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

2004

• Guillaume Chevillon, 2004, "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers, University of Oxford, Department of Economics, number 210, Dec.
• Patrick J. Wilson & L.J. Perry, 2004, "Forecasting Australian Unemployment Rates using Spectral Analysis," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 7, issue 4, pages 459-480, December.
• Robert Dixon & G.C. Lim, 2004, "The Incidence of Long-term Unemployment in Australia 1978-2003," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 7, issue 4, pages 501-513, December.
• Jorge Braga Macedo & Luís Catela Nunes & Francisco Covas, 2004, "Moving the Escudo into the Euro," Palgrave Macmillan Books, Palgrave Macmillan, chapter 9, in: Michael A Landesmann & Dariusz K Rosati, "Shaping the New Europe", DOI: 10.1057/9780230523692_10.
• Jorge Caiado, 2004, "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 9, issue 1, pages 3-21.
• Álvaro Aguiar & Manuel M. F. Martins, 2004, "Growth Cycles in XXth Century European Industrial Productivity: Unbiased Variance Estimation in a Time-varying Parameter Model," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 144, May.

2003

• Bhattacherjee, Debashish, 2003, "The Effects of Group Incentives in an Indian Firm - Evidence from Payroll Data," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 03-14, Jan.
• Hjalmarsson, Erik, 2003, "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics, University of Gothenburg, Department of Economics, number 101, Jul.
• Lundbergh, Stefan & Teräsvirta, Timo, 2003, "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 533, Sep.
• Eklund, Bruno, 2003, "Testing the unit root hypothesis against the logistic smooth transition autoregressive model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 546, Nov.
• Eklund, Bruno, 2003, "A nonlinear alternative to the unit root hypothesis," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 547, Nov.
• Eklund, Bruno, 2003, "Estimating confidence regions over bounded domains," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 548, Nov.
• Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003, "Testing the New Keynesian Phillips curve," Memorandum, Oslo University, Department of Economics, number 18/2002, Jun.
• C. Bjørnland, Hilde, 2003, "A stable demand for money despite financial crisis: The case of Venezuela," Memorandum, Oslo University, Department of Economics, number 12/2003, Mar.
• Hansen, Jan, 2003, "Financial Cycles and Bankruptcies in the Nordic Countries," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 149, Aug.
• Lindé, Jesper, 2003, "Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 153, Nov.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Peter M. Summers, 2003, "Bayesian Evidence on the Structure of Unemployment," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2003n03, Feb.
• Anna Persson & Timo Teräsvirta, 2003, "The net barter terms of trade: A smooth transition approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 8, issue 1, pages 81-97, DOI: 10.1002/ijfe.198.
• N. Vijayamohanan Pillai, 2003, "A contribution to peak load pricing theory and application," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 346, Apr.
• Ajit Karnik & Abhay Pethe & Dilip Karmarkar, 2003, "Assessment Of Revenue And Expenditure Patterns In Urban Local Bodies Of Maharashtra," Department of Economics, University of Mumbai, Mumbai Working Papers, Department of Economics, University of Mumbai, Mumbai, number 5, Jan.
• Se Kyu Choi-Ha & Luis Felipe Lagos, 2003, "El Dinero como Indicador Líder," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 259-283.
• Antonio Rubia Serrano & Trino-Manuel Ñíguez, 2003, "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-34, Oct.
• Sliwka, Dirk, 2003, "Management Incentives, Signaling Effects and the Costs of Vertical Integration," IZA Discussion Papers, IZA Network @ LISER, number 856, Aug.
• G. Urga & P. A. Geroski & S. Lazarova & C. F. Walters, 2003, "Are differences in firm size transitory or permanent?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 18, issue 1, pages 47-59, DOI: 10.1002/jae.676.
• Flaig Gebhard, 2003, "Seasonal and Cyclical Properties of Ifo Business Test Variables / Saisonale und zyklische Eigenschaften von ifo Konjunkturtest Variablen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 223, issue 5, pages 556-570, October, DOI: 10.1515/jbnst-2003-0504.
• Jenny Li & Peter Winker, 2003, "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, volume 21, issue 1, pages 23-43, February, DOI: 10.1023/A:1022289509702.
• Jenny X. Li & Peter Winker, 2003, "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, volume 21, issue 1_2, pages 23-43, February.
• L.A. Gil-Alana, 2003, "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 1, pages 23-38, August, DOI: 10.1023/A:1024553430101.
• Flaig, Gebhard, 2003, "Seasonal and Cyclical Properties of Ifo Business Test Variables," Munich Reprints in Economics, University of Munich, Department of Economics, number 20379.
• Schlicht, Ekkehart, 2003, "Estimating Time-Varying Coefficients With the VC Program," Discussion Papers in Economics, University of Munich, Department of Economics, number 34, Jun.
• A Matas-Mir & D R Osborn, 2003, "Seasonal Adjustment and the Detection of Business Cycle Phases," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 26.
• A Matas-Mir & D R Osborn, 2003, "Seasonal Adjustment and the Detection of Business Cycle Phases," Economics Discussion Paper Series, Economics, The University of Manchester, number 0304.
• Markku Lanne & Matti Liski, 2003, "Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028," Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research, number 0302, Jan.
• Fabrizio Carmignani, 2003, "The Road to Regional Integration in Africa: Macroeconomic Convergence and Performance in COMESA," Working Papers, University of Milano-Bicocca, Department of Economics, number 67, Dec, revised Dec 2003.
• Zsolt Darvas & Gábor Vadas, 2003, "Univariate Potential Output Estimations for Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2003/8.
• Lydia Shenstone & Rob J. Hyndman, 2003, "Stochastic models underlying Croston's method for intermittent demand forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/03, Feb.
• Xibin Zhang & Maxwell L. King, 2003, "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/03, Apr.
• B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003, "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/03, Sep.
• Heather M. Anderson & Farshid Vahid, 2003, "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/03, Nov.
• Md B. Billah & R.J. Hyndman & A.B. Koehler, 2003, "Empirical Information Criteria for Time Series Forecasting Model Selection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/03, Jan.
• Heather Anderson & Farshid Vahid, 2003, "The Decline in Income Growth Volatility in the United States: Evidence from Regional Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/03, Nov.
• Rob J. Hyndman & Muhammad Akram & Blyth Archibald, 2003, "Invertibility Conditions for Exponential Smoothing Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/03, Apr.
• B.P.M. McCabe & G.M. Martin, 2003, "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/03, Apr.
• GONÇALVES, Silvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-01.
• Gonçalves, Sílvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 01-2003.
• Fatih Savasan, 2003, "Modeling the Underground Economy in Turkey: Randomized Response and MIMIC Models," Journal of Economic Insight, Missouri Valley Economic Association, volume 29, issue 1, pages 49-76.
• John Y. Campbell & Motohiro Yogo, 2003, "Efficient Tests of Stock Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10026, Oct.
• Yacine Ait-Sahalia & Per A. Mykland, 2003, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 9611, Apr.
• Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003, "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 9817, Jul.
• David Berger & Ricardo J. Caballero & Eduardo Engel, 2003, "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 9898, Aug.
• Yacine Ait-Sahalia, 2003, "Disentangling Volatility from Jumps," NBER Working Papers, National Bureau of Economic Research, Inc, number 9915, Aug.
• Eduardo Gonçalves & Tharsila Reis de Medeiros & Alexandre Sabino de Oliveira & Cristina Márcia Barros de Castro, 2003, "Competitividade industrial de Minas Gerais no período 1985-2000: um enfoque econométrico [Industrial competitiveness in Minas Gerais in 1985-2000: an econometric approach]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 13, issue 2, pages 81-108, July-Dece.
• Dr Garry Young, 1998, "Estimating Cointegrating Relationships When There Is Uncertainty About The Time Series Properties of," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 135, Feb.
• David Hendry & Hans-Martin Krolzig, 2003, "The Properties of Automatic Gets Modelling," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W14, Mar.
• Jurgen A. Doornik & Marius Ooms, 2003, "Multimodality in the GARCH Regression Model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W20, Sep.
• Robert A Buckle & Kunhong Kim & Nathan McLellan, 2003, "The impact of monetary policy on New Zealand business cycles and inflation variability," Treasury Working Paper Series, New Zealand Treasury, number 03/09, Mar.
• Vuong, Quan-Hoang, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," OSF Preprints, Center for Open Science, number ahrjd, Sep, DOI: 10.31219/osf.io/ahrjd.
• Gabriel Rodriguez, 2003, "The Role of the Interprovincial Transfers in the B-Convergence Process. Further Empirical Evidence for CanadaAbstract: Based on the approach of Timljonavich and Vogelsang (2002), I present empirical evidence of the role of the federal transfers on th," Working Papers, University of Ottawa, Department of Economics, number 0305E.
• Hui Liu & Gabriel Rodriguez, 2003, "Human Activities and Global Warming: A Cointegration Analysis," Working Papers, University of Ottawa, Department of Economics, number 0307E.
• Gabriel Rodriguez, 2003, "Identifying Canadian Regional Business Cycles using the Friedmand Plucking Model," Working Papers, University of Ottawa, Department of Economics, number 0309E.
• Stefan Mittnik & Thorsten Neumann, 2003, "Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending," Economic Inquiry, Western Economic Association International, volume 41, issue 4, pages 565-573, October.
• Martin B. Schmidt & David J. Berri, 2003, "On the Evolution of Competitive Balance: The Impact of an Increasing Global Search," Economic Inquiry, Western Economic Association International, volume 41, issue 4, pages 692-704, October.
• Paul Cashin & C. John McDermott, 2003, "An Unbiased Appraisal of Purchasing Power Parity," IMF Staff Papers, Palgrave Macmillan, volume 50, issue 3, pages 1-1.
• Peter F. Christoffersen & Francis X.Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-009, Sep.
• Hyungsik Roger Moon & Peter C.B. Phillips, 2003, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1390, Jan.
• Peter C.B. Phillips & Jun Yu, 2003, "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1392, Jan.
• Peter C.B. Phillips, 2003, "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1393, Jan.
• Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1407, Mar.
• Ricardo J. Caballero & Eduardo M.R.A. Engel, 2003, "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1430, Jul, revised Apr 2008.
• Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003, "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1435, Sep.
• Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003, "Long Run Variance Estimation Using Steep Origin Kernels without Truncation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1437, Sep.
• Patricia Alvarez-Plata & Mechthild Schrooten, 2003, "The Argentinean Currency Crisis: A Markov-Switching Model Estimation," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 348.
• Boriss Siliverstovs, 2003, "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 382.
• Herbert Brücker & Boriss Siliverstovs & Parvati Trübswetter, 2003, "International Migration to Germany: Estimation of a Time-Series Model and Inference in Panel Cointegration," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 391.
• Friedrich Breyer & Stefan Felder, 2004, "Life Expectancy and Health Care Expenditures: A New Calculation for Germany Using the Costs of Dying," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 452.
• Peter Lynn & Annette Jäckle & Stephen P. Jenkins & Emanuela Sala, 2005, "The Effects of Dependent Interviewing on Responses to Questions on Income Sources," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 487.
• Annette Jäckle & Emanuela Sala & Stephen P. Jenkins & Peter Lynn, 2005, "Validation of Survey Data on Income and Employment: The ISMIE Experience," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 488.
• Stephen P. Jenkins & Peter Lynn & Annette Jäckle & Emanuela Sala, 2005, "Linking Household Survey and Administrative Record Data: What Should the Matching Variables Be?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 489.
• Stephen P. Jenkins & Lorenzo Cappellari & Peter Lynn & Annette Jäckle & Emanuela Sala, 2005, "Patterns of Consent: Evidence from a General Household Survey," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 490.
• Anne Neumann & Christian von Hirschhausen, 2006, "Long-Term Contracts and Asset Specificity Revisited: An Empirical Analysis of Producer-Importer Relations in the Natural Gas Industry," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 552.
• Patricia Alvarez-Plata & Tilman Brück, 2006, "External Debt in Post-Conflict Countries," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 613.
• N R Bhanumurthy & Shashi Agarwal, 2003, "Interest - Rate Price Nexus in India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 38, issue 2, pages 189-203, July.
• Nowak-Lehmann D., Felicitas, 2003, "Trade Policy and its Impact On Economic Growth: The Chilean Experience in the Period of 1960 to 1998," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 3, issue 2.
• Glatzer, Ernst & Scheicher, Martin, 2003, "Modelling the implied probability of stock market movements," Working Paper Series, European Central Bank, number 212, Jan.
• Inoue, Atsushi & Kilian, Lutz, 2003, "On the selection of forecasting models," Working Paper Series, European Central Bank, number 214, Feb.
• Kilian, Lutz & Manganelli, Simone, 2003, "The central bank as a risk manager: quantifying and forecasting inflation risks," Working Paper Series, European Central Bank, number 226, Apr.
• León-Ledesma, Miguel A. & McAdam, Peter, 2003, "Unemployment, hysteresis and transition," Working Paper Series, European Central Bank, number 234, May.
• De Ãvila, Diego Romero & Strauch, Rolf, 2003, "Public finances and long-term growth in Europe - evidence from a panel data analysis," Working Paper Series, European Central Bank, number 246, Jul.
• Bruggeman, Annick & Donati, Paola & Warne, Anders, 2003, "Is the demand for euro area M3 stable?," Working Paper Series, European Central Bank, number 255, Sep.
• Gerlach-Kristen, Petra, 2003, "Interest rate reaction functions and the Taylor rule in the euro area," Working Paper Series, European Central Bank, number 258, Sep.
• Barnett, William A., 2003, "Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous," Working Paper Series, European Central Bank, number 260, Sep.
• Calza, Alessandro & Sousa, João, 2003, "Why has broad money demand been more stable in the euro area than in other economies? A literature review," Working Paper Series, European Central Bank, number 261, Sep.
• Rünstler, Gerhard & Sédillot, Franck, 2003, "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series, European Central Bank, number 276, Sep.
• Hendry, David F & Hans-Martin Krolzig, 2003, "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 105, Jun.
• Kellard, Neil & Mark E Wohar, 2003, "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 118, Jun.
• Leon-Ledesma, Miguel & Peter McAdam, 2003, "Unemployment, Hysterisis and Transition," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 137, Jun.
• Marrocu, Emanuela & Gianna Boero, 2003, "The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 147, Jun.
• Federico M. Bandi & Peter C. B. Phillips, 2003, "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, volume 71, issue 1, pages 241-283, January.
• Werner Ploberger & Peter C. B. Phillips, 2003, "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, volume 71, issue 2, pages 627-673, March.
• Donald W. K. Andrews & Patrik Guggenberger, 2003, "A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter," Econometrica, Econometric Society, volume 71, issue 2, pages 675-712, March.
• Javier Alvarez & Manuel Arellano, 2003, "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Econometrica, Econometric Society, volume 71, issue 4, pages 1121-1159, July.
• P. M. Robinson & J. Hualde, 2003, "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, volume 71, issue 6, pages 1727-1766, November.
• M. Karanasos & J. Kim, 2003, "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, volume 6, issue 1, pages 146-166, June.
• Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003, "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, volume 6, issue 1, pages 79-98, June.
• George Kapetanios & Yongcheol Shin, 2003, "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 108, Jan.
• Pollock, D. S. G., 2003, "Improved frequency selective filters," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 3, pages 279-297, March.
• Doornik, Jurgen A. & Ooms, Marius, 2003, "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 3, pages 333-348, March.
• Pollock, D. S. G., 2003, "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, volume 44, issue 1-2, pages 37-75, October.
• Honkapohja, Seppo & Mitra, Kaushik, 2003, "Learning with bounded memory in stochastic models," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 8, pages 1437-1457, June.
• Gabriel, Vasco J., 2003, "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, volume 78, issue 1, pages 17-25, January.
• Kapetanios, George, 2003, "A note on an iterative least-squares estimation method for ARMA and VARMA models," Economics Letters, Elsevier, volume 79, issue 3, pages 305-312, June.
• Robinson, Peter M. & Henry, Marc, 2003, "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, volume 114, issue 1, pages 1-27, May.
• Perron, Pierre & Rodriguez, Gabriel, 2003, "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, volume 115, issue 1, pages 1-27, July.
• Ghysels, Eric & Guay, Alain, 2003, "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, volume 115, issue 1, pages 91-123, July.
• Zaffaroni, Paolo & d'Italia, Banca, 2003, "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 199-258, August.
• Luger, Richard, 2003, "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 259-276, August.
• Sun, Yixiao & Phillips, Peter C. B., 2003, "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 355-389, August.
• Busetti, Fabio & Taylor, A. M. Robert, 2003, "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Journal of Econometrics, Elsevier, volume 117, issue 1, pages 21-53, November.
• Altissimo, Filippo & Corradi, Valentina, 2003, "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, volume 117, issue 2, pages 207-244, December.
• Bali, Turan G. & Neftci, Salih N., 2003, "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, volume 10, issue 4, pages 455-477, September.
• Jondeau, Eric & Rockinger, Michael, 2003, "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 559-581, December.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003, "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, volume 22, issue 7, pages 925-955, December.
• Ricardo Faria, Joao & Leon-Ledesma, Miguel, 2003, "Testing the Balassa-Samuelson effect: Implications for growth and the PPP," Journal of Macroeconomics, Elsevier, volume 25, issue 2, pages 241-253, June.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Sibbertsen, Philipp, 2003, "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Statistics & Probability Letters, Elsevier, volume 61, issue 3, pages 261-268, February.
• Kyongwook Choi & Eric Zivot, 2003, "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2003_02, Feb.
• Ricardo J. Caballero & Eduardo M.R.A. Engel, 2003, "Adjustment Is Much Slower Than You Think," Working Papers, Economic Growth Center, Yale University, number 865, Jul.
• Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003, "LARCH, leverage and long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2020, Oct.
• Shintani, Mototsugu & Linton, Oliver, 2003, "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2097, May.
• Linton, Oliver & Whang, Yoon-Jae, 2003, "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2112, Nov.
• Robinson, Peter M. & Hualde, Javier, 2003, "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2223, Feb.
• Hidalgo, Javier, 2003, "A bootstrap causality test for covariance stationary processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6848, Nov.
• Hidalgo, Javier, 2003, "An alternative bootstrap to moving blocks for time series regression models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6850, May.
• S. Chaouachi & G. Dufrenot & V.Mignon, 2003, "Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2003-03.
• van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-10, Mar.
• Siliverstovs, B. & van Dijk, D.J.C., 2003, "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-16, May.
• Hafner, C.M. & Franses, Ph.H.B.F., 2003, "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-18, Jul.
• Hafner, C.M., 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-20, Jul.
• Hafner, C.M. & Herwartz, H., 2003, "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-21, Aug.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: Ambiguity in Estimation," 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-2003-063-F&A, Sep.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: The Importance of Dividends," 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-2003-064-F&A, Sep.
• Luis A. Gil-Alanaa, 2003, "A Semiparametric Frequency Domain Approach Of Modelling The Real Output With Fractional Integration," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 121-130, July - De.
• Geert Dhaene & Olivier Vergote, 2003, "Asymptotic Results for GMM Estimators of Stochastic Volatility Models," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0306, Mar.
• Carsten TRENKLER & Nikolaus WOLF, 2003, "Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)," Economics Working Papers, European University Institute, number ECO2003/05.
• Jacqueline Pradel & Christophe Rault, 2003, "Exogeneity in vector error correction models with purely exogenous long-run paths," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 03-10.
• C. Guermat & K. Hadri & C. C. Kucukozmen, 2003, "Forecasting Value at Risk in Emerging Arab Stock Markets," Discussion Papers, University of Exeter, Department of Economics, number 0303, Dec.
• K. Renuka Ganegodage & Kiyoshi Taniguchi & Xiaojun Wang, 2003, "Learning by Eating: A case study on the cost of hunger in Sri Lanka," Working Papers, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA), number 03-05.
• Giorgio Busetti & Matteo Manera, 2003, "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers, Fondazione Eni Enrico Mattei, number 2003.43, Apr.
• Alessandro Lanza & Matteo Manera & Massimo Giovannini, 2003, "Oil and Product Price Dynamics in International Petroleum Markets," Working Papers, Fondazione Eni Enrico Mattei, number 2003.81, Sep.
• Fernandes, Marcelo & Grammig, Joachim, 2003, "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 501, Oct.
• Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Andrew T. Levin & Jeremy M. Piger, 2003, "Is inflation persistence intrinsic in industrial economies?," Working Papers, Federal Reserve Bank of St. Louis, number 2002-023, DOI: 10.20955/wp.2002.023.
• Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2003_07, Jul.
• Lars Sondergaard, 2003, "Using Instrumental Varibles to Estimate the Share of Backward- Looking Firms," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-24, Jun.
• Daniel Levy & Hashem Dezhbakhsh, 2003, "On the typical spectral shape of an economic variable," Post-Print, HAL, number hal-02386554, May, DOI: 10.1080/1350485032000102187.
• Pradeep Dubey & John Geanakoplos & Martin Shubik, 2003, "Is gold an efficient store of value?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 4, pages 767-782, June, DOI: 10.1007/s00199-002-0266-y.
• Hilde C. Bjørnland & Håvard Hungnes, 2003, "The importance of interest rates for forecasting the exchange rate," Discussion Papers, Statistics Norway, Research Department, number 340, Feb.
• Erling Røed Larsen, 2003, "Are Rich Countries Immune to the Resource Curse? Evidence from Norway's Management of Its Oil Riches," Discussion Papers, Statistics Norway, Research Department, number 362, Oct.
• Kurt Brannas & Niklas Nordman, 2003, "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 11, pages 725-728, DOI: 10.1080/1350485032000139015.
• Daniel Levy & Hashem Dezhbakhsh, 2003, "On the typical spectral shape of an economic variable," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 7, pages 417-423, DOI: 10.1080/1350485032000102187.
• Annabelle Mourougane & Moreno Roma, 2003, "Can confidence indicators be useful to predict short term real GDP growth?," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 8, pages 519-522, DOI: 10.1080/1350485032000100305.
• Winfried Hallerbach, 2003, "Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 4, pages 287-294, DOI: 10.1080/09603100210135720.
• Kurt Brannas & Niklas Nordman, 2003, "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 7, pages 537-541, DOI: 10.1080/0960310022000020889.
• James Payne, 2003, "Post stabilization estimates of money demand in Croatia: error correction model using the bounds testing approach," Applied Economics, Taylor & Francis Journals, volume 35, issue 16, pages 1723-1727, DOI: 10.1080/0003684032000152871.