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

• Valentina Corradi & Norman R. Swanson, 2003, "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers, Rutgers University, Department of Economics, number 200322, Oct.
• Zulfiqar Hyder, 2003, "Workers’ Remittances, Resident FCAs and Kerb Premium: a Cointegration Analysis," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 03, Apr.
• Sadia Tahir, 2003, "Core Inflation Measures for Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 04, Apr.
• Christoph Schleicher, 2003, "Structural Time-Series Models with Common Trends and Common Cycles," Computing in Economics and Finance 2003, Society for Computational Economics, number 108, Aug.
• Christoph Schleicher, 2003, "Kolmogorov-Wiener Filters for Finite Time Series," Computing in Economics and Finance 2003, Society for Computational Economics, number 109, Aug.
• Christian A. Johnson & Francisco A. Gallego, 2003, "Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping," Computing in Economics and Finance 2003, Society for Computational Economics, number 15, Aug.
• Andrew Levin & Jeremy Piger, 2003, "Is Inflation Persistence Intrinsic in Industrial Economies?," Computing in Economics and Finance 2003, Society for Computational Economics, number 298, Aug.
• Aaron D Smallwood & Stefan C Norrbin, 2003, "Long Memory Models and Tests for Cointegration: A Synthesizing Study," Computing in Economics and Finance 2003, Society for Computational Economics, number 32, Aug.
• J. Huston McCulloch & Prasad V. Bidarkota, 2003, "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003, Society for Computational Economics, number 59, Aug.
• Cees Diks & Svetlana Borovkova, 2003, "Conditional distribution resampling for time series," Computing in Economics and Finance 2003, Society for Computational Economics, number 70, Aug.
• M. A. Kaboudan, 2003, "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003, Society for Computational Economics, number 97, Aug.
• Peter Hayes & Paul Turner, 2003, "Estimating Quarterly GDP for the Interwar UK Economy: An Application to the Employment Function," Working Papers, The University of Sheffield, Department of Economics, number 2003003, Mar, revised Mar 2003.
• Chung-Ming Kuan & Wei-Ming Lee, 2003, "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A001, Nov.
• Chung-Ming Kuan & Yu-Lieh Huang & Ruey S. Tsay, 2003, "A Component-Driven Model for Regime Switching and Its Empirical Evidence," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A002, Nov.
• Yi-Ting Chen & Chung-Ming Kuan, 2003, "A Generalized Jarque-Bera Test of Conditional Normality," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A003, Nov.
• Quan-Hoang Vuong, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-013.RS.
• Christian Hafner, 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, volume 18, issue 3, pages 339-353, September, DOI: 10.1007/BF03354602.
• Luis A. Gil-Alana, 2003, "Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks," Empirical Economics, Springer, volume 28, issue 1, pages 101-113, January, DOI: 10.1007/s001810100121.
• Dan Ben-David & Robin L. Lumsdaine & David H. Papell, 2003, "Unit roots, postwar slowdowns and long-run growth: Evidence from two structural breaks," Empirical Economics, Springer, volume 28, issue 2, pages 303-319, April, DOI: 10.1007/s001810200132.
• P. Fève & P. Y. Hénin & P. Jolivaldt, 2003, "Testing for hysteresis: Unemployment persistence and wage adjustment," Empirical Economics, Springer, volume 28, issue 3, pages 535-552, July, DOI: 10.1007/s001810200144.
• George Kapetanios, 2003, "Threshold models for trended time series," Empirical Economics, Springer, volume 28, issue 4, pages 687-707, November, DOI: 10.1007/s00181-003-0154-8.
• Rainer Thiele, 2003, "Price Incentives, Non‐price Factors and Agricultural Production in Sub‐Saharan Africa: A Cointegration Analysis," African Development Review, African Development Bank, volume 15, issue 2‐3, pages 425-438.
• Louise Allsopp & Ralf Zurbruegg, 2003, "Purchasing Power Parity and the Impact of the East Asian Currency Crisis," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies, number 2003-03, Mar.
• Eric Ghysels & Lynda Khalaf & Cosmé Vodounou, 2003, "Simulation Based Inference In Moving Average Models," Annals of Economics and Statistics, GENES, issue 69, pages 85-99.
• Nasri Harb, 2003, "Money Demand Function: A heterogeneous Panel Application," Economics Working Papers, Department of Economics, College of Business and Economics, UAE University, number 03/04-01, Oct.
• Gordon H. Dash & Nina Kajiji, 2003, "New Evidence on the Predictability of South Africa FX Volatility in Heterogeneous Bilateral Markets," The African Finance Journal, Africagrowth Institute, volume 5, issue 1, pages 1-15.
• Shahiem Ganief & Nicholas Biekpe, 2003, "Measuring Market Risk Using Extreme Value Theory: An Empirical Study Using South African Rand/Dollar One-Year Futures Contract," The African Finance Journal, Africagrowth Institute, volume 5, issue 1, pages 68-86.
• Ganegodage, Renuka K. & Taniguchi, Kiyoshi & Wang, Xiaojun, , "Learning by eating: A case study on the cost of hunger in Sri Lanka," ESA Working Papers, Food and Agriculture Organization of the United Nations, Agricultural Development Economics Division (ESA), number 289094, DOI: 10.22004/ag.econ.289094.
• Thiele, Rainer, 2003, "Price Incentives, Non-Price Factors, And Agricultural Production In Sub-Saharan Africa: A Cointegration Analysis," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa, International Association of Agricultural Economists, number 25901, DOI: 10.22004/ag.econ.25901.
• Carlberg, Jared G. & Ward, Clement E., 2003, "Alternative Theories and Empirical Approaches to Price Discovery: An Application to Fed Cattle," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 35, issue 3, pages 1-13, December, DOI: 10.22004/ag.econ.43201.
• Obben, James & Nugroho, Agus Eko, 2003, "Determinants Of The Funding Volatility Of Indonesian Banks: A Dynamic Model," Discussion Papers, Massey University, Department of Applied and International Economics, number 23700, DOI: 10.22004/ag.econ.23700.
• Boero, Gianna & Marrocu, Emanuela, , "The Performance Of Setar Models: A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," Economic Research Papers, University of Warwick - Department of Economics, number 269476, DOI: 10.22004/ag.econ.269476.
• Otero, Jesus & Smith, Jeremy, , "The KPSS test with outliers," Economic Research Papers, University of Warwick - Department of Economics, number 269574, DOI: 10.22004/ag.econ.269574.
• Caballero, Ricardo J. & Engel, Eduardo M.R.A., 2003, "Adjustment is Much Slower than You Think," Center Discussion Papers, Yale University, Economic Growth Center, number 28419, DOI: 10.22004/ag.econ.28419.
• Manuela CROCI, 2003, "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 197, Nov.
• Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003, "Breaking the panels. An application to the GDP per capita," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 97.
• Oberhofer, Walter & Haupt, Harry, 2003, "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 388.
• Francisco Barillas & Christoph Schleicher, 2003, "Common Trends and Common Cycles in Canadian Sectoral Output," Staff Working Papers, Bank of Canada, number 03-44, DOI: 10.34989/swp-2003-44.
• Fabio Busetti & A. M. Robert Taylor, 2003, "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 470, Mar.
• Paolo Zaffaroni, 2003, "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 472, Jun.
• Norberto Rodríguez N. & Patricia Siado C., 2003, "Un Pronóstico no Paramétrico de la Inflación Colombiana," Borradores de Economia, Banco de la Republica de Colombia, number 248, Jun, DOI: 10.32468/be.248.
• Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003, "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 1, pages 104-121, January.
• Hodgson, Douglas J & Vorkink, Keith P, 2003, "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 2, pages 269-283, April.
• Mustapha Baghli & Gilbert Cette & Sylvain Arnaud, 2003, "Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : Analyse empirique sur la période 1970-2000," Working papers, Banque de France, number 099.
• Eric Jondeau & Hervé Le Bihan, 2003, "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Working papers, Banque de France, number 103.
• Laura Mayoral, 2015, "A New Minimum Distance Estimation Procedure of ARFIMA Processes," Working Papers, Barcelona School of Economics, number 100, Sep.
• Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003, "Adaptive varying‐coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 65, issue 1, pages 57-80, February, DOI: 10.1111/1467-9868.00372.
• Markku Lanne & Pentti Saikkonen, 2003, "Reducing size distortions of parametric stationarity tests," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 4, pages 423-439, July, DOI: 10.1111/1467-9892.00314.
• Marcelo C. Medeiros & Alvaro Veiga, 2003, "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 4, pages 461-482, July, DOI: 10.1111/1467-9892.00316.
• Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2003, "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 1, pages 91-115, February, DOI: 10.1111/1468-0084.00036.
• Luis A. Gil‐Alana & S. G. Brian Henry, 2003, "Fractional Integration and the Dynamics of UK Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 2, pages 221-239, May, DOI: 10.1111/1468-0084.t01-1-00047.
• Luis A. Gil‐Alana, 2003, "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 4, pages 517-529, September, DOI: 10.1111/1468-0084.t01-1-00048.
• Jacqueline Pradel & Christophe Rault, 2003, "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 5, pages 629-653, December, DOI: 10.1111/j.1468-0084.2003.00065.x.
• Dick van Dijk & Philip Hans Franses, 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 727-744, December, DOI: 10.1046/j.0305-9049.2003.00091.x.
• Jan G. De Gooijer & Dawit Zerom, 2003, "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 57, issue 2, pages 159-176, May, DOI: 10.1111/1467-9574.00226.
• John Barkoulas & Christopher F. Baum, 2003, "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics, Boston College Department of Economics, number 558, May.
• Raffaella Giacomini & Ivana Komunjer, 2003, "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics, Boston College Department of Economics, number 571, Jun.
• Raffaella Giacomini & Halbert White, 2003, "Tests of conditional predictive ability," Boston College Working Papers in Economics, Boston College Department of Economics, number 572, Apr.
• Christopher F. Baum, 2003, "A review of Stata 8.1 and its time series capabilities," Boston College Working Papers in Economics, Boston College Department of Economics, number 581, Oct.
• Stephen G. Hall & Nicholas G. Zonzilos, 2003, "An Indicator Measuring Underlying Economic Activity in Greece," Working Papers, Bank of Greece, number 04, Aug.
• Alexandros E. Milionis, 2003, "Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach," Working Papers, Bank of Greece, number 07, Nov.
• Pranab Bardhan & Dilip Mookherjee, 2003, "Pro-Poor Targeting and Accountability of Local Governments in West Bengal," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-138, Dec.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• 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, April.
• 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 & Manera & 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.
• 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, Centre for Economic Policy Research, number 3809, Mar.
• Kilian, Lutz & Manganelli, Simone, 2003, "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers, Centre for Economic Policy Research, number 3918, Jun.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 3119, Jan.
• Reichlin, Lucrezia, 2002, "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers, Centre for Economic Policy Research, number 3285, Mar.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002, "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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.
• 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.