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

• Ventosa-Santaulària, Daniel & Mendoza V., Alfonso, 2005, "Non Linear Moving-Average Conditional Heteroskedasticity," MPRA Paper, University Library of Munich, Germany, number 58769.
• Noriega, Antonio E. & Ventosa-Santaulària, Daniel, 2005, "Spurious regression under deterministic and stochastic trends," MPRA Paper, University Library of Munich, Germany, number 58772.
• Martinez-Espineira, Roberto, 2005, "An Estimation of Residential Water Demand Using Co-Integration and Error Correction Techniques," MPRA Paper, University Library of Munich, Germany, number 615, Apr, revised Jan 2006.
• Nenci, Silvia, 2005, "Liberalizzazione tariffaria e crescita degli scambi mondiali: un’analisi storica comparata per la valutazione del sistema commerciale multilaterale
  [Tariff Liberalisation and Trade Growth: a Comparative Historical Analysis to Assess the Multilater," MPRA Paper, University Library of Munich, Germany, number 645, Dec.
• Khan, Muhammad Arshad & Sajjid, Muhammad Zabir, 2005, "The Exchange Rates and Monetary Dynamics in Pakistan: An Autoregressive Distributed Lag (ARDL) Apporach," MPRA Paper, University Library of Munich, Germany, number 6752, Dec.
• Joseph, Joy, 2005, "Competitive Pricing Analysis in Mature & Evolving Markets A Time Series Approach," MPRA Paper, University Library of Munich, Germany, number 7685, Jun.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper, University Library of Munich, Germany, number 80468.
• Degiannakis, Stavros & Xekalaki, Evdokia, 2005, "Predictability and Model Selection in the Context of ARCH Models," MPRA Paper, University Library of Munich, Germany, number 80486.
• Aktas, Erkan & Yurdakul, Oğuz, 2005, "Destekleme ve Teknoloji Politikalarının Çukurova Bölgesinde Mısır Tarımı Üzerine Etkisi
  [Effects of Agricultural Support and Technology Policies on Corn Farming in Çukurova Region]," MPRA Paper, University Library of Munich, Germany, number 8645.
• Sahminan, Sahminan, 2005, "Estimating Equilibrium Real Exchange Rates of the Rupiah," MPRA Paper, University Library of Munich, Germany, number 94555, Dec.
• Liu, Hui & Rodríguez, Gabriel, 2005, "Human activities and global warming: a cointegration analysis," MPRA Paper, University Library of Munich, Germany, number 9939.
• Rangan Gupta, 2005, "Revisiting the Temporal Causality between Money and Income," Working Papers, University of Pretoria, Department of Economics, number 200501, Aug.
• Rangan Gupta & Basab Dasgupta, 2005, "The Macroeconomic Reform and the Demand for Money in India," Working Papers, University of Pretoria, Department of Economics, number 200502, Aug.
• Moses M. Sichei & Tewodros G. Gebreselasie & Olusegun A. Akanbi, 2005, "An Econometric Model of the Rand-US Dollar Nominal Exchange Rate," Working Papers, University of Pretoria, Department of Economics, number 200514, Dec.
• Joel Hinaunye Eita & André C. Jordaan, 2007, "A Causality Analysis between Financial Development and Economic Growth for Botswana," Working Papers, University of Pretoria, Department of Economics, number 200722, Oct.
• Josef Arlt & Miroslav Plašil, 2005, "Empirical Testing of New Keynesian Phillips Curve in Conditions of the Czech Republic in 1994 - 2003," Prague Economic Papers, Prague University of Economics and Business, volume 2005, issue 2, pages 117-129, DOI: 10.18267/j.pep.257.
• Josef Arlt & Miroslav Plašil & Richard Horský, 2005, "Nový Keynesovský model inflace a jeho empirické ověření
  [New-Keynesian model of inflation and its empirical verification]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 1, DOI: 10.18267/j.polek.497.
• Marián Rimarčík, 2005, "Porovnanie prístupov na výpočet hodnoty v riziku menových portfólií
  [Comparison of approaches for value-at-risk estimation of foreign exchange portfolios]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 323-336, DOI: 10.18267/j.polek.514.
• Josef Arlt & Markéta Arltová, 2005, "Vztah deficitu běžného účtu platební bilance a rozpočtového deficitu - analýza panelových dat
  [The relationship of budget deficit and current account balance - panel data analysis]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 6, pages 747-764, DOI: 10.18267/j.polek.535.
• Carlos Robalo Marques, 2005, "Inflation persistence: facts or artefacts?," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
• António Rua & Cláudia Duarte, 2005, "Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case," Working Papers, Banco de Portugal, Economics and Research Department, number w200502.
• Daniel Dias, 2005, "Using Mean Reversion as a Measure of Persistence," Working Papers, Banco de Portugal, Economics and Research Department, number w200503.
• Morten Ø. Nielsen & Per Houmann Frederiksen, 2005, "Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration," Working Paper, Economics Department, Queen's University, number 1189, Jul.
• Morten Ø. Nielsen & Per Houmann Frederiksen, 2005, "Finite Sample Accuracy Of Integrated Volatility Estimators," Working Paper, Economics Department, Queen's University, number 1225, Jan.
• Richard T. Baillie & George Kapetanios, 2005, "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 528, Apr.
• Stephen Pollock & Iolanda Lo Cascio, 2005, "Orthogonality Conditions for Non-Dyadic Wavelet Analysis," Working Papers, Queen Mary University of London, School of Economics and Finance, number 529, May.
• Stephen Pollock, 2005, "Econometric Methods of Signal Extraction," Working Papers, Queen Mary University of London, School of Economics and Finance, number 530, May.
• George Kapetanios & Elias Tzavalis, 2005, "Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset," Working Papers, Queen Mary University of London, School of Economics and Finance, number 537, May.
• Richard T. Baillie & Rehim Kilic, 2005, "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 543, Jul.
• Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis, 2005, "Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension," Working Papers, Queen Mary University of London, School of Economics and Finance, number 550, Dec.
• Federico Ravenna, 2005, "Vector Autoregressions and Reduced Form Representations of DSGE Models," 2005 Meeting Papers, Society for Economic Dynamics, number 841.
• Mario García Molina & Ana Paola Gómez, 2005, "¿Han aumentado el recaudo las reformas tributarias en Colombia?," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, volume 7, issue 12, pages 43-61, January-J.
• Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005, "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 05-9, Dec.
• Sangho Kim & Hyunjoon Lim, 2005, "Dynamic Determinants of Korean Productivity Changes: with Emphasis on Trade," East Asian Economic Review, Korea Institute for International Economic Policy, volume 9, issue 2, pages 3-45, DOI: 10.11644/KIEP.JEAI.2005.9.2.143.
• Alejandro F. Mercado & Jorge G. M. Leitón-Quiroga & Marcelo F. Chacón, 2005, "El Crecimiento Económico en Bolivia 1952 – 2003," Documentos de trabajo, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana, number 2/2005, Feb.
• Scutaru, Cornelia & Stanica, Cristian Nicolae, 2005, "Output Gap And Shocks Dynamics. The Case Of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 4, pages 25-43.
• Dobrescu, Emilian, 2005, "Macromodel Estimations For The Updated 2004 Version Of The Romanian Pre-Accession Economic Programme - Working Paper," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 1, pages 5-29.
• Partachi, Ion & Grosu, Irina, 2005, "The Econometric Analysis Of Macroeconomic Policies Applied In The Republic Of Moldova Over The Period 1994-2004," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 4, pages 109-119.
• Roberto Cellini & Guido Cozzi, 2005, "Intellectual Property, Competition and Growth: An Introduction," Rivista di Politica Economica, SIPI Spa, volume 95, issue 5, pages 3-6, September.
• Donal Bredin & Stilianos Fountas, 2005, "Macroeconomic uncertainty and performance in the European Union and implications for the objectives of monetary policy," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1184.
• Tommaso Proietti, 2008, "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper, Tor Vergata University, CEIS, number 109, Jul, revised 10 Jul 2008.
• Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008, "The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913," CEIS Research Paper, Tor Vergata University, CEIS, number 133, Nov, revised 18 Nov 2008.
• Tommaso Proietti, 2006, "On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," CEIS Research Paper, Tor Vergata University, CEIS, number 84, May.
• M. Dossche & G. Everaert, 2005, "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/340, Nov.
• Vito Polito & Mike Wickens, 2005, "Measuring Fiscal Sustainability," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0503, Jun.
• Rault, Christophe, 2005, "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 25, issue 2, November.
• Riaz Riazuddin & Mahmood ul Hasan Khan, 2005, "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 1, pages 25-34.
• Jeremy Large, 2005, "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe05.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2005, "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe08.
• Hiroyuki Kawakatsu, 2005, "Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 154, Nov.
• Daniel Leigh, 2005, "Estimating the Revealed Inflation Target: An Application to U.S. Monetary Policy," Computing in Economics and Finance 2005, Society for Computational Economics, number 177, Nov.
• Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005, "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005, Society for Computational Economics, number 186, Nov.
• Svetlana Makarova & Wojciech Charemza, 2005, "Stochastic and deterministic unit root models: problem of dominance," Computing in Economics and Finance 2005, Society for Computational Economics, number 190, Nov.
• Christoph Schleicher & Francisco Barillas, 2005, "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005, Society for Computational Economics, number 214, Nov.
• Vitaliy Vandrovych, 2005, "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005, Society for Computational Economics, number 234, Nov.
• J. Huston McCulloch, 2005, "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005, Society for Computational Economics, number 239, Nov.
• Tatsuma Wada & Pierre Perron, 2005, "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005, Society for Computational Economics, number 252, Nov.
• Shaun Vahey & Tony Garratt, 2005, "UK Real-time Macro Data Characteristics," Computing in Economics and Finance 2005, Society for Computational Economics, number 253, Nov.
• Riccardo Corradini, 2005, "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Computing in Economics and Finance 2005, Society for Computational Economics, number 28, Nov.
• Michael D. Bradley & Dennis W. Jansen, 2005, "A Threshold Model of Monetary Policy," Computing in Economics and Finance 2005, Society for Computational Economics, number 380, Nov.
• Peter Zadrozny & Ellis Tallman, 2005, "Information In Data Revision Processes: Payroll Employment And Real-Time Measurement Of Employment," Computing in Economics and Finance 2005, Society for Computational Economics, number 382, Nov.
• Aaron Smallwood; Alex Maynard; Mark Wohar, 2005, "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005, Society for Computational Economics, number 384, Nov.
• Marno Verbeek & Jeroen VK Rombouts, 2005, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 40, Nov.
• Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005, "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005, Society for Computational Economics, number 409, Nov.
• Christian Richter & Andrew Hughes Hallett, 2005, "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005, Society for Computational Economics, number 45, Nov.
• Maarten Dossche & Gerdie Everaert, 2005, "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 459, Nov.
• Jörg Breitung & M. Hashem Pesaran, 2005, "Unit Roots and Cointegration in Panels," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.32, Aug.
• Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005, "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.38, Oct.
• Lyubomir Ivanov, 2005, "Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 3, issue 1, pages 79-96.
• Enrique Llopis & Sonia Sotoca, 2005, "Antes, bastante antes: la primera fase de la integración del mercado español de trigo, 1725-1808," Historia Agraria. Revista de Agricultura e Historia Rural, Sociedad Española de Historia Agraria, issue 36, pages 225-262, august.
• Mark Meyer & Peter Winker*, 2005, "Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 3, pages 303-320, August, DOI: 10.1007/s10182-005-0206-9.
• Christian Dreger* & Hans-Eggert Reimers, 2005, "Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 3, pages 321-337, August, DOI: 10.1007/s10182-005-0207-8.
• Gebhard Flaig*, 2005, "Time Series Properties of the German Production Index," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 4, pages 419-434, November, DOI: 10.1007/s10182-005-0213-x.
• Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005, "Improved HAR Inference," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1513, Jun.
• Chirok Han & Peter C.B. Phillips, 2005, "GMM with Many Moment Conditions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1515, Jun.
• Peter C.B. Phillips & Tassos Magadalinos, 2005, "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1517, Jun.
• Federico M. Bandi & Peter C.B. Phillips, 2005, "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1522, Jun.
• Peter C.B. Phillips & Jun Yu, 2005, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1523, Jun.
• Taisuke Otsu & Yoon-Jae Whang, 2005, "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1533, Sep.
• Sainan Jin & Peter C.B. Phillips & Yixiao Sun, 2005, "A New Approach to Robust Inference in Cointegration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1538, Oct.
• Seung Hyun Hong & Peter C. B. Phillips, 2005, "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1541, Dec.
• Tobias Heinrich, 2005, "A Critical Note on Growth Regressions," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c010_020, Jun.
• Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu, 2005, "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis," Discussion Paper Series, Dokuz Eylül University, Faculty of Business, Department of Economics, number 05/04, Nov, revised 23 Nov 2005.
• Surajit Deb, 2005, "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 1, pages 65-92, January.
• Rossi, Barbara & Giacomini, Raffaella, 2005, "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers, Duke University, Department of Economics, number 05-08.
• Wilson, E.J, 2005, "Foodgrain Price Policies in India: The Effects on Foodgrain Production and Rural Poverty 1951-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 3.
• Shotar M.M, 2005, "The Attractiveness of Qatar to Foreign Direct Investment, 1980-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 3.
• Pahlavani, M., 2005, "Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 4.
• VALADKHANI, A. & LAYTON, Allan P. & PAHLAVANI, M., 2005, "Multiple Structural Breaks In Australia’S Macroeconomic Data: An Application Of The Lumsdaine And Papell Test," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 3, pages 31-44.
• Pahlavani, M., 2005, "Cointegration and Structural Change in the Exports-Gdp Nexus: The Case of Iran, 1960-2003," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 37-56.
• Tsvetan Manchev, 2005, "Есе За Финансовата Криза," Working paper series, Agency for Economic Analysis and Forecasting, number 12005bg, Mar.
• Llaudes, Ricardo, 2005, "The Phillips curve and long-term unemployment," Working Paper Series, European Central Bank, number 441, Feb.
• Robalo Marques, Carlos & Dias, Daniel, 2005, "Using mean reversion as a measure of persistence," Working Paper Series, European Central Bank, number 450, Mar.
• Bilke, Laurent, 2005, "Break in the mean and persistence of inflation: a sectoral analysis of French CPI," Working Paper Series, European Central Bank, number 463, Mar.
• Lünnemann, Patrick & Mathä, Thomas Y., 2005, "Regulated and services' prices and inflation persistence," Working Paper Series, European Central Bank, number 466, Apr.
• Dossche, Maarten & Everaert, Gerdie, 2005, "Measuring inflation persistence: a structural time series approach," Working Paper Series, European Central Bank, number 495, Jun.
• Rumler, Fabio, 2005, "Estimates of the open economy New Keynesian Phillips curve for euro area countries," Working Paper Series, European Central Bank, number 496, Jun.
• Mohr, Matthias, 2005, "A trend-cycle(-season) filter," Working Paper Series, European Central Bank, number 499, Jul.
• Cappiello, Lorenzo & Manganelli, Simone & Gérard, Bruno, 2005, "Measuring comovements by regression quantiles," Working Paper Series, European Central Bank, number 501, Jul.
• Durré, Alain & Giot, Pierre, 2005, "An international analysis of earnings, stock prices and bond yields," Working Paper Series, European Central Bank, number 515, Aug.
• David F. Hendry & Hans-Martin Krolzig, 2005, "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, volume 115, issue 502, pages 32-61, March.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005, "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-4, Feb.
• Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2005, "Breaking the panels: An application to the GDP per capita," Econometrics Journal, Royal Economic Society, volume 8, issue 2, pages 159-175, July.
• Offer Lieberman & Peter C. B. Phillips, 2005, "Expansions for approximate maximum likelihood estimators of the fractional difference parameter," Econometrics Journal, Royal Economic Society, volume 8, issue 3, pages 367-379, December.
• Jo Thori Lind, 2005, "Repeated surveys and the Kalman filter," Econometrics Journal, Royal Economic Society, volume 8, issue 3, pages 418-427, December.
• Viviana Fernández, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 203.
• Marit Hinnosaar & Hannes Kaadu & Lenno Uuskula, 2005, "Estimating the equilibrium exchange rate of the Estonian kroon," Bank of Estonia Working Papers, Bank of Estonia, number 2005-2, Oct, revised 10 Oct 2005.
• Bask, Mikael & de Luna, Xavier, 2005, "EMU and the stability and volatility of foreign exchange: Some empirical evidence," Chaos, Solitons & Fractals, Elsevier, volume 25, issue 3, pages 737-750, DOI: 10.1016/j.chaos.2004.12.009.
• Eklund, Bruno, 2005, "Estimating confidence regions over bounded domains," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 349-360, April.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 611-629, April.
• Charemza, Wojciech W. & Lifshits, Mikhail & Makarova, Svetlana, 2005, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 1-2, pages 63-96, January.
• Fic, Tatiana & Ghate, Chetan, 2005, "The welfare state, thresholds, and economic growth," Economic Modelling, Elsevier, volume 22, issue 3, pages 571-598, May.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2005, "Testing for seasonal unit roots in heterogeneous panels," Economics Letters, Elsevier, volume 86, issue 2, pages 229-235, February.
• van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne, 2005, "Testing for causality in variance in the presence of breaks," Economics Letters, Elsevier, volume 89, issue 2, pages 193-199, November.
• Corradi, Valentina & Swanson, Norman R., 2005, "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, volume 124, issue 1, pages 117-148, January.
• Bontemps, Christian & Meddahi, Nour, 2005, "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, volume 124, issue 1, pages 149-186, January.
• Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005, "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, volume 126, issue 1, pages 53-77, May.
• Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005, "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, volume 127, issue 1, pages 103-128, July.
• Gonzalo, Jesus & Wolf, Michael, 2005, "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, volume 127, issue 2, pages 201-224, August.
• Pesaran, M. Hashem & Timmermann, Allan, 2005, "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 183-217.
• Dalla, Violetta & Hidalgo, Javier, 2005, "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 219-261.
• Robinson, P.M. & Iacone, F., 2005, "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 263-298.
• Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005, "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, volume 12, issue 3, pages 445-475, June.

2004

• 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, Cambridge University Press, volume 36, issue 1, pages 1-22, April.
• Oliver Linton & Yoon-Jae Whang, 2004, "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1454, Mar.
• Peter C.B. Phillips, 2004, "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1470, Jul.
• Peter C.B. Phillips & Tassos Magdalinos, 2004, "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1471, Jul.
• Offer Lieberman & Peter C.B. Phillips, 2004, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1474, Jul.
• Liudas Giraitis & Peter C.B. Phillips, 2004, "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1475, Jul.
• Rainer Klump & Peter McAdam & Alpo Willman, 2004, "Factor Substitution and Factor Augmenting Technical Progress in the US: A Normalized Supply-Side System Approach," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c009_030, Jun.
• Tatiana Fic & Chetan Ghate, 2004, "The Welfare State, Thresholds, and Economic Growth," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 424.
• Jiri Slacalek, 2004, "Productivity and the Natural Rate of Unemployment," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 461.
• Loening, J.L., 2004, "Human Capital, Technology diffusion and Economic Growth in Low-to-Middle Income Country: a time series perspective of Guatemala, 1950-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 3.
• Aka, B.F., 2004, "Do WAEMU Countries Exhibit a Regional Business Cycle?. A Simulated Markov Switching Model for a Western Africa area," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 4.
• Konya, Laszlo, 2004, "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 67-94.
• Bildirici, M., 2004, "Real Cost of Employment and Turkish Labour Market: A Panel Cointegration Tests Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 95-120.
• Brauer, J & Gomez-Sorzano, A.G., 2004, "Homicide Cycles in Colombia," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 1, pages 29-50.
• Strauch, Rolf & Afonso, António, 2004, "Fiscal policy events and interest rate swap spreads: evidence from the EU," Working Paper Series, European Central Bank, number 303, Feb.
• Morana, Claudio, 2004, "A structural common factor approach to core inflation estimation and forecasting," Working Paper Series, European Central Bank, number 305, Feb.
• Bowdler, Christopher & Jansen, Eilev S., 2004, "A markup model of inflation for the euro area," Working Paper Series, European Central Bank, number 306, Feb.
• Morana, Claudio, 2004, "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series, European Central Bank, number 321, Mar.
• Jansen, Eilev S., 2004, "Modelling inflation in the euro area," Working Paper Series, European Central Bank, number 322, Mar.
• Levin, Andrew T. & Piger, Jeremy M., 2004, "Is inflation persistence intrinsic in industrial economies?," Working Paper Series, European Central Bank, number 334, Apr.
• Matas Mir, Antonio & Osborn, Denise R, 2004, "Seasonal adjustment and the detection of business cycle phases," Working Paper Series, European Central Bank, number 357, May.
• Christoffersen, Peter & Mazzotta, Stefano, 2004, "The informational content of over-the-counter currency options," Working Paper Series, European Central Bank, number 366, Jun.
• Klump, Rainer & McAdam, Peter & Willman, Alpo, 2004, "Factor substitution and factor augmenting technical progress in the US: a normalized supply-side system approach," Working Paper Series, European Central Bank, number 367, Jun.
• Robalo Marques, Carlos, 2004, "Inflation persistence: facts or artefacts?," Working Paper Series, European Central Bank, number 371, Jun.
• Van Landschoot, Astrid, 2004, "Determinants of euro term structure of credit spreads," Working Paper Series, European Central Bank, number 397, Oct.
• Gadzinski, Gregory & Orlandi, Fabrice, 2004, "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series, European Central Bank, number 414, Nov.
• Lünnemann, Patrick & Mathä, Thomas Y., 2004, "How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices," Working Paper Series, European Central Bank, number 415, Nov.
• Stephen Pollock & Nikoletta Lekka, 2004, "Deconstructing The Consumption Function: New Tools And Old Problems," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 104, Sep.
• Artur Da Silva Lopes, 2004, "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 75, Sep.
• Park, Joon Y. & Whang, Yoon-Jae, 2004, "A Test of the Martingale Hypothesis," Working Papers, Rice University, Department of Economics, number 2004-11, Sep.
• Dick van Dijk, 2004, "Forecasting US Inflation Using Model Averaging," Econometric Society 2004 Australasian Meetings, Econometric Society, number 143, Aug.
• Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004, "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings, Econometric Society, number 158, Aug.
• Anurag Banerjee, 2004, "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings, Econometric Society, number 159, Aug.
• Stephen E. Satchell & Shaun A. Bond, 2004, "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings, Econometric Society, number 160, Aug.
• Richard Heaney, 2004, "Pricing LME Commodity Futures Contracts," Econometric Society 2004 Australasian Meetings, Econometric Society, number 172, Aug.
• Minxian Yang, 2004, "Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications," Econometric Society 2004 Australasian Meetings, Econometric Society, number 186, Aug.
• Luis C. Nunes, 2004, "LM-Type tests for a Unit Root Allowing for a Break in Trend," Econometric Society 2004 Australasian Meetings, Econometric Society, number 190, Aug.
• Shahidur Rahman, 2004, "An Alternative Estimation of Spurious Regression Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 194, Aug.
• Ilias Tsiakas, 2004, "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings, Econometric Society, number 208, Aug.
• E. Ruiz & M.A. Carnero & D. Pereira, 2004, "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings, Econometric Society, number 21, 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 Australasian Meetings, Econometric Society, number 212, Aug.
• Don Harding, 2004, "Using turning point information to study economic dynamics," Econometric Society 2004 Australasian Meetings, Econometric Society, number 214, Aug.
• Scott I White & Ralf Becker & Adam E Clements, 2004, "Forward looking information in S&P 500 options," Econometric Society 2004 Australasian Meetings, Econometric Society, number 233, Aug.
• Guneratne B Wickremasinghe, 2004, "Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka," Econometric Society 2004 Australasian Meetings, Econometric Society, number 236, Aug.
• Chin Nam Low & Heather Anderson & Ralph Snyder, 2004, "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Econometric Society 2004 Australasian Meetings, Econometric Society, number 242, Aug.
• Mickael Salabasis & Sune Karlsson, 2004, "Seasonality, Cycles and Unit Roots," Econometric Society 2004 Australasian Meetings, Econometric Society, number 268, Aug.
• Wing Lon NG, 2004, "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings, Econometric Society, number 272, Aug.
• Walter Distaso & Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings, Econometric Society, number 273, Aug.
• A. Pagan & J. Engel & D. Haugh, 2004, "Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting," Econometric Society 2004 Australasian Meetings, Econometric Society, number 284, Aug.
• Keith Freeland & Brendan McCabe & Gael Martin, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 313, Aug.
• Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004, "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings, Econometric Society, number 316, Aug.
• Lars Forsberg & Anders Eriksson, 2004, "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 323, Aug.
• Thomas Walker & David Norman, 2004, "Co-movement of Australian State Business Cycles," Econometric Society 2004 Australasian Meetings, Econometric Society, number 334, Aug.
• Andrew Harvey, 2004, "Trend estimation, signal-noise ratios and the frequency of observations," Econometric Society 2004 Australasian Meetings, Econometric Society, number 343, Aug.
• Stan Hurn, 2004, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings, Econometric Society, number 348, Aug.