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

2002

• Santos-Paulino, Amelia U., 2002, "The Effects of Trade Liberalization on Imports in Selected Developing Countries," World Development, Elsevier, volume 30, issue 6, pages 959-974, June.
• Shintani, Mototsugu & Linton, Oliver, 2002, "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2093, Mar.
• Robinson, Peter & Henry, Marc, 2002, "Higher-order kernel semiparametric M-estimation of long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2147, Sep.
• Pesaran, M. Hashem & Timmermann, Allan, 2002, "Market timing and return prediction under model instability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24932, Mar.
• Jobst, Andreas A., 2002, "Loan securitisation: default term structure and asset pricing based on loss prioritisation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24941, Aug.
• Hidalgo, Javier, 2002, "Consistent order selection with strongly dependent data and its application to efficient estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6856, Feb.
• Arteche González, Jesús María, 2002, "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Apr.
• de Goeij, P. & Marquering, W.A., 2002, "Modeling the Conditional Covariance between Stock and Bond Returns," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-11-F&A, Jan.
• de Goeij, P. & Marquering, W.A., 2002, "Do Macroeconomic Announcements Cause Asymetric Volatility?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-103-F&A, Nov.
• P. Jenkins, Stephen & Böheim, René, 2000, "Do current income and annual income measures provide different pictures of Britain’s income distribution?," ISER Working Paper Series, Institute for Social and Economic Research, number 2000-16, May.
• Andrew Hughes Hallett & Christian R. Richter, 2002, "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," The Economic and Social Review, Economic and Social Studies, volume 33, issue 3, pages 333-356.
• Shimotsu, Katsumi & Phillips, Peter C B, 2002, "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers, University of Essex, Department of Economics, number 8838.
• Tommaso PROIETTI, 2002, "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers, European University Institute, number ECO2002/23.
• Wojciech Charemza & Mikhail Lifshits & Svetlana Makarova, 2002, "A Simple Test for Unit Root Bilinearity," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2002/01, Mar, revised 29 Mar 2002.
• Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG, 2002, "Implicit Forward Rents as Predictors of Future Rents," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp59, Oct.
• Eric Jondeau & Michael Rockinger, 2002, "The Allocation of Assets Under Higher Moments," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp71, Dec.
• Martin Melecký, 2002, "Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994-2000 (èást I: domácnosti)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 7-8, pages 428-449, July.
• Martin Melecký, 2002, "Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994?2000 ? èást II: firmy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 9, pages 478-501, September.
• Fernandes, Marcelo & Grammig, Joachim, 2002, "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 440, Mar.
• Marco J. Lombardi & Giampiero M. Gallo, 2002, "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_03, Feb.
• Massimiliano Cecconi & Giampiero M. Gallo & Marco J. Lombardi, 2002, "GARCH-based Volatility Forecasts for Market Volatility Indices," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_06, Feb.
• Alessandro Rossi & Giampiero M. Gallo, 2002, "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_14, Jun.
• Andreas Jobst, 2002, "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers, Financial Markets Group, number dp422, Aug.
• John Y. Campbell & Motohiro Yogo, 2002, "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1972.
• Serge Rey & Pascal Varachaud, 2002, "European Real Exchange Rates after Bretton-Woods: A Re-examination," Post-Print, HAL, number hal-01885322.
• K. Dimitrova & Nikolay Nenovsky, 2002, "Dual Inflation under the Currency Board. The challenges of Bulgarian EU accession," Post-Print, HAL, number halshs-00259861.
• Bretteville-Jensen, Anne-Line & Biørn, Erik, 2002, "Drug Injection, Drug Dealing, And The Influence Of Economic Factors: A Two-Drug Micro-Econometric Analysis," Working Papers in Economics, University of Bergen, Department of Economics, number 11/02, Apr.
• Larsson, Anna, 2002, "The Swedish Real Exchange Rate under Different Currency Regimes," Working Paper Series, Trade Union Institute for Economic Research, number 180, Nov, revised 18 Sep 2003.
• Rech, Gianluigi, 2002, "Forecasting with artificial neural network models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 491, Feb.
• He, Changli & Teräsvirta, Timo, 2002, "An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 509, Sep.
• Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002, "Error correction in DHSY," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 517, Nov.
• Erlandsson, Ulf, 2002, "Regime Switches in Swedish Interest Rates," Working Papers, Lund University, Department of Economics, number 2002:5, Feb, revised 04 Mar 2005.
• Hjelm, Göran & Johansson, Martin W, 2002, "Structural Change in Fiscal Policy and The Permanence of Fiscal Contractions - The Case of Denmark and Ireland," Working Papers, Lund University, Department of Economics, number 2002:11, Mar.
• Bergman, U. Michael & Hansen, Jan, 2002, "Financial Instability and Monetary Policy: The Swedish Evidence," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 137, Jun.
• Brännäs, Kurt & Nordström, Jonas, 2002, "Tourist Accommodation Effects of Festivals," Umeå Economic Studies, Umeå University, Department of Economics, number 580, Jan.
• Hellström, Jörgen, 2002, "Count Data Modelling and Tourism Demand," Umeå Economic Studies, Umeå University, Department of Economics, number 584, Feb.
• Brännäs, Kurt & Brännäs, Eva, 2002, "Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish," Umeå Economic Studies, Umeå University, Department of Economics, number 595, Nov.
• Nordström, Jonas, 2002, "Dynamic and Stochastic Structures in Tourism Demand Modelling," Umeå Economic Studies, Umeå University, Department of Economics, number 596, Nov.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002, "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 597, Dec.
• Tihomir Stučka, 2002, "A Comparison of Two Econometric Models (OLS and SUR) for Forecasting Croatian Tourism Arrivals," Working Papers, The Croatian National Bank, Croatia, number 8, Jul.
• Penelope A. Smith & Peter M. Summers, 2002, "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2002n21, Nov.
• Jordi Pons Novell & Daniel A. Tirado Fabregat, 2002, "Discontinuidades en el crecimiento económico en el periodo 1870-1994: España en perspectiva comparada," Working Papers, Institut d'Economia de Barcelona (IEB), number 2002/4.
• Ana Pérez & Esther Ruiz, 2002, "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, volume 26, issue 3, pages 395-445, September.
• Burc Kayahan & Thanasis Stengos & Burak Saltoglu, 2002, "Intra-Day Features of Realized Volatility: Evidence from an Emerging Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 17-24, April.
• Mohsen Bahmani-Oskooee & Raymond Chi Wing Ng, 2002, "Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 2, pages 147-155, August.
• Walter Kramer & Philipp Sibbertsen, 2002, "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 3, pages 235-242, December.
• Tuck Cheong Tang, 2002, "Aggregate Import Demand Behavior For Indonesia: Evidence From The Bounds Testing Approach," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 10, issue 2, pages 179-199, December.
• Norma A. Hernández Perales & Russell Robins, 2002, "An Application Of Arch And Arch-M Models To Study Inflation In Mexico From 1978 To 1999," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 3, pages 169-186, Septiembr.
• Ajit Karnik & Abhay Pethe & Dilip Karmarkar, 2002, "Developing A Quantitative Framework For Determining Devolution Of Funds From The State Government To Local Bodies," Department of Economics, University of Mumbai, Mumbai Working Papers, Department of Economics, University of Mumbai, Mumbai, number 3, Sep.
• Raimundo Soto, 2002, "Ajuste Estacional e Integración en Variables Macroeconómicas," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 116, pages 135-155.
• Francisco J. André & Javier J. Pérez & Ricardo Martín, 2002, "Computing Robust Stylized Facts On Comovement," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-02, Mar.
• Juan A. Lafuente & Jesús Ruiz, 2002, "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-20, Aug.
• Ángel León & Juan Nave, 2002, "Modelización De La Volatilidad Del Tipo De Interés A Corto Plazo," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-28, Oct.
• Fuess Jr., Scott M. & Millea, Meghan, 2002, "Disentangling Pay and Productivity in a Corporatist Economy: The Case of Germany," IZA Discussion Papers, IZA Network @ LISER, number 597, Oct.
• Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002, "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 6, pages 617-639, DOI: 10.1002/jae.646.
• Jungmittag Andre & Untiedt Gerhard, 2002, "Kapitalmobilität in Europa aus empirischer Sicht. Befunde und wirtschaftspolitische Implikationen / Capital Mobility in Europe from an Empirical Viewpoint. Evidence and Implications for Economic Policy," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 1, pages 42-63, February, DOI: 10.1515/jbnst-2002-0105.
• Krämer Walter, 2002, "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 2, pages 210-229, April, DOI: 10.1515/jbnst-2002-0204.
• Fritsche Ulrich & Stephan Sabine, 2002, "Leading Indicators of German Business Cycles. An Assessment of Properties / Frühindikatoren der deutschen Konjunktur. Eine Beurteilung ihrer Eigenschaften," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 3, pages 289-315, June, DOI: 10.1515/jbnst-2002-0302.
• Francesco Devicienti, 2002, "Poverty persistence in Britain: A multivariate analysis using the BHPS, 1991–1997," Journal of Economics, Springer, volume 9, issue 1, pages 307-340, December, DOI: 10.1007/BF03052509.
• 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.
• Skalin, Joakim & Teräsvirta, Timo, 2002, "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 2, pages 202-241, April.
• Kilian, Lutz & Ohanian, Lee E., 2002, "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 5, pages 614-632, November.
• 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.
• 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.
• 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.