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

2003

• Rossi, Barbara & Pesavento, Elena, 2003, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," Working Papers, Duke University, Department of Economics, number 03-19.
• Rossi, Barbara & Pesavento, Elena, 2003, "Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure," Working Papers, Duke University, Department of Economics, number 03-23.
• Klaeffling, Matt, 2003, "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series, European Central Bank, number 228, May.
• Klaeffling, Matt, 2003, "Macroeconomic modelling of monetary policy," Working Paper Series, European Central Bank, number 257, Sep.
• Schmalenbach, Anke & Manisha Chakrabarty, 2003, "The Representative Agent Hypothesis: An Empirical Test," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 185, Jun.
• Chang, Yoosoon, 2003, "Nonlinear IV Panel Unit Root Tests," Working Papers, Rice University, Department of Economics, number 2003-06, Mar.
• D. W. K. Andrews, 2003, "End-of-Sample Instability Tests," Econometrica, Econometric Society, volume 71, issue 6, pages 1661-1694, November.
• George Kapetanios & Yongcheol Shin, 2003, "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 104, Nov.
• George Kapetanios & Yongcheol Shin, 2003, "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 108, Jan.
• Gabriel, Vasco J., 2003, "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, volume 78, issue 1, pages 17-25, January.
• Ghysels, Eric & Guay, Alain, 2003, "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, volume 115, issue 1, pages 91-123, July.
• Luger, Richard, 2003, "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 259-276, August.
• Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003, "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, volume 117, issue 1, pages 123-150, November.
• Busetti, Fabio & Taylor, A. M. Robert, 2003, "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Journal of Econometrics, Elsevier, volume 117, issue 1, pages 21-53, November.
• Florax, Raymond J. G. M. & Folmer, Hendrik & Rey, Sergio J., 2003, "Specification searches in spatial econometrics: the relevance of Hendry's methodology," Regional Science and Urban Economics, Elsevier, volume 33, issue 5, pages 557-579, September.
• Hall, Peter G. & Hyndman, Rob J., 2003, "Improved methods for bandwidth selection when estimating ROC curves," Statistics & Probability Letters, Elsevier, volume 64, issue 2, pages 181-189, August.
• Zaka Ratsimalahelo, 2003, "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2003_04, Jun.
• Linton, Oliver & Whang, Yoon-Jae, 2003, "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2112, Nov.
• Hardle, Wolfgang & Linton, Oliver & Wang, Qihua, 2003, "Semiparametric regression analysis under imputation for missing response data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2206, May.
• Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003, "Consistent testing for stochastic dominance under general sampling schemes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2208, Dec.
• Ormazabal Sánchez, Kepa Mirena, 2003, "A Fundamental Contradiction in Keynes' Conception of Income," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Feb.
• Kevin T. Reilly & Luisa Zanchi, 2003, "Industry wage differentials: how many, big and significant are they?," International Journal of Manpower, Emerald Group Publishing Limited, volume 24, issue 4, pages 367-398, June, DOI: 10.1108/01437720310485906.
• Kleibergen, F.R. & Paap, R., 2003, "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-01, Feb.
• Daniela VURI, 2003, "Propensity Score Estimates of the Effects of Fertility on Marital Dissolution," Economics Working Papers, European University Institute, number ECO2003/04.
• Agostinho S. Rosa, 2003, "Inflação Portuguesa: pelos custos ou monetária?," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 6_2003.
• Jaroslav Heømánek & Jiøí Podpiera, 2003, "Interest and Noninterest Profits and Profitability in the Czech Banking Sector (in Czech)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 53, issue 7-8, pages 316-333, July.
• Yannick Malevergne & Didier Sornette, 2003, "Testing the Gaussian copula hypothesis for financial assets dependences," Post-Print, HAL, number hal-00520539, DOI: 10.1088/1469-7688/3/4/301.
• Yannick Malevergne & Didier Sornette, 2003, "Testing the Gaussian copula hypothesis for financial assets dependence," Post-Print, HAL, number hal-02312888, Aug.
• Petzold, Max & Jonsson, Robert, 2003, "Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression," Working Papers in Economics, University of Gothenburg, Department of Economics, number 102, Aug.
• Westerlund, Joakim, 2003, "A Panel CUSUM Test of the Null of Cointegration," Working Papers, Lund University, Department of Economics, number 2003:15, Nov.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Österholm, Pär, 2003, "Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions," Working Paper Series, Uppsala University, Department of Economics, number 2003:21, Aug.
• Yamamoto, Taku & 山本, 拓 & Kurozumi, Eiji & 黒住, 英司, 2003, "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2003-12, Jun.
• Chigira, Hiroaki & 千木良, 弘明 & Yamamoto, Taku & 山本, 拓, 2003, "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2003-13, Jul.
• Hiroaki Chigira & Taku Yamamoto, 2003, "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-07, Dec.
• Patrik Buggenberger & Richard Smith, 2003, "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP08/03, Jul.
• Kunst, Robert M., 2003, "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series, Institute for Advanced Studies, number 130, May.
• Junfu Zhang, 2003, "Revisiting Residential Segregation by Income: A Monte Carlo Test," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 2, issue 1, pages 27-37, April.
• Roberto Hernández-Paniagua, 2003, "Estimadores Obtenidos De La Hipótesis De Eficiencia Especulativa En El Mercado Cambiario," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 4, pages 321-338, Diciembre.
• Mark McGillivray, 2003, "Modelling Aid Allocation: Issues, Approaches And Results," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 28, issue 1, pages 171-188, June.
• L.A. Gil-Alana, 2003, "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 1, pages 23-38, August, DOI: 10.1023/A:1024553430101.
• Tóth, József, 2003, "Aszimmetrikus árhatások az osztrák húsiparban - hazai tanulságokkal
  [Asymmetric price effects in the Austrian meat industry—lessons for this country]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 4, pages 370-380.
• Edith Madsen, 2003, "Using GMM when testing for a unit root in panels where the time-series dimension is fixed," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2003-11, Aug.
• Edith Madsen, 2003, "Unit root inference in panel data models where the time-series dimension is fixed: A comparison of different tests," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2003-13, Aug.
• Peter G. Hall & Rob J. Hyndman & Yanan Fan, 2003, "Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/03, Jul.
• Y.K. Tse & Xibin Zhang, 2003, "A Monte Carlo Investigation of Some Tests for Stochastic Dominance," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/03, Mar.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-08.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-09.
• DUFOUR, Jean-Marie, 2003, "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-12.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short run and long run causality in time series: Inference," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-16.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 06-2003.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 07-2003.
• DUFOUR, Jean-Marie, 2003, "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 10-2003.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 14-2003.
• Stehpen Hall, 2003, "Measuring the Correlation of Shocks between the UK and the Core of Europe," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 213, Mar.
• Vuong, Quan-Hoang, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," OSF Preprints, Center for Open Science, number ahrjd, Sep, DOI: 10.31219/osf.io/ahrjd.
• Bouoiyour, Jamal & Marimoutou, Velayoudoum & Rey, Serge, 2003, "Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien
  [Nonlinear trend and co-trending in the Tunisian real effective exchange rate]," MPRA Paper, University Library of Munich, Germany, number 30249, Jun.
• Piotr Eliasz & James H. Stock & Mark W. Watson, 2003, "Optimal Tests for Reduced Rank Time Variation in Regression Coefficients and Level Variation in the Multivariate Local Level Model," Working Papers, Princeton University. Economics Department., number 2003-1, Nov.
• George Kapetanios, 2003, "Determining the Stationarity Properties of Individual Series in Panel Datasets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 495, Jul.
• Andrew P. Blake & George Kapetanios, 2003, "Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean," Working Papers, Queen Mary University of London, School of Economics and Finance, number 496, Jul.
• George Kapetanios & Yongcheol Shin & Andy Snell, 2003, "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 497, Jul.
• George Kapetanios, 2003, "Determining the Poolability of Individual Series in Panel Datasets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 499, Jul.
• George Kapetanios & Yongcheol Shin, 2003, "Testing for Nonstationary Long Memory against Nonlinear Ergodic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 500, Jul.
• Carol Alexander & Dimitri Lvov, 2003, "Statistical Properties of Forward Libor Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-03, Jan.
• Alessandro Bucciol, 2003, "Household Portfolios Efficiency in the Presence of Restrictions on Investment Opportunities," Rivista di Politica Economica, SIPI Spa, volume 93, issue 6, pages 29-67, November-.
• M. Dumont & G. Rayp & P. Willem & O. Thas, 2003, "Correcting Standard Errors in Two-Stage Estimation Procedures with Generated Regressands," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 03/172, Apr.
• Valentina Corradi & Norman R. Swanson, 2003, "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers, Rutgers University, Department of Economics, number 200311, Oct.
• Valentina Corradi & Norman R. Swanson, 2003, "Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data," Departmental Working Papers, Rutgers University, Department of Economics, number 200320, Oct.
• Valentina Corradi & Norman R. Swanson, 2003, "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers, Rutgers University, Department of Economics, number 200321, Oct.
• Valentina Corradi & Norman R. Swanson, 2003, "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers, Rutgers University, Department of Economics, number 200322, Oct.
• Roy van der Weide & Remco Peters, 2003, "The Evolution of Expectations Towards Expiration," Computing in Economics and Finance 2003, Society for Computational Economics, number 199, Aug.
• Michal Greszta, 2003, "Testing stationarity of AR(1) process with symmetric stable disturbance," Computing in Economics and Finance 2003, Society for Computational Economics, number 217, Aug.
• Athina Kanioura & Paul Turner, 2003, "The Error Correction Model as a Test for Cointegration," Working Papers, The University of Sheffield, Department of Economics, number 2003001, Mar, revised Mar 2003.
• Chung-Ming Kuan & Wei-Ming Lee, 2003, "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A001, Nov.
• Yi-Ting Chen & Chung-Ming Kuan, 2003, "A Generalized Jarque-Bera Test of Conditional Normality," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A003, Nov.
• Quan-Hoang Vuong, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-013.RS.
• Konstantinos Giannakas & Kien C. Tran & Vangelis Tzouvelekas, 2003, "On the choice of functional form in stochastic frontier modeling," Empirical Economics, Springer, volume 28, issue 1, pages 75-100, January, DOI: 10.1007/s001810100120.
• P. Fève & P. Y. Hénin & P. Jolivaldt, 2003, "Testing for hysteresis: Unemployment persistence and wage adjustment," Empirical Economics, Springer, volume 28, issue 3, pages 535-552, July, DOI: 10.1007/s001810200144.
• James Prieger, 2003, "Bootstrapping the conditional moment test for parametric duration models," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 10, pages 597-600, DOI: 10.1080/1350485032000136379.
• Vasco Gabriel, 2003, "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 4, pages 411-435, DOI: 10.1081/ETC-120025897.
• Y. Malevergne & D. Sornette, 2003, "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 4, pages 231-250, DOI: 10.1088/1469-7688/3/4/301.
• Frank Kleibergen & Richard Paap, 2003, "Generalized Reduced Rank Tests using the Singular Value Decomposition," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-003/4, Jan.
• Raymond J.G.M. Florax & Peter Nijkamp, 2003, "Misspecification in Linear Spatial Regression Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-081/3, Oct.
• Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003, "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-24.
• Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu, 2003, "Ranking Economics Departments in Europe: A Statistical Approach," Journal of the European Economic Association, MIT Press, volume 1, issue 6, pages 1367-1401, December.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003, "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LLC, volume 3, issue 1, pages 1-31, March.
• Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003, "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 5, Nov.
• César Calderón & Roberto Duncan, 2003, "Purchasing power parity in an emerging market economy: a long- span study for Chile," Estudios de Economia, University of Chile, Department of Economics, volume 30, issue 1 Year 20, pages 103-132, June.
• Mark McGillivray, 2003, "Modelling Aid Allocation: Issues, Approaches and Results," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number DP2003-49.
• Cristina Giménez & Eva Ventura, 2003, "Logistics-production, logistics-marketing and external integration: Their impact on performance," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 657, Jan.
• Joseph P. Romano & Michael Wolf, 2003, "Stepwise multiple testing as formalized data snooping," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 712, Oct.
• Joseph Romano & Michael Wolf, 2003, "Exact and approximate stepdown methods for multiple hypothesis testing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 727, Dec.
• Juan Carlos Bou & Albert Satorra, 2003, "The persistence of abnormal returns at industry and firm levels," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 729, Nov.
• Guglielmo Maria Caporale, & Peter G. A Howells, & Alaa M. Soliman,, 2003, "Endogenous growth and Stock Market Development," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 0302, Feb.
• Jyh-Yaw Joseph Chen & David E.A. Giles, 2003, "Gender Convergence in Crime: Evidence From Canadian Adult Offence Charge Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 0303, Apr.
• Jean‐Marie Dufour, 2003, "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 36, issue 4, pages 767-808, November, DOI: 10.1111/1540-5982.t01-3-00001.
• Zaka Ratsimalahelo, 2003, "Rank Test Based On Matrix Perturbation Theory," Econometrics, University Library of Munich, Germany, number 0306008, Jun.
• William C. Horrace, 2003, "On Ranking and Selection from Independent Truncated Normal Distributions," Econometrics, University Library of Munich, Germany, number 0306009, Jun.
• Zaka Ratsimalahelo, 2003, "Strongly Consistent Determination of the Rank of Matrix," Econometrics, University Library of Munich, Germany, number 0307007, Jul.
• Raffaella Giacomini & Halbert White, 2003, "Tests of Conditional Predictive Ability," Econometrics, University Library of Munich, Germany, number 0308001, Aug.
• Yoon-Jae Whang, 2003, "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Econometrics, University Library of Munich, Germany, number 0310005, Oct.
• Cumhur Ekinci, 2003, "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance, University Library of Munich, Germany, number 0305006, May, revised 22 Nov 2004.
• Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003, "On the Evidence of Non-Linear Structure in Canadian Unemployment," Macroeconomics, University Library of Munich, Germany, number 0311003, Nov.
• Manuel Espitia Escuer & Gema Pastor Agust�n, 2003, "Las Opciones Reales y su influencia en la valoraci�n de empresas," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-01, Jan.
• Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003, "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,01.
• Kim, Jeong-Ryeol, 2003, "The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,03.
• Deo, Rohit S. & Chen, Willa W., 2003, "The Variance Ratio Statistic at Large Horizons," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,04.
• Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003, "Consistent Testing for Stochastic Dominance under General Sampling Schemes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,31.
• Sibbertsen, Philipp & Venetis, Ioannis, 2003, "Distinguishing between long-range dependence and deterministic trends," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2003,16.

2002

• Chokri Dridi & Geoffrey Hewings, 2002, "An Investigation of Industry Associations, Association Loops and Economic Complexity: Application to Canada and the United States," Economic Systems Research, Taylor & Francis Journals, volume 14, issue 3, pages 275-296, DOI: 10.1080/0953531022000002512.
• John Galbraith & Aman Ullah & Victoria Zinde-Walsh, 2002, "Estimation Of The Vector Moving Average Model By Vector Autoregression," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 205-219, DOI: 10.1081/ETC-120014349.
• Denise Osborn & Paulo Rodrigues, 2002, "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 221-241, DOI: 10.1081/ETC-120014350.
• Yanqin Fan & Qi Li, 2002, "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 3, pages 337-352, DOI: 10.1081/ETC-120015787.
• Russell Davidson & James MacKinnon, 2002, "Fast Double Bootstrap Tests Of Nonnested Linear Regression Models," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 4, pages 419-429, DOI: 10.1081/ETC-120015384.
• Peter Nijkamp & Jacques Poot, 2002, "The Last Word on the Wage Curve?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-029/3, Mar, revised 13 Mar 2003.
• Sjoerd Beugelsdijk & Henri L.F. de Groot & Anton B.T.M. van Schaik, 2002, "Trust and Economic Growth," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-049/3, May.
• Frank Kleibergen, 2002, "Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-064/4, Jun.
• Cees Diks, 2002, "Detecting Serial Dependence in Tail Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-079/1, Aug.
• Kerkhof, F.L.J. & Melenberg, B., 2002, "Backtesting for Risk-Based Regulatory Capital," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-110.
• Raats, V.M. & van der Genugten, B.B. & Moors, J.J.A., 2002, "Multivariate Regression with Monotone Missing Observation of the Dependent Variables," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-63.
• George G.Djolov, 2002, "Nota técnica 2: An equal Variance Test," Estudios de Economia, University of Chile, Department of Economics, volume 29, issue 2 Year 20, pages 327-339, December.
• Eva Ventura & Cristina Giménez, 2002, "Supply chain management as a competitive advantage in the Spanish grocery sector," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 641, Sep.
• Ulrich K. Müller, 2002, "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-26, Nov.
• Carl Chiarella & Shenhuai Gao, 2002, "Type I Spurious Regression in Econometrics," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 114, Apr.
• David E. A. Giles, 2002, "On the Futility of Testing the Error Term Assumptions in a Spurious Regression," Econometrics Working Papers, Department of Economics, University of Victoria, number 0203, May.
• Florax, R.J.G.M., 2002, "Accounting for dependence among study results in Meta-Analysis: methodology and applications to the valuation and use of natural resources," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0005.
• Bode, Eckhardt & Bickenbach, Frank, 2002, "Markov or not Markov - this should be a question," ERSA conference papers, European Regional Science Association, number ersa02p024, Aug.
• Ines Fortin & Christoph Kuzmics, 2002, "Tail‐dependence in stock‐return pairs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 11, issue 2, pages 89-107, April, DOI: 10.1002/isaf.216.
• William C. Horrace, 2002, "On the Ranking Uncertainty of Labor Market Wage Gaps," Econometrics, University Library of Munich, Germany, number 0206003, Jun.
• William C. Horrace, 2002, "Selection Procedures for Order Statistics in Empirical Economic Studies," Econometrics, University Library of Munich, Germany, number 0206005, Jun.
• William C. Horrace, 2002, "Tables of Percentage Points of the k-Variate Normal Distribution for Large Values of k," Econometrics, University Library of Munich, Germany, number 0206007, Jun.
• Alex Strashny, 2002, "Trading system evaluation based on past performance: Random Signals Test," Finance, University Library of Munich, Germany, number 0205003, May, revised 10 Jun 2002.
• Kevin Reilly & Luisa Zanchi, 2002, "Industry Wage Differentials: How Many, Big and Significant Are They?," Labor and Demography, University Library of Munich, Germany, number 0209001, Sep.
• Raymond J.G.M. Florax & Hendrik Folmer & Sergio J. Rey, 2002, "Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology," Urban/Regional, University Library of Munich, Germany, number 0202001, Feb.
• Chokri Dridi & Geoffrey J.D. Hewings, 2002, "An Investigation of Industry Associations, Association Loops, and Economic Complexity: Application to Canada and the United States," Urban/Regional, University Library of Munich, Germany, number 0210001, Oct, revised 23 Feb 2005.
• Laurens Cherchye & Tom Van Puyenbroeck, 2002, "Profit Efficiency Analysis Under Limited Information. With an Application to German Farm Types," Public Economics Working Paper Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, Working Group Public Economics, number ces0202.
• Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2002, "The Properties Of Some Goodness-Of-Fit Tests," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 653.
• Sugita, Katsuhiro, 2002, "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 654.
• Chakrabarty, Manisha & Schmalenbach, Anke, 2002, "The Representative Agent Hypothesis: An Empirical Test," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 26/2002.
• Neugebauer, Tibor & Selten, Reinhard, 2002, "Individual Behavior of First-Price Sealed-Bid Auctions: The Importance of Information Feedback in Experimental Markets," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 3/2003.
• Hassler, Uwe & Rodrigues, Paulo M. M., 2002, "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 113.
• Kleinow, Torsten, 2002, "Testing the diffusion coefficient," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,38.
• Wang, Qihua & Härdle, Wolfgang & Linton, Oliver, 2002, "Semiparametric regression analysis under imputation for missing response data," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,6.
• Hafner, Christian M. & Herwartz, Helmut, 2002, "Testing for vector autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,4.
• Ziegler, Andreas, 2002, "Simulated Classical Tests in the Multiperiod Multinomial Probit Model," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 02-38.
• Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., , "The Properties of Some Goodness-of-Fit Tests," Economic Research Papers, University of Warwick - Department of Economics, number 269466, DOI: 10.22004/ag.econ.269466.
• Michael Creel, 2002, "Hausman Tests for Inefficient Estimators: Application to Demand for Health Care Service (revised)," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 509.02, Apr.
• Stephen Bond & Frank Windmeijer, 2002, "Finite sample inference for GMM estimators in linear panel data models," CeMMAP working papers, Institute for Fiscal Studies, number 04/02, May, DOI: 10.1920/wp.cem.2002.0402.
• Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2002, "Level shifts in a panel data based unit root test. An application to the rate of unemployment," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 79.
• Eva Boj del Val & M. Mercedes Claramunt Bielsa & Jose Fortiana Gregori, 2002, "Herramientas estadisticas para el estudio de perfiles de riesgo," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 88.
• Lanne, Markku & Saikkonen, Pentti, 2002, "Threshold Autoregressions for Strongly Autocorrelated Time Series," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 2, pages 282-289, April.
• Leonie Bell & Tim Jenkinson, 2002, "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1321-1346, June, DOI: 10.1111/1540-6261.00462.
• Niels Haldrup & Peter Lildholdt, 2002, "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 2, pages 155-171, March, DOI: 10.1111/1467-9892.00260.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002, "Instrumental variables and GMM: Estimation and testing," North American Stata Users' Group Meetings 2003, Stata Users Group, number 05, Dec.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002, "Instrumental variables and GMM: Estimation and testing," Boston College Working Papers in Economics, Boston College Department of Economics, number 545, Nov, revised 14 Feb 2003.
• Raffaella Giacomini, 2002, "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," Boston College Working Papers in Economics, Boston College Department of Economics, number 583, Jun.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002, "Instrumental variables and GMM: Estimation and testing," United Kingdom Stata Users' Group Meetings 2003, Stata Users Group, number 02, Dec.
• Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 433, Mar.
• José Miguel Sales Civera, 2002, "La valoración de empresas asociativas agrarias: una aplicación de la metodología analógico-bursátil," CIRIEC-España, revista de economía pública, social y cooperativa, CIRIEC-España, issue 41, pages 213-234, August.
• Christian Bontemps & Nour Meddahi, 2002, "Testing Normality: A GMM Approach," CIRANO Working Papers, CIRANO, number 2002s-63, Jul.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002, "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers, CIRANO, number 2002s-85, Nov.
• G. Boero & J. Smith & KF. Wallis, 2002, "The properties of some goodness-of-fit tests," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200209.
• Jesus Otero & Jeremy Smith, 2002, "Seasonal adjustment and cointegration," Borradores de Investigación, Universidad del Rosario, number 3483, Dec.
• LEJEUNE, Bernard, 2002, "A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002024, Apr.
• GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, 2002, "On the power of R/S-type tests under contiguous and semi long memory alternatives," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002057, Sep.
• KOKOSZKA, Piotr & TEYSSIÈRE, Gilles, 2002, "Change-point detection in GARCH models: asymptotic and bootstrap tests," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002065, Dec.
• Jimmy Skoglund & Sune Karlsson, 2002, "Asymptotics for random effects models with serial correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number A6-1, Mar.
• Yoosoon Chang & Wonho Song, 2002, "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number B5-2, Mar.
• Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002, "Testing Panel Data Regression Models with Spatial Error Correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number B6-4, Mar.
• Catherine Bac & Yannick le Pen, 2002, "An International Comparison of Health Care Expenditure Determinants," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number C5-1, Mar.
• Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2002, "Level shifts in a panel data based unit root test. An application to the rate of unemployment," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number C5-2, Mar.
• Stephen Bond & Céline Nauges & Frank Windmeijer, 2002, "Unit Roots and Identification in Autoregressive Panel Data Models: A Comparison of Alternative Tests," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number C5-4, Mar.
• Stephen Bond & Frank Windmeijer, 2002, "Finite Sample Inference for GMM Estimators in Linear Panel Data Models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number C6-3, Mar.
• Kilian, Lutz & Inoue, Atsushi, 2002, "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3671, Dec.
• Ibrahim A. Ahmad, 2002, "Nonparametric Inference Based on Sampled Minima," Annals of Economics and Finance, Society for AEF, volume 3, issue 2, pages 453-469, November.
• Saikkonen, Pentti & Lütkepohl, Helmut, 2002, "Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time," Econometric Theory, Cambridge University Press, volume 18, issue 2, pages 313-348, April.
• Andrews, Donald W.K., 2002, "EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS," Econometric Theory, Cambridge University Press, volume 18, issue 5, pages 1040-1085, October.
• Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae, 2002, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1356, Feb, revised Mar 2002.
• Ted Juhl & Zhijie Xiao, 2002, "Partially Linear Models with Unit Roots," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1359, Apr.
• Donald W.K. Andrews, 2002, "End-of-Sample Instability Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1369, May.
• Donald W.K. Andrews, 2002, "The Block-block Bootstrap: Improved Asymptotic Refinements," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1370, May.
• Donald W.K. Andrews & Offer Lieberman, 2002, "Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1378, Aug.