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

2002

• Mustafa Caglayan & Neslihan Ozkan & Christopher F Baum, 2002, "The Impact of Macroeconomic Uncertainty on Bank Lending Behavior," Working Papers, University of Liverpool, Department of Economics, number 2002_02.
• David Hojman & Robert F. K. Wynn, 2002, "Superb Forecasting or Self-Fulfilling Prophecy? The Economist on Thailand before the Asian Crisis," Working Papers, University of Liverpool, Department of Economics, number 2002_03.
• Costas Siriopoulos & Alexandros Leontitsis, 2002, "Nonlinear Noise Estimation in International Capital Markets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 1, pages 43-63, March.
• Rob J Hyndman & Maxwell L. King & Ivet Pitrun & Baki Billah, 2002, "Local Linear Forecasts Using Cubic Smoothing Splines," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/02, Aug.
• Ralph D. Snyder & Catherine S. Forbes, 2002, "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/02, Oct.
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/02, Nov.
• Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2002, "Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/02, Dec.
• Heather M. Anderson, 2002, "Choosing Lag Lengths in Nonlinear Dynamic Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/02, Dec.
• Roland G. Shami & Catherine S. Forbes, 2002, "Non-linear Modelling of the Australian Business Cycle using a Leading Indicator," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/02, Aug.
• BONTEMPS, Christian & MEDDAHI, Nour, 2002, "Testing Normality : A GMM Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2002-14.
• Christian BONTEMPS & Nour MEDDAHI, 2002, "Testing Normality : A Gmm Approach," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 14-2002.
• Stilianos Fountas & Menelaos Karanasos, 2002, "Are Economic Growth and the Variability of the Business Cycle Related? Evidence from Five European Countries," Working Papers, National University of Ireland Galway, Department of Economics, number 0063, revised 2002.
• Stilianos Fountas & Menelaos Karanasos, 2002, "Inflation, Output Growth, and Nominal and Real Uncertainty: Empirical Evidence for the G7," Working Papers, National University of Ireland Galway, Department of Economics, number 0064, revised 2002.
• Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002, "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers, NIPE - Universidade do Minho, number 7/2002.
• F. Hild, 2002, "French inflation forecasts," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2002-12.
• Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002, "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 2102, Jun.
• Robert A Buckle & David Haugh & Peter Thomson, 2002, "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series, New Zealand Treasury, number 02/08, Jun.
• Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002, "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series, New Zealand Treasury, number 02/26, Dec.
• RenÈ Garcia, 2002, "Are the Effects of Monetary Policy Asymmetric?," Economic Inquiry, Western Economic Association International, volume 40, issue 1, pages 102-119, January.
• Juan ToroNatalia Fabra & Universidad Carlos III de Madrid, 2002, "Price Wars and Collusion in the Spanish Electricity Market," Economics Series Working Papers, University of Oxford, Department of Economics, number 136, Dec.
• Maria Soledad Martinez Peria, 2002, "The Impact of Banking Crises on Money Demand and Price Stability," IMF Staff Papers, Palgrave Macmillan, volume 49, issue 3, pages 1-1.
• Janine Aron & John Muellbauer, 2002, "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," IMF Staff Papers, Palgrave Macmillan, volume 49, issue Special i, pages 185-213.
• Pradeep Dubey & John Geanakoplos & Martin Shubik, 2002, "Is Gold an Efficient Store of Value?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1031R, Feb.
• Ted Juhl & Zhijie Xiao, 2002, "Partially Linear Models with Unit Roots," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1359, Apr.
• Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002, "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1363, May.
• Ling Hu & Peter C.B. Phillips, 2002, "Nonstationary Discrete Choice," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1364, May.
• Ling Hu & Peter C.B. Phillips, 2002, "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1365, May.
• Yixiao Sun & Peter C.B. Phillips, 2002, "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1366, May.
• Katsumi Shimotsu & Peter C.B. Phillips, 2002, "Exact Local Whittle Estimation of Fractional Integration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1367, Aug, revised Jul 2004.
• Offer Lieberman & Peter C.B. Phillips, 2002, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1374, May.
• Donald W.K. Andrews & Yixiao Sun, 2002, "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1384, Oct.
• Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002, "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 18289.
• Hassler, Uwe & Rodrigues, Paulo M. M., 2002, "Seasonal unit root tests under structural breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 18290.
• Domschke, Wolfgang & Drexl, Andreas & Schildt, B. & Scholl, Armin & Voß, Stefan, 2002, "Übungsbuch Operations Research," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 18930.
• Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002, "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 37317, Jun.
• Hassler, Uwe & Rodrigues, Paulo M. M., 2002, "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 37696, Jan.
• Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009, "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77562.
• Hassler, Uwe & Rodrigues, Paulo M. M., 2009, "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77565.
• Sabine Stephan, 2002, "German Exports to the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 286.
• Ulrich Fritsche & Vladimir Kuzin, 2002, "Do Leading Indicators Help to Predict Business Cycle Turning Points in Germany?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 314.
• Gil-Alana, Luis A, 2002, "Testing the order of integration of the UK Unemployment," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 2, issue 1.
• Cook, Steven, 2002, "Assymetric Mean Reversion in the Consumption-Income Ratio: Evidence from OECD economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 2, issue 2.
• Mourougane, Annabelle & Roma, Moreno, 2002, "Can confidence indicators be useful to predict short term real GDP growth?," Working Paper Series, European Central Bank, number 133, Mar.
• Cabrero, Alberto & Camba-Méndez, Gonzalo & Hirsch, Astrid & Nieto, Fernando, 2002, "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Paper Series, European Central Bank, number 142, May.
• Pérez Quirós, Gabriel & Sicilia, Jorge, 2002, "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series, European Central Bank, number 192, Nov.
• Inoue, Atsushi & Kilian, Lutz, 2002, "In-sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series, European Central Bank, number 195, Nov.
• Gonçalves, Sí­lvia & Kilian, Lutz, 2002, "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series, European Central Bank, number 196, Nov.
• Banerjee, Anindya & Massimiliano Marcellino & Chiara Osbat, 2002, "Testing for PPP: Should We Use Panel Methods?," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 13, Aug.
• Benedikt M. Poetscher, 2002, "Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters," Econometrica, Econometric Society, volume 70, issue 3, pages 1035-1065, May.
• Yongcheol Shin & Andy Snell, 2002, "Mean Group Tests for Stationarity in Heterogeneous Panels," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 107, Aug.
• Lanne, Markku & Lutkepohl, Helmut, 2002, "Unit root tests for time series with level shifts: a comparison of different proposals," Economics Letters, Elsevier, volume 75, issue 1, pages 109-114, March.
• Fountas, Stilianos & Karanasos, Menelaos & Kim, Jinki, 2002, "Inflation and output growth uncertainty and their relationship with inflation and output growth," Economics Letters, Elsevier, volume 75, issue 3, pages 293-301, May.
• Xiao, Zhijie & Phillips, Peter C. B., 2002, "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, volume 108, issue 1, pages 43-61, May.
• Corradi, Valentina & Swanson, Norman R., 2002, "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 353-381, October.
• Lundbergh, Stefan & Terasvirta, Timo, 2002, "Evaluating GARCH models," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 417-435, October.
• Phillips, Peter C. B., 2002, "New unit root asymptotics in the presence of deterministic trends," Journal of Econometrics, Elsevier, volume 111, issue 2, pages 323-353, December.
• Tan, Baris & Yilmaz, Kamil, 2002, "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, volume 137, issue 3, pages 524-543, March.
• Bauwens, Luc & Lubrano, Michel, 2002, "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, volume 9, issue 3, pages 321-342, August.
• Cifarelli, giulio, 2002, "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper, University Library of Munich, Germany, number 28538, May.
• Halkos, George & Kevork, Ilias, 2002, "Confidence intervals in stationary autocorrelated time series," MPRA Paper, University Library of Munich, Germany, number 31840.
• Lord, Montague, 2002, "Modeling the Macro-Economy of Bangladesh," MPRA Paper, University Library of Munich, Germany, number 41171, Jan.
• Jiranyakul, Komain & Brahmasrene, Tantatape, 2002, "An Analysis of the Determinants of Thailand’s Exports and Imports wtih Major Trading Partners," MPRA Paper, University Library of Munich, Germany, number 45080.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2002, "Comparison of Unit Root Tests for Time Series with Level Shifts," MPRA Paper, University Library of Munich, Germany, number 76035.
• Josef Arlt & Milan Guba & Štěpán Radkovský & Vladimír Stiller & Milan Sojka, 2002, "Selected factors influencing the money demand development in the czech republic in 1994 - 2000," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 39-56, DOI: 10.18267/j.pep.187.
• Helena Horská, 2002, "Inflation targeting in poland (a comparison with the czech republic)," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 3, pages 237-254, DOI: 10.18267/j.pep.196.
• E. Philip Davis, 2002, "Le secteur européen de la gestion des pensions," Revue d'Économie Financière, Programme National Persée, volume 68, issue 4, pages 229-255, DOI: 10.3406/ecofi.2002.4780.
• Susana Botas, 2002, "Should we Distinguish Between Static and Dynamic Long Run Equilibrium in Error Correction Models?," Working Papers, Banco de Portugal, Economics and Research Department, number w200202.
• Hugo Kruiniger & Elias Tzavalis, 2002, "Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms," Working Papers, Queen Mary University of London, School of Economics and Finance, number 459, Jun.
• Stephen Pollock, 2002, "Recursive Estimation in Econometrics," Working Papers, Queen Mary University of London, School of Economics and Finance, number 462, Jun.
• Kyriakos Chourdakis, 2002, "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers, Queen Mary University of London, School of Economics and Finance, number 464, Nov.
• George Kapetanios, 2002, "A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 467, Nov.
• George Kapetanios, 2002, "Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations," Working Papers, Queen Mary University of London, School of Economics and Finance, number 470, Nov.
• George Kapetanios & Yongcheol Shin, 2002, "GLS Detrending for Nonlinear Unit Root Tests," Working Papers, Queen Mary University of London, School of Economics and Finance, number 472, Nov.
• George Kapetanios, 2002, "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 474, Nov.
• George Kapetanios, 2002, "A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 475, Nov.
• Turan G. Bali & Salih N. Neftci, 2002, "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-03, Jan.
• Chris Brooks & Simon P. Burke & Gita Persand, 2002, "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-05, Feb.
• Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002, "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 461, Aug.
• Serge Rey & Pascal Varachaud, 2002, "European Real Exchange Rates after Bretton Woods: A Re-examination," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 185-221.
• Subrata Ghatak & Alan Mulhern, 2002, "Polish small firms: structure, expectations and optimism," Economics Discussion Papers, School of Economics, Kingston University London, number 2002-3, Jan.
• Alan Mulhern & Subrata Ghatak, 2002, "Identifying potential fast growth firms in the Polish small firm stratum," Economics Discussion Papers, School of Economics, Kingston University London, number 2002-8, Jan.
• Riaz Riazuddin & Mahmood ul Hasan Khan, 2002, "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 02, Jan.
• T Panagiotidis & G Pelloni, 2002, "Is non-linear serial dependence present in the US unemployment rate and the growth rates of employment sectoral shares?," Computing in Economics and Finance 2002, Society for Computational Economics, number 10, Jul.
• Marina Resta, 2002, "Portfolio Optimization: which alternatives to standard gaussian model?," Computing in Economics and Finance 2002, Society for Computational Economics, number 122, Jul.
• Christopher F Baum & John Barkoulas, 2002, "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002, Society for Computational Economics, number 13, Jul.
• Jerry Coakley & Ana-Maria Fuertes, 2002, "Exchange Rate Overshooting and the Forward Premium Puzzle," Computing in Economics and Finance 2002, Society for Computational Economics, number 145, Jul.
• Clinton WATKINS & Michael McALEER, 2002, "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 18, Jul.
• Filipe R. Campante & Luciano Vereda & Marcelo C. Medeiros, 2002, "Modeling and forecasting Brazilian industrial production: unit roots, seasonality and non-linearity," Computing in Economics and Finance 2002, Society for Computational Economics, number 189, Jul.
• Gadea Maria-Dolores & Antonio Montanes & Marcelo Reyes, 2002, "Level shifts, unit roots and the purchasing power parity," Computing in Economics and Finance 2002, Society for Computational Economics, number 208, Jul.
• Charemza W.W. & M. Lifshits & S. Makarova, 2002, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002, Society for Computational Economics, number 251, Jul.
• Enrico Capobianco, 2002, "Risk and Multi-resolution Regimes in Volatility Processes," Computing in Economics and Finance 2002, Society for Computational Economics, number 26, Jul.
• Aaron D. Smallwood & Paul M. Beaumont, 2002, "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 285, Jul.
• Jerry Coakley & Ana-Maria Fuertes, 2002, "An MTAR Test for Stock Market Bubbles," Computing in Economics and Finance 2002, Society for Computational Economics, number 298, Jul.
• Andrew Hughes Hallett & Christian R Richter, 2002, "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," Computing in Economics and Finance 2002, Society for Computational Economics, number 3, Jul.
• Marcelo C. Medeiros & Alvaro Veiga, 2002, "Are There Multiple Regimes in Financial Volatility?," Computing in Economics and Finance 2002, Society for Computational Economics, number 311, Jul.
• Svetlana Borovkova, 2002, "Nonlinear models for financial time series with multiple attraction regions," Computing in Economics and Finance 2002, Society for Computational Economics, number 322, Jul.
• Fabrizio Lillo & Rosario N. Mantegna, 2002, "Empirical investigation and modeling of a financial market after a crash," Computing in Economics and Finance 2002, Society for Computational Economics, number 339, Jul.
• Andrew T. Levin & Jeremy M. Piger, 2002, "Is Inflation Persistence Inherent in Industrial Economies?," Computing in Economics and Finance 2002, Society for Computational Economics, number 344, Jul.
• Angelini, Henry, Marcellino, 2002, "interpolation with a large information set," Computing in Economics and Finance 2002, Society for Computational Economics, number 72, Jul.
• Camarero, Mariam, & Flôres, R. & C. Tamarit, 2002, "Time series evidence of international output convergence in Mercosur," Computing in Economics and Finance 2002, Society for Computational Economics, number 87, Jul.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2002, "The Impact of Macroeconomic Uncertainty on Bank Lending Behavior," Computing in Economics and Finance 2002, Society for Computational Economics, number 94, Jul.
• Quan-Hoang Vuong, 2002, "Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 02-001.RS.
• Sylvia Kaufmann, 2002, "Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data," Empirical Economics, Springer, volume 27, issue 2, pages 277-297.
• Patrick J. Coe, 2002, "Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. output," Empirical Economics, Springer, volume 27, issue 2, pages 395-401.
• Mariá Dolores Gadea & José Mariá Serrano-Sanz, 2002, "The hidden economy in Spain - A monetary estimation, 1964-1998," Empirical Economics, Springer, volume 27, issue 3, pages 499-527.
• Ana B. C. Galvão & Michael P. Clements, 2002, "Conditional mean functions of non-linear models of US output," Empirical Economics, Springer, volume 27, issue 4, pages 569-586.
• George Hondroyiannis & Evangelia Papapetrou, 2002, "Demographic transition and economic growth: Empirical evidence from Greece," Journal of Population Economics, Springer;European Society for Population Economics, volume 15, issue 2, pages 221-242.
• Luis Fernando Lanaspa-Santolaria & Antonio Montañés & Luisa Irene Olloqui-Cuartero & Fernando Sanz-Gracia, 2002, "Changing the economic landscape: The phenomenon of regional inversion in the US manufacturing sector," Papers in Regional Science, Springer;Regional Science Association International, volume 81, issue 4, pages 461-482.
• Marco J. Lombardi & Giampiero M. Gallo, 2002, "Analytic Hessian matrices and the computation of FIGARCH estimates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 11, issue 2, pages 247-264, June, DOI: 10.1007/BF02511490.
• Jo Thori Lind, 2002, "Small continuous surveys and the Kalman filter," Discussion Papers, Statistics Norway, Research Department, number 333, Nov.
• Ben Smit & Le Roux Burrows, 2002, "Estimating potential output and output gaps for the South African economy," Working Papers, Stellenbosch University, Department of Economics, number 05/2002.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2002, "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 6, pages 347-351, DOI: 10.1080/13504850110086044.
• L. E. Arango & A. Gonzalez & C. E. Posada, 2002, "Returns and the interest rate: a non-linear relationship in the Bogotastock market," Applied Financial Economics, Taylor & Francis Journals, volume 12, issue 11, pages 835-842, DOI: 10.1080/09603100110094493.
• Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002, "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 1-47, DOI: 10.1081/ETC-120008723.
• Mukhtar Ali, 2002, "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 89-119, DOI: 10.1081/ETC-120008725.
• John Galbraith & Aman Ullah & Victoria Zinde-Walsh, 2002, "Estimation Of The Vector Moving Average Model By Vector Autoregression," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 205-219, DOI: 10.1081/ETC-120014349.
• Denise Osborn & Paulo Rodrigues, 2002, "Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 221-241, DOI: 10.1081/ETC-120014350.
• Eiji Kurozumi, 2002, "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 243-270, DOI: 10.1081/ETC-120014351.
• Holger Claessen & Stefan Mittnik, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, volume 8, issue 3, pages 302-321, DOI: 10.1080/13518470110074828.
• Oguz Atuk & Beyza Pinar Ural, 2002, "Seasonal Adjustment Methods : An Application to the Turkish Monetary Aggregates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 2, issue 1, pages 21-37.
• Erdal Karagol, 2002, "The Causality Analysis of External Debt Service and GNP : The Case of Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 2, issue 1, pages 39-64.
• H. Peter Boswijk & Philip Hans Franses, 2002, "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-002/4, Jan.
• Jan G. de Gooijer & Dawit Zerom, 2002, "On Conditional Density Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-032/4, Apr.
• Eugenie Hol & Siem Jan Koopman, 2002, "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-068/4, Jun.
• Markku Lanne, 2002, "Testing The Predictability Of Stock Returns," The Review of Economics and Statistics, MIT Press, volume 84, issue 3, pages 407-415, August.
• John M. Maheu & Thomas H. McCurdy, 2002, "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, volume 84, issue 4, pages 668-681, November.
• Robert Aebi & Klaus Neusser & Peter Steiner, 2002, "A Large Deviation Approach to the Measurement of Mobility," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0220, Dec.
• James D. Hamilton & Oscar Jorda, 2002, "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, volume 110, issue 5, pages 1135-1167, October, DOI: 10.1086/341872.
• Francis W. Ahking, 2002, "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers, University of Connecticut, Department of Economics, number 2002-17.
• Francis W. Ahking, 2002, "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers, University of Connecticut, Department of Economics, number 2002-18.
• Rómulo A.Chumacero & Francisco A.Gallego, 2002, "Trends and cycles in real-time," Estudios de Economia, University of Chile, Department of Economics, volume 29, issue 2 Year 20, pages 211-229, December.
• Amelia Santos-Paulino, 2002, "Trade Liberalisation and the Balance of Payments in Selected Developing Countries," Studies in Economics, School of Economics, University of Kent, number 0202, Apr.
• Miguel Leon-Ledesma, 2002, "Exports, Product Differentiation and Knowledge Spillovers," Studies in Economics, School of Economics, University of Kent, number 0206, Jul.
• Javier De Peña & Luis A. Gil-Alana, 2002, "Do Spanish Stock Market Prices Follow a Random Walk?," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/02, Apr.
• Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2002, "Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/02, May.
• Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002, "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/02, Jun.
• Peter M. Robinson & Javier Hualde, 2002, "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/02, Nov.
• Javier Hualde & Peter M. Robinson, 2002, "Root-n-Consistent Estimation of Weak Fractional Cointegration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 08/02, Nov.
• Luis Alberiko Gil-Alana, 2002, "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 09/02, Dec.
• Joseph P. Romano & Michael Wolf, 2002, "Improved nonparametric confidence intervals in time series regressions," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 635, Jul.
• Ulrich K. Müller, 2002, "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-26, Nov.
• Henrik Amilon, 2002, "A Score Test for Discreteness in GARCH Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 76, Mar.
• Carl Chiarella & Shenhuai Gao, 2002, "Type I Spurious Regression in Econometrics," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 114, Apr.
• Carl Chiarella & Shenhuai Gao, 2002, "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 115, Apr.
• Carl Chiarella & Shenhuai Gao, 2002, "Solving the Price-Earnings Puzzle," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 116, Apr.
• Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002, "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 121, Oct.
• Luis A. Rivas, 2002, "Core Inflation and Inflation Targeting in a Developing Economy," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0207, May, revised Sep 2003.
• Mototsugu Shintani, 2002, "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0219, Aug, revised Jul 2004.
• Xiaohong Chen & Yanqin Fan, 2002, "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0225, Oct, revised Sep 2003.
• Xiaohong Chen & Yanqin Fan, 2002, "Estimation of Copula-Based Semiparametric Time Series Models," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0226, Oct, revised Oct 2004.
• David E. A. Giles, 2002, "On the Futility of Testing the Error Term Assumptions in a Spurious Regression," Econometrics Working Papers, Department of Economics, University of Victoria, number 0203, May.
• Kwami Adanu, 2002, "A Cross-Province Comparison of Okun's Coefficient for Canada," Econometrics Working Papers, Department of Economics, University of Victoria, number 0204, Sep.
• Kwami Adanu & Lili Sun, 2002, "On the Relationship Between the Tax Burden and Income Convergence: Some Further Results," Econometrics Working Papers, Department of Economics, University of Victoria, number 0205, Oct.
• Hui Feng & Jia Liu, 2002, "A SETAR Model for Canadian GDP: Non-Linearities and Forecast Comparisons," Econometrics Working Papers, Department of Economics, University of Victoria, number 0206, Oct.
• Nikolay Nenovsky & Kalina Dimitrova, 2002, "Dual Inflation Under the Currency Board: The Challenges of Bulgarian EU Accession," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 487, Jul.
• Dmitri Koulikov, 2002, "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 493, Aug.
• Franco Bevilacqua & Adriaan van Zon, 2002, "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers, Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness, number geewp22, May.
• V. Jyothi Gali & C.G. Brown, 2002, "Price relationships in the Queensland barley market," Agribusiness, John Wiley & Sons, Ltd., volume 18, issue 2, pages 181-196, DOI: 10.1002/agr.10010.
• Helmut Herwartz & Hans‐Eggert Reimers, 2002, "Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH‐models and their implications," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 18, issue 1, pages 3-22, January, DOI: 10.1002/asmb.451.
• Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 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, December, DOI: 10.1002/jae.646.
• Eric Ghysels & Norman R. Swanson & Myles Callan, 2002, "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, John Wiley & Sons, volume 69, issue 2, pages 239-265, October, DOI: 10.1002/j.2325-8012.2002.tb00491.x.
• Tommaso Proietti, 2002, "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics, University Library of Munich, Germany, number 0209002, Sep.
• Ludger J. Loening, 2002, "The Impact of Education on Economic Growth in Guatemala: A Time- Series Analysis Applying an Error-Correction Methodology," Econometrics, University Library of Munich, Germany, number 0211002, Nov.
• Luciano Gutierrez, 2002, "On the power of panel cointegration tests: A Monte Carlo comparison. Economics Letters, 80(1):105-111," Econometrics, University Library of Munich, Germany, number 0211003, Nov, revised 20 May 2003.
• David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002, "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance, University Library of Munich, Germany, number 0207017, Aug.
• Natalia Fabra & Juan Toro, 2002, "Price Wars and Collusion in the Spanish Electricity Market," Industrial Organization, University Library of Munich, Germany, number 0212001, Dec, revised 26 Jan 2004.
• William A. Barnett & Yijun He, 2002, "Bifurcations in Macroeconomic Models," Macroeconomics, University Library of Munich, Germany, number 0210006, Oct.
• Syed Abul Basher & Mohammed Mohsin, 2002, "Ppp Tests In Cointegrated Panels: Evidence From Asian Developing Countries," Working Papers, York University, Department of Economics, number 2002_05, May.
• Alfred A. Haug & Pierre L. Siklos, 2002, "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers, York University, Department of Economics, number 2002_08, Aug, revised Jul 2004.
• Kilian, Lutz & Gonçalves, Sílvia, 2002, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,26.
• Claessen, Holger & Mittnik, Stefan, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/04.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002, "Mixed normal conditional heteroskedasticity," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/10.
• Jobst, Andreas A., 2002, "The Pricing puzzle: The default term structure of collateralised loan obligations," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/14.
• Hautsch, Nikolaus, 2002, "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/05.
• Feng, Yuanhua, 2002, "Simultaneously Modelling Conditional Heteroskedasticity and Scale Change," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/12.
• Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002, "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 115.