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

• Ivan Paya & David A. Peel, 2004, "Nonlinear Ppp Under The Gold Standard," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-24, Jun.
• Ivan Paya & David A. Peel, 2004, "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-25, Jun.
• M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004, "Spurious And Hidden Volatility," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-45, Nov.
• Schlicht, Ekkehart, 2004, "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," IZA Discussion Papers, IZA Network @ LISER, number 1054, Mar.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004, "Nonlinear effects of exchange rate volatility on the volume of bilateral exports," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 19, issue 1, pages 1-23, DOI: 10.1002/jae.725.
• Wagner Adolf, 2004, "Statistische Adäquation bei Fortentwicklung der makrökonomischen Wirtschaftstheorie / Statistical Adequacy and the Evolution of Macroeconomic Theory," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 5, pages 612-625, October, DOI: 10.1515/jbnst-2004-0505.
• W. Jos Jansen & Niek J. Nahuis, 2004, "Which survey indicators are useful for monitoring consumption? Evidence from European countries," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 2, pages 89-98, DOI: 10.1002/for.903.
• Jan G. De Gooijer & Kurt Brännäs, 2004, "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 155-171, DOI: 10.1002/for.910.
• Lars-Erik Öller & Lasse Koskinen, 2004, "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 197-214, DOI: 10.1002/for.905.
• William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004, "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200403, May, revised May 2004.
• William Barnett & Shu Wu, 2004, "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200404, Jun, revised Jun 2004.
• William Barnett & Shu Wu, 2004, "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200405, Jun, revised Jun 2004.
• Yijun He & William Barnett, 2004, "Singularity Bifurcations," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200412, Oct, revised Oct 2004.
• Luis A. Gil-Alana, 2004, "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, volume 23, issue 3, pages 239-254, April.
• Andrew Hughes Hallett & Christian R. Richter, 2004, "Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure," Computational Economics, Springer;Society for Computational Economics, volume 23, issue 3, pages 271-288, April.
• Luis Gil-alana, 2004, "Testing of Unit Root Cycles in the Swedish Economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 31, issue 4, pages 333-344, December, DOI: 10.1007/s10663-004-0521-5.
• Hannah Nielsen & Giuseppe Tullio & Jürgen Wolters, 2004, "Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972–1998," International Economics and Economic Policy, Springer, volume 1, issue 1, pages 73-85, March, DOI: 10.1007/s10368-003-0001-6.
• Ibrahim Chowdhury & Gregory Gadzinski & Mathias Hoffmann, 2004, "Asymmetric Dynamics in the Current Account: Evidence from Long-Horizon Data," Working Paper Series in Economics, University of Cologne, Department of Economics, number 13, Sep.
• Theodore Panagiotidis & David Chappell, 2004, "Using the Correlation Dimension to Detect non-linear dynamics," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_17, Nov, revised Nov 2004.
• Theodore Panagiotidis & Emilie Rutledge, 2004, "Oil and gas market in the UK: evidence from a cointegration approach," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_18, Nov, revised Nov 2004.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004, "The second moments matter: The response of bank lending behavior to macroeconomic uncertainty," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/13, May.
• Gary M. Koop & Simon M. Potter, 2004, "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/31, Nov.
• Greg Hannsgen, 2004, "Gibson's Paradox, Monetary Policy, and the Emergence of Cycles," Economics Working Paper Archive, Levy Economics Institute, number wp_410, Jul.
• Bernardina Algieri, 2004, "Price and Income Elasticities of Russian Exports," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 1, issue 2, pages 175-193, December.
• Schlicht, Ekkehart, 2004, "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 304, Feb.
• Ivars Tillers, 2004, "Money Demand in Latvia," Working Papers, Latvijas Banka, number 2004/03, Nov.
• D. Johannes Juttner & Wayne Leung, 2004, "Towards Decoding Currency Volatilities," Research Papers, Macquarie University, Department of Economics, number 0405, Aug.
• D van Dijk & D R Osborn & M Sensier, 2004, "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 45.
• Peter Hans Matthews, 2004, "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series, Middlebury College, Department of Economics, number 0416, Sep.
• Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos, 2004, "Inflation, inflation uncertainty, and a common European Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 30, Sep.
• David McMillan, 2004, "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 63, Sep.
• Kostas Mouratidis & Nicola Spagnolo, 2004, "Evaluating currency crises: the case of the European Monetary System," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 69, Sep.
• Roberto Ricciuti, 2004, "Nonlinearity in testing for fiscal sustainability," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 80, Sep.
• Don Bredin & Stilianos Fountas, 2004, "Macroeconomic Uncertainty and Macroeconomic Performance: Are they related?," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 51, Sep.
• Marianna Valentinyi-Endrész, 2004, "Structural breaks and financial risk management," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/11.
• B.P.M. McCabe & G.M. Martin & R.K. Freeland, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/04, Jun.
• Ralph D. Snyder, 2004, "Exponential Smoothing: A Prediction Error Decomposition Principle," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/04, Aug.
• Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004, "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/04, Nov.
• Heather M. Anderson & Chin Nam Low, 2004, "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/04, Nov, revised May 2005.
• Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004, "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 28/04, Dec, revised Oct 2005.
• McCAUSLAND, William, 2004, "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2004-07.
• McCAUSLAND, William J., 2004, "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 09-2004.
• Viv Hall & C. John McDermott, 2004, "Regional business cycles in New Zealand: Do they exist? What might drive them?," Motu Working Papers, Motu Economic and Public Policy Research, number 04_10, Oct.
• V. Baugnet & M. Hradisky, 2004, "Determinants of Belgian bank lending intrest rates," Economic Review, National Bank of Belgium, issue iii, pages 43-58, September.
• Astrid Van Landschoot, 2004, "Determinants of Euro Term Structure of Credit Spreads," Working Paper Research, National Bank of Belgium, number 57, Jul.
• Nelson C. Mark & Donggyu Sul, 2004, "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0298, Aug.
• Shiu-Sheng Chen & Charles Engel, 2004, "Does "Aggregation Bias" Explain the PPP Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10304, Feb.
• Joshua D. Angrist & Guido M. Kuersteiner, 2004, "Semiparametric Causality Tests Using the Policy Propensity Score," NBER Working Papers, National Bureau of Economic Research, Inc, number 10975, Dec.
• Aykut Kibritçioğlu, 2004, "An Analysis of Early Warning Signals of Currency Crises in Turkey, 1986-2004," International Finance, Socionet, number kibritcioglu_aykut.62178-, Nov.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4004, Feb, revised 11 May 2004.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4104, Mar, revised 01 Jun 2004.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W10, Apr.
• David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W13, Nov.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W28, Nov.
• David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W04, Feb.
• Angela Huang, 2004, "Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP 2004/08, Oct.
• Kam Leong Szeto & Melody Guy, 2004, "Estimating a New Zealand NAIRU," Treasury Working Paper Series, New Zealand Treasury, number 04/10, Sep.
• Annabelle Mourougane & Hideyuki Ibaragi, 2004, "Is There a Change in the Trade-Off Between Output and Inflation at Low or Stable Inflation Rates?: Some Evidence in the Case of Japan," OECD Economics Department Working Papers, OECD Publishing, number 379, Feb, DOI: 10.1787/685810855735.
• Torsten Sløk & Mike Kennedy, 2004, "Factors Driving Risk Premia," OECD Economics Department Working Papers, OECD Publishing, number 385, Apr, DOI: 10.1787/738228687051.
• Robert H. McGuckin & Ataman Ozyildirim, 2004, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2004, issue 2, pages 171-191, DOI: 10.1787/jbcma-v2004-art11-en.
• David E. Rapach & Christian E. Weber, 2004, "Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach," Economic Inquiry, Western Economic Association International, volume 42, issue 4, pages 717-738, October.
• Markus Haas, 2004, "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 2, pages 211-250.
• Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-20, Nov.
• 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.

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.
• 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.