Research classified by Journal of Economic Literature (JEL) codes

---

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

• Gerhard Reitschuler & Ludger J. Löning, 2004, "Modeling the Defense-Growth Nexus in a Post-Conflict Country - A Piecewise Linear Approach," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 097, Feb.
• Dierk Herzer, 2004, "Exportdiversifizierung und Wirtschaftswachstum in Chile: eine ökonometrische Analyse," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 098, May.
• Dierk Herzer & Felicitas Nowak-Lehmann D., 2004, "Export Diversification, Externalities and Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 099, Sep.
• Dierk Herzer & Felicitas Nowak-Lehmann D. & Boriss Siliverstovs, 2004, "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 103, Dec.

2003

• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "How big is the speculative component in Australian share prices?," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 177-195.
• Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003, "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, volume 22, issue 7, pages 925-955, December.
• Ricardo Faria, Joao & Leon-Ledesma, Miguel, 2003, "Testing the Balassa-Samuelson effect: Implications for growth and the PPP," Journal of Macroeconomics, Elsevier, volume 25, issue 2, pages 241-253, June.
• Black, Angela & Fraser, Patricia & Groenewold, Nicolaas, 2003, "U.S. stock prices and macroeconomic fundamentals," International Review of Economics & Finance, Elsevier, volume 12, issue 3, pages 345-367.
• Sibbertsen, Philipp, 2003, "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Statistics & Probability Letters, Elsevier, volume 61, issue 3, pages 261-268, February.
• Kyongwook Choi & Eric Zivot, 2003, "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2003_02, Feb.
• Ricardo J. Caballero & Eduardo M.R.A. Engel, 2003, "Adjustment Is Much Slower Than You Think," Working Papers, Economic Growth Center, Yale University, number 865, Jul.
• Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003, "LARCH, leverage and long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2020, Oct.
• Shintani, Mototsugu & Linton, Oliver, 2003, "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2097, May.
• Linton, Oliver & Whang, Yoon-Jae, 2003, "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2112, Nov.
• Robinson, Peter M. & Hualde, Javier, 2003, "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2223, Feb.
• Hidalgo, Javier, 2003, "A bootstrap causality test for covariance stationary processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6848, Nov.
• Hidalgo, Javier, 2003, "An alternative bootstrap to moving blocks for time series regression models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6850, May.
• S. Chaouachi & G. Dufrenot & V.Mignon, 2003, "Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2003-03.
• van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-10, Mar.
• Siliverstovs, B. & van Dijk, D.J.C., 2003, "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-16, May.
• Hafner, C.M. & Franses, Ph.H.B.F., 2003, "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-18, Jul.
• Hafner, C.M., 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-20, Jul.
• Hafner, C.M. & Herwartz, H., 2003, "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-21, Aug.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: Ambiguity in Estimation," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-063-F&A, Sep.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: The Importance of Dividends," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-064-F&A, Sep.
• Luis A. Gil-Alanaa, 2003, "A Semiparametric Frequency Domain Approach Of Modelling The Real Output With Fractional Integration," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 121-130, July - De.
• Geert Dhaene & Olivier Vergote, 2003, "Asymptotic Results for GMM Estimators of Stochastic Volatility Models," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0306, Mar.
• Carsten TRENKLER & Nikolaus WOLF, 2003, "Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)," Economics Working Papers, European University Institute, number ECO2003/05.
• Jacqueline Pradel & Christophe Rault, 2003, "Exogeneity in vector error correction models with purely exogenous long-run paths," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 03-10.
• C. Guermat & K. Hadri & C. C. Kucukozmen, 2003, "Forecasting Value at Risk in Emerging Arab Stock Markets," Discussion Papers, University of Exeter, Department of Economics, number 0303, Dec.
• K. Renuka Ganegodage & Kiyoshi Taniguchi & Xiaojun Wang, 2003, "Learning by Eating: A case study on the cost of hunger in Sri Lanka," Working Papers, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA), number 03-05.
• Giorgio Busetti & Matteo Manera, 2003, "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers, Fondazione Eni Enrico Mattei, number 2003.43, Apr.
• Alessandro Lanza & Matteo Manera & Massimo Giovannini, 2003, "Oil and Product Price Dynamics in International Petroleum Markets," Working Papers, Fondazione Eni Enrico Mattei, number 2003.81, Sep.
• Fernandes, Marcelo & Grammig, Joachim, 2003, "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 501, Oct.
• Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Andrew T. Levin & Jeremy M. Piger, 2003, "Is inflation persistence intrinsic in industrial economies?," Working Papers, Federal Reserve Bank of St. Louis, number 2002-023, DOI: 10.20955/wp.2002.023.
• Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2003_07, Jul.
• V. Nosko & A. Buzaev & Pavel Kadochnikov & S. Ponomarehko, 2003, "Analysis of the predictive capabilities of structural models and models incorporating survey data from businesses," Research Paper Series, Gaidar Institute for Economic Policy, issue 64P, pages 200-200.
• Lars Sondergaard, 2003, "Using Instrumental Varibles to Estimate the Share of Backward- Looking Firms," Working Papers, Georgetown University, Department of Economics, number gueconwpa~03-03-24, Jun.
• 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.
• Pradeep Dubey & John Geanakoplos & Martin Shubik, 2003, "Is gold an efficient store of value?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 4, pages 767-782, June, DOI: 10.1007/s00199-002-0266-y.
• Hilde C. Bjørnland & Håvard Hungnes, 2003, "The importance of interest rates for forecasting the exchange rate," Discussion Papers, Statistics Norway, Research Department, number 340, Feb.
• Erling Røed Larsen, 2003, "Are Rich Countries Immune to the Resource Curse? Evidence from Norway's Management of Its Oil Riches," Discussion Papers, Statistics Norway, Research Department, number 362, Oct.
• Kurt Brannas & Niklas Nordman, 2003, "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 11, pages 725-728, DOI: 10.1080/1350485032000139015.
• Daniel Levy & Hashem Dezhbakhsh, 2003, "On the typical spectral shape of an economic variable," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 7, pages 417-423, DOI: 10.1080/1350485032000102187.
• Annabelle Mourougane & Moreno Roma, 2003, "Can confidence indicators be useful to predict short term real GDP growth?," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 8, pages 519-522, DOI: 10.1080/1350485032000100305.
• Winfried Hallerbach, 2003, "Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 4, pages 287-294, DOI: 10.1080/09603100210135720.
• Kurt Brannas & Niklas Nordman, 2003, "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 7, pages 537-541, DOI: 10.1080/0960310022000020889.
• James Payne, 2003, "Post stabilization estimates of money demand in Croatia: error correction model using the bounds testing approach," Applied Economics, Taylor & Francis Journals, volume 35, issue 16, pages 1723-1727, DOI: 10.1080/0003684032000152871.
• Hui Feng & Jia Liu, 2003, "A SETAR model for Canadian GDP: non-linearities and forecast comparisons," Applied Economics, Taylor & Francis Journals, volume 35, issue 18, pages 1957-1964, DOI: 10.1080/0003684032000160674.
• Tao Wu, 2003, "Stylized facts on nominal term structure and business cycles: an empirical VAR study," Applied Economics, Taylor & Francis Journals, volume 35, issue 8, pages 901-906, DOI: 10.1080/0003684022000018204.
• William Barnett & Meenakshi Pasupathy, 2003, "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 2, pages 135-154, DOI: 10.1081/ETC-120020460.
• Vasco Gabriel, 2003, "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 4, pages 411-435, DOI: 10.1081/ETC-120025897.
• Sanjeev Sridharan & Suncica Vujic & Siem Jan Koopman, 2003, "Intervention Time Series Analysis of Crime Rates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-040/4, Jun.
• M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003, "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-071/4, Sep.
• André Lucas & Pieter Klaassen, 2003, "Discrete versus Continuous State Switching Models for Portfolio Credit Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-075/2, Sep, revised 30 Sep 2003.
• Charles S. Bos, 2003, "Time Series Modelling using TSMod 3.24," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-091/4, Dec.
• de Goeij, P. C. & Marquering, W., 2003, "Do Macroeconomic Announcements Cause Asymmetric Volatility," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-131.
• Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003, "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-95.
• Meddahi, N. & Renault, E. & Werker, B.J.M., 2003, "GARCH and Irregularly Spaced Data," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-27.
• van Lomwel, A.G.C. & van Ours, J.C., 2003, "On the Employment Effects of Part-Time Labor," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-4.
• van Landschoot, A., 2003, "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-046.
• Andrew C. Harvey & Thomas M. Trimbur, 2003, "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, volume 85, issue 2, pages 244-255, May.
• Anne Morrison Piehl & Suzanne J. Cooper & Anthony A. Braga & David M. Kennedy, 2003, "Testing for Structural Breaks in the Evaluation of Programs," The Review of Economics and Statistics, MIT Press, volume 85, issue 3, pages 550-558, August.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003, "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LLC, volume 3, issue 1, pages 1-31, March.
• Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003, "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 5, Nov.
• Alex Luiz Ferreira & Miguel León-Ledesma, 2003, "Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets," Studies in Economics, School of Economics, University of Kent, number 0301, Aug.
• Lucrezia Reichlin, 2003, "Factor models in large cross sections of time series," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10179.
• Lucrezia Reichlin, 2003, "Factor models in large cross sections of time series," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/249802, Jan.
• Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003, "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 08/03, May.
• Luis A. Gil-Alana, 2003, "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 09/03, May.
• Luis A. Gil-Alana & S.G. Brian Henry, 2003, "Fractional Integration and the Dynamics of UK Unemployment," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 10/03, May.
• Javier De Peña & Luis A. Gil-Alana, 2003, "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 15/03, Dec.
• Beine, M. & Laurent, S. & Palm, F.C., 2003, "Central bank FOREX interventions assessed using realized moments," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 043, Jan, DOI: 10.26481/umamet.2003043.
• Roger Kelly & George Mavrotas, 2003, "Savings and Financial Sector Development: Panel Cointegration Evidence from Africa," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number DP2003-12.
• Mototsugu Shintani & Oliver Linton, 2003, "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0309, May.
• Nunzio Cappuccio & Diego Lubian, 2003, "Asymptotic null distributions of stationarity and nonstationarity," Working Papers, University of Verona, Department of Economics, number 08/2003, Sep.
• David E.A. Giles & Hui Feng, 2003, "Testing For Convergence in Output and in 'Well-Being' in Industrialized Countries," Econometrics Working Papers, Department of Economics, University of Victoria, number 0302, Apr.
• Jyh-Yaw Joseph Chen & David E.A. Giles, 2003, "Gender Convergence in Crime: Evidence From Canadian Adult Offence Charge Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 0303, Apr.
• Chad Stroomer & David E.A. Giles, 2003, "Income Convergence and trade Openness: Fuzzy Clustering and Time Series Evidence," Econometrics Working Papers, Department of Economics, University of Victoria, number 0304, May.
• David E. A. Giles & Chad Stroomer, 2003, "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence," Econometrics Working Papers, Department of Economics, University of Victoria, number 0307, Jun.
• Jesús Crespo Guaresma & Gerhard Reitschuler, 2003, ""Guns or Butter?" Revisited: Robustness and Nonlinearity Issues in the Defense-Grotwth Nexus," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0310, Aug.
• Jesús Crespo-Cuaresma & Adelina Gschwandtner, 2003, "The competitive environment hypothesis revisited: Nonlinearity, nonstationarity and profit persistence," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0316, Oct.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics, University of Waikato, number 03/01, Sep.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics, University of Waikato, number 03/02, Sep.
• Alatas, Vivi & Pritchett, Lant & Wetterberg, Anna, 2003, "Voice lessons : local government organizations, social organizations, and the quality of local governance," Policy Research Working Paper Series, The World Bank, number 2981, Mar.
• Juraj Valachy & Ev??en Ko?enda, 2003, "Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-622, Oct.
• Helmut Herwartz & Bernd Theilen, 2003, "The determinants of health care expenditure: testing pooling restrictions in small samples," Health Economics, John Wiley & Sons, Ltd., volume 12, issue 2, pages 113-124, February, DOI: 10.1002/hec.700.
• Edward J. Balistreri & Christine A. McDaniel & Eina Vivian Wong, 2003, "An Estimation of U.S. Industry-Level Capital-Labor Substitution," Computational Economics, University Library of Munich, Germany, number 0303001, Mar.
• Eric Hillebrand, 2003, "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics, University Library of Munich, Germany, number 0301003, Jan.
• Eric JONDEAU & Hervé LE BIHAN, 2003, "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics, University Library of Munich, Germany, number 0303004, Mar.
• Eric JONDEAU & Herve LE BIHAN, 2003, "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics, University Library of Munich, Germany, number 0303006, Mar.
• Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003, "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics, University Library of Munich, Germany, number 0303007, Mar.
• Ryan Lemand, 2003, "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics, University Library of Munich, Germany, number 0307002, Jul, revised 07 Dec 2020.
• Ryan Lemand, 2003, "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics, University Library of Munich, Germany, number 0307003, Jul, revised 07 Dec 2020.
• Ryan Lemand, 2003, "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics, University Library of Munich, Germany, number 0307004, Jul, revised 07 Dec 2020.
• Venus Khim-sen Liew & Terence Tai- leung Chong, 2003, "Effects of STAR and TAR types nonlinearities on order selection criteria," Econometrics, University Library of Munich, Germany, number 0307005, Jul.
• Raffaella Giacomini & Halbert White, 2003, "Tests of Conditional Predictive Ability," Econometrics, University Library of Munich, Germany, number 0308001, Aug.
• Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003, "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics, University Library of Munich, Germany, number 0309001, Sep.
• Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003, "Testing and Estimating Persistence in Canadian Unemployment," Econometrics, University Library of Munich, Germany, number 0311004, Nov.
• Robert-Paul Berben & W. Jos Jansen, 2003, "Comovement in international equity markets: A sectoral view," Finance, University Library of Munich, Germany, number 0310001, Oct.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Finance, University Library of Munich, Germany, number 0311002, Nov.
• Slim CHAOUACHI & Gilles DUFRENOT & Val=E9rie MIGNON, 2003, "Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective," International Finance, University Library of Munich, Germany, number 0309002, Sep.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," International Finance, University Library of Munich, Germany, number 0310002, Oct.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," International Finance, University Library of Munich, Germany, number 0311001, Nov.
• Natalia Fabra & Juan Toro, 2003, "The Fall in British Electricity Prices: Market Rules, Market Structure, or Both?," Industrial Organization, University Library of Munich, Germany, number 0309001, Sep.
• Chee-Keong Choong & Wai-Ching Poon & Muzafar Shah Habibullah & Zulkornain Yusop, 2003, "The Validity of PPP Theory in ASEAN-Five: Another Look on Cointegration and Panel Data Analysis," International Trade, University Library of Munich, Germany, number 0309018, Sep.
• Luciano Gutierrez, 2003, "PPP May not Hold for Agricultural Commodities," International Trade, University Library of Munich, Germany, number 0309022, Sep.
• Horst Entorf, 2003, "Do Aggregate Measures Of Mismatch Measure Mismatch?A Time Series Analysis Of Existing Concepts," Labor and Demography, University Library of Munich, Germany, number 0312006, Dec.
• Lars Sondergaard, 2003, "Using Instrumental Variables to Estimate the Share of Backward- Looking Firms," Macroeconomics, University Library of Munich, Germany, number 0308009, Aug.
• Niek J. Nahuis & W. Jos Jansen, 2003, "Which Survey Indicators Are Useful for Monitoring Consumption? Evidence fron European Countries," Macroeconomics, University Library of Munich, Germany, number 0309013, Sep.
• William A. Barnett, 2003, "Aggregation-Theoretic Monetary Aggregation over the Euro Area, when Countries are Heterogeneous," Macroeconomics, University Library of Munich, Germany, number 0309018, Sep.
• Claude Lopez & Christian J. Murray & David H. Papell, 2003, "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics, University Library of Munich, Germany, number 0310009, Oct.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Macroeconomics, University Library of Munich, Germany, number 0310010, Oct.
• Syed A. Basher & Mohammed Mohsin, 2003, ""PPP tests in cointegrated panels: Evidence from Asian developing countries"," Macroeconomics, University Library of Munich, Germany, number 0310012, Oct.
• Syed A. Basher & Mohammed Mohsin, 2003, ""PPP tests in cointegrated panels: Evidence from Asian developing countries"," Macroeconomics, University Library of Munich, Germany, number 0310013, Oct.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Macroeconomics, University Library of Munich, Germany, number 0311001, Nov.
• Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003, "On the Evidence of Non-Linear Structure in Canadian Unemployment," Macroeconomics, University Library of Munich, Germany, number 0311003, Nov.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Others, University Library of Munich, Germany, number 0311001, Nov.
• Mihnea-Stefan Mihai, 2003, "Stochastics for the worst case: distributions and risk measures for minimal returns," Risk and Insurance, University Library of Munich, Germany, number 0305001, May.
• Boero, Gianna & Marrocu, Emanuela, 2003, "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 663.
• Otero, Jesus & Smith, Jeremy, 2003, "The KPSS Test with Outliers," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 690.
• Ewa Broszkiewicz-Suwaj, 2003, "Methods for determining the presence of periodic correlation based on the bootstrap methodology," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/02.
• Aleksander Weron & Agnieszka Wylomanska, 2003, "On ARMA(1,q) models with bounded and periodically correlated solutions," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/03.
• Alfred A. Haug & Syed A. Basher, 2003, "Unit Roots, Nonlinear Cointegration and Purchasing Power Parity," Working Papers, York University, Department of Economics, number 2003_1, Jan, revised Jun 2005.
• Wesche, Katrin, 2003, "Monetary Policy in Europe: Evidence from Time-Varying Taylor Rules," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 21/2003.
• Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin, 2003, "The Forecasting Performance of German Stock Option Densities," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,17.
• Deo, Rohit S. & Chen, Willa W., 2003, "The Variance Ratio Statistic at Large Horizons," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,04.
• Mittnik, Stefan & Paolella, Marc S., 2003, "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/04.
• Christoffersen, Peter F. & Diebold, Francis X., 2003, "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/08.
• Pohlmeier, Winfried & Liesenfeld, Roman, 2003, "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 03/03.
• 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.