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

2003

• Mustapha Baghli & Gilbert Cette & Arnaud Sylvain, 2003, "Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : analyse empirique sur la période. 1970-2000," Economie & Prévision, La Documentation Française, volume 158, issue 2, pages 1-25.
• Pesaran, H.M. & Timmermann, A., 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0306, Jan.
• Pesaran, M.H., 2003, "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0346, Oct.
• Im, K.S. & Pesaran, M.H., 2003, "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0347, Oct, DOI: 10.17863/CAM.5079.
• Uma S. Kambhampati & Paul A. Kattuman, 2003, "Growth Response to Competitive Shocks: Market Structure Dynamics Under Liberalisation - the Case of India," Working Papers, Centre for Business Research, University of Cambridge, number wp263, Jun.
• Oscar Jorda & James D. Hamilton, 2003, "A model for the federal funds rate target," Working Papers, University of California, Davis, Department of Economics, number 176, Jan.
• Oscar Jorda & Massimiliano Marcellino, 2003, "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers, University of California, Davis, Department of Economics, number 273, Jan.
• Oscar Jorda & Massimiliano Marcellino, 2003, "Time-Scale Transformations of Discrete-Time Processes," Working Papers, University of California, Davis, Department of Economics, number 65, Feb.
• Surajit Deb, 2003, "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers, Centre for Development Economics, Delhi School of Economics, number 115, Mar.
• Su, Liangjun & White, Halbert, 2003, "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt35v8g0fm, Oct.
• Francisco Horácio P. Oliveira & Frederico G. Jayme Jr. & Mauro B. Lemos, 2003, "Increasing returns to scale and international diffusion of technology: an empirical study for Brazil (1976-2000)," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td211, Jul.
• Javier J. Pérez & Francisco J. André, 2003, "Robust Stylized Facts on Comovement for the Spanish Economy," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/02.
• Diego J. Pedregal, 2003, "Filter-Design and Model-Based Analysis of Economic Cycles," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/13.
• Encarnación Murillo García & Simón Sosvilla-Rivero, 2003, "Efectos a largo plazo sobre la economia andaluza de las ayudas procedentes de los fondos estructurales: el Marco de Apoyo Comunitario 1994-1999," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/34.
• Oliver Linton & Mototsugu Shintani, 2003, "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 455, May.
• Woocheol Kim & Oliver Linton, 2003, "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 456, May.
• Oliver Linton & Yoon-Jae Whang, 2003, "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 463, Nov.
• Allan Timmermann & M. Hashem Pesaran, 2003, "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series, CESifo, number 990.
• Martin Meurers, 2003, "Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 13, July.
• Dieter Dziadkowski & Andrea Gebauer & W. Christian Lohse & Chang Woon Nam & Rüdiger Parsche, 2002, "Development of Recent VAT Revenues and Anticipated Fiscal Effects of Reform Proposals for VAT System," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 13.
• Francisco A. Gallego & Christian A. Johnson, 2003, "Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping," Working Papers Central Bank of Chile, Central Bank of Chile, number 202, Feb.
• Claude Lopez & Christian J. Murray & David H. Papell, 2003, "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2003-07, Oct.
• Peter Christoffersen & Kris Jacobs, 2003, "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers, CIRANO, number 2003s-52, Aug.
• Mototsugu Shintani, 2003, "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Working Paper Archive, David K. Levine, number 506439000000000172, Jan.
• Robert H. McGuckin & Ataman Ozyildirim, 2003, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Economics Program Working Papers, The Conference Board, Economics Program, number 03-04, Jun.
• A. Lanza & M. Manera & M. Giovannini, 2003, "Oil and price dynamics in international petroleum markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200306.
• G. Ascari & E. Marrocu, 2003, "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200307.
• Fabio S√Ånchez & Luz Magdalena Salas & Oskar Nupia, 2003, "Ciclos Econ√Ìmicos Y Mercado Laboral En Colombia 1984-2000: ¬Øqui√Ân Gana M√Ås, Qui√Ân Pierde M√Ås?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2123, May.
• Fabio S√Ånchez & Luz Magdalena Salas & Oskar Nupia, 2003, "En Colombia 1984-2000: ¬Øqui√Ân Gana M√Ås, Qui√Ân Pierdem√Ås?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2124, May.
• Norberto Rodr�guez & Patricia Siado, 2003, "Un Pron�Stico No Param�Trico De La Inflaci�N Colombiana," Borradores de Economia, Banco de la Republica, number 3691, Jun.
• Fabio SANCHEZ TORRES & Luz Magdalena SALAS BAHAM�N & Oskar Andr�s NUPIA MART�NEZ, 2003, "Ciclos económicos y mercado laboral en Colombia: ¿Quién gana más, quién pierde más? 1984-2000," Archivos de Economía, Departamento Nacional de Planeación, number 11295, Jul.
• HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003003, Jan.
• HORVATH, Lajos & KOKOSZKA, Piotr & TEYSSIÈRE , Gilles, 2003, "Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003009, Feb.
• TEYSSIERE, Gilles, 2003, "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003026, Feb.
• BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003, "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003029, Mar.
• HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Estimation of temporally aggregated multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003073, Oct.
• BAUWENS, Luc & HAUTSCH, Nikolaus, 2003, "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003103, Dec.
• Kilian, Lutz & Inoue, Atsushi, 2003, "On the Selection of Forecasting Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3809, Mar.
• Kilian, Lutz & Manganelli, Simone, 2003, "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3918, Jun.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4037, Aug.
• Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003, "Explaining movements in UK stock prices:," Working Papers, University of Crete, Department of Economics, number 0302, Jan.
• Martínez, Oscar & Gonzalo, Jesús, 2003, "Threshold integrated moving average models: does size matter? maybe so," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 16008, Jan.
• Théophile, AZOMAHOU & Raouf, BOUCEKKINE & Phu, NUYEN VAN, 2003, "Energy consumption, technological progress and economic policy," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2003025, Nov.
• Phillips, Peter C.B., 2003, "Vision And Influence In Econometrics: John Denis Sargan," Econometric Theory, Cambridge University Press, volume 19, issue 3, pages 495-511, June.

2002

• Jesper Linde, 2002, "Monetary Policy Analysis in Backward-Looking Models," Annals of Economics and Statistics, GENES, issue 67-68, pages 155-182.
• Filippo Altissimo & Stefano Siviero & Daniele Terlizzese, 2002, "How Deep are the Deep Parameters?," Annals of Economics and Statistics, GENES, issue 67-68, pages 207-226.
• Yu, Jun & Phillips, Peter, 2002, "Jacknifing Bond Option Prices," Working Papers, Department of Economics, The University of Auckland, number 187.
• Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2002, "Level shifts in a panel data based unit root test. An application to the rate of unemployment," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 79.
• Emili Valdero Mora, 2002, "Linear least squares estimation of the first order moving average parameter," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 80.
• Ernest Pons Fanals & Jordi Surinach Caralt, 2002, "An analysis of inflation rates in the european union using wavelets: strong evidence against unit roots," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 81.
• Marwan Chacra, 2002, "Oil-Price Shocks and Retail Energy Prices in Canada," Staff Working Papers, Bank of Canada, number 02-38, DOI: 10.34989/swp-2002-38.
• Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2002, "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Papers, Banco de España, number 0211, May.
• Gabriel Pérez Quirós & Jorge Sicilia, 2002, "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Papers, Banco de España, number 0229, Dec.
• Roberta Zizza, 2002, "Forecasting the industrial production index for the euro area through forecasts for the main countries," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 441, Mar.
• Fabio Fornari, 2002, "The size of the equity premium," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 447, Jul.
• Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002, "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 456, Dec.
• Roberta Zizza, 2002, "Metodologie di stima dell�economia sommersa: un�applicazione al caso italiano," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 463, Dec.
• Lanne, Markku & Saikkonen, Pentti, 2002, "Threshold Autoregressions for Strongly Autocorrelated Time Series," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 2, pages 282-289, April.
• Sanvi Avouyi-Dovi & Dominique Guégan & Sophie Ladoucette, 2002, "Une mesure de la persistance dans les indices boursiers," Working papers, Banque de France, number 94.
• Sanvi Avouyi-Dovi & Dominique Guégan & Sophie Ladoucette, 2002, "What is the Best Approach to Measure the Interdependence between Different Markets?," Working papers, Banque de France, number 95.
• Philip M. Bodman & Mark Crosby, 2002, "The Australian Business Cycle: Joe Palooka or Dead Cat Bounce?," Australian Economic Papers, Wiley Blackwell, volume 41, issue 2, pages 191-207, June, DOI: 10.1111/1467-8454.00159.
• Imad A. Moosa & Jolanta Kwiecien, 2002, "Cross‐Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation," The Japanese Economic Review, Japanese Economic Association, volume 53, issue 4, pages 478-495, December, DOI: 10.1111/1468-5876.00240.
• Yacine Aït‐Sahalia, 2002, "Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion," Journal of Finance, American Finance Association, volume 57, issue 5, pages 2075-2112, October, DOI: 10.1111/1540-6261.00489.
• Katsumi Shimotsu & Peter C. B. Phillips, 2002, "Pooled Log Periodogram Regression," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 1, pages 57-93, January, DOI: 10.1111/1467-9892.00575.
• Niels Haldrup & Peter Lildholdt, 2002, "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 2, pages 155-171, March, DOI: 10.1111/1467-9892.00260.
• D. Levy, 2002, "Cointegration in frequency domain," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 3, pages 333-339, May, DOI: 10.1111/1467-9892.00267.
• Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2002, "Comparison of unit root tests for time series with level shifts," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 6, pages 667-685, November, DOI: 10.1111/1467-9892.00285.
• Hahn Shik Lee & Eric Ghysels & William R. Bell, 2002, "Seasonal Time Series and Autocorrelation Function Estimation," Manchester School, University of Manchester, volume 70, issue 5, pages 651-665, September, DOI: 10.1111/1467-9957.00318.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002, "Instrumental variables and GMM: Estimation and testing," North American Stata Users' Group Meetings 2003, Stata Users Group, number 05, Dec.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2002, "The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds," Boston College Working Papers in Economics, Boston College Department of Economics, number 521, Jan, revised 31 Aug 2008.
• Matteo Iacoviello & Raoul Minetti, 2002, "The Credit Channel of Monetary Policy: Evidence from the Housing Market," Boston College Working Papers in Economics, Boston College Department of Economics, number 541, Oct, revised 29 Aug 2003.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002, "Instrumental variables and GMM: Estimation and testing," Boston College Working Papers in Economics, Boston College Department of Economics, number 545, Nov, revised 14 Feb 2003.
• Raffaella Giacomini, 2002, "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," Boston College Working Papers in Economics, Boston College Department of Economics, number 583, Jun.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002, "Instrumental variables and GMM: Estimation and testing," United Kingdom Stata Users' Group Meetings 2003, Stata Users Group, number 02, Dec.
• Kirman Alan & Teyssière Gilles, 2002, "Microeconomic Models for Long Memory in the Volatility of Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 5, issue 4, pages 1-23, January, DOI: 10.2202/1558-3708.1083.
• Busettti, F. & Harvey, A., 2002, "Testing for Drift in a Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0237, Dec, DOI: 10.17863/CAM.5027.
• Javier J. Pérez & Jesús Rodríguez López & Carlos Usabiaga, 2002, "Análisis Dinámico de la Relación entre Ciclo Económico y Ciclo del Desempleo en Andalucía en Comparación con el Resto de España," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2002/07.
• Consuelo Gámez Amián & Amalia Morales Zumaquero., 2002, "Complete or Partial Inflation Convergence in the EU?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2002/09.
• Oliver Linton & Mototsugu Shintani, 2002, "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 434, Mar.
• Marc Henry & Peter M Robinson, 2002, "Higher-Order Kernel Semiparametric M-Estimation of Long Memory," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 436, Sep.
• Christian A. Johnson, 2002, "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile, Central Bank of Chile, number 136, Jan.
• Eugene Durenard & David Veredas, 2002, "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers, CIRANO, number 2002s-03, Jan.
• John W. Galbraith & Turgut Kisinbay, 2002, "Information Content of Volatility Forecasts at Medium-term Horizons," CIRANO Working Papers, CIRANO, number 2002s-21, Feb.
• Christian Bontemps & Nour Meddahi, 2002, "Testing Normality: A GMM Approach," CIRANO Working Papers, CIRANO, number 2002s-63, Jul.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
• G. Boero & E. Marrocu, 2002, "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200208.
• Lucas An√≠bal Pussetto, 2002, "Gasto P√Öblico Y Crecimiento Econ√Ìmico: Evidencia Para El Caso Argentino," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2759, Oct.
• Jesus Otero & Jeremy Smith, 2002, "Seasonal adjustment and cointegration," Borradores de Investigación, Universidad del Rosario, number 3483, Dec.
• Martha Misas A. & Diego Mauricio V�squez, 2002, "Expectativas De Inflaci�N En Colombia: Un Ejercicio Econom�Trico," Borradores de Economia, Banco de la Republica, number 2693, Jun.
• Guglielmo Maria Caporale & Nikitas Pittis, 2002, "Exogeneity and measurement of persistence," Revista de Economía del Rosario, Universidad del Rosario.
• Dulce Saura Bacaicoa & Ángel Rodriguéz, 2002, "No linealidad y economía Austríaca," Revista de Economía del Rosario, Universidad del Rosario.
• LEJEUNE, Bernard, 2002, "A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002024, Apr.
• DURENARD, Eugene & VEREDAS, David, 2002, "Macro surprises and short-term behaviour in bond futures," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002037, Jun.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Microeconomic models for long-memory in the volatility of financial time series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002056, Mar.
• GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, 2002, "On the power of R/S-type tests under contiguous and semi long memory alternatives," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002057, Sep.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Bubbles and long-range dependence in asset prices volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002060, Oct.
• KOKOSZKA, Piotr & TEYSSIÈRE, Gilles, 2002, "Change-point detection in GARCH models: asymptotic and bootstrap tests," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002065, Dec.
• Arie ten Cate, 2002, "Continuous-time modelling in econometrics and engineering - juli 2002," CPB Memorandum, CPB Netherlands Bureau for Economic Policy Analysis, number 42, Jul.
• Roger Kelly & George Mavrotas, 2002, "Savings and Financial Sector Development: Panel Cointegration Evidence from Africa," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number A4-2, Jun.
• Hugo Kruiniger & Elias Tzavalis, 2002, "Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number B5-1, Mar.
• Catherine Bac & Yannick le Pen, 2002, "An International Comparison of Health Care Expenditure Determinants," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number C5-1, Mar.
• Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2002, "Level shifts in a panel data based unit root test. An application to the rate of unemployment," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number C5-2, Mar.
• Artis, Michael & Banerjee, Anindya & Marcellino, Massimiliano, 2002, "Factor Forecasts for the UK," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3119, Jan.
• Reichlin, Lucrezia, 2002, "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3285, Mar.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002, "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3403, Jun.
• Muellbauer, John & Aron, Janine, 2002, "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3595, Oct.
• Kilian, Lutz & Inoue, Atsushi, 2002, "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3671, Dec.
• Douglas Hodgson, 2002, "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 146, Jan.
• Janine Aron & John Muellbauer, 2002, "Interest rate effects on output: evidence from a GDP forecasting model for South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2002-04.
• Saikkonen, Pentti & Lütkepohl, Helmut, 2002, "Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time," Econometric Theory, Cambridge University Press, volume 18, issue 2, pages 313-348, April.
• He, Changli & Teräsvirta, Timo & Malmsten, Hans, 2002, "Moment Structure Of A Family Of First-Order Exponential Garch Models," Econometric Theory, Cambridge University Press, volume 18, issue 4, pages 868-885, August.
• Skalin, Joakim & Teräsvirta, Timo, 2002, "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 2, pages 202-241, April.
• Kilian, Lutz & Ohanian, Lee E., 2002, "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 5, pages 614-632, November.
• Brannas, Kurt & Hellstrom, Jorgen & Nordstrom, Jonas, 2002, "A new approach to modelling and forecasting monthly guest nights in hotels," International Journal of Forecasting, Elsevier, volume 18, issue 1, pages 19-30.
• Herwartz, Helmut & Reimers, Hans-Eggert, 2002, "Testing the purchasing power parity in pooled systems of error correction models," Japan and the World Economy, Elsevier, volume 14, issue 1, pages 45-62, January.
• Danielsson, J. & Payne, R., 2002, "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, volume 21, issue 2, pages 203-222, April.
• Santos-Paulino, Amelia U., 2002, "The Effects of Trade Liberalization on Imports in Selected Developing Countries," World Development, Elsevier, volume 30, issue 6, pages 959-974, June.
• Shintani, Mototsugu & Linton, Oliver, 2002, "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 2093, Mar.
• Robinson, Peter & Henry, Marc, 2002, "Higher-order kernel semiparametric M-estimation of long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2147, Sep.
• Pesaran, M. Hashem & Timmermann, Allan, 2002, "Market timing and return prediction under model instability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24932, Mar.
• Jobst, Andreas A., 2002, "Loan securitisation: default term structure and asset pricing based on loss prioritisation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24941, Aug.
• Hidalgo, Javier, 2002, "Consistent order selection with strongly dependent data and its application to efficient estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6856, Feb.
• Arteche González, Jesús María, 2002, "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Apr.
• de Goeij, P. & Marquering, W.A., 2002, "Modeling the Conditional Covariance between Stock and Bond Returns," 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-2002-11-F&A, Jan.
• de Goeij, P. & Marquering, W.A., 2002, "Do Macroeconomic Announcements Cause Asymetric Volatility?," 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-2002-103-F&A, Nov.
• P. Jenkins, Stephen & Böheim, René, 2000, "Do current income and annual income measures provide different pictures of Britain’s income distribution?," ISER Working Paper Series, Institute for Social and Economic Research, number 2000-16, May.
• Andrew Hughes Hallett & Christian R. Richter, 2002, "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," The Economic and Social Review, Economic and Social Studies, volume 33, issue 3, pages 333-356.
• Shimotsu, Katsumi & Phillips, Peter C B, 2002, "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers, University of Essex, Department of Economics, number 8838.
• Tommaso PROIETTI, 2002, "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers, European University Institute, number ECO2002/23.
• Wojciech Charemza & Mikhail Lifshits & Svetlana Makarova, 2002, "A Simple Test for Unit Root Bilinearity," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2002/01, Mar, revised 29 Mar 2002.
• Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG, 2002, "Implicit Forward Rents as Predictors of Future Rents," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp59, Oct.
• Eric Jondeau & Michael Rockinger, 2002, "The Allocation of Assets Under Higher Moments," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp71, Dec.
• Martin Melecký, 2002, "Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994-2000 (èást I: domácnosti)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 7-8, pages 428-449, July.
• Martin Melecký, 2002, "Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994?2000 ? èást II: firmy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 9, pages 478-501, September.
• Fernandes, Marcelo & Grammig, Joachim, 2002, "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 440, Mar.
• Marco J. Lombardi & Giampiero M. Gallo, 2002, "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_03, Feb.
• Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002, "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_06, Feb.
• Alessandro Rossi & Giampiero M. Gallo, 2002, "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_14, Jun.
• Andreas Jobst, 2002, "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers, Financial Markets Group, number dp422, Aug.
• John Y. Campbell & Motohiro Yogo, 2002, "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1972.
• Serge Rey & Pascal Varachaud, 2002, "European Real Exchange Rates after Bretton-Woods: A Re-examination," Post-Print, HAL, number hal-01885322.
• K. Dimitrova & Nikolay Nenovsky, 2002, "Dual Inflation under the Currency Board. The challenges of Bulgarian EU accession," Post-Print, HAL, number halshs-00259861.
• Bretteville-Jensen, Anne-Line & Biørn, Erik, 2002, "Drug Injection, Drug Dealing, And The Influence Of Economic Factors: A Two-Drug Micro-Econometric Analysis," Working Papers in Economics, University of Bergen, Department of Economics, number 11/02, Apr.
• Larsson, Anna, 2002, "The Swedish Real Exchange Rate under Different Currency Regimes," Working Paper Series, Trade Union Institute for Economic Research, number 180, Nov, revised 18 Sep 2003.
• Rech, Gianluigi, 2002, "Forecasting with artificial neural network models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 491, Feb.
• He, Changli & Teräsvirta, Timo, 2002, "An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 509, Sep.
• Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002, "Error correction in DHSY," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 517, Nov.
• Erlandsson, Ulf, 2002, "Regime Switches in Swedish Interest Rates," Working Papers, Lund University, Department of Economics, number 2002:5, Feb, revised 04 Mar 2005.
• Hjelm, Göran & Johansson, Martin W, 2002, "Structural Change in Fiscal Policy and The Permanence of Fiscal Contractions - The Case of Denmark and Ireland," Working Papers, Lund University, Department of Economics, number 2002:11, Mar.
• Bergman, U. Michael & Hansen, Jan, 2002, "Financial Instability and Monetary Policy: The Swedish Evidence," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 137, Jun.
• Brännäs, Kurt & Nordström, Jonas, 2002, "Tourist Accommodation Effects of Festivals," Umeå Economic Studies, Umeå University, Department of Economics, number 580, Jan.
• Hellström, Jörgen, 2002, "Count Data Modelling and Tourism Demand," Umeå Economic Studies, Umeå University, Department of Economics, number 584, Feb.
• Brännäs, Kurt & Brännäs, Eva, 2002, "Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish," Umeå Economic Studies, Umeå University, Department of Economics, number 595, Nov.
• Nordström, Jonas, 2002, "Dynamic and Stochastic Structures in Tourism Demand Modelling," Umeå Economic Studies, Umeå University, Department of Economics, number 596, Nov.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002, "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 597, Dec.
• Tihomir Stučka, 2002, "A Comparison of Two Econometric Models (OLS and SUR) for Forecasting Croatian Tourism Arrivals," Working Papers, The Croatian National Bank, Croatia, number 8, Jul.
• Penelope A. Smith & Peter M. Summers, 2002, "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2002n21, Nov.
• Jordi Pons Novell & Daniel A. Tirado Fabregat, 2002, "Discontinuidades en el crecimiento económico en el periodo 1870-1994: España en perspectiva comparada," Working Papers, Institut d'Economia de Barcelona (IEB), number 2002/4.
• Ana Pérez & Esther Ruiz, 2002, "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, volume 26, issue 3, pages 395-445, September.
• Burc Kayahan & Thanasis Stengos & Burak Saltoglu, 2002, "Intra-Day Features of Realized Volatility: Evidence from an Emerging Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 17-24, April.
• Mohsen Bahmani-Oskooee & Raymond Chi Wing Ng, 2002, "Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 2, pages 147-155, August.
• Walter Kramer & Philipp Sibbertsen, 2002, "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 3, pages 235-242, December.
• Tuck Cheong Tang, 2002, "Aggregate Import Demand Behavior For Indonesia: Evidence From The Bounds Testing Approach," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 10, issue 2, pages 179-199, December.
• Norma A. Hernández Perales & Russell Robins, 2002, "An Application Of Arch And Arch-M Models To Study Inflation In Mexico From 1978 To 1999," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 3, pages 169-186, Septiembr.
• Ajit Karnik & Abhay Pethe & Dilip Karmarkar, 2002, "Developing A Quantitative Framework For Determining Devolution Of Funds From The State Government To Local Bodies," Department of Economics, University of Mumbai, Mumbai Working Papers, Department of Economics, University of Mumbai, Mumbai, number 3, Sep.
• Raimundo Soto, 2002, "Ajuste Estacional e Integración en Variables Macroeconómicas," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 116, pages 135-155.
• Francisco J. André & Javier J. Pérez & Ricardo Martín, 2002, "Computing Robust Stylized Facts On Comovement," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-02, Mar.
• Juan A. Lafuente & Jesús Ruiz, 2002, "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-20, Aug.
• Ángel León & Juan Nave, 2002, "Modelización De La Volatilidad Del Tipo De Interés A Corto Plazo," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-28, Oct.
• Fuess Jr., Scott M. & Millea, Meghan, 2002, "Disentangling Pay and Productivity in a Corporatist Economy: The Case of Germany," IZA Discussion Papers, IZA Network @ LISER, number 597, Oct.
• Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002, "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 6, pages 617-639, DOI: 10.1002/jae.646.
• Jungmittag Andre & Untiedt Gerhard, 2002, "Kapitalmobilität in Europa aus empirischer Sicht. Befunde und wirtschaftspolitische Implikationen / Capital Mobility in Europe from an Empirical Viewpoint. Evidence and Implications for Economic Policy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 1, pages 42-63, February, DOI: 10.1515/jbnst-2002-0105.
• Krämer Walter, 2002, "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 2, pages 210-229, April, DOI: 10.1515/jbnst-2002-0204.
• Fritsche Ulrich & Stephan Sabine, 2002, "Leading Indicators of German Business Cycles. An Assessment of Properties / Frühindikatoren der deutschen Konjunktur. Eine Beurteilung ihrer Eigenschaften," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 3, pages 289-315, June, DOI: 10.1515/jbnst-2002-0302.
• Francesco Devicienti, 2002, "Poverty persistence in Britain: A multivariate analysis using the BHPS, 1991–1997," Journal of Economics, Springer, volume 9, issue 1, pages 307-340, December, DOI: 10.1007/BF03052509.