 19th Century," Working Papers 2014:3, Lund University, Department of Economics.
    12. Bierbaumer-Polly, Jürgen & Huber, Peter & Huber, Petr, 2015. "The Impact of EU-Accession on Regional Business Cycle Synchronization and Sector Specialization," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113154, Verein für Socialpolitik / German Economic Association.
    13. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    14. Chambers, Marcus J., 2020. "Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data," Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.
    15. Omoshoro-Jones, Oyeyinka Sunday, 2021. "Asymmetry in Okun’s Law Revisited: New evidence on cyclical unemployment–cyclical output trade-off in the Free State Province using NARDL model," MPRA Paper 107126, University Library of Munich, Germany.
    16. Mr. Siang Meng Tan & Ms. Joey Chew & Mr. Sam Ouliaris, 2011. "Exchange Rate Pass-Through Over the Business Cycle in Singapore," IMF Working Papers 2011/141, International Monetary Fund.
    17. Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.
    18. Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
    19. M. Azimmohseni & M. Khalafi & M. Kordkatuli, 2019. "Time series analysis of covariance based on linear transfer function models," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 1-16, April.
    20. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation for Research in Economics, Yale University.
    21. Baffes, John & Kabundi, Alain, 2023. "Commodity price shocks: Order within chaos?," Resources Policy, Elsevier, vol. 83(C).
    22. Keen Meng Choy & Ichiro Sugimoto, 2013. "Trade, the Staple Theory of Growth, and Fluctuations in Colonial Singapore, 1900–39," Australian Economic History Review, Economic History Society of Australia and New Zealand, vol. 53(2), pages 121-145, July.
    23. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Other publications TiSEM 0d3ed468-36ef-4baf-8339-8, Tilburg University, School of Economics and Management.
    24. Wozniak, Abigail & Murray, Thomas J., 2012. "Timing is everything: Short-run population impacts of immigration in US cities," Journal of Urban Economics, Elsevier, vol. 72(1), pages 60-78.
    25. Andersson, Fredrik N.G., 2023. "Income inequality and carbon emissions in the United States 1929–2019," Ecological Economics, Elsevier, vol. 204(PA).
    26. Peter C. B. Phillips, 2021. "Pitfalls in Bootstrapping Spurious Regression," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 163-217, December.
    27. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
    28. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation for Research in Economics, Yale University.
    29. Jürgen Bierbaumer-Polly & Peter Huber & Petr Rozmahel, 2016. "Regional Business-Cycle Synchronization, Sector Specialization and EU Accession," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 544-568, May.
    30. Canova, Fabio, 2020. "FAQ: How do I extract the output gap?," Working Paper Series 386, Sveriges Riksbank (Central Bank of Sweden).
    31. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
    32. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
    33. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    34. Puneet Vatsa, 2022. "Do crop prices share common trends and common cycles?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 363-382, April.
    35. Jinho Choi & Juan Carlos Escanciano & Junjie Guo, 2022. "Generalized band spectrum estimation with an application to the New Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1055-1078, August.
    36. Jürgen Bierbaumer-Polly, 2012. "Regionale Konjunkturzyklen in Österreich," WIFO Monatsberichte (monthly reports), WIFO, vol. 85(11), pages 833-848, November.
    37. Alain Kabundi & Asi Mbelu, 2016. "Has the Exchange Rate Pass-Through changed in South Africa?," Working Papers 649, Economic Research Southern Africa.
    38. Peter C. B. Phillips, 2023. "Discrete Fourier Transforms of Fractional Processes with Econometric Applications," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Theory, volume 45, pages 3-71, Emerald Group Publishing Limited.
    39. Cleiton Guollo Taufemback, 2023. "Asymptotic Behavior of Temporal Aggregation in Mixed‐Frequency Datasets," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 894-909, August.
    40. Andersson, Fredrik N. G., 2011. "Band Spectrum Regressions using Wavelet Analysis," Working Papers 2011:22, Lund University, Department of Economics.
    41. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    42. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
    43. Andra C. Ghent & Michael T. Owyang, 2009. "Is housing the business cycle? evidence from U.S. cities," Working Papers 2009-007, Federal Reserve Bank of St. Louis.
    44. Fredy Gamboa-Estrada, 2023. "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers 12-2023, Economics Section, The Graduate Institute of International Studies.
    45. Mr. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 2004/136, International Monetary Fund.
    46. Haug, Alfred A. & King, Ian, 2014. "In the long run, US unemployment follows inflation like a faithful dog," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 42-52.
    47. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.
    48. Matteo Lanzafame, 2016. "Potential Growth in Asia and Its Determinants: An Empirical Investigation," Asian Development Review, MIT Press, vol. 33(2), pages 1-27, September.
    49. Mr. Alfredo Baldini, 2005. "Fiscal Policy and Business Cycles in an Oil-Producing Economy: The Case of Venezuela," IMF Working Papers 2005/237, International Monetary Fund.
    50. Wada, Tatsuma, 2022. "Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO," Journal of International Money and Finance, Elsevier, vol. 128(C).
    51. Andrew Filardo & Mr. Gaston Gelos & Thomas McGregor, 2022. "Exchange-Rate Swings and Foreign Currency Intervention," IMF Working Papers 2022/158, International Monetary Fund.
    52. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    53. Mr. Jeromin Zettelmeyer & Ivanna Vladkova Hollar, 2008. "Fiscal Positions in Latin America: Have They Really Improved?," IMF Working Papers 2008/137, International Monetary Fund.
    54. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
    55. Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
    56. Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.
    57. Taniguchi, Masanobu, 2008. "Non-regular estimation theory for piecewise continuous spectral densities," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 153-170, February.

  3. Dean Corbea & Sam Ouliaris & Peter C.B. Phillips, 1991. "A Reexamination of the Consumption Function Using Frequency Domain Regressors," Cowles Foundation Discussion Papers 997, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    2. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
    3. Yuichi Kitamura & Peter C.B. Phillips, 1994. "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments," Cowles Foundation Discussion Papers 1082, Cowles Foundation for Research in Economics, Yale University.
    4. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
    5. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
    6. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    7. Chambers, Marcus J., 2020. "Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data," Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.
    8. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
    9. Monteiro, Paulo Santos, 2008. "Testing Full Consumption Insurance in the Frequency Domain," Economic Research Papers 269910, University of Warwick - Department of Economics.
    10. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
    11. Woodford, Michael, 2007. "Does a 'Two-Pillar Phillips Curve' Justify a Two-Pillar Monetary Policy Strategy?," CEPR Discussion Papers 6447, C.E.P.R. Discussion Papers.
    12. Gerlach, Stefan & Assenmacher, Katrin, 2006. "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers 5632, C.E.P.R. Discussion Papers.
    13. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
    14. Maslova, Inga & Onder, Harun & Sanghi, Apurva, 2013. "Growth and volatility analysis using wavelets," Policy Research Working Paper Series 6578, The World Bank.
    15. Fabio Busetti & Michele Caivano, 2017. "Low frequency drivers of the real interest rate: a band spectrum regression approach," Temi di discussione (Economic working papers) 1132, Bank of Italy, Economic Research and International Relations Area.

  4. Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1991. "A Rexamination of the Consumption Function Using Frequency Domain Regressions," Working Papers 91-25, University of Iowa, Department of Economics.

    Cited by:

    1. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    2. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
    3. Yuichi Kitamura & Peter C.B. Phillips, 1994. "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments," Cowles Foundation Discussion Papers 1082, Cowles Foundation for Research in Economics, Yale University.
    4. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
    5. Sierimo, Carolina & Virén, Matti, 1995. "Financial factors and the macroeconomy," Bank of Finland Research Discussion Papers 34/1995, Bank of Finland.
    6. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    7. Chambers, Marcus J., 2020. "Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data," Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.
    8. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
    9. Monteiro, Paulo Santos, 2008. "Testing Full Consumption Insurance in the Frequency Domain," Economic Research Papers 269910, University of Warwick - Department of Economics.
    10. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
    11. Woodford, Michael, 2007. "Does a 'Two-Pillar Phillips Curve' Justify a Two-Pillar Monetary Policy Strategy?," CEPR Discussion Papers 6447, C.E.P.R. Discussion Papers.
    12. Gerlach, Stefan & Assenmacher, Katrin, 2006. "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers 5632, C.E.P.R. Discussion Papers.
    13. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
    14. Maslova, Inga & Onder, Harun & Sanghi, Apurva, 2013. "Growth and volatility analysis using wavelets," Policy Research Working Paper Series 6578, The World Bank.
    15. Fabio Busetti & Michele Caivano, 2017. "Low frequency drivers of the real interest rate: a band spectrum regression approach," Temi di discussione (Economic working papers) 1132, Bank of Italy, Economic Research and International Relations Area.

  5. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Christos Karpetis & Erotokritos Varelas & Spyros Zikos, 2006. "Unit Root Investigation of Greek Real Money Supply and GDP," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(4), pages 449-460, November.
    2. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1998. "Interest Rates in Germany and the UK: Cointegration and Error Correction Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 27-43, January.
    3. Bala Arshanapalli & William Nelson, 2008. "A Cointegration Test To Verify The Housing Bubble," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 2(2), pages 35-43.
    4. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 514-547, October.
    5. Juan Carlos Cuestas, 2007. "Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities," Working Papers. Serie AD 2007-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    7. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Olufunmilayo S. Tajudeen & Ibrahim A. Tajudeen & Risikat O. Dauda, 2018. "Quantifying Impacts of Macroeconomic and Non‐economic Factors on Public Health Expenditure: A Structural Time Series Model," African Development Review, African Development Bank, vol. 30(2), pages 200-218, June.
    9. Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun, 2022. "A Panel Clustering Approach to Analyzing Bubble Behavior," Economics and Statistics Working Papers 1-2022, Singapore Management University, School of Economics.
    10. Maha Kalai & Thouraya Boujelbene Dammak, 2017. "Core Inflation Measure and Its Effect on Economic Growth and Employment in Tunisia," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(66), pages 153-179, December.
    11. Chang, C-L. & McAleer, M.J., 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," Econometric Institute Research Papers EI 2009-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118.
    13. Pablo Astorga, 2024. "Revealing The Diversity And Complexity Behind Long-Term Income Inequality In Latin America, 1920-2011," Working Papers 0250, European Historical Economics Society (EHES).
    14. Junsoo Lee & John A. List & Mark Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers 11487, National Bureau of Economic Research, Inc.
    15. Ebaidalla Mahjoub Ebaidalla, 2017. "Determinants and Macroeconomic Impact of Parallel Market For Foreign Exchange in Sudan," Working Papers 1155, Economic Research Forum, revised 11 2017.
    16. Liu, Guo-Dong & Su, Chi-Wei, 2019. "The dynamic causality between gold and silver prices in China market: A rolling window bootstrap approach," Finance Research Letters, Elsevier, vol. 28(C), pages 101-106.
    17. Enache Cosmin, 2013. "Adverse Incentive Effects of the Unemployment Benefit Level in Romania," Scientific Annals of Economics and Business, Sciendo, vol. 60(1), pages 54-66, July.
    18. Shalini TALWAR & Jayant PANSARE, 2018. "Transmission of Shock across International Stock Markets: An Econometric Analysis," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 110-119.
    19. Christos P. Pappas & Christos T. Papadas, 2015. "Farm Production Costs, Producer Prices and Retail Food Prices in Greece: A Cointegration Analysis," Bulletin of Political Economy, Bulletin of Political Economy, vol. 9(2), pages 127-143, December.
    20. Jean-Jacques Durand & Marilyne Huchet-Bourdon & Julien Licheron, 2008. "Sacrifice ratio dispersion within the Euro Zone: what can be learned about implementing a single monetary policy?," International Review of Applied Economics, Taylor & Francis Journals, vol. 22(5), pages 601-621.
    21. Panagiotidis, Theodore & Printzis, Panagiotis, 2020. "What is the investment loss due to uncertainty?," Global Finance Journal, Elsevier, vol. 45(C).
    22. Yanping Chong & Òscar Jordà & Alan M. Taylor, 2012. "The Harrod–Balassa–Samuelson Hypothesis: Real Exchange Rates And Their Long‐Run Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 609-634, May.
    23. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    24. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
    25. Laurence Copeland, 2007. "Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed‐End Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 313-330, January.
    26. Gabriele di Filippo, 2017. "What drives gross flows in equity and investment fund shares in Luxembourg?," BCL working papers 112, Central Bank of Luxembourg.
    27. Pierre St-Amant, 1996. "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology," Staff Working Papers 96-2, Bank of Canada.
    28. Hakkı Kutay Bolkol, 2015. "Causal Relationship between Construction Production and GDP in Turkey," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 4(3), pages 42-53, July.
    29. Jens-Peter Loy & Dieter Pennerstorfer & Daniela Rroshi & Christoph Weiss & Biliana Yontcheva, 2019. "Consumer Information and Price Transmission: Empirical Evidence," Economics working papers 2019-20, Department of Economics, Johannes Kepler University Linz, Austria.
    30. Yilmaz Onur ARI & Ibrahim BELLO, 2020. "Terrorism - workers' remittances nexus: empirical evidence from Turkey," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 70-93, December.
    31. Robert Mudida, 2011. "Empirical aspects of capital flight in Kenya, 1970-2009," NCID Working Papers 08/2011, Navarra Center for International Development, University of Navarra.
    32. David Su & Xin Li & Oana-Ramona Lobonþ & Yanping Zhao, 2016. "Economic policy uncertainty and housing returns in Germany: Evidence from a bootstrap rolling window," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 34(1), pages 43-61.
    33. Ilyasov, Jarilkasin & Götz, Linde & Akramov, Kamiljon T. & Dorosh, Paul A. & Glauben, Thomas, 2016. "Market integration and price transmission in Tajikistan’s wheat markets: Rising like rockets but falling like feathers?:," IFPRI discussion papers 1547, International Food Policy Research Institute (IFPRI).
    34. María José Gutiérrez & Jesús Vázquez, "undated". "The Changing Behavior of the Term Structure of Post-War U.S. Interest Rates and Changes in the Federal Reserve Chairman. Is There a Link?," Working Papers on International Economics and Finance 01-03, FEDEA.
    35. Constantin Anghelache & Marius Popovici & Alexandru Manole, 2015. "Model of structural analysis of the DFI sold by sectors and activities," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(10), pages 106-112, October.
    36. Mazzanti, M. & Musolesi, A., 2013. "Economic development and CO2 emissions: assessing the effect of policy and energy time events for advanced countries," Working Papers 2013-11, Grenoble Applied Economics Laboratory (GAEL).
    37. Ian Babetskii & Fabrizio Coricelli & Roman Horváth, 2007. "Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic," Working Papers IES 2007/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2007.
    38. Douglas HODGSON & Aylin SECKIN, 2010. "Dynamic Price Dependence of Canadian and World Art Markets: An Empirical Analysis," EcoMod2010 259600074, EcoMod.
    39. Chi‐Wei Su & Hsu‐Ling Chang & Yan Liu, 2013. "Real Interest Rate Parity and Two Structural Breaks: African Countries Evidence," African Development Review, African Development Bank, vol. 25(4), pages 478-484, December.
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Articles

  1. Sam Ouliaris & Adrian Pagan, 2022. "Three Basic Issues that Arise when Using Informational Restrictions in SVARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 1-20, February.

    Cited by:

    1. Fisher, Lance A. & Huh, Hyeon-seung, 2023. "Systematic monetary policy in a SVAR for Australia," Economic Modelling, Elsevier, vol. 128(C).

  2. Ouliaris, Sam & Rochon, Celine, 2021. "Pre- and Post-Global Financial Crisis Policy Multipliers#," Journal of Macroeconomics, Elsevier, vol. 70(C).

    Cited by:

    1. Ayhan Kuloğlu, 2021. "Covıd-19 Krizinin Petrol Fiyatları Üzerine Etkisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 710-727.
    2. Carmignani, Fabrizio, 2022. "The electoral fiscal multiplier," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 938-945.

  3. Sam Ouliaris & Adrian Pagan, 2016. "A Method for Working with Sign Restrictions in Structural Equation Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 605-622, October.

    Cited by:

    1. Lance A. Fisher & Hyeon-seung Huh, 2022. "Systematic Monetary Policy in a SVAR for Australia," Working papers 2022rwp-194, Yonsei University, Yonsei Economics Research Institute.
    2. Fisher, Lance A. & Huh, Hyeon-seung, 2019. "An IV framework for combining sign and long-run parametric restrictions in SVARs," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
    3. Sam Ouliaris & Adrian Pagan, 2022. "Three Basic Issues that Arise when Using Informational Restrictions in SVARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 1-20, February.
    4. Dimitris Korobilis, 2020. "Sign restrictions in high-dimensional vector autoregressions," Working Paper series 20-09, Rimini Centre for Economic Analysis.
    5. Dimitris Korobilis, 2022. "A new algorithm for structural restrictions in Bayesian vector autoregressions," Papers 2206.06892, arXiv.org.
    6. Bojaj, Martin M. & Muhadinovic, Milica & Bracanovic, Andrej & Mihailovic, Andrej & Radulovic, Mladen & Jolicic, Ivan & Milosevic, Igor & Milacic, Veselin, 2022. "Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach," Economic Modelling, Elsevier, vol. 109(C).
    7. X. Liu & A.R. Pagan & T. Robinson, 2018. "Critically assessing estimated DSGE models: A case study of a multi-sector model," CAMA Working Papers 2018-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Bünyamin Fuat Yıldız & Korhan K. Gökmenoğlu & Wing-Keung Wong, 2022. "Analysing Monetary Policy Shocks by Sign and Parametric Restrictions: The Evidence from Russia," Economies, MDPI, vol. 10(10), pages 1-16, September.
    9. Fisher, Lance A. & Huh, Hyeon-seung, 2016. "Monetary policy and exchange rates: Further evidence using a new method for implementing sign restrictions," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 177-191.
    10. Fisher, Lance A. & Huh, Hyeon-seung, 2023. "Systematic monetary policy in a SVAR for Australia," Economic Modelling, Elsevier, vol. 128(C).
    11. Tommy Wu & Michael Cheng & Ken Wong, 2017. "Bayesian analysis of Hong Kong's housing price dynamics," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 312-331, August.

  4. Paul Cashin & Sam Ouliaris, 2004. "Key Features of Australian Business Cycles," Australian Economic Papers, Wiley Blackwell, vol. 43(1), pages 39-58, March.

    Cited by:

    1. Robert Dixon & David Shepherd, 2006. "The Cyclical Dynamics and Volatility of Australian Output and Employment," Department of Economics - Working Papers Series 968, The University of Melbourne.
    2. Dapontas Dimitrios & Evangelopoulos Panagiotis, 2013. "Has the NAFTA Foundation Affected Business Cycles Length? An Introduction," Scientific Annals of Economics and Business, Sciendo, vol. 60(1), pages 145-153, July.
    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.
    4. Levent, Korap, 2006. "An essay upon the business cycle facts: the Turkish case," MPRA Paper 21717, University Library of Munich, Germany.
    5. Levent, Korap, 2007. "Structural VAR identification of the Turkish business cycles," MPRA Paper 21971, University Library of Munich, Germany.
    6. Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.
    7. Baffes, John & Kabundi, Alain, 2023. "Commodity price shocks: Order within chaos?," Resources Policy, Elsevier, vol. 83(C).
    8. Milan Christian de Wet, 2021. "Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 14(1), pages 69-79, June.
    9. Kufenko, Vadim, 2016. "Spurious periodicities in cliometric series: Simultaneous testing," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 48/2016, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.
    10. Keen Meng Choy, 2006. "Business Cycles in a Small Open Economy: Stylized Facts from Singapore," Economic Growth Centre Working Paper Series 0611, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    11. Mr. Francesco Grigoli & Ms. Dalia S Hakura, 2010. "Recoveries in the Middle East, North Africa, and Pakistan: Have Macroeconomic Policies Been Effective?," IMF Working Papers 2010/122, International Monetary Fund.
    12. Mr. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 2004/136, International Monetary Fund.
    13. Levent, Korap, 2009. "Türkiye ekonomisinde enflasyon ve reel milli gelir arasındaki çevrimsellik ilişkisi üzerine bir inceleme [An investigation upon the cyclical relationship between inflation and real income in the Tu," MPRA Paper 20266, University Library of Munich, Germany.
    14. Korap, Levent, 2010. "A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series," MPRA Paper 28647, University Library of Munich, Germany.

  5. Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002. "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, vol. 70(3), pages 1067-1109, May.
    See citations under working paper version above.
  6. Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam, 1997. "Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 51-59, January.

    Cited by:

    1. Richard Luger, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
    2. Giuseppe Pernagallo & Benedetto Torrisi, 2019. "Blindfolded monkeys or financial analysts: who is worth your money? New evidence on informational inefficiencies in the U.S. stock market," Papers 1904.03488, arXiv.org, revised Oct 2019.
    3. Stelios Bekiros, 2011. "Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics," Economics Working Papers ECO2011/21, European University Institute.
    4. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
    5. Amélie Charles & Olivier Darné & Jae H. Kim, 2010. "Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates," Working Papers hal-00547722, HAL.
    6. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    7. Belaire-Franch Jorge & Contreras Dulce, 2010. "Testing the Martingale Property of Exchange Rates: A Replication," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-19, December.
    8. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005. "Revisiting the Martingale hypothesis for exchange rates," Money Macro and Finance (MMF) Research Group Conference 2005 19, Money Macro and Finance Research Group.
    9. Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
    10. Shyh-wei Chen, 2009. "Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1296-1307.
    11. Stephen Taylor & Ming Fang, 2018. "Unbiased weighted variance and skewness estimators for overlapping returns," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-8, December.
    12. Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2017. "Fourier--type tests involving martingale difference processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 468-492, April.
    13. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January.
    14. Fahad Almudhaf, 2014. "Testing for random walk behaviour in CIVETS exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 21(1), pages 60-63, January.
    15. Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
    16. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2008. "Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions," Working Papers Series 173, Central Bank of Brazil, Research Department.
    17. Jorge Belaire-Franch & Stanley McGreal & Kwaku K. Opong & James R. Webb, 2007. "A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices," International Real Estate Review, Global Social Science Institute, vol. 10(2), pages 94-112.
    18. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
    19. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    20. Belaire-Franch, Jorge & Opong, Kwaku K., 2005. "Some evidence of random walk behavior of Euro exchange rates using ranks and signs," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1631-1643, July.
    21. Jean-Marie Dufour & Lynda Khalaf & Marcel Voia, 2013. "Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability," CIRANO Working Papers 2013s-40, CIRANO.
    22. Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October.
    23. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
    24. Amelie Charles & Olivier Darne, 2009. "Testing for Random Walk Behavior in Euro Exchange Rates," Economie Internationale, CEPII research center, issue 119, pages 25-45.
    25. Al-Khazali, Osamah M. & Pyun, Chong Soo & Kim, Daewon, 2012. "Are exchange rate movements predictable in Asia-Pacific markets? Evidence of random walk and martingale difference processes," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 221-231.
    26. 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.
    27. Annina Kaltenbrunner & Machiko Nissanke, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility: The Empirical Study of Brazil," WIDER Working Paper Series RP2009-29, World Institute for Development Economic Research (UNU-WIDER).
    28. Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.

  7. Fong, Wai Mun & Ouliaris, Sam, 1995. "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 255-271, July-Sept.

    Cited by:

    1. Escanciano, Juan Carlos & Velasco, Carlos, 2003. "Generalized spectral tests for the martingale difference hypothesis," DES - Working Papers. Statistics and Econometrics. WS ws035312, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Amélie Charles & Olivier Darné & Jae H. Kim, 2010. "Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates," Working Papers hal-00547722, HAL.
    3. Kuan Chung-Ming & Lee Wei-Ming, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
    4. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
    5. Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
    6. Pippenger, John, 2012. "The Fragility of Overshooting," University of California at Santa Barbara, Economics Working Paper Series qt4rd5j98c, Department of Economics, UC Santa Barbara.
    7. Chris Brooks & Melvin J. Hinich, 2001. "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance icma-dp2001-04, Henley Business School, University of Reading.
    8. Axel Grossmann & Emiliano Giudici & Marc Simpson, 2014. "Euro conversion and return dynamics of European financial markets: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 1-26, January.
    9. Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2017. "Fourier--type tests involving martingale difference processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 468-492, April.
    10. Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August.
    11. In Choi, 1999. "Testing the random walk hypothesis for real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May.
    12. Beran, Jan & Feng, Yuanhua & Ocker, Dirk, 1999. "SEMIFAR models," Technical Reports 1999,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    13. Beran, Jan & Feng, Yuanhua & Franke, Günter & Hess, Dieter & Ocker, Dirk, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Papers 99/18, University of Konstanz, Center of Finance and Econometrics (CoFE).
    14. Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003. "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, University of Reading.
    15. Pippenger, John, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series qt97m8z6hw, Department of Economics, UC Santa Barbara.
    16. Beran, Jan, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Papers 99/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    17. Juan Carlos Escanciano, 2005. "On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions," Faculty Working Papers 07/05, School of Economics and Business Administration, University of Navarra.

  8. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
    See citations under working paper version above.
  9. Borland, Jeff & Ouliaris, S, 1994. "The Determinants of Australian Trade Union Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(4), pages 453-468, Oct.-Dec..

    Cited by:

    1. Temitope Leshoro & Umakrishnan Kollamparambil, 2016. "Inflation Or Output Targeting? Monetary Policy Appropriateness In South Africa," PSL Quarterly Review, Economia civile, vol. 69(276), pages 77-104.
    2. Getinet Astatike Haile, 2021. "Men, women and unions," Industrial Relations Journal, Wiley Blackwell, vol. 52(3), pages 201-217, May.
    3. Jeff Borland, 1994. "Union Effects and Earnings Dispersion in Australia, 1986-1994," Canadian International Labour Network Working Papers 04, McMaster University.
    4. Schnabel, Claus, 2002. "Determinants of trade union membership," Discussion Papers 15, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    5. Getinet Astatike Haile, 2017. "Union decline in Britain: does gender have anything to do with it?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 64(1), pages 25-49, February.
    6. Schnabel, Claus, 2012. "Union Membership and Density: Some (Not So) Stylized Facts and Challenges," IZA Discussion Papers 6792, Institute of Labor Economics (IZA).
    7. Haile, Getinet Astatike, 2012. "Union Decline in Britain: Is Chauvinism Also to Blame?," IZA Discussion Papers 6536, Institute of Labor Economics (IZA).
    8. Jeff Borland, 1996. "Union Effects on Earnings Dispersion in Australia, 1986–1994," British Journal of Industrial Relations, London School of Economics, vol. 34(2), pages 237-248, June.
    9. Blanchflower, David G., 2006. "A Cross-Country Study of Union Membership," IZA Discussion Papers 2016, Institute of Labor Economics (IZA).

  10. Corbae, Dean & Lim, Kian-Guan & Ouliaris, Sam, 1992. "On Cointegration and Tests of Forward Market Unbiasedness," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 728-732, November.

    Cited by:

    1. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
    2. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2523-2533.
    3. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach," Working Papers 0717, University of Crete, Department of Economics.
    4. Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 785-812, December.
    5. McNew, Kevin & Fackler, Paul L., 1997. "Testing Market Equilibrium: Is Cointegration Informative?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 22(2), pages 1-17, December.
    6. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    7. 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.
    8. 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 for Research in Economics, Yale University.
    9. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.
    10. Ser‐Huang Poon, 1996. "Persistence and mean reversion in UK stock returns," European Financial Management, European Financial Management Association, vol. 2(2), pages 169-196, July.
    11. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    12. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    13. H. Youn Kim & Junsoo Lee, 2001. "Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 41-57.
    14. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
    15. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
    16. Mark, Nelson C. & Moh, Young-Kyu, 2007. "Official interventions and the forward premium anomaly," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 499-522, September.
    17. H. Youn Kim & Junsoo Lee & Stephen E. Lile & James R. Ramsey, 2000. "Municipal Bonds and Tax Arbitrage: A Cointegration Analysis," Public Finance Review, , vol. 28(4), pages 372-389, July.
    18. Norrbin, Stefan C. & Reffett, Kevin L., 1996. "Exogeneity and forward rate unbiasedness," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 267-274, April.

  11. Dean Corbae & Sam Ouliaris, 1991. "A Test of Long‐run Purchasing Power Parity Allowing for Structural Breaks," The Economic Record, The Economic Society of Australia, vol. 67(1), pages 26-33, March.

    Cited by:

    1. María Gadea & Marcela Sabaté, 2004. "The European Periphery in the Era of the Gold Standard: The Case of the Spanish Peseta and the Pound Sterling from 1883 to 1931," Open Economies Review, Springer, vol. 15(1), pages 63-85, January.
    2. Josep LluIs Carrion-I-Silvestre & Tomas Del Barrio & Enrique Lopez-Bazo, 2004. "Evidence on the purchasing power parity in a panel of cities," Applied Economics, Taylor & Francis Journals, vol. 36(9), pages 961-966.
    3. Cuestas, Juan Carlos & Regis, Paulo José, 2013. "Purchasing power parity in OECD countries: Nonlinear unit root tests revisited," Economic Modelling, Elsevier, vol. 32(C), pages 343-346.
    4. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 393-409, October.
    5. Qin, Duo, 2007. "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries," Economics Discussion Papers 2007-29, Kiel Institute for the World Economy (IfW Kiel).
    6. Ali Abdul Aziz & Shukur Ghazi & Månsson Kristofer, 2020. "A wavelet-based variance ratio unit root test for a system of equations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-16, June.
    7. Kalyoncu, Huseyin & Kalyoncu, Kahraman, 2008. "Purchasing power parity in OECD countries: Evidence from panel unit root," Economic Modelling, Elsevier, vol. 25(3), pages 440-445, May.
    8. Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
    9. Mohsen Bahmani-Oskooee & Abera Gelan, 2006. "Testing the PPP in the non-linear STAR Framework: Evidence from Africa," Economics Bulletin, AccessEcon, vol. 6(17), pages 1-15.
    10. Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
    11. Mohsen Bahmani-Oskooee & Aghdas Mirzai, 2000. "Real and nominal effective exchange rates for developing countries: 1973:1-1997:3," Applied Economics, Taylor & Francis Journals, vol. 32(4), pages 411-428.
    12. Bahmani-Oskooee, Mohsen & Tankui, Altin, 2008. "The black market exchange rate vs. the official rate in testing PPP: Which rate fosters the adjustment process?," Economics Letters, Elsevier, vol. 99(1), pages 40-43, April.
    13. Song, Chi-Young, 1997. "The Real Exchange Rate and the Current Account Balance in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 143-184, June.
    14. Bahmani-Oskooee, Mohsen, 1998. "Do exchange rates follow a random walk process in Middle Eastern countries?," Economics Letters, Elsevier, vol. 58(3), pages 339-344, March.
    15. Antonio E. Noriega & Lorena Medina, 2003. "Quasi purchasing power parity: Structural change in the Mexican peso/us dollar real exchange rate," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 227-236.
    16. Ozdemir, Zeynel Abidin & Cakan, Esin, 2010. "The persistence in real exchange rate: Evidence from East Asian countries," Economic Modelling, Elsevier, vol. 27(5), pages 891-895, September.
    17. David W.R. Gruen & Jenny Wilkinson, 1991. "Australia’s Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials?," RBA Research Discussion Papers rdp9108, Reserve Bank of Australia.
    18. Francisco Maeso-Fernandez, 1998. "Econometric methods and purchasing power parity: short- and long-run PPP," Applied Economics, Taylor & Francis Journals, vol. 30(11), pages 1443-1457.
    19. Aviral Tiwari & Muhammad Shahbaz, 2014. "Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear unit root test," Economic Change and Restructuring, Springer, vol. 47(2), pages 117-133, May.
    20. Maki Daiki, 2010. "Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-43, September.
    21. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
    22. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October.
    23. Bahmani-Oskooee, Mohsen & Kutan, Ali M. & Zhou, Su, 2007. "Testing PPP in the non-linear STAR framework," Economics Letters, Elsevier, vol. 94(1), pages 104-110, January.
    24. Mohsen Bahmani-Oskooee & Omid Ranjbar, 2016. "Quantile unit root test and PPP: evidence from 23 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 48(31), pages 2899-2911, July.
    25. David W. R. Gruen & Jenny Wilkinson, 1994. "Australia's Real Exchange Rate–Is it Explained by the Terms of Trade or by Real Interest Differentials?," The Economic Record, The Economic Society of Australia, vol. 70(209), pages 204-219, June.
    26. Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February.
    27. Mohsen Bahmani Oskooee & Magda Kandil, 2007. "Real and nominal effective exchange rates in MENA countries: 1970-2004," Applied Economics, Taylor & Francis Journals, vol. 39(19), pages 2489-2501.

  12. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    See citations under working paper version above.
  13. Corbae, Dean & Ouliaris, Sam, 1989. "A Random Walk through the Gibson Paradox," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 295-303, July-Sept.

    Cited by:

    1. Nguyen, Tien-Trung & Wu, Yang-Che & Ke, Mei-Chu & Liao, Tung Liang, 2022. "Can direct government intervention save the stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 271-284.
    2. Halicioglu, Ferda, 2004. "The Gibson Paradox: An Empirical Investigation for Turkey," MPRA Paper 3556, University Library of Munich, Germany.
    3. Serge Coulombe, 1998. "A Non-Paradoxical Interpretation of the Gibson Paradox," Staff Working Papers 98-22, Bank of Canada.
    4. Frank J. Atkins & Apostolos Serletis, 2003. "Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low‐Frequency International Data," Manchester School, University of Manchester, vol. 71(6), pages 673-679, December.
    5. Seçkin Kabak & Tuðçe Dallý, 2023. "Gibson Paradox: Panel Data Analysis on ASEAN-T Countries," International Econometric Review (IER), Econometric Research Association, vol. 15(1), pages 12-27, March.
    6. Chang, Eric & Eun, Cheol S. & Kolodny, Richard, 1995. "International diversification through closed-end country funds," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1237-1263, October.
    7. Su, Yuli & Yip, Yewmun & Wong, Rickie W., 2002. "The impact of government intervention on stock returns: Evidence from Hong Kong," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 277-297.

  14. Phillips, P. C. B. & Ouliaris, S., 1988. "Testing for cointegration using principal components methods," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 205-230.

    Cited by:

    1. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, Department of Economics and Business Economics, Aarhus University.
    2. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
    3. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2019. "A Comparison of Semiparametric Tests for Fractional Cointegration," Hannover Economic Papers (HEP) dp-651, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. Daniel Levy, 2000. "Investment–Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Post-Print hal-02385594, HAL.
    5. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    6. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    7. Camba-Méndez, Gonzalo & Kapetanios, George, 2004. "Estimating the rank of the spectral density matrix," Working Paper Series 349, European Central Bank.
    8. Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series 522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. Obeng, Samuel Kwabena, 2015. "An empirical analysis of the relationship between minimum wage, investment and economic growth in Ghana," MPRA Paper 65674, University Library of Munich, Germany.
    10. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877, Cowles Foundation for Research in Economics, Yale University.
    11. Gianluca Cubadda, 1995. "A Note On Testing For Seasonal Cointegration Using Principal Components In The Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 499-508, September.
    12. Sudatta Bharati Mohapatra & Nirmal Chandra Kar, 2022. "Revisiting the Long-Run Dynamic Linkage between Dividends and Share Price with Advanced Panel Econometrics Techniques," JRFM, MDPI, vol. 15(10), pages 1-19, October.
    13. Philip Bodman, 1997. "The Australian Trade Balance and Current Account: a Time Series Perspective," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 39-57.
    14. Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
    15. Camarero, Mariam, & Flôres, R. & C. Tamarit, 2002. "Time series evidence of international output convergence in Mercosur," Computing in Economics and Finance 2002 87, Society for Computational Economics.
    16. Han, Hsiang-Ling & Ogaki, Masao, 1997. "Consumption, income and cointegration," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 107-117.
    17. Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "A multi-country trend indicator for euro area inflation: computation and properties," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 81-108, Bank for International Settlements.
    18. Han, Hsiang-Ling, 2000. "Choice of currency basket weights and its implications on trade balance," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 323-350, October.
    19. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
    20. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
    21. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
    22. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, University Library of Munich, Germany.
    23. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004 74, Royal Economic Society.
    24. Andy Snell, "undated". "Testing For R Versus R-1 Cointegrating Vectors," Discussion Papers 1995-10, Edinburgh School of Economics, University of Edinburgh.
    25. Nielsen, Morten Orregaard, 2004. "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, vol. 83(2), pages 225-231, May.
    26. Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
    27. Muhammad Ahad & Zaheer Anwer, 2021. "Asymmetric impact of oil price on trade balance in BRICS countries: Multiplier dynamic analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2177-2197, April.
    28. Panagiotis Reppas & Efthymios Tsionas & Dimitris Christopoulos, 2001. "European common stochastic long-run trends," Journal of Economics, Springer, vol. 74(2), pages 119-130, June.
    29. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    30. Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
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    1. Costly Adjustment Under Rational Expectations: A Generalization, 1988. "UCLA, Trinity College (Cambridge)," UCLA Economics Working Papers 480, UCLA Department of Economics.

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    Cited by:

    1. Gulnur MURADOGLU & Fatma TASKIN, 1996. "Differences In Household Savings Behavior: Evidence From Industrial And Developing Countries," The Developing Economies, Institute of Developing Economies, vol. 34(2), pages 138-153, June.
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