Research classified by Journal of Economic Literature (JEL) codes

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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

2005

• Sergey Chetverikov & G. Karasev, 2005, "Structural Models of the Ruble Exchange Rates," Research Paper Series, Gaidar Institute for Economic Policy, issue 88P, pages 125-125.
• Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2005, "The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty," Working Papers, Business School - Economics, University of Glasgow, number 2005_27, Dec.
• Dierk Herzer & Felicitas Nowak-Lehmann D., 2005, "Are exports and imports of Chile cointegrated?," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 111, Jul.
• Dierk Herzer, 2005, "Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 115, Jul.
• Dierk Herzer, 2005, "Trade composition and total factor productivity: Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 116, Sep.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005, "Spurious regression under broken trend stationarity," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200501, Jan.
• Daniel Ventosa-Santaularia & Alfonso Mendoza, 2005, "Non Linear Moving-Average Conditional Heteroskedasticity," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200502, Jan.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005, "Spurious regression under deterministic and stochastic trends," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200503, Jun.
• A. Durre & P. Giot, 2005, "An international analysis of earnings, stock prices and bond yields," Post-Print, HAL, number hal-00269291, Jun.
• Claude Diebolt & Olivier Darné, 2005, "Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945," Post-Print, HAL, number hal-00279246.
• Christian Bontemps & Nour Meddahi, 2005, "Testing normality: a GMM approach," Post-Print, HAL, number hal-02875105, Jan, DOI: 10.1016/j.jeconom.2004.02.014.

2004

• Baum, Christopher F., 2004, "A review of Stata 8.1 and its time series capabilities," International Journal of Forecasting, Elsevier, volume 20, issue 1, pages 151-161.
• Corradi, Valentina & Swanson, Norman R., 2004, "Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 185-199.
• Boero, Gianna & Marrocu, Emanuela, 2004, "The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 305-320.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 411-425.
• Bos, Charles S, 2004, "Time Series Modelling using TSMod 3.24," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 515-522.
• Chen, Jyh-Yaw Joseph & Giles, David E.A., 2004, "Gender convergence in crime: Evidence from Canadian adult offense charge data," Journal of Criminal Justice, Elsevier, volume 32, issue 6, pages 593-606.
• Christoffersen, Peter & Jacobs, Kris, 2004, "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, volume 72, issue 2, pages 291-318, May.
• Klaassen, Franc, 2004, "Why is it so difficult to find an effect of exchange rate risk on trade?," Journal of International Money and Finance, Elsevier, volume 23, issue 5, pages 817-839, September.
• Candelon, B. & Gil-Alana, L. A., 2004, "Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries," Journal of Policy Modeling, Elsevier, volume 26, issue 3, pages 301-313, April.
• Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004, "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 196-205, DOI: 10.1016/j.physa.2004.01.025.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, volume 13, issue 4, pages 327-340.
• Ørregaard Nielsen, Morten, 2004, "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, volume 109, issue 1, pages 145-166, January.
• Don Harding & Adrian Pagan, 2004, "Synchronization of cycles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2004-03, Jun.
• Linton, Oliver, 2004, "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2116, Apr.
• Robinson, Peter, 2004, "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2126, Nov.
• Robinson, Peter M., 2004, "Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2157, Mar.
• Iacone, Fabrizio & Robinson, Peter M., 2004, "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2232, May.
• Robinson, Peter M., 2004, "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2282, Mar.
• Kristensen, Dennis, 2004, "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24738, Jun.
• Mencia, Javier F. & Sentana, Enrique, 2004, "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24742, Jun.
• Kim, Woocheol & Linton, Oliver, 2004, "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24758, May.
• Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004, "LARCH, leverage, and long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 294.
• Díaz-Emparanza Herrero, Ignacio & López de Lacalle Beltrán de Heredia, Javier, 2004, "Estacionalidad determinista y estocástica en series temporales macroeconómicas," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Dec.
• Athanasios P. Papadopoulos & Moise G. Sidiropoulos, 2004, "Money Financed Deficits, Central Bank Reform and Inflation Persistence:Evidence from Selected European Countries," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 1-17, Summer.
• Dimitrios F. Kenourgios & Ioannis Petropoulos, 2004, "The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 121-138, Winter.
• Andros Gregoriou & Christos Ioannidis, 2004, "Asset Pricing Under the Presence of Transactions Cost:Evidence from the UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 139-151, Winter.
• Franco Bevilacqua & Adriaan van Zon, 2004, "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, Edward Elgar Publishing, chapter 3, in: John Foster & Werner Hölzl, "Applied Evolutionary Economics and Complex Systems".
• Prado Domínguez, Javier, 2004, "Una estimación de la economía informal en España, según un enfoque monetario, 1964-2001," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 417-452, abril-jun.
• William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004, "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Functional Structure and Approximation in Econometrics", DOI: 10.1108/S0573-8555(2004)0000261033.
• Hafner, C.M. & Herwartz, H., 2004, "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-20, May.
• Hafner, C.M. & Rombouts, J.V.K., 2004, "Semiparametric multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-21, May.
• Hafner, C.M., 2004, "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-29, Aug.
• Hafner, C.M. & Rombouts, J.V.K., 2004, "Estimation of temporally aggregated multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-30, Aug.
• de Pooter, M.D. & van Dijk, D.J.C., 2004, "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-38, Sep.
• van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2004, "Testing for causality in variance in the presence of breaks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-48, Nov.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Luis A. Gil-Alana, 2004, "Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 29-40.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "Validation of survey data on income and employment: the ISMIE experience," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-14, Aug.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "The effects of dependent interviewing on responses to questions on income sources," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-16, Sep.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "Linking household survey and administrative record data: what should the matching variables be?," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-23, Oct.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen & Cappellari, Lorenzo, 2004, "Patterns of consent: evidence from a general household survey," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-27, Dec.
• Ermisch, John & Gambetta, Diego, 2008, "Do strong family ties inhibit trust?," ISER Working Paper Series, Institute for Social and Economic Research, number 2008-37, Nov.
• Pilar Bengoechea & Gabriel Pérez Quirós, 2004, "A useful tool to identify recessions in the euro area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 215, Oct.
• Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004, "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers, European University Institute, number ECO2004/29.
• Paulo M. M. Rodrigues, 2004, "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers, European University Institute, number ECO2004/31.
• Anindya Banerjee & Bill Russell, 2004, "Competition, the Lisbon Strategy and the Euro," Economics Working Papers, European University Institute, number ECO2004/32.
• Jean-Guillaume Sahuc, 2004, "Partial Indexation and Inflation Dynamics: What Do the Data Say?," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 04-06.
• Renata Pašalièová & Vladimír Stiller, 2004, "Credit and Household Consumption," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 11-12, pages 520-540, November.
• Luboš Komárek, 2004, "The Nobel Prize Laureates, 2003," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 355-356, July.
• Guillaume Chevillon, 2004, ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-12.
• Guillaume Chevillon, 2004, "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-13.
• Siddhartha Chib & Michael J. Dueker, 2004, "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers, Federal Reserve Bank of St. Louis, number 2004-030, DOI: 10.20955/wp.2004.030.
• Gary Koop & Simon M. Potter, 2004, "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports, Federal Reserve Bank of New York, number 196.
• Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers, Financial Markets Group, number dp502, Jun.
• Woocheol Kim & Oliver Linton, 2004, "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers, Financial Markets Group, number dp509, Sep.
• Gerhard Reitschuler & Ludger J. Löning, 2004, "Modeling the Defense-Growth Nexus in a Post-Conflict Country - A Piecewise Linear Approach," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 097, Feb.
• Dierk Herzer, 2004, "Exportdiversifizierung und Wirtschaftswachstum in Chile: eine ökonometrische Analyse," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 098, May.
• Dierk Herzer & Felicitas Nowak-Lehmann D., 2004, "Export Diversification, Externalities and Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 099, Sep.
• Dierk Herzer & Felicitas Nowak-Lehmann D. & Boriss Siliverstovs, 2004, "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 103, Dec.
• Athanasios P. Papadopoulos & Moise Sidiropoulos, 2004, "Money Financed Deficits, Central Bank Reform and Inflation Persistence : Evidence from Selected European Countries," Post-Print, HAL, number hal-00278622.
• Jean-Guillaume Sahuc, 2004, "Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve," Post-Print, HAL, number hal-01612716.
• Jamal Bouoiyour & Velayoudom Marimoutou & Serge Rey, 2004, "Taux de change réel d’équilibre et politique de change au Maroc: une approche non paramétrique," Post-Print, HAL, number hal-01879696, DOI: 10.3917/ecoi.097.0081.
• Jean-Guillaume Sahuc, 2004, "Partial indexation and inflation dynamics: what do the data say?," Post-Print, HAL, number hal-02878001, DOI: 10.1080/1350485042000261306.
• Javier Biscarri & Fernando Gracia, 2004, "Stock market cycles and stock market development in Spain," Spanish Economic Review, Springer;Spanish Economic Association, volume 6, issue 2, pages 127-151, July, DOI: 10.1007/s10108-003-0078-7.
• Anna Larsson, 2004, "The Swedish real exchange rate under different currency regimes," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 140, issue 4, pages 706-727, December, DOI: 10.1007/BF02659621.
• Guro Børnes Ringlund & Knut Einar Rosendahl & Terje Skjerpen, 2004, "Does oilrig activity react to oil price changes? An empirical investigation," Discussion Papers, Statistics Norway, Research Department, number 372, Mar.
• Erling Røed Larsen, 2004, "Escaping the Resource Curse and the Dutch Disease? When and Why Norway Caught up with and Forged ahead of Its Neighbors," Discussion Papers, Statistics Norway, Research Department, number 377, May.
• Nico Keilman & Dinh Quang Pham, 2004, "Empirical errors and predicted errors in fertility, mortality and migration forecasts in the European Economic Area," Discussion Papers, Statistics Norway, Research Department, number 386, Aug.
• Paul Temple & Robert Witt & Chris Spencer, 2004, "Institutions and Long-Run Growth in the UK: the Role of Standards," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1004, Oct.
• Jean-Guillaume Sahuc, 2004, "Partial indexation and inflation dynamics: what do the data say?," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 13, pages 827-832, DOI: 10.1080/1350485042000261306.
• Claudio Morana, 2004, "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 13, pages 837-842, DOI: 10.1080/1350485042000261298.
• Syed Abul Basher & Mohammed Mohsin, 2004, "PPP tests in cointegrated panels: evidence from Asian developing countries," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 3, pages 163-166, DOI: 10.1080/1350485042000203788.
• Nasri Harb, 2004, "Money demand function: a heterogeneous panel application," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 9, pages 551-555, DOI: 10.1080/1350485042000225739.
• Luis Gil-Alana, 2004, "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, volume 36, issue 14, pages 1583-1589, DOI: 10.1080/0003684042000269475.
• Andrew Worthington & Abbas Valadkhani, 2004, "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, volume 36, issue 19, pages 2177-2186, DOI: 10.1080/0003684042000282489.
• Karen Cabos & Nikolaus Siegfried, 2004, "Controlling inflation in Euroland," Applied Economics, Taylor & Francis Journals, volume 36, issue 6, pages 549-558, DOI: 10.1080/0003684042000217599.
• Jesús Crespo Cuaresma & Gerhard Reitschuler, 2004, "A non-linear defence-growth nexus? evidence from the US economy," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 1, pages 71-82, February, DOI: 10.1080/1024269042000164504.
• M. Dolores Gadea & Eva Pardos & Claudia Perez-Fornies, 2004, "A Long-Run Analysis Of Defence Spending In The Nato Countries (1960-99)," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 3, pages 231-249, DOI: 10.1080/1024269042000189273.
• Erdal Karagol & Serap Palaz, 2004, "Does defence expenditure deter economic growth in Turkey? A cointegration analysis," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 3, pages 289-298, DOI: 10.1080/10242690320001608908.
• Christer Ljungwall, 2004, "Guangdong: A catalyst for economic growth and exports in hunan province," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 2, issue 3, pages 249-265, DOI: 10.1080/147658042000276114.
• Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004, "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, volume 7, issue 1, pages 325-353, May, DOI: 10.1080/15140326.2004.12040608.
• Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004, "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-016/4, Feb.
• Martin Martens & Dick van Dijk & Michiel de Pooter, 2004, "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-067/4, Jun.
• Siem Jan Koopman & Marius Ooms, 2004, "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-135/4, Dec.
• Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-105.
• Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Other publications TiSEM, Tilburg University, School of Economics and Management, number 10722abe-f848-4bfa-a82d-6.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-303, Oct.
• Robert Aebi & Klaus Neusser & Peter Steiner, 2004, "Equilibrium Mobility," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0408, May.
• Gustavo A. Marrero, 2004, "Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0410.
• Francis W. Ahking, 2004, "The Power of the "Objective" Bayesian Unit-Root Test," Working papers, University of Connecticut, Department of Economics, number 2004-14, Jul.
• Francis W. Ahking, 2004, "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers, University of Connecticut, Department of Economics, number 2004-05, Feb.
• Penelope Pacheco-López, 2004, "Does The Impact of Trade Liberalisation on Exports, Imports, the Balance of Payments and Growth: the Case of Mexico," Studies in Economics, School of Economics, University of Kent, number 0401, Jan.
• Penelope Pacheco-López & A.P. Thirlwall, 2004, "Trade Liberalisation in Mexico: Rhetoric and Reality," Studies in Economics, School of Economics, University of Kent, number 0403, Jan.
• Dimitris K. Christopoulos & Miguel León-Ledesma, 2004, "Current Account Sustainability in the US: What Do We Really Know About It?," Studies in Economics, School of Economics, University of Kent, number 0412, Oct.
• Luis A. Gil-Alana, 2004, "Deterministic Seasonality versus Seasonal Fractional Integration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/04, Apr.
• Luis A. Gil-Alana & Bertrand Candelon, 2004, "Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 08/04, Apr.
• Luis A. Gil-Alana & Bertrand Candelon, 2004, "Fractional Integration and Business Cycles Features," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 09/04, Apr.
• Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2004, "Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-05, Sep.
• Daal, Elton & Naka, Atsuyuki & Sanchez, Benito, 2004, "Re-examining inflation and inflation uncertainty in developed and emerging countries," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-06.
• Martin T. Bohl & Pierre Siklos, 2004, "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 137, Oct.
• Carl Chiarella & Shenhuai Gao, 2004, "Continuous Time Model Estimation," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 138, Dec.
• David E. Giles & Chad N. Stroomer, 2004, "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers, Department of Economics, University of Victoria, number 0406, Dec.
• Van der Klaauw, Bas & Limin Wang, 2004, "Child mortality in rural India," Policy Research Working Paper Series, The World Bank, number 3281, Apr.
• Ravallion, Martin, 2004, "Looking beyond averages in the trade and poverty debate," Policy Research Working Paper Series, The World Bank, number 3461, Nov.
• Martin Raiser & Alan Rousso & Franklin Steves, 2004, "Trust In Transition: Cross Country And Firm Evidence," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-640, Jan.
• Jes??s Crespo-Cuaresma & Bal??zs ??gert & Thomas Reininger, 2004, "Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-671, May.
• Viv. B Hall & McDermott C. John, 2004, "Regional Business Cycles in New Zealand: Do they exist? What might drive them?," ERSA conference papers, European Regional Science Association, number ersa04p200, Aug.
• Paramsothy Silvapulle & Imad A. Moosa & Mervyn J. Silvapulle, 2004, "Asymmetry in Okun's law," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 37, issue 2, pages 353-374, May, DOI: 10.1111/j.0008-4085.2004.00006.x.
• Adrian Wood, 2004, "Making globalization work for the poor: the 2000 White Paper reconsidered," Journal of International Development, John Wiley & Sons, Ltd., volume 16, issue 7, pages 933-937, DOI: 10.1002/jid.1154.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, volume 13, issue 3, pages 245-258, DOI: 10.1016/j.rfe.2003.09.009.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, volume 13, issue 4, pages 327-340, DOI: 10.1016/j.rfe.2003.12.001.
• Venus Khim-Sen Liew, 2004, "On Autoregressive Order Selection Criteria," Computational Economics, University Library of Munich, Germany, number 0404001, Apr.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price," Development and Comp Systems, University Library of Munich, Germany, number 0409054, Sep.
• Janine Aron & John Muellbauer & Benjamin Smit, 2004, "A Structural Model of the Inflation Process in South Africa," Development and Comp Systems, University Library of Munich, Germany, number 0409055, Sep.
• Jonathan B. Hill, 2004, "Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes," Econometrics, University Library of Munich, Germany, number 0401001, Jan, revised 16 Dec 2005.
• Tommaso Proietti, 2004, "Forecasting and Signal Extraction with Misspecified Models," Econometrics, University Library of Munich, Germany, number 0401002, Jan.
• Jesus Clemente & Antonio Montañes & Marcelo Reyes, 2004, "Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries," Econometrics, University Library of Munich, Germany, number 0401005, Jan.
• Alfred A. Haug & Syed A. Basher, 2004, "Unit Roots, Nonlinear Cointegration and Purchasing Power Parity," Econometrics, University Library of Munich, Germany, number 0401006, Jan, revised 16 Nov 2005.
• Jonathan B. Hill, 2004, "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics, University Library of Munich, Germany, number 0402002, Feb, revised 23 Mar 2005.
• Jonathan B. Hill, 2004, "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics, University Library of Munich, Germany, number 0402004, Feb, revised 05 Aug 2005.
• José María Casado García & F.Javier Trívez, 2004, "Asimetría, Persistencia Y No Linealidad De La Tasa De Desempleo Español," Econometrics, University Library of Munich, Germany, number 0402006, Feb.
• Artur C. B. da Silva Lopes, 2004, "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics, University Library of Munich, Germany, number 0402007, Feb, revised 18 Mar 2004.
• Giancarlo bruno & Edoardo Otranto, 2004, "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics, University Library of Munich, Germany, number 0402008, Feb.
• Edoardo Otranto, 2004, "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics, University Library of Munich, Germany, number 0402009, Feb, revised 05 Mar 2004.
• Tommaso Proietti, 2004, "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics, University Library of Munich, Germany, number 0403007, Mar.
• Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004, "The long memory story of ex post real interest rates. Can it be supported?," Econometrics, University Library of Munich, Germany, number 0404004, Apr.
• Ricardo Gonçalves Silva, 2004, "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics, University Library of Munich, Germany, number 0405002, May.
• William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004, "The Nonlinear Skeletons in the Closet," Econometrics, University Library of Munich, Germany, number 0405003, May.
• Evens SALIES, 2004, "The consumption of ordinary wines in France : the effect of administered prices," Econometrics, University Library of Munich, Germany, number 0406003, Jun.
• Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho, 2004, "Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach," Econometrics, University Library of Munich, Germany, number 0408003, Aug, revised 13 Aug 2004.
• Tommaso Proietti, 2004, "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics, University Library of Munich, Germany, number 0411011, Nov.
• Catalin Starica & Clive Granger, 2004, "Non-stationarities in stock returns," Econometrics, University Library of Munich, Germany, number 0411016, Nov.
• Thomas Mikosch, 2004, "Is it really long memory we see in financial returns?," Econometrics, University Library of Munich, Germany, number 0412002, Dec.
• Thomas Mikosch & Catalin Starica, 2004, "Changes of structure in financial time series and the GARCH model," Econometrics, University Library of Munich, Germany, number 0412003, Dec.
• Thomas Mikosch & Catalin Starica, 2004, "Long range dependence effects and ARCH modelling," Econometrics, University Library of Munich, Germany, number 0412004, Dec.
• Thomas Mikosch & Catalin Starica, 2004, "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics, University Library of Munich, Germany, number 0412005, Dec.
• Thomas Alderweireld & Jean Nuyts, 2004, "A Theory for the Term Structure of Interest Rates," Finance, University Library of Munich, Germany, number 0405029, May.
• José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004, "Efficiency tests in the Iberian stock markets," Finance, University Library of Munich, Germany, number 0406001, Jun.
• Cornelis A. Los & Jeyanthi Karuppiah, 2004, "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance, University Library of Munich, Germany, number 0409037, Sep.
• Cornelis A. Los & Joanna M. Lipka, 2004, "Long-Term Dependence Characteristics of European Stock Indices," Finance, University Library of Munich, Germany, number 0409044, Sep.
• Jose Maria Casado Garcia & Javier Trivez Bielsa, 2004, "Asymmetry, Persistence And Non-Linearity Of Spanish Unemployment Rates," General Economics and Teaching, University Library of Munich, Germany, number 0406001, Jun.
• Guneratne Banda Wickremasinghe, 2004, "Purchasing Power Parity Hypothesis in Developing Economies:Some Empirical Evidence from Sri Lanka," International Finance, University Library of Munich, Germany, number 0406005, Jun.
• Guneratne Banda Wickremasinghe, 2004, "The Sri Lankan Rupee and Purchasing Power Parity during the Current Floating Period," International Trade, University Library of Munich, Germany, number 0406005, Jun.
• Daniel Levy & Hashem Dezhbakhsh, 2004, "On the Typical Spectral Shape of an Economic Variable," Macroeconomics, University Library of Munich, Germany, number 0402017, Feb.
• Aykut Kibritcioglu & Bengi Kibritcioglu, 2004, "Real Exchange Rate Misalignment in Turkey, 1987-2003 (in Turkish)," Macroeconomics, University Library of Munich, Germany, number 0403006, Mar, revised 22 Apr 2004.
• Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2004, "Money Demand in theEuroArea: Do National Differences Matter?," Macroeconomics, University Library of Munich, Germany, number 0404019, Apr, revised 24 Apr 2004.
• Dimitris Christopoulos, 2004, "Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests," Macroeconomics, University Library of Munich, Germany, number 0406002, Jun.
• William A. Barnett & Shu Wu, 2004, "On User Costs of Risky Monetary Assets," Macroeconomics, University Library of Munich, Germany, number 0406009, Jun.
• William A. Barnett & Shu Wu, 2004, "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Macroeconomics, University Library of Munich, Germany, number 0406010, Jun.
• Greg Hannsgen, 2004, "Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles," Macroeconomics, University Library of Munich, Germany, number 0407029, Jul.
• Maurizio Bovi, 2004, "Consumer Surveys and Reality," Macroeconomics, University Library of Munich, Germany, number 0408012, Aug.
• Yijun He & William A. Barnett, 2004, "Singularity Bifurcation," Macroeconomics, University Library of Munich, Germany, number 0409024, Sep, revised 13 Oct 2004.
• William A. Barnett, 2004, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," Macroeconomics, University Library of Munich, Germany, number 0412009, Dec.
• Philip Kostov & John Lingard, 2004, "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics, University Library of Munich, Germany, number 0409003, Sep.
• John Bower, 2004, "Seeking the Single European Electricity Market: Evidence from an Empirical Analysis of Wholesale Market Prices," Others, University Library of Munich, Germany, number 0401005, Jan.
• John Bower, 2004, "Why Did Electricity Prices Fall in England and Wales? Market Mechanism or Market Structure?," Others, University Library of Munich, Germany, number 0401008, Jan.
• Roberto Martinez Espineira, 2004, "An Estimation of Residential Water Demand Using Co-integration and Error Correction Techniques," Others, University Library of Munich, Germany, number 0410002, Oct.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2004, "Testing for Seasonal Unit Roots in Heterogeneous Panels," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 695.
• Agnieszka Wylomanska, 2004, "Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/06.
• Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004, "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers, Yale School of Management, number ysm30, Mar.
• Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Yale School of Management Working Papers, Yale School of Management, number ysm347, Jul.
• Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron, 2004, "Incidental Trends and the Power of Panel Unit Root Tests," Yale School of Management Working Papers, Yale School of Management, number ysm414, Jul.
• Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004, "Long Run Variance Estimation Using Steep Origin Kernels Without Truncation," Yale School of Management Working Papers, Yale School of Management, number ysm427, Jul.
• Laakkonen, Helinä, 2004, "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers, Bank of Finland, number 24/2004.
• Lazarov, Zdravetz, 2004, "Modeling and Forecasting DAX Index Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 5/2004.
• Knüppel, Malte, 2004, "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,41.
• Rombouts, Jeroen V. K. & Hafner, Christian M., 2004, "Semiparametric multivariate volatility models," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,14.
• Trenkler, Carsten & Wolf, Nikolaus, 2004, "Economic integration across borders : the Polish interwar economy 1921-1937," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,38.
• Hafner, Christian M. & Herwartz, Helmut, 2004, "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-03.
• Lux, Thomas & Kaizoji, Taisei, 2004, "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-05.
• Liesenfeld, Roman & Richard, Jean-François, 2004, "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-12.
• Winker, Peter & Meyer, Mark, 2004, "Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations," Discussion Papers, University of Erfurt, Faculty of Economics, Law and Social Sciences, number 2004,001E.
• Tullio, Guiseppe & Wolters, Jürgen, 2004, "Monetary policy in Austria-Hungary, 1876 - 1913: An econometric analysis of the determinants of the Central Bank's discount rate and the liquidity ratio," Discussion Papers, Free University Berlin, School of Business & Economics, number 2004/24.
• Parikh, Ashok, 2004, "Relationship between Trade Liberalisation, Growth and Balance of Payments in Developing Countries: An Econometric Study," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 286.
• Wilfling, Bernd & Trede, Mark, 2004, "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 267.
• Reimers, Hans-Eggert & Dreger, Christian, 2004, "Panel Seasonal Unit Root Test With An Application for Unemployment Data," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 191/2004.
• Middendorf, Torge & Schmidt, Torsten, 2004, "Characterizing Movements of the U.S. Current Account Deficit," RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, number 24.
• Kleiber, Christian & Krämer, Walter, 2004, "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,15.
• Kleiber, Christian & Zeileis, Achim, 2004, "Validating multiple structural change models : A case study," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,34.
• Herzberg, Markus & Sibbertsen, Philipp, 2004, "Pricing of options under different volatility models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,62.