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

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• Tom Doan, 2025, "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components, Boston College Department of Economics, number RTS00007, revised .
• Tom Doan, 2025, "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components, Boston College Department of Economics, number RTS00061, revised .
• Tom Doan, 2025, "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components, Boston College Department of Economics, number RTS00082, revised .
• Tom Doan, 2025, "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components, Boston College Department of Economics, number RTS00100, revised .
• Tom Doan, 2025, "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components, Boston College Department of Economics, number RTS00176, revised .
• Tom Doan, 2025, "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components, Boston College Department of Economics, number RTZ00081, revised .
• Tom Doan, 2025, "RATS programs to replicate Hansen's examples of Andrews-Ploberger test," Statistical Software Components, Boston College Department of Economics, number RTZ00087, revised .
• Tom Doan, 2025, "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components, Boston College Department of Economics, number RTZ00089, revised .
• Amine LAHIANI & Olivier SCAILLET, 2008, "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-42, Dec.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2008, "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-45, Dec.
• Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2009, "Robust Resampling Methods for Time Series," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-38, Aug.
• Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET, 2011, "Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-32, Aug.
• Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011, "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-40, Aug.
• Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011, "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-41, Aug.
• Ilaria Piatti & Fabio Trojani, 2012, "Dividend Growth Predictability and the Price-Dividend Ratio," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-42, Jun.
• Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE, 2014, "Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-44, Jul.
• Patrik Guggenberger, , "Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with D.W.K. Andrews), 2005, this version May 2007," UCLA Economics Online Papers, UCLA Department of Economics, number 414.
• BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia, 2003, "Ranking economics departments in Europe: a statistical approach," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1694, Jan, DOI: 10.1162/154247603322752575.
• Mali Chivakul & Bernhard Kassner, 2018, "Can Consumption Growth in China Keep Up As Investment Slows?," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2018_026, Dec.
• Peter C.B. Phillips & Ye Chen, , "Restricted Likelihood Ratio Tests in Predictive Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1968.
• Jin Seo Cho & Peter C.B. Phillips, , "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1970.
• Westerlund, Joakim & Narayan, Paresh, 2014, "Testing for predictability in conditionally heteroskedastic stock returns," Working Papers, Deakin University, Department of Economics, number fe_2014_01, Jan, DOI: 10.1093/jjfinec/nbu001.
• Westerlund, Joakim, 2014, "On the asymptotic distribution of the DF-GLS test statistic," Working Papers, Deakin University, Department of Economics, number fe_2014_03, Jan, DOI: 10.1080/02331888.2013.835815.
• Westerlund, Joakim & Hosseinkouchack, Mehdi & Solberger, Martin, 2014, "The local power of the CADF and CIPS panel unit root tests," Working Papers, Deakin University, Department of Economics, number fe_2014_05, Jan.
• Westerlund, J., 2014, "On the importance of the first observation in GLS detrending in unit root testing," Working Papers, Deakin University, Department of Economics, number fe_2014_07, Jan, DOI: 10.1111/obes.12050.
• Westerlund, Joakim & Norkute, Milda & Narayan, Paresh Kumar, 2014, "A factor analytical approach to the efficient futures market hypothesis," Working Papers, Deakin University, Department of Economics, number fe_2014_12, Jan, DOI: 10.1002/fut.21687.
• Westerlund, Joakim & Mishra, Sagarika, 2014, "A practical note on the determination of the number of factors using information criteria with data-driven penalty," Working Papers, Deakin University, Department of Economics, number fe_2014_15, Jan.
• Narayan, Paresh Kumar & Westerlund, Joakim, 2015, "Does cash flow predict returns?," Working Papers, Deakin University, Department of Economics, number fe_2015_03, Jan, DOI: 10.1016/j.irfa.2014.10.001.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015, "A unit root model for trending time-series energy variables," Working Papers, Deakin University, Department of Economics, number fe_2015_05, Jan, DOI: 10.1016/j.eneco.2014.11.021.
• Barbora Máková, 2019, "Bank-Sourced Transition Matrices: Are Banks' Internal Credit Risk Estimates Markovian?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2019/3, Mar, revised Mar 2019.
• Dr. (elect.) Julia Korosteleva & Dr. Colin Lawson, , "The Belarusian Case of Transition: Whither Financial Repression?," Working Papers, Business School - Economics, University of Glasgow, number 2006_4.
• D r. (elect.) Julia Korosteleva, , "Maximising Seigniorage and Inflation Tax: The Case of Belarus," Working Papers, Business School - Economics, University of Glasgow, number 2006_5.
• Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, , "Testing for PPP: Should We Use Panel Methods?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 186.
• Silvestro DI SANZO & Alicia PEREZ-ALONSO, , "Unemployment and Hysteresis: A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2010-10.
• Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis, 2014, "Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 14/01, Jan.
• David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017, "Testing for a unit root against ESTAR stationarity," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 17/02, Feb.
• Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2021, "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," Working Papers, University of Pretoria, Department of Economics, number 202159, Aug.
• Sandy Suardi & O.T.Henry & N. Olekalns, , "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series, School of Economics, University of Queensland, Australia, number 0205.
• David A. Belsley, , "A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions," Computing in Economics and Finance 1996, Society for Computational Economics, number _008.
• Adriana Novotná, 2020, "Importance of interest rates on the credit market in Slovakia," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 10913060, Jul.
• Tharinee Pongsupatt & Apichat Pongsupatt, 0000, "Determinants Of Capital Structure On Banking Sector Case Study: Listed Company In Thailand Stock Exchange," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 14115977.
• Elvira Vieira & Inês Azevedo & Bárbara de Sousa & Ana Pinto Borges & María Bastida, 0000, "Beyond the Office: Profiles and Experiences of Remote Work Professionals," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 14316273.
• Yong Li & Zeng Tao & Jun Yu, , "Robust Deviance Information Criterion for Latent Variable Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2012.
• Karun Adusumilli & Taisuke Otsu & Yoon-Jae Whang, , "Inference On Distribution Functions Under Measurement Error," Working Paper Series, Institute of Economic Research, Seoul National University, number no108.
• Gerard Ballot & Fathi Fakhfakh & Fabrice Gallia & Ammon Salter, 2011, "The Fateful Triangle Complementarities between product, process and organizational innovation in the UK and France," TEPP Working Paper, TEPP, number 2011-05.
• Duc Hong Vo & Ha Minh Nguyen & Anh The Vo & Michael McAleer, 2019, "CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-08, Mar.
• B. Pesaran & G. Wright, , "The Use Of Spreads In Forecasting Medium Term U.K Interest Rates," Working Papers, University of East London, Department of Economics, number 9606.
• Ewa M. Syczewska, , "Stability of Long-Run Relationships for Countries in Transition: A Hansen Test Study," Ace Project Memoranda, Department of Economics, University of Leicester, number 96/4.
• Haiqiang Chen, , "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-12-02.
• Jaedo Choi & Jin Seo Cho & Hyungsik Roger Moon, 2020, "Sequentially Estimating the Structural Equation by Power Transformation," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-162, Feb.
• Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2020, "Testing for Structural Breaks in Return-Based Style Regression Models," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-165, Feb.
• Francesco Bravo, , "Empirical likelihood specification testing in linear regression models," Discussion Papers, Department of Economics, University of York, number 00/28.
• Francesco Bravo, , "On the density of generalised quadratic forms with applications to asymptotic expansions for test statistics," Discussion Papers, Department of Economics, University of York, number 00/32.
• Peter Spencer & Zhuoshi Liu, , "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers, Department of Economics, University of York, number 09/16.

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• Jiti Gao & Dag Tjøstheim & Jiying Yin, 2012, "Model Specification between Parametric and Nonparametric Cointegration," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/12.
• Shashi Kant Chaudhary, 2011, "Sensitivity of the Trade Openness in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 23, issue 2, pages 52-62, October.
• Rigoberto Lopez & Xenia Matschke, 2005, "Food Protection For Sale," Research Reports, University of Connecticut, Food Marketing Policy Center, number 85, May.
• Basci Erdem & Caner Mehmet & Yoon Gawon, 2006, "Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 2, pages 1-6, May, DOI: 10.2202/1558-3708.1409.
• Ma Jun & Nelson Charles R & Startz Richard, 2007, "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-29, March, DOI: 10.2202/1558-3708.1434.
• Chen Zhuo & Yang Yuhong, 2007, "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-37, March, DOI: 10.2202/1558-3708.1385.
• Liu Wei & Maynard Alex S, 2007, "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1376.
• Enders Walter & Falk Barry L & Siklos Pierre, 2007, "A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1322.
• Diks Cees & Panchenko Valentyn, 2008, "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1476.
• Kugiumtzis Dimitris, 2008, "Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-26, March, DOI: 10.2202/1558-3708.1474.
• Chen Yi-Ting & Lin Chang-Ching, 2008, "On the Robustness of Symmetry Tests for Stock Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-40, May, DOI: 10.2202/1558-3708.1591.
• Hu Liang & Shin Yongcheol, 2008, "Optimal Test for Markov Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-27, September, DOI: 10.2202/1558-3708.1528.
• Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008, "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 4, pages 1-35, December, DOI: 10.2202/1558-3708.1562.
• Iglesias Emma M, 2009, "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1592.
• Kim Chang Sik, 2009, "Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 4, pages 1-27, September, DOI: 10.2202/1558-3708.1672.
• Manner Hans, 2010, "Testing for Asymmetric Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-32, March, DOI: 10.2202/1558-3708.1658.
• Maki Daiki, 2010, "Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-43, September, DOI: 10.2202/1558-3708.1704.
• Chu Ba & Kozhan Roman, 2010, "Spurious Regressions of Stationary AR(p) Processes with Structural Breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-25, December, DOI: 10.2202/1558-3708.1781.
• Pérez-Alonso Alicia & Di Sanzo Silvestro, 2010, "Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-29, December, DOI: 10.2202/1558-3708.1806.
• Aparicio Teresa & Pozo Eduardo F. & Saura Dulce, 2010, "Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-12, December, DOI: 10.2202/1558-3708.1719.
• Belaire-Franch Jorge & Contreras Dulce, 2010, "Testing the Martingale Property of Exchange Rates: A Replication," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-19, December, DOI: 10.2202/1558-3708.1796.
• Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011, "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-43, September, DOI: 10.2202/1558-3708.1825.
• Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012, "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-22, January, DOI: 10.1515/1558-3708.1813.
• Martinez Oscar & Olmo Jose, 2012, "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-39, September, DOI: 10.1515/1558-3708.1881.
• Dahl Christian M. & Gonzalez-Rivera Gloria, 2003, "Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 1, pages 1-35, April, DOI: 10.2202/1558-3708.1123.
• Kapetanios George, 2003, "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 2, pages 1-16, July, DOI: 10.2202/1558-3708.1099.
• Chen Yi-Ting, 2003, "Testing Serial Independence against Time Irreversibility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 3, pages 1-30, October, DOI: 10.2202/1558-3708.1114.
• Small Michael & Tse Chi K., 2003, "Determinism in Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 3, pages 1-31, October, DOI: 10.2202/1558-3708.1134.
• Wolff Rodney & Yao Qiwei & Tong Howell, 2004, "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1214.
• de Peretti Christian & Siani Carole, 2004, "Neural Tests for Conditional Heteroskedasticity in ARCH-M Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 3, pages 1-24, September, DOI: 10.2202/1558-3708.1239.
• Kuan Chung-Ming & Lee Wei-Ming, 2004, "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-26, December, DOI: 10.2202/1558-3708.1191.
• Diks Cees & Panchenko Valentyn, 2005, "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-9, June, DOI: 10.2202/1558-3708.1234.
• Basci Erdem & Caner Mehmet, 2005, "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-21, December, DOI: 10.2202/1558-3708.1273.
• Hinich Melvin J & Mendes Eduardo M & Stone Lewi, 2005, "Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-15, December, DOI: 10.2202/1558-3708.1268.