Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

2004

• Scott I. White & Adam E. Clements & Stan Hurn, 2004, "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 46, Aug.
• Li Guangzhong & Jan P Voon, 2004, "Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China," Econometric Society 2004 Australasian Meetings, Econometric Society, number 5, 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.
• Tilak Abeysinghe & Gulasekaran Rajaguru, 2004, "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings, Econometric Society, number 73, Aug.
• Paolucci Frank, 2004, "Monetary Policy and Capital Accumulation Processes :How did the FED react to the Transition Phases ?," Econometric Society 2004 Australasian Meetings, Econometric Society, number 8, Aug.
• Hyungsik Roger Moon & Peter C. B. Phillips, 2004, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometrica, Econometric Society, volume 72, issue 2, pages 467-522, March.
• Donald W. K. Andrews & Yixiao Sun, 2004, "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, volume 72, issue 2, pages 569-614, March.
• Jushan Bai & Serena Ng, 2004, "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, volume 72, issue 4, pages 1127-1177, July.
• Yongmiao Hong & Chihwa Kao, 2004, "Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models," Econometrica, Econometric Society, volume 72, issue 5, pages 1519-1563, September.
• Christophe Rault, 2004, "Further results on weak-exogeneity in vector error correction models," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 402, Aug.
• Sanghoon Lee, 2004, "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 412, Aug.
• David Daewhan Cho, 2004, "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 431, Aug.
• David Daewhan Cho, 2004, "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 433, Aug.
• Walter G. Sanddorf-Koehle & Ralph Friedmann, 2004, "A conditional distribution model for limited stock index returns," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 437, Aug.
• Jaesun Noh, 2004, "Estimation of Credit and Default Spreads: An Application to CDO Valuation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 444, 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.
• 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.
• Joon Y. Park & Heetaik Chung, 2004, "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 508, Aug.
• Masao Ogaki & Jaebeom Kim, 2004, "Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 515, Aug.
• Katsumi Shimotsu & Alex Maynard, 2004, "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 518, Aug.
• Peter C. B. Phillips & Chirok Han, 2004, "GMM with Many Moment Conditions," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 525, Aug.
• Yanqin Fan & Xiaohong Chen, 2004, "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 559, Aug.
• Nathan McLellan & Robert A Buckle & Kunhong Kim, 2004, "The impact of monetary policy on New Zealand business cycles and inflation variability," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 594, Aug.
• Chao-Hsi Huang & Yue-Lieh Huang, 2004, "Testing Intertemporal Rational Expectations Model with State Uncertainty: An Application to the Permanent Income Hypothesis," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 598, Aug.
• Junji Shimada & Yoshihiko Tsukuda, 2004, "Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 611, Aug.
• Heejoon Kang, 2004, "Inappropriate Detrending and Spurious Cointegration," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 624, Aug.
• Jan M Podivinsky & Chongcheul Cheong & Maozu Lu, 2004, "The effect of exchange rate uncertainty on US imports from the UK: Consistent OLS estimation with volatility measured by an ARCH-type model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 657, Aug.
• Dipendra Sinha, 2004, "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 687, Aug.
• Wei-Ting Tang & Yin-Feng Gau, 2004, "Forecasting Value-at-Risk Using the Markov-Switching ARCH Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 715, Aug.
• Chung-Ming Kuan & Yu-Lieh Huang, 2004, "A component-driven model for regime switching and its empirical evidence," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 718, Aug.
• Gawon Yoon, 2004, "The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 728, Aug.
• Wing Lon NG, 2004, "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 730, Aug.
• Gawon Yoon, 2004, "A note on some properties of STUR processes," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 731, Aug.
• G. K. Randolph TAN, 2004, "Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 732, Aug.
• Alok Kumar, 2004, "Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 783, Aug.
• Alejandro R. Pena Sanchez, 2004, "El ciclo económico en Uruguay - Un modelo de Switching Regimes," Econometric Society 2004 Latin American Meetings, Econometric Society, number 111, Aug.
• Viviana Fernandez, 2004, "Extremal Dependence In Exchange Rate Markets," Econometric Society 2004 Latin American Meetings, Econometric Society, number 13, Aug.
• Romulo A. Chumacero, 2004, "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings, Econometric Society, number 177, 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.
• Jeffrey R. Russell & Federico M. Bandi, 2004, "Microstructure noise, realized volatility, and optimal sampling," Econometric Society 2004 Latin American Meetings, Econometric Society, number 220, Aug.
• Timothy Chu & In Choi, 2004, "Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis," Econometric Society 2004 Latin American Meetings, Econometric Society, number 25, Aug.
• Erick Lahura, 2004, "Cointegration And Wavelets: An Empirical Analysis Of The Relationship Between Money And Output In Peru," Econometric Society 2004 Latin American Meetings, Econometric Society, number 259, Aug.
• Michael Dueker, 2004, "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 Latin American Meetings, Econometric Society, number 34, Aug.
• L.A. Gil-Alana & G.M. caporale, 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings, Econometric Society, number 344, Aug.
• Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004, "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society, number 77, Aug.
• Lutz Kilian & Atsushi Inoue, 2004, "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 110, 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.
• 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.
• Paolo Zaffaroni & Peter M. Robinson, 2004, "PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 326, Aug.
• Ciaran Driver & Lorenzo Trapani, 2004, "Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 330, 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.
• Tiemen Woutersen & Robert M. de Jong, 2004, "Dynamic time series binary choice," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 365, Aug.
• Marine Carrasco & Liang Hu, 2004, "Optimal test for Markov switching," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 396, Aug.
• Pentti Saikkonen & Markku Lanne, 2004, "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 469, 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.
• Asger Lunde & Peter Reinhard Hansen, 2004, "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 526, Aug.
• Katsumi Shimotsu & Alex Maynard, 2004, "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 536, 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.
• Joon Y. Park & J. Isaac Miller, 2004, "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 597, Aug.
• Chib & Siddhartha; Dueker, 2004, "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 600, Aug.
• N. Kundan Kishor, 2004, "Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 604, Aug.
• Carmela Quintos, 2004, "Extremal Correlation for GARCH Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 87, 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.
• Jun Yu & Peter Phillips, 2004, "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 115, Aug.
• Oscar Martin & Jesus Gonzalo, 2004, "Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 145, Aug.
• Jiti Gao & Maxwell King, 2004, "Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 225, Aug.
• Allan Timmermann & Andrew J. Patton, 2004, "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 234, Aug.
• Norman R. Swanson & Valentina Corradi, 2004, "Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 264, Aug.
• Sainan Jin & Peter Phillips & Yixiao Sun, 2004, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 299, Aug.
• Robert de Jong, 2004, "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 324, Aug.
• Ragnar Nymoen & Gunnar Bardsen & Eilev S. Jansen, 2004, "The empirical relevance of the New Keynesian Phillips curve," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 328, Aug.
• Stepana Lazarova, 2004, "Testing for structural change in regression with long memory processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 501, Aug.
• Christian M. Hafner, 2004, "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 538, Aug.
• Nour Meddahi, 2004, "Expected Value Models: A New Approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 556, Aug.
• Yacine Ait-Sahalia, 2004, "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 575, Aug.
• Joon Y. Park & Yoosoon Chang, 2004, "Endogeneity in Nonlinear Regressions with Integrated Time Series," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 594, Aug.
• Joon Y. Park, 2004, "The Spatial Analysis of Time Series," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 595, Aug.
• Tae-Hwy Lee & Yongmiao Hong, 2004, "Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 614, Aug.
• Marsh, Sally P. & Pannell, David J. & Lindner, Robert K., 2004, "Does agricultural extension pay?: A case study for a new crop, lupins, in Western Australia," Agricultural Economics, Blackwell, volume 30, issue 1, pages 17-30, January.
• Hughes, Anthony W. & King, Maxwell L. & Kwek, Kian Teng, 2004, "Selecting the order of an ARCH model," Economics Letters, Elsevier, volume 83, issue 2, pages 269-275, May.
• Summers, Peter M., 2004, "Bayesian evidence on the structure of unemployment," Economics Letters, Elsevier, volume 83, issue 3, pages 299-306, June.
• Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon, 2004, "Nonlinear instrumental variable estimation of an autoregression," Journal of Econometrics, Elsevier, volume 118, issue 1-2, pages 219-246.
• Arteche, Josu, 2004, "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, volume 119, issue 1, pages 131-154, March.
• Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004, "Kernel-based nonlinear canonical analysis and time reversibility," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 323-353, April.
• Shintani, Mototsugu & Linton, Oliver, 2004, "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, volume 120, issue 1, pages 1-33, May.
• Hu, Ling & Phillips, Peter C. B., 2004, "Nonstationary discrete choice," Journal of Econometrics, Elsevier, volume 120, issue 1, pages 103-138, May.
• 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.
• Goncalves, Silvia & Kilian, Lutz, 2004, "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, volume 123, issue 1, pages 89-120, November.
• Bystrom, Hans N. E., 2004, "Managing extreme risks in tranquil and volatile markets using conditional extreme value theory," International Review of Financial Analysis, Elsevier, volume 13, issue 2, pages 133-152.
• Gabriel Pons Rotger, 2004, "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-1, Apr.
• 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.
• Niels Haldrup & Morten O. Nielsen, 2004, "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-2, Apr.
• Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004, "Testing forward exchange rate unbiasedness efficiently: A semiparametric approach," Journal of Applied Economics, Universidad del CEMA, volume 7, issue 2, pages 1-29, November, DOI: 10.22004/ag.econ.43548.
• Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004, "Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 36, issue 01, pages 1-22, April, DOI: 10.22004/ag.econ.42896.
• Troncoso-Valverde, Cristián, None, "Preference Shifts, Structural Breaks and the Domestic Demand for Chilean Wine," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 42, issue 3, pages 1-20, DOI: 10.22004/ag.econ.156086.
• 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.
• Flávio Vilela Vieira & Márcio Holland, 2004, "Exchange Rate Dynamics In Brazil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 066.
• Carlos de Almeida Cardoso & Flávio Vilela Vieira, 2004, "Câmbio, Inflação E Juros Na Transição Do Regime Cambial Brasileiro: Uma Análise De Vetores Auto-Regressivos E Causalidade," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 080.
• Mardilson Fernandes Queiroz, 2004, "Comportamento Diário Do Mercado Brasileiro De Reservas Bancárias - Nível E Volatilidade - Implicações Na Política Monetária," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 096.
• Maria-Helena A. Dias & Joilson Dias & Charles L. Evans, 2004, "Estimation Of The Cyclical Component Of Economic Time Series," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 104.
• Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2004, "Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 119.
• 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.
• Frédérick Demers, 2004, "Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires," Staff Working Papers, Bank of Canada, number 04-40, DOI: 10.34989/swp-2004-40.
• Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004, "Structural Change and Forecasting Long-Run Energy Prices," Staff Working Papers, Bank of Canada, number 04-5, DOI: 10.34989/swp-2004-5.
• Patrick Lünnemann & Thomas Y. Mathä, 2004, "Inflation persistence in Luxembourg: a comparison with EU15 countries at the disaggregate level," BCL working papers, Central Bank of Luxembourg, number 12, Oct.
• Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2004, "Are european business cycles close enough to be just one?," Working Papers, Banco de España, number 0408, Apr.
• Regina Kaiser & Agustín Maravall, 2004, "Combining filter design with model based filtering (with an application to business cycle estimation)," Working Papers, Banco de España, number 0417, Oct.
• Pilar Bengoechea & Gabriel Pérez-Quirós, 2004, "A useful tool to identify recessions in the euro-area," Working Papers, Banco de España, number 0419, Nov.
• Paolo Piselli, 2004, "Business cycle non-linearities and productivity shocks," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 516, Jul.
• Luz Adriana Flórez & Carlos Esteban Posda & José Fernando Escobar, 2004, "El crédito y sus factores determinantes: el caso colombiano (1990 -2004)," Borradores de Economia, Banco de la Republica de Colombia, number 311, Oct, DOI: 10.32468/be.311.
• Lina María Vásquez & Luis Edgar Basto, 2004, "Balance estructural, dinámica y volatilidad de la deuda," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 46-1, pages 26-81, December, DOI: 10.32468/Espe.46-101.
• 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.
• Eric Jondeau & Michael Rockinger, 2004, "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France, number 108.
• Belorgey, N. & Rémy Lecat & Tristan-Pierre Maury, 2004, "Determinants of Productivity per Employee: an Empirical Estimation Using Panel Data," Working papers, Banque de France, number 110.
• Jean-Guillaume Sahuc, 2004, "Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve," Working papers, Banque de France, number 118.
• Dritsaki Chaido & Vazakidis Athanasios & Adamopoulos Antonios, 2004, "Exports, Investments and Economic Growth: an Empirical Investigation of the Three Baltic Countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 4, issue 2, pages 72-79, July.
• Joanne S. McGarry & Marcus J. Chambers, 2004, "Party formation and coalitional bargaining in a model of proportional representation," Discussion Papers, Department of Economics, University of Birmingham, number 04-07, Jan.
• Nikola A. Tarashev, 2004, "Are speculative attacks triggered by sunspots? A new test," BIS Working Papers, Bank for International Settlements, number 166, Dec.
• Stilianos Fountas & Menelaos Karanasos & Alfonso Mendoza, 2004, "Output Variability and Economic Growth: the Japanese Case," Bulletin of Economic Research, Wiley Blackwell, volume 56, issue 4, pages 353-363, October, DOI: 10.1111/j.1467-8586.2004.00209.x.
• Sel Dibooğlu & Eisa Aleisa, 2004, "Oil Prices, Terms of Trade Shocks, and Macroeconomic Fluctuations in Saudi Arabia," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 1, pages 50-62, January, DOI: 10.1093/cep/byh005.
• Shawkat Hammoudeh & Eisa Aleisa, 2004, "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 2, pages 250-269, April, DOI: 10.1093/cep/byh018.
• Max Gillman & Anton Nakov, 2004, "Granger causality of the inflation–growth mirror in accession countries," The Economics of Transition, The European Bank for Reconstruction and Development, volume 12, issue 4, pages 653-681, December, DOI: 10.1111/j.0967-0750.2004.00198.x.
• B. T. Ewing & M. J. Piette & J. E. Payne, 2004, "Correction," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 71, issue 3, pages 557-557, September, DOI: 10.1111/j.0022-4367.2004.00103.x.
• 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.
• Offer Lieberman & Peter C. B. Phillips, 2004, "Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 5, pages 733-753, September, DOI: 10.1111/j.1467-9892.2004.01904.x.
• Òscar Jordà & Massimiliano Marcellino, 2004, "Time‐scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 6, pages 873-894, November, DOI: 10.1111/j.1467-9892.2004.00383.x.
• Amelia U. Santos‐Paulino, 2004, "Trade Liberalization and the Balance of Payments in Selected Developing Countries," Manchester School, University of Manchester, volume 72, issue 1, pages 100-118, January, DOI: 10.1111/j.1467-9957.2004.00382.x.
• S. Fountas & A. Ioannidis & M. Karanasos, 2004, "Inflation, Inflation Uncertainty and a Common European Monetary Policy," Manchester School, University of Manchester, volume 72, issue 2, pages 221-242, March, DOI: 10.1111/j.1467-9957.2004.00390.x.
• Peter Englund & Åke Gunnelin & Martin Hoesli & Bo Söderberg, 2004, "Implicit Forward Rents as Predictors of Future Rents," Real Estate Economics, American Real Estate and Urban Economics Association, volume 32, issue 2, pages 183-215, June, DOI: 10.1111/j.1080-8620.2004.00089.x.
• Miguel A. León‐Ledesma & Peter McAdam, 2004, "Unemployment, Hysteresis And Transition," Scottish Journal of Political Economy, Scottish Economic Society, volume 51, issue 3, pages 377-401, August, DOI: 10.1111/j.0036-9292.2004.00311.x.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inlation process," Working Paper, Norges Bank, number 2004/9, May.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper, Norges Bank, number 2004/10, Jun.
• Christopher F. Baum, 2004, "Stata: The language of choice for time series analysis?," Boston College Working Papers in Economics, Boston College Department of Economics, number 598, Jul.
• T. Panagiotidis & G. Pelloni, 2004, "Non-Linearity in the Canadian and US Labour Markets: Univariate and Multivariate Evidence from A Battery of Tests," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 506.
• João Gabe & Marcelo Savino Portugal, 2004, "Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 47-73.
• Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004, "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-14, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-16, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-21, Oct.
• Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004, "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-14, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-16, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-21, Oct.
• Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Péguin-Feissolle, 2004, "Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 449-458.
• Lavan Mahadeva and Paul Robinson, 2004, "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22, ISBN: ARRAY(0x75909610), April.
• Gilberto A. Libanio, 2004, "Unit roots in macroeconomic time series: theory, implications, and evidence," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td228, Feb.
• Gilberto A. Libanio, 2004, "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td233, 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.
• Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2004, "Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks†," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number 2004/40.
• Oscar Bajo-Rubio & Mª Carmen Díaz Roldán & Vicente Esteve, 2004, "Change of regime and Phillips curve stability:The case of Spain, 1964-2002," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/52.
• Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004, "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, volume 7, pages 325-353, November.
• Oliver Linton, 2004, "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 474, Apr.
• Fabrizio Iacone & Peter M Robinson, 2004, "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 476, May.
• Peter M Robinson, 2004, "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 480, Nov.
• Kurt Brännäs & Niklas Nordman, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series, CESifo, number 448.
• Yin-Wong Cheung, 2001, "Hong Kong Output Dynamics: An Empirical Analysis," CESifo Working Paper Series, CESifo, number 482.
• Allan Timmermann & M. Hashem Pesaran, 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series, CESifo, number 875.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I (1) processes," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-014, Oct.
• Rómulo Chumacero E., 2004, "Forecasting Chilean Industrial Production and Sales With Automated Procedures," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, volume 7, issue 3, pages 47-56, December.
• Rómulo Chumacero, 2004, "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Working Papers Central Bank of Chile, Central Bank of Chile, number 260, May.
• Jamal Bouoiyour & Velayoudom Marimoutou & Serge Rey, 2004, "Taux de change reel d'equilibre et politique de change au Maroc : une approche non parametrique," Economie Internationale, CEPII research center, issue 97, pages 81-104.
• Claude Lopez & Christian J. Murray & David H. Papell, 2004, "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2004-04, Apr.
• Paramsothy Silvapulle & Imad Moosa & Mervyn Silvapulle, 2004, "Asymmetry in Okun's law," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 2, pages 353-374, May.
• F. Javier Mencía & Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers, CEMFI, number wp2004_0411.
• Petr Kral, 2004, "Identification and Measurement of Relationships Concerning Inflow of FDI: The Case of the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2004/05, Jun.
• Clemente Forero & Andr√©s Zambrano, 2004, "La din√°mica de las publicaciones y las patentes como una aproximaci√≥n al desarrollo cient√≠fico y tecnol√≥gico de los pa√≠ses," Borradores de Investigación, Universidad del Rosario, number 2977, Nov.
• Luz Adriana Fl�rez & Carlos Esteban Posada & Jos� Fernando Escobar, 2004, "El Cr�Dito Y Sus Factores Determinantes: El Caso Colombiano (1990-2004)," Borradores de Economia, Banco de la Republica, number 2482, Oct.
• Luis Eduardo Arango & Luz Adriana Fl�rez, 2004, "Expectativas De Actividad Econ�Mica En Colombia Y Estructura A Plazo: Un Poco M�S De Evidencia," Borradores de Economia, Banco de la Republica, number 2692, Aug.
• Martha Misas Arango & Enrique L�pez Enciso & Diego V�squez Escobar, 2004, "Tendencias Estoc�sticas Comunes y Fluctuaciones en la Econom�a Colombiana: 1950-2002," Borradores de Economia, Banco de la Republica, number 3550, Jan.
• Lina María Vásquez & Luis Edgar Basto, 2004, "Balance estructural, dinámica y volatilidad de la deuda," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 22, issue 46-1, pages 26-81, DOI: 10.32468/Espe.46-101.
• Héctor Manuel Zarate, 2004, "Modeling the distribution of exchange rate time series and measuring the tail area: an empirical application of the colombian flexible exchange rate," Revista de Economía del Rosario, Universidad del Rosario.
• BEINE, Michel & LAURENT, Sébastien & PALM, Franz, 2004, "Central Bank forex interventions assessed using realized moments," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004001, Jan.
• MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004, "Using intra annual information to forecast the annual state deficits : the case of France," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004048, Jul.
• 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.
• Arie ten Cate, 2004, "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 41, Nov.
• Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004, "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 0403.
• Perotti, Enrico & Driessen, Joost, 2004, "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4180, Jan.
• Kilian, Lutz & Inoue, Atsushi, 2004, "Bagging Time Series Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4333, Mar.
• Uhlig, Harald & Mönch, Emanuel, 2004, "Towards a Monthly Business Cycle Chronology for the Euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4377, May.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4401, Jun.
• Hughes Hallett, Andrew & Richter, Christian, 2004, "A Time-Frequency Analysis of the Coherences of the US Business Cycle and the European Business Cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4751, Nov.
• 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.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-07.
• Janine Aron & John Muellbauer & B. Smit, 2004, "A Structural Model of the Inflation Process in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-08.
• Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2004, "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042007, Jul.
• Pötscher, Benedikt M., 2004, "Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 1-22, February.
• Nielsen, Morten Ørregaard, 2004, "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 116-146, February.
• Feng, Yuanhua, 2004, "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, volume 20, issue 3, pages 563-596, June.