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

2004

• Par Osterholm, 2004, "Size properties of cointegration tests in misspecified systems," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 15, pages 919-924, DOI: 10.1080/1350485042000282286.
• Dimitris Georgoutsos & Georgios Kouretas, 2004, "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 1, pages 29-41, DOI: 10.1080/0960310042000164202.
• Einmahl, J.H.J. & de Haan, L.F.M. & Li, D., 2004, "Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-71.
• Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-105.
• Mushkudiani, N.A. & Einmahl, J.H.J., 2004, "Generalized Probability-Probability Plots," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-84.
• Einmahl, J.H.J. & van Keilegom, I., 2004, "Goodness-of-fit Tests in Nonparametric Regression," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-12.
• Kalwij, A.S., 2004, "A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-67.
• Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Other publications TiSEM, Tilburg University, School of Economics and Management, number 10722abe-f848-4bfa-a82d-6.
• Einmahl, J.H.J. & van Keilegom, I., 2004, "Goodness-of-fit Tests in Nonparametric Regression," Other publications TiSEM, Tilburg University, School of Economics and Management, number 44e08f75-b35d-424e-b33e-0.
• Martin Wagner & Georg M ller-F rstenberger, 2004, "The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0418, Dec.
• Eugenio S.A.Bodenrieth H., 2004, "Precios de productos almacenables: implicaciones del modelo de inventarios," Estudios de Economia, University of Chile, Department of Economics, volume 31, issue 1 Year 20, pages 67-78, June.
• Juan Carlos Escanciano, 2004, "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 13/04, Sep.
• Lauren Bin Dong & David E. A. Giles, 2004, "An Empirical Likelihood Ratio Test for Normality," Econometrics Working Papers, Department of Economics, University of Victoria, number 0401, Feb.
• Lauren Bin Dong & David E. A. Giles, 2004, "An Empirical Likelihood Ratio Test for Normality in Linear Regression," Econometrics Working Papers, Department of Economics, University of Victoria, number 0402, Apr.
• David E. A. Giles, 2004, "No, Virginia, There Isn't a Santa Claus (For Most Countries' Growth Cycles)," Econometrics Working Papers, Department of Economics, University of Victoria, number 0403, Apr.
• Lauren Bin Dong, 2004, "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers, Department of Economics, University of Victoria, number 0404, Jul.
• Lauren Bin Dong, 2004, "Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach," Econometrics Working Papers, Department of Economics, University of Victoria, number 0405, Dec.
• Rachel Guillain & Julie Le Gallo & Céline Boiteux-Orain, 2004, "The evolution of the spatial and sectoral patterns in Ile-de-France over 1978-1997," ERSA conference papers, European Regional Science Association, number ersa04p59, Aug.
• Jonathan B. Hill, 2004, "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics, University Library of Munich, Germany, number 0402004, Feb, revised 05 Aug 2005.
• Edoardo Otranto, 2004, "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics, University Library of Munich, Germany, number 0402009, Feb, revised 05 Mar 2004.
• Paulo M. M. Rodrigues & Antonio Rubia, 2004, "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics, University Library of Munich, Germany, number 0405004, May.
• Elena Pesavento & Barbara Rossi, 2004, "Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure," Econometrics, University Library of Munich, Germany, number 0411002, Nov.
• Fabio Busetti, 2004, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics, University Library of Munich, Germany, number 0411003, Nov.
• Jonathan B. Hill, 2004, "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics, University Library of Munich, Germany, number 0411014, Nov, revised 04 Nov 2005.
• Christophe Godlewski, 2004, "Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets’ Case," Finance, University Library of Munich, Germany, number 0409024, Sep.
• Jonathan B. Hill, 2004, "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics, University Library of Munich, Germany, number 0407013, Jul, revised 15 Feb 2006.
• Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2004, "Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 694.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2004, "Testing for Seasonal Unit Roots in Heterogeneous Panels," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 695.
• Donald J. Brown, 2004, "Tests of Independence in Separable Econometric Models," Yale School of Management Working Papers, Yale School of Management, number ysm329, Jul.
• Donald W.K. Andrews & Jae-Young Kim, 2004, "End-of-Sample Cointegration Breakdown Tests," Yale School of Management Working Papers, Yale School of Management, number ysm344, Jul.
• Donald W.K. Andrews, 2004, "Cross-section Regression with Common Shocks," Yale School of Management Working Papers, Yale School of Management, number ysm401, Jul.
• Aristeidis G. Samitas, 2004, "Testing the Efficient Market Hypothesis in The Greek Secondary Capital Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 7, issue 1, pages 23-38, May.
• Laakkonen, Helinä, 2004, "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers, Bank of Finland, number 24/2004.
• Knüppel, Malte, 2004, "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,41.
• Thadewald, Thorsten & Büning, Herbert, 2004, "Jarque-Bera test and its competitors for testing normality: A power comparison," Discussion Papers, Free University Berlin, School of Business & Economics, number 2004/9.
• Sibbertsen, Philipp & Krämer, Walter, 2004, "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,31.
• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004, "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-14, Dec.
• Racine, Jeff & MacKinnon, James, 2004, "Simulation-based Tests that can Use Any Number of Simulations," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273465, Oct, DOI: 10.22004/ag.econ.273465.
• Davidson, Russell & MacKinnon, James, 2004, "The Power of Bootstrap and Asymptotic Tests," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273505, Jul, DOI: 10.22004/ag.econ.273505.
• Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., , "Sensitivity of the chi-squared goodness-of-fit test to the partitioning of data," Economic Research Papers, University of Warwick - Department of Economics, number 269588, DOI: 10.22004/ag.econ.269588.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, , "Testing for seasonal unit roots in heterogeneous panels," Economic Research Papers, University of Warwick - Department of Economics, number 269589, DOI: 10.22004/ag.econ.269589.
• Diks, C.G.H. & Panchenko, V., 2004, "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-10.
• Aristeidis G. Samitas, 2004, "Interrelationships of Secondary Equity Markets at Domestic and International Level," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 87-98.
• Richard Luger, 2004, "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 04-2, DOI: 10.34989/swp-2004-2.
• Nielsen M.O., 2004, "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 331-345, July.
• Tristan-Pierre Maury & Bertrand Pluyaud, 2004, "The Breaks in per Capita Productivity Trends in a Number of Industrial Countries," Working papers, Banque de France, number 111.
• Uwe Hassler & Paulo M. M. Rodrigues, 2004, "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 1, pages 33-53, January, DOI: 10.1111/j.1467-9892.2004.00336.x.
• Bhattacharjee, A., 2004, "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0401, Jan.
• Hsiao, C. & Pesaran, M.H., 2004, "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0434, Jun.
• Pesaran, M.H., 2004, "‘General Diagnostic Tests for Cross Section Dependence in Panels’," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0435, Jun.
• José Angel Roldán Casas & Rafaela Dios-Palomares, 2004, "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/37.
• Michael Binder & Cheng Hsiao & M. Hashem Pesaran, 2000, "Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration," CESifo Working Paper Series, CESifo, number 374.
• M. Hashem Pesaran, 2003, "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series, CESifo, number 869.
• Francisco Peñaranda & Enrique Sentana, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI, number wp2004_0410.
• LEJEUNE, Bernard, 2004, "A full heteroscedastic one-way error components model allowing for unbalanced panel : Pseudo-maximum likelihood estimation and specification testing," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004076, Nov.
• Salmon, Mark & Hwang, Soosung, 2004, "Market Stress and Herding," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4340, Apr.
• Sentana, Enrique & Peñaranda, Francisco, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4422, Jun.
• Rossi, Barbara & Pesavento, Elena, 2004, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4536, Sep.
• Hirukawa Masayuki, 2004, "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers, Concordia University, Department of Economics, number 04005, Sep.
• Cebrián, Ana C. & Denuit, Michel & Scaillet, Olivier, 2004, "Testing for Concordance Ordering," ASTIN Bulletin, Cambridge University Press, volume 34, issue 1, pages 151-173, May.
• Nielsen, Morten Ørregaard, 2004, "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 116-146, February.
• Ghysels, Eric & Guay, Alain, 2004, "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, volume 20, issue 6, pages 1168-1202, December.
• Yoon-Jae Whang, 2004, "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1453, Mar.
• Oliver Linton & Yoon-Jae Whang, 2004, "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1454, Mar.
• Donald W.K. Andrews & Marcelo J. Moreira & James H. Stock, 2004, "Optimal Invariant Similar Tests for Instrumental Variables Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1476, Aug.
• Doucouliagos, Hristos & Laroche, Patrice, 2004, "The impact of U.S. unions on productivity: a bootstrap meta-analysis," Working Papers, Deakin University, Department of Economics, number eco_2004_12, Jan.
• Cook, S., 2004, "On the Detection of Business Cycles Asymmetry in 22 Countries, 1870-1994," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 1.
• Konya, Laszlo, 2004, "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 67-94.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2004, "Estimating the rank of the spectral density matrix," Working Paper Series, European Central Bank, number 349, Apr.
• McAdam, Peter & McNelis, Paul, 2004, "Forecasting inflation with thick models and neural networks," Working Paper Series, European Central Bank, number 352, Apr.
• Gadzinski, Gregory & Orlandi, Fabrice, 2004, "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series, European Central Bank, number 414, Nov.
• Giovanni Urga & Lorenzo Trapani, 2004, "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 74, Sep.
• Chang, Yoosoon, 2004, "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers, Rice University, Department of Economics, number 2004-05, Sep.
• Chang, Yoosoon & Park, Joon Y., 2004, "Taking a New Contour: A Novel View on Unit Root Test," Working Papers, Rice University, Department of Economics, number 2004-10, Dec.
• Randolph & Xiao Qin & Tan Gee Kwang, 2004, "Unit Root Tests with Markov-Switching," Econometric Society 2004 Australasian Meetings, Econometric Society, number 145, Aug.
• Ryuichi Nakagawa & Hirofumi Uchida, 2004, "Herd Behavior in the Japanese Loan Market: Evidence from Bank Panel Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 161, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "A Smooth Test for Density Forecast Evaluation," Econometric Society 2004 Australasian Meetings, Econometric Society, number 187, Aug.
• Luis C. Nunes, 2004, "LM-Type tests for a Unit Root Allowing for a Break in Trend," Econometric Society 2004 Australasian Meetings, Econometric Society, number 190, Aug.
• Richard Paap & Frank Kleibergen, 2004, "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings, Econometric Society, number 195, Aug.
• Don Harding, 2004, "Using turning point information to study economic dynamics," Econometric Society 2004 Australasian Meetings, Econometric Society, number 214, Aug.
• Jenny Lye & Joe Hirschberg, 2004, "Confidence bounds for the extremum determined by a quadratic regression," Econometric Society 2004 Australasian Meetings, Econometric Society, number 217, Aug.
• Maxwell L. King & Jahar L. Bhowmik, 2004, "Maximal Invariant Likelihood Based Testing of Semi-Linear Models," Econometric Society 2004 Australasian Meetings, Econometric Society, number 245, Aug.
• Walter Distaso & Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings, Econometric Society, number 273, Aug.
• Keith Freeland & Brendan McCabe & Gael Martin, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 313, Aug.
• Stephen G. Donald & Garry F. Barrett, 2004, "Consistent Nonparametric Tests for Lorenz Dominance," Econometric Society 2004 Australasian Meetings, Econometric Society, number 321, Aug.
• Won Koh & Byoung Cheol Jung & Badi H. Baltagi & Seuck Heun Song, 2004, "Testing for Serial Correlation, Spatial Autocorrelation and Random Effects," Econometric Society 2004 Australasian Meetings, Econometric Society, number 338, Aug.
• Stan Hurn, 2004, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings, Econometric Society, number 348, Aug.
• Rodney C Wolff & Adrian G Barnett, 2004, "Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series," Econometric Society 2004 Australasian Meetings, Econometric Society, number 350, Aug.
• Robert Taylor & Stephen Leybourne & David Harvey, 2004, "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings, Econometric Society, number 64, Aug.
• Donald W. K. Andrews, 2004, "the Block-Block Bootstrap: Improved Asymptotic Refinements," Econometrica, Econometric Society, volume 72, issue 3, pages 673-700, May.
• Won Koh & Badi H. Baltagi & Seuck Heun Song, 2004, "Testing for Serial Correlation, Spatial Autocorrelation and Random Effects," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 415, Aug.
• Junsoo Lee & Walter Enders, 2004, "Testing for a unit-root with a nonlinear Fourier function," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 457, Aug.
• jean-marie Dufour et Malika Neifar, 2004, "Finite-sample inference methods for autoregressive\ processes: an approach based on truncated pivotal autoregression," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 480, Aug.
• Robert Taylor & Fabio Busetti, 2004, "Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 494, Aug.
• Peter Schmidt & Antonio Alvarez & Christine Amsler, 2004, "Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 520, Aug.
• Hsiao Chiying & Chen Pu, 2004, "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 537, Aug.
• Koichi Maekawa & Sangyeol & Lee, 2004, "The Cusum Test for Parameter Change in Regression with ARCH Errors," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 606, Aug.
• Norman R. Swanson & John C. Chao, 2004, "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 668, Aug.
• Zhijie Xiao & Anil K. Bera & Aurobindo Ghosh, 2004, "Smooth Test For Testing Equality Of Two Densities," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 714, Aug.
• Ryuichi Nakagawa & Hirofumi Uchida, 2004, "Herd Behavior In The Japanese Loan Market: Evidence From Bank Panel Data," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 737, Aug.
• Donald Andrews & Jae-Young Kim, 2004, "End-of-Sample Conintegratio Breakdown Tests," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 795, Aug.
• Yoosoon Chang, 2004, "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 796, Aug.
• Carlos Velasco & Ignacio N. Lobato, 2004, "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings, Econometric Society, number 112, Aug.
• Cristian Huse, 2004, "Comparing Nonparametric Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society, number 165, Aug.
• Jesus Otero & Jeremy Smith, 2004, "Testing for seasonal unit roots in heterogeneous panels," Econometric Society 2004 Latin American Meetings, Econometric Society, number 21, Aug.
• Giovanni Urga & Christian de Peretti, 2004, "Stopping Tests in the Sequential Estimation for Multiple Structural Breaks," Econometric Society 2004 Latin American Meetings, Econometric Society, number 320, Aug.
• Luiz Renato Lima & Zhijie Xiao, 2004, "Testing Unit Root Based on Partially Adaptive Estimation," Econometric Society 2004 Latin American Meetings, Econometric Society, number 63, Aug.
• Robert Taylor & Peter Burridge, 2004, "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 125, Aug.
• Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004, "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 153, Aug.
• Emma Iglesias & Jean Marie Dufour, 2004, "Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 161, Aug.
• Helle Bunzel, 2004, "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 219, Aug.
• Dirk Hoorelbeke, 2004, "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 228, Aug.
• Giovanni Urga & Lorenzo Trapani, 2004, "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 266, Aug.
• Cheng-Tao Tang & Shih-Hsun Hsu & Chen-Ying Huang, 2004, "Equilibrium or Simple Rule at Wimbledon? An Empirical Study," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 317, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "Smooth Test Of Density Forecast Evaluation With Independent And Serially Dependent Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 319, Aug.
• Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004, "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 345, Aug.
• Jonathan B. Hill, 2004, "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 42, Aug.
• Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 487, Aug.
• Myunghwan Seo, 2004, "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 494, Aug.
• Samarjit Das & Joerg Breitung, 2004, "Panel Unit Root Tests under Cross- sectional Dependence," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 55, Aug.
• Werner Ploberger, 2004, "Admissible and Nonadmissible Test in Unit-Root-like Situations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 555, Aug.
• Ruxandra Prodan, 2004, "Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 90, Aug.
• Barbara Rossi & Elena Pesavento, 2004, "Do Technology Shocks Drive Hours Up or Down?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 96, Aug.
• Jose Olmo & Jesus Gonzalo, 2004, "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 144, Aug.
• Peter Christoffersen & Jeremy Berkowitz, 2004, "Martingale Tests of Value-at-Risk," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 236, Aug.
• Barbara Rossi (Duke) & Elena Pesavento (Emory), 2004, "Small sample confidence intervals for multivariate impulse response functions at long horizons," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 364, Aug.
• Werner Ploberger, 2004, "On the inadmissibility of classical tests in unit-root-type situations," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 461, Aug.
• Byeongseon Seo, 2004, "Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 463, Aug.
• Jin-Chuan Duan, 2004, "A Specification Test for Time Series Models by a Normality," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 467, Aug.
• N. Meddahi & C. Bontemps, 2004, "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 487, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Gustavo Suarez & Marcelo J. Moreira & Jack R. Porter, 2004, "Higher Order Expansions in the Weak Instrument Case," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 638, Aug.
• Morten Orregaard Nielsen, 2004, "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, volume 7, issue 1, pages 63-97, June.
• Chang, Yoosoon, 2004, "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, volume 120, issue 2, pages 263-293, June.
• Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004, "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, volume 122, issue 2, pages 317-347, October.
• Burridge, Peter & Robert Taylor, A. M., 2004, "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, volume 123, issue 1, pages 67-87, November.
• Hwang, Soosung & Salmon, Mark, 2004, "Market stress and herding," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 585-616, September.
• Kerkhof, Jeroen & Melenberg, Bertrand, 2004, "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, volume 28, issue 8, pages 1845-1865, August.
• Chen, Jyh-Yaw Joseph & Giles, David E.A., 2004, "Gender convergence in crime: Evidence from Canadian adult offense charge data," Journal of Criminal Justice, Elsevier, volume 32, issue 6, pages 593-606.
• Ziliak, Stephen T. & McCloskey, Deirdre N., 2004, "Size matters: the standard error of regressions in the American Economic Review," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 33, issue 5, pages 527-546, November.
• Don Harding & Adrian Pagan, 2004, "Synchronization of cycles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2004-03, Jun.

2003

• Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003, "Breaking the panels. An application to the GDP per capita," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 97.
• Fabio Busetti & A. M. Robert Taylor, 2003, "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 470, Mar.
• Fabio Busetti, 2003, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 476, Jun.
• Groen, Jan J J & Kleibergen, Frank, 2003, "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 2, pages 295-318, April.
• Joseph P. Romano & Michael Wolf, 2015, "Stepwise Multiple Testing as Formalized Data Snooping," Working Papers, Barcelona School of Economics, number 17, Sep.
• Dingding Li & Thanasis Stengos, 2003, "Testing Serial Correlation in Semiparametric Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 3, pages 311-335, May, DOI: 10.1111/1467-9892.00309.
• Markku Lanne & Pentti Saikkonen, 2003, "Reducing size distortions of parametric stationarity tests," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 4, pages 423-439, July, DOI: 10.1111/1467-9892.00314.
• Stephen Hall & David Shepherd, 2003, "Testing for Common Cycles in Money, Nominal Income and Prices," Manchester School, University of Manchester, volume 71, issue s1, pages 68-84, September, DOI: 10.1111/1467-9957.71.s.5.
• Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2003, "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 1, pages 91-115, February, DOI: 10.1111/1468-0084.00036.
• Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003, "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 891-906, December, DOI: 10.1046/j.0305-9049.2003.00085.x.
• Raffaella Giacomini & Ivana Komunjer, 2003, "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics, Boston College Department of Economics, number 571, Jun.
• Hasan Bakhshi & George Kapetanios & Anthony Yates, 2003, "Rational expectations and fixed-event forecasts: an application to UK inflation," Bank of England working papers, Bank of England, number 176, Feb.
• Valérie Canals & Claude Diebolt & Magali Jaoul, 2003, "Convergence et disparités régionales du poids de l'enseignement supérieur en France : 1964-2000," Revue d'économie régionale et urbaine, Armand Colin, volume 0, issue 4, pages 649-669.
• Pesaran, H.M., 2003, "Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0305, Jan, DOI: 10.17863/CAM.5111.
• Pesaran, M.H., 2003, "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0346, Oct.
• Im, K.S. & Pesaran, M.H., 2003, "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0347, Oct, DOI: 10.17863/CAM.5079.
• James E. Prieger, 2003, "Bootstrapping the Conditional Moment Test for Parametric Duration Models," Working Papers, University of California, Davis, Department of Economics, number 30, Jul.
• Su, Liangjun & White, Halbert, 2003, "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt35v8g0fm, Oct.
• Hsiao-chuan Chang, 2003, "International Trade, Productivity Growth, Education and the Wage Differential: A Case Study of Taiwan," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 25-48, May.
• Steven Cook, 2003, "A Note on Business Cycle Non-Linearity in U. S. Consumption," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 247-253, November.
• Wolfgang Haerdle & Oliver Linton & Qihua Wang, 2003, "Semiparametric Regression Analysis under Imputation for Missing Response Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 454, May.
• Oliver Linton & Yoon-Jae Whang, 2003, "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 463, Nov.
• César Calderón & Roberto Duncan, 2003, "Purchasing Power Parity in an Emerging Market Economy: A Long-Span Study for Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 215, Jun.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers, CIRANO, number 2003s-33, Mar.
• Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers, CIRANO, number 2003s-34, Apr.
• Jean-Marie Dufour, 2003, "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers, CIRANO, number 2003s-49, Jul.
• Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003, "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers, CIRANO, number 2003s-61, Sep.
• Jean-Marie Dufour, 2003, "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, volume 36, issue 4, pages 767-808, November, DOI: 10.1111/1540-5982.t01-3-00001.
• HORVATH, Lajos & KOKOSZKA, Piotr & TEYSSIÈRE , Gilles, 2003, "Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003009, Feb.
• TEYSSIERE, Gilles, 2003, "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003026, Feb.
• BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia, 2003, "Ranking economics departments in Europe: a statistical approach," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003050, Jul.
• Donald J. Brown & Marten H. Wegkamp, 2003, "Tests of Independence in Separable Econometric Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1395, Jan.
• Donald J. Brown & Rahul Deb & Marten H. Wegkamp, 2003, "Tests of Independence in Separable Econometric Models: Theory and Application," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1395R, Jan, revised Oct 2006.
• Donald W.K. Andrews & Jae-Young Kim, 2003, "End-of-Sample Cointegration Breakdown Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1404, Mar.
• Donald W.K. Andrews, 2003, "Cross-section Regression with Common Shocks," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1428, Jun.
• Boriss Siliverstovs, 2003, "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 382.