Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C12: Hypothesis Testing: General

2007

• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2007, "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," Economics Letters, Elsevier, volume 97, issue 2, pages 179-184, November.
• Corradi, Valentina & Swanson, Norman R., 2007, "Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data," Journal of Econometrics, Elsevier, volume 136, issue 2, pages 699-723, February.
• Chung, Heetaik & Park, Joon Y., 2007, "Nonstationary nonlinear heteroskedasticity in regression," Journal of Econometrics, Elsevier, volume 137, issue 1, pages 230-259, March.
• Blake, Andrew P. & Kapetanios, George, 2007, "Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean," Journal of Econometrics, Elsevier, volume 137, issue 2, pages 472-488, April.
• Smith, Richard J., 2007, "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, volume 138, issue 2, pages 430-460, June.
• Hsiao, Cheng & Li, Qi & Racine, Jeffrey S., 2007, "A consistent model specification test with mixed discrete and continuous data," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 802-826, October.
• Seo, Myung Hwan & Linton, Oliver, 2007, "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 704-735, December.
• Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007, "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 736-755, December.
• Kiefer, Nicholas M. & Larson, C. Erik, 2007, "A simulation estimator for testing the time homogeneity of credit rating transitions," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 818-835, December.
• Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007, "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2405-2423, August.
• Uchida, Hirofumi & Nakagawa, Ryuichi, 2007, "Herd behavior in the Japanese loan market: Evidence from bank panel data," Journal of Financial Intermediation, Elsevier, volume 16, issue 4, pages 555-583, October.
• Scaillet, Olivier, 2007, "Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters," Journal of Multivariate Analysis, Elsevier, volume 98, issue 3, pages 533-543, March.
• Cherchye, Laurens & Van Puyenbroeck, Tom, 2007, "Profit efficiency analysis under limited information with an application to German farm types," Omega, Elsevier, volume 35, issue 3, pages 335-349, June.
• Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007, "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 376, issue C, pages 565-572, DOI: 10.1016/j.physa.2006.10.016.
• Ferda Halicioglu, 2007, "A Multivariate Causality Analysis of Export and Growth for Turkey," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2007_05, Oct.
• Kalnina, Ilze & Linton, Oliver, 2007, "Inference about realized volatility using infill subsampling," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4411, Sep.
• Bryan Andrew Kenyon Johnson, 2007, "Políticas nacionais de taxa de câmbio e crise da dívida internacional," Brazilian Journal of Political Economy, FGV EAESP, volume 27, issue 1, pages 60-81, March.
• Noriega, Antonio & Fontenla, Matías, 2007, "La infraestructura y el crecimiento económico en México," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 296, pages 885-900, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Parisi, Franco & Espinosa, Christian & Parisi, Antonino, 2007, "Pruebas de comportamiento caótico en índices bursátiles americanos," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 296, pages 901-927, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v74i.

2006

• Niels Haldrup & Andreu Sansó, 2006, "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-01, Jan.
• Peter Sandholt Jensen & Allan H. Würtz, 2006, "On determining the importance of a regressor with small and undersized samples," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-08, Jul.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, New Economic School (NES), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, New Economic School (NES), number w0075, Dec.
• Olivier Roodenburg & Ard H.J. den Reijer, 2006, "Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 52, issue 4, pages 337-356.
• William C. Horrace, 2006, "Selection Procedures for Economics," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 52, issue 4, pages 357-374.
• Galeotti, Marzio & Manera, Matteo & Lanza, Alessandro, 2006, "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Climate Change Modelling and Policy Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 12045, DOI: 10.22004/ag.econ.12045.
• Langyintuo, Augustine S. & Mungoma, Catherine, 2006, "The Effect of Household Wealth on Input Market Participation in Southern Africa," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25630, DOI: 10.22004/ag.econ.25630.
• Bonnet, Céline & Dubois, Pierre & Simioni, Michel, 2006, "Two-Part Tariffs versus Linear Pricing Between Manufacturers and Retailers: Empirical Tests on Differentiated Products Markets," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25685, DOI: 10.22004/ag.econ.25685.
• MacKinnon, James, 2006, "Applications of the Fast Double Bootstrap," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273459, Feb, DOI: 10.22004/ag.econ.273459.
• Davidson, Russell & MacKinnon, James, 2006, "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273460, Feb, DOI: 10.22004/ag.econ.273460.
• MacKinnon, James, 2006, "Bootstrap Methods in Econometrics," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273466, Feb, DOI: 10.22004/ag.econ.273466.
• Davidson, Russell & MacKinnon, James, 2006, "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273514, Mar, DOI: 10.22004/ag.econ.273514.
• Racine, Jeff & MacKinnon, James, 2006, "Inference via Kernel Smoothing of Bootstrap P Values," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273530, Mar, DOI: 10.22004/ag.econ.273530.
• Kasahara, Hiroyuki & Shimotsu, Katsumi, 2006, "Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273539, Feb, DOI: 10.22004/ag.econ.273539.
• Veeman, Michele M. & Li, Yu, 2006, "Canadian Consumers' Preferences for Food Safety and Agricultural Environment Safety," Consumer and Market Demand Network Papers, University of Alberta, Department of Resource Economics and Environmental Sociology, number 91557, Feb, DOI: 10.22004/ag.econ.91557.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, undated, "Testing for stationarity in heterogeneous panel data in the presence of cross section dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269651, DOI: 10.22004/ag.econ.269651.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, undated, "Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269741, DOI: 10.22004/ag.econ.269741.
• Clements, Michael P. & Harvey, David I., undated, "Forecast Encompassing Tests and Probability Forecasts," Economic Research Papers, University of Warwick - Department of Economics, number 269744, DOI: 10.22004/ag.econ.269744.
• Brown, Donald J. & Deb, Rahul & Wegkamp, Marten, 2006, "Tests of Independence in Separable Econometric Models: Theory and Application," Center Discussion Papers, Yale University, Economic Growth Center, number 28395, DOI: 10.22004/ag.econ.28395.
• Diks, C.G.H. & Panchenko, V., 2006, "Rank-based entropy tests for serial independence," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-14.
• Ana Paula M. Avellar & Patrick Franco Alves, 2006, "Avaliação De Impacto De Programas De Incentivos Fiscais À Inovação – Um Estudo Sobre Os Efeitos Do Pdti No Brasil," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 101.
• Eva Boj del Val & M. Mercedes Claramunt Bielsa & Jose Fortiana Gregori, 2006, "Bootstrapping pairs in Distance-Based Regression," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 154.
• Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006, "Testing for multicointegration in panel data with common factors," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 160.
• Jean-Marie Dufour & David Tessier, 2006, "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Staff Working Papers, Bank of Canada, number 06-39, DOI: 10.34989/swp-2006-39.
• Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006, "Forecasting Canadian Time Series with the New Keynesian Model," Staff Working Papers, Bank of Canada, number 06-4, DOI: 10.34989/swp-2006-4.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006, "Spurious Regression and Econometric Trends," Working Papers, Banco de México, number 2006-05, Apr.
• Ysusi Carla, 2006, "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers, Banco de México, number 2006-10, Sep.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006, "Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks," Working Papers, Banco de México, number 2006-12, Dec.
• Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006, "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano, number unimi-1027, May.
• Escanciano, J. Carlos, 2006, "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 531-541, June.
• Olivier de Bandt & Catherine Bruno & Alexis Flageollet, 2006, "Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area," Working papers, Banque de France, number 145.
• JAMES G. MacKINNON, 2006, "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, volume 82, issue s1, pages 2-18, September, DOI: 10.1111/j.1475-4932.2006.00328.x.
• Taku Yamamoto & Eiji Kurozumi, 2006, "Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 5, pages 703-723, September, DOI: 10.1111/j.1467-9892.2006.00484.x.
• Joakim Westerlund, 2006, "Testing for Panel Cointegration with Multiple Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue 1, pages 101-132, February, DOI: 10.1111/j.1468-0084.2006.00154.x.
• Josep Lluís Carrion‐i‐Silvestre & Andreu Sansó, 2006, "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue 5, pages 623-646, October, DOI: 10.1111/j.1468-0084.2006.00180.x.
• Vanessa Berenguer‐Rico & Josep Lluís Carrion‐i‐Silvestre, 2006, "Testing for Multicointegration in Panel Data with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 721-739, December, DOI: 10.1111/j.1468-0084.2006.00453.x.
• Andrés González & Timo Teräsvirta, 2006, "Simulation‐based Finite Sample Linearity Test against Smooth Transition Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 797-812, December, DOI: 10.1111/j.1468-0084.2006.00457.x.
• Laura Mayoral, 2006, "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 901-920, December, DOI: 10.1111/j.1468-0084.2006.00462.x.
• Rigoberto A. Lopez & Xenia Matschke, 2006, "Food Protection for Sale," Review of International Economics, Wiley Blackwell, volume 14, issue 3, pages 380-391, August, DOI: 10.1111/j.1467-9396.2006.00630.x.
• Ai Deng Author-X-Name-First: Ai, 2006, "Local Power of Andrews and Ploberger Tests Against Nearly Integrated, Nearly White Noise Process," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-027, May.
• Frank Windmeijer, 2006, "GMM for panel count data models," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 06/591, Oct.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-18, Sep.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Are PPP Tests Erratically Behaved? Some Panel Evidence," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-22, Oct.
• Tung Liu & Courtenay Cliff Stone, 2006, "Law and Statistical Disorder: Statistical Hypothesis Test Procedures And the Criminal Trial Analogy," Working Papers, Ball State University, Department of Economics, number 200601, Mar, revised May 2007.
• Mikael Bask & Tung Liu & Anna Widerberg, 2006, "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers, Ball State University, Department of Economics, number 200603, Apr, revised Apr 2006.
• Pesaran, M.H. & Ullah, A. & Yamagata. T., 2006, "A Bias-Adjusted LM Test of Error Cross Section Independence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0641, May.
• Pesaran, M.H. & Timmermann, A., 2006, "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0648, Jul.
• Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006, "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0651, Aug.
• Jonah B. Gelbach & Doug Miller & A. Colin Cameron, 2006, "Bootstrap-Based Improvements for Inference with Clustered Errors," Working Papers, University of California, Davis, Department of Economics, number 128, Jul.
• Amalia Morales Zumaquero & Simón Sosvilla Rivero, 2006, "Macroeconomic Instability in the European Monetary System?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2006/06.
• Ilze Kalnina & Oliver Linton, 2006, "Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 509, Oct.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series, CESifo, number 1811.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, Center for Economic and Financial Research (CEFIR), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, Center for Economic and Financial Research (CEFIR), number w0075, Dec.
• Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006, "Forecasting Canadian Time Series With the New-Keynesian Model," Working Papers Central Bank of Chile, Central Bank of Chile, number 382, Dec.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006, "Robust Subsampling," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-33, Nov.
• Bruno Rémillard & Olivier Scaillet, 2007, "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-24, Jun.
• Maurice Doyon & Lota Tamini & Virginie Simard & Kent Messer & Harry M. Kaiser, 2006, "L'économie expérimentale pour l'analyse de modifications au système centralisé de vente du quota laitier au Québec," CIRANO Working Papers, CIRANO, number 2006s-23, Nov.
• Manisha Chakrabarty & Anke Schmalenbach & Jeffrey Racine, 2006, "On the distributional effects of income in an aggregate consumption relation," Canadian Journal of Economics, Canadian Economics Association, volume 39, issue 4, pages 1221-1243, November.
• Joon Y. Park & Mototsugu Shintani, 2006, "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography, UCLA Department of Economics, number 321307000000000316, Sep.
• Luis Fernando Gamboa & José Alberto Guerra, 2006, "Una evaluación estática y dinámica de los cambios en calidad de vida en Colombia durante 1997-2003," Revista de Economía del Rosario, Universidad del Rosario.
• María Isabel Restrepo Estrada & Diana Constanza Restrepo Ochoa, 2006, "¿Existe el canal del crédito bancario?: evidencia para Colombia en el período 1995-2005," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Koedijk, Kees & Verbeek, Marno & Kole, Erik, 2006, "Selecting Copulas for Risk Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 5652, Apr.
• van der Ploeg, Frederick, 2006, "Challenges and Opportunities for Resource Rich Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 5688, May.
• Dubois, Pierre & Bonnet, Céline & Simioni, Michel, 2006, "Two-Part Tariffs versus Linear Pricing Between Manufacturers and Retailers: Empirical Tests on Differentiated Products Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 6016, Dec.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2006, "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach," Working Papers, University of Crete, Department of Economics, number 0717, Oct.
• Olmo, J., 2006, "A new family of estimators for the extremal index," Working Papers, Department of Economics, City St George's, University of London, number 06/01.
• Robert D. Coleman, 2006, "Asset Pricing Simultaneities: Phases and Patterns," Annals of Economics and Finance, Society for AEF, volume 7, issue 1, pages 49-76, May.
• Salah A. Nusair, 2006, "Real Interest Rate Parity: Evidence from Industrialized Countries," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 425-457, November.
• Whang, Yoon-Jae, 2006, "Smoothed Empirical Likelihood Methods For Quantile Regression Models," Econometric Theory, Cambridge University Press, volume 22, issue 2, pages 173-205, April.
• Chen, Willa W. & Deo, Rohit S., 2006, "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, volume 22, issue 2, pages 206-234, April.
• Baltagi, Badi H., 2006, "Random Effects And Spatial Autocorrelation With Equal Weights," Econometric Theory, Cambridge University Press, volume 22, issue 5, pages 973-984, October.
• Escanciano, J. Carlos, 2006, "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, volume 22, issue 6, pages 1030-1051, December.
• Quandt, Richard E., 2006, "Measurement and Inference in Wine Tasting," Journal of Wine Economics, Cambridge University Press, volume 1, issue 1, pages 7-30, April.
• Donald W.K. Andrews & Gustavo Soares, 2006, "Rank Tests for Instrumental Variables Regression with Weak Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1564, Mar.
• Afef Boughanmi & Bruno Deffains, 2006, "Droit, gouvernance d’entreprise et structure du système financier:une analyse économétrique du cas français (1980-2004)," Revue Finance Contrôle Stratégie, revues.org, volume 9, issue 4, pages 33-66, December.
• Stanley, T. D. & Doucouliagos, Hristos, 2006, "Publication bias in minimum-wage research? Card and Krueger redux," Working Papers, Deakin University, Department of Economics, number eco_2006_16, Jan.
• Stanley, T. D., 2006, "Meta-regression methods for detecting and estimating empirical effects in the presence of publication selection," Working Papers, Deakin University, Department of Economics, number eco_2006_20, Jan.
• Jayanthakumaran, K. & Pahlavani, M., 2006, "Australia and New Zealand CER agreement and breakpoints in bilateral trade: an application of the Wald-type test," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Kyoo il Kim, 2006, "Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities," Labor Economics Working Papers, East Asian Bureau of Economic Research, number 22451, Jan.
• Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio, 2006, "Inflation convergence and divergence within the European Monetary Union," Working Paper Series, European Central Bank, number 574, Jan.
• Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006, "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series, European Central Bank, number 591, Feb.
• Choi, Hwan-sik & Kiefer, Nicholas M., 2006, "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers, Cornell University, Center for Analytic Economics, number 06-09, Sep.
• Kiefer, Nicholas M. & Larson, C. Erik, 2006, "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers, Cornell University, Center for Analytic Economics, number 06-10, Sep.
• Michael Jansson & Marcelo J. Moreira, 2006, "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, volume 74, issue 3, pages 681-714, May.
• Raffaella Giacomini & Halbert White, 2006, "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, volume 74, issue 6, pages 1545-1578, November.
• Yongcheol Shin & Andy Snell, 2006, "Mean group tests for stationarity in heterogeneous panels," Econometrics Journal, Royal Economic Society, volume 9, issue 1, pages 123-158, March.
• George Kapetanios & Yongcheol Shin, 2006, "Unit root tests in three-regime SETAR models," Econometrics Journal, Royal Economic Society, volume 9, issue 2, pages 252-278, July.
• Kapetanios, George, 2006, "Choosing the optimal set of instruments from large instrument sets," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 2, pages 612-620, November.
• Escanciano, J. Carlos & Velasco, Carlos, 2006, "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2278-2294, December.
• Kapetanios, George, 2006, "Cluster analysis of panel data sets using non-standard optimisation of information criteria," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 8, pages 1389-1408, August.
• Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2006, "Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1707-1727.
• Jin, Sainan & Phillips, Peter C.B. & Sun, Yixiao, 2006, "A new approach to robust inference in cointegration," Economics Letters, Elsevier, volume 91, issue 2, pages 300-306, May.
• Sibbertsen, Philipp & Kramer, Walter, 2006, "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, volume 91, issue 3, pages 321-324, June.
• Rodrigues, Paulo M.M., 2006, "Properties of recursive trend-adjusted unit root tests," Economics Letters, Elsevier, volume 91, issue 3, pages 413-419, June.
• Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc, 2006, "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," Journal of Econometrics, Elsevier, volume 130, issue 1, pages 123-142, January.
• Corradi, Valentina & Swanson, Norman R., 2006, "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 195-229, May.
• Harding, Don & Pagan, Adrian, 2006, "Synchronization of cycles," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 59-79, May.
• Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006, "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 337-362, June.
• Kleibergen, Frank & Paap, Richard, 2006, "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 97-126, July.
• Davidson, Russell & MacKinnon, James G., 2006, "The power of bootstrap and asymptotic tests," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 421-441, August.
• Dufour, Jean-Marie, 2006, "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 443-477, August.
• Inoue, Atsushi & Shintani, Mototsugu, 2006, "Bootstrapping GMM estimators for time series," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 531-555, August.
• Hong, H. & Scaillet, O., 2006, "A fast subsampling method for nonlinear dynamic models," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 557-578, August.
• Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim, 2006, "Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 673-702, August.
• Corradi, Valentina & Swanson, Norman R., 2006, "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 779-806, August.
• Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006, "Modified tests for a change in persistence," Journal of Econometrics, Elsevier, volume 134, issue 2, pages 441-469, October.
• Hsiao, Cheng & Wang, Siyan, 2006, "Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 427-463.
• Gravelle, Toni & Kichian, Maral & Morley, James, 2006, "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, volume 68, issue 2, pages 409-423, March.
• Lee, Junsoo & List, John A. & Strazicich, Mark C., 2006, "Non-renewable resource prices: Deterministic or stochastic trends?," Journal of Environmental Economics and Management, Elsevier, volume 51, issue 3, pages 354-370, May.
• Urzúa, Carlos M., 2006, "Gauss procedure to compute the ALM test for normality," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-01, revised .
• Urzúa, Carlos M., 2006, "Gauss procedure to compute the ALMP test for multivariate normality," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-02, revised .
• Urzúa, Carlos M., 2006, "Gauss procedure to compute the LMZ test for Zipf's law," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-03, revised .
• Rajagopal, 2006, "Consumer Response to Seasonal Clearance Sales: Experimental Analysis of Consumer Personality Traits in Self Service Stores," Marketing Working Papers, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-03-MKT, Aug.
• Donald J. Brown & Rahul Deb & Marten H. Wegkamp, 2006, "Tests of Independence in Separable Econometric Models: Theory and Application," Working Papers, Economic Growth Center, Yale University, number 946, Oct.
• Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2006, "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24520, Sep.
• Kalnina, Ilze & Linton, Oliver, 2006, "Estimating quadratic variation consistently in the presence of correlated measurement error," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4413, Oct.
• Rotger, G.P. & Franses, Ph.H.B.F., 2006, "Forecasting high-frequency electricity demand with a diffusion index model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-38, Sep.
• Jorge H. del Castillo-Spíndola, 2006, "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 21, issue 2, pages 275-297.
• Thomas Brenner, 2006, "The Regional Industry-size Distribution - An Analysis of all Types of Industries in Germany," Papers on Economics and Evolution, Philipps University Marburg, Department of Geography, number 2005-16, Mar.
• T. Brenner, 2006, "A Stochastic Theory of Geographic Concentration and the Empirical Evidence in Germany," Papers on Economics and Evolution, Philipps University Marburg, Department of Geography, number 2005-23, Sep.
• Karl H. Schlag, 2006, "Designing Non-Parametric Estimates and Tests for Means," Economics Working Papers, European University Institute, number ECO2006/26.
• Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006, "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers, European University Institute, number ECO2006/5.
• Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006, "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Working Papers, Fondazione Eni Enrico Mattei, number 2006.22, Feb.
• Robert W. Rich & Joseph Tracy, 2006, "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports, Federal Reserve Bank of New York, number 253, Jul.
• Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006, "Are there Monday effects in Stock Returns: A Stochastic Dominance Approach," FMG Discussion Papers, Financial Markets Group, number dp568, Sep.
• Gauri Khanna, 2006, "Technical Efficiency in Production and Resource Use in Sugar Cane: A Stochastic Frontier Production Function Analysis," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 15-2006, Oct.
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• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2006, "Spurious Regression and Trending Variables," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200701, Sep, revised Jan 2007.
• Thanasis Stengos & Ximing Wu, 2006, "Information-Theoretic Distribution Test with Application to Normality," Working Papers, University of Guelph, Department of Economics and Finance, number 0604.
• Nicolas Million, 2006, "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00119051, Oct.
• Russell Davidson & James Mackinnon, 2006, "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers, HAL, number halshs-00439247.
• Carlsson, Fredrik & Johansson-Stenman, Olof, 2006, "Should We Trust Hypothetical Referenda? Test and Identification Problems," Working Papers in Economics, University of Gothenburg, Department of Economics, number 189, Jan, revised 24 Jan 2006.
• Westerlund, Joakim & Edgerton , David, 2006, "New Improved Tests for Cointegration with Structural Breaks," Working Papers, Lund University, Department of Economics, number 2006:3, Jan.
• Westerlund, Joakim & Edgerton, David, 2006, "Simple Tests for Cointegration in Dependent Panels with Structural Breaks," Working Papers, Lund University, Department of Economics, number 2006:13, May, revised 28 Jan 2007.
• Westerlund, Joakim & Costantini, Mauro, 2006, "Panel Cointegration and the Neutrality of Money," Working Papers, Lund University, Department of Economics, number 2006:18, Aug.
• Jönsson, Kristian, 2006, "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers, Lund University, Department of Economics, number 2006:20, Oct, revised 09 Nov 2009.
• Jönsson, Kristian, 2006, "Finite-Sample Stability of the KPSS Test," Working Papers, Lund University, Department of Economics, number 2006:23, Dec.
• Chen, Jing & Chollete, Lorán, 2006, "Financial Distress and Idiosyncratic Volatility: An Empirical Investigation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/8, Aug.
• Simonsen, Ola, 2006, "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," Umeå Economic Studies, Umeå University, Department of Economics, number 688, Aug.
• Simonsen, Ola, 2006, "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies, Umeå University, Department of Economics, number 689, Aug.
• Sugita, Katsuhiro & 杉田, 勝弘, 2006, "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2006-14, Nov.
• Hiroaki Chigira & Taku Yamamoto, 2006, "Cointegration, Integration, and Long-Term Forcasting," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d05-148, Mar.
• Hiroaki Chigira & Taku Yamamoto, 2006, "Forcasting in large cointegrated processes," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-169, Jun.
• Hiroaki Chigira & Taku Yamamoto, 2006, "A Bias-Corrected Estimation for Dynamic Panel Models in Small Samples," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-177, Jul.
• Eiji Kurozumi & Yoichi Arai, 2006, "Test for the null hypothesis of cointegration with reduced size distortion," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-190, Nov.
• Tong Li, 2006, "Simulation based selection of competing structural econometric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP16/06, Aug.
• Frank Windmeijer, 2006, "GMM for panel count data models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP21/06, Oct.
• Adam Rosen, 2006, "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP25/06, Dec.
• Müller-Fürstenberger, Georg & Wagner, Martin, 2006, "Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems," Economics Series, Institute for Advanced Studies, number 183, Jan.
• Wagner, Martin, 2006, "The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?," Economics Series, Institute for Advanced Studies, number 197, Nov.
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• Russell Davidson & Jean-Yves Duclos, 2006, "Testing for Restricted Stochastic Dominance," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 36.
• Alicia Pérez Alonso, 2006, "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-18, Jul.
• Davidson, Russell & Duclos, Jean-Yves, 2006, "Testing for Restricted Stochastic Dominance," IZA Discussion Papers, IZA Network @ LISER, number 2047, Mar.
• Pesaran, M. Hashem & Timmermann, Allan, 2006, "Testing Dependence among Serially Correlated Multi-Category Variables," IZA Discussion Papers, IZA Network @ LISER, number 2196, Jul.
• Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi, 2006, "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers, IZA Network @ LISER, number 2243, Aug.
• Cherchye, Laurens & De Rock, Bram & Vermeulen, Frederic, 2006, "Analyzing Cost Efficient Production Behavior Under Economies of Scope: A Nonparametric Methodology," IZA Discussion Papers, IZA Network @ LISER, number 2319, Sep.
• Fabio Busetti, 2006, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 419-438, DOI: 10.1002/jae.852.
• James G. MacKinnon & Russell Davidson, 2006, "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 6, pages 827-833, DOI: 10.1002/jae.873.
• Barbara Rossi & Elena Pesavento, 2006, "Small-sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1135-1155, DOI: 10.1002/jae.894.
• Shyh-Wei Chen & Chun-Wei Chen, 2006, "Testing for Nonlinear Granger Causality in the Price-Volume Relations of Taiwan's Stock and Foreign Exchange Markets," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 2, issue 1, pages 21-51, January.