Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

2003

• George Kapetanios & Yongcheol Shin, 2003, "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 108, Jan.
• Pollock, D. S. G., 2003, "Improved frequency selective filters," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 3, pages 279-297, March.
• Doornik, Jurgen A. & Ooms, Marius, 2003, "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, volume 42, issue 3, pages 333-348, March.
• Pollock, D. S. G., 2003, "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, volume 44, issue 1-2, pages 37-75, October.
• Honkapohja, Seppo & Mitra, Kaushik, 2003, "Learning with bounded memory in stochastic models," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 8, pages 1437-1457, June.
• Gabriel, Vasco J., 2003, "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, volume 78, issue 1, pages 17-25, January.
• Kapetanios, George, 2003, "A note on an iterative least-squares estimation method for ARMA and VARMA models," Economics Letters, Elsevier, volume 79, issue 3, pages 305-312, June.
• Robinson, Peter M. & Henry, Marc, 2003, "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, volume 114, issue 1, pages 1-27, May.
• Perron, Pierre & Rodriguez, Gabriel, 2003, "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, volume 115, issue 1, pages 1-27, July.
• Ghysels, Eric & Guay, Alain, 2003, "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, volume 115, issue 1, pages 91-123, July.
• Zaffaroni, Paolo & d'Italia, Banca, 2003, "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 199-258, August.
• Luger, Richard, 2003, "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 259-276, August.
• Sun, Yixiao & Phillips, Peter C. B., 2003, "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 355-389, August.
• Busetti, Fabio & Taylor, A. M. Robert, 2003, "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Journal of Econometrics, Elsevier, volume 117, issue 1, pages 21-53, November.
• Altissimo, Filippo & Corradi, Valentina, 2003, "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, volume 117, issue 2, pages 207-244, December.
• Bali, Turan G. & Neftci, Salih N., 2003, "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, volume 10, issue 4, pages 455-477, September.
• Jondeau, Eric & Rockinger, Michael, 2003, "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 559-581, December.
• Rainer Thiele, 2003, "Price Incentives, Non‐price Factors and Agricultural Production in Sub‐Saharan Africa: A Cointegration Analysis," African Development Review, African Development Bank, volume 15, issue 2‐3, pages 425-438.
• Louise Allsopp & Ralf Zurbruegg, 2003, "Purchasing Power Parity and the Impact of the East Asian Currency Crisis," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies, number 2003-03, Mar.
• Eric Ghysels & Lynda Khalaf & Cosmé Vodounou, 2003, "Simulation Based Inference In Moving Average Models," Annals of Economics and Statistics, GENES, issue 69, pages 85-99.
• Nasri Harb, 2003, "Money Demand Function: A heterogeneous Panel Application," Economics Working Papers, Department of Economics, College of Business and Economics, UAE University, number 03/04-01, Oct.
• Gordon H. Dash & Nina Kajiji, 2003, "New Evidence on the Predictability of South Africa FX Volatility in Heterogeneous Bilateral Markets," The African Finance Journal, Africagrowth Institute, volume 5, issue 1, pages 1-15.
• Shahiem Ganief & Nicholas Biekpe, 2003, "Measuring Market Risk Using Extreme Value Theory: An Empirical Study Using South African Rand/Dollar One-Year Futures Contract," The African Finance Journal, Africagrowth Institute, volume 5, issue 1, pages 68-86.
• Ganegodage, Renuka K. & Taniguchi, Kiyoshi & Wang, Xiaojun, undated, "Learning by eating: A case study on the cost of hunger in Sri Lanka," ESA Working Papers, Food and Agriculture Organization of the United Nations, Agricultural Development Economics Division (ESA), number 289094, DOI: 10.22004/ag.econ.289094.
• Thiele, Rainer, 2003, "Price Incentives, Non-Price Factors, And Agricultural Production In Sub-Saharan Africa: A Cointegration Analysis," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa, International Association of Agricultural Economists, number 25901, DOI: 10.22004/ag.econ.25901.
• Carlberg, Jared G. & Ward, Clement E., 2003, "Alternative Theories and Empirical Approaches to Price Discovery: An Application to Fed Cattle," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 35, issue 3, pages 1-13, December, DOI: 10.22004/ag.econ.43201.
• Obben, James & Nugroho, Agus Eko, 2003, "Determinants Of The Funding Volatility Of Indonesian Banks: A Dynamic Model," Discussion Papers, Massey University, Department of Applied and International Economics, number 23700, DOI: 10.22004/ag.econ.23700.
• Boero, Gianna & Marrocu, Emanuela, undated, "The Performance Of Setar Models: A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," Economic Research Papers, University of Warwick - Department of Economics, number 269476, DOI: 10.22004/ag.econ.269476.
• Otero, Jesus & Smith, Jeremy, undated, "The KPSS test with outliers," Economic Research Papers, University of Warwick - Department of Economics, number 269574, DOI: 10.22004/ag.econ.269574.
• Caballero, Ricardo J. & Engel, Eduardo M.R.A., 2003, "Adjustment is Much Slower than You Think," Center Discussion Papers, Yale University, Economic Growth Center, number 28419, DOI: 10.22004/ag.econ.28419.
• Manuela CROCI, 2003, "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 197, Nov.
• Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003, "Breaking the panels. An application to the GDP per capita," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 97.
• Oberhofer, Walter & Haupt, Harry, 2003, "Nonlinear quantile regression under dependence and heterogeneity," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 388.
• Francisco Barillas & Christoph Schleicher, 2003, "Common Trends and Common Cycles in Canadian Sectoral Output," Staff Working Papers, Bank of Canada, number 03-44, DOI: 10.34989/swp-2003-44.
• Fabio Busetti & A. M. Robert Taylor, 2003, "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 470, Mar.
• Paolo Zaffaroni, 2003, "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 472, Jun.
• Norberto Rodríguez N. & Patricia Siado C., 2003, "Un Pronóstico no Paramétrico de la Inflación Colombiana," Borradores de Economia, Banco de la Republica de Colombia, number 248, Jun, DOI: 10.32468/be.248.
• Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003, "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 1, pages 104-121, January.
• Hodgson, Douglas J & Vorkink, Keith P, 2003, "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 2, pages 269-283, April.
• Mustapha Baghli & Gilbert Cette & Sylvain Arnaud, 2003, "Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : Analyse empirique sur la période 1970-2000," Working papers, Banque de France, number 099.
• Eric Jondeau & Hervé Le Bihan, 2003, "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Working papers, Banque de France, number 103.
• Laura Mayoral, 2015, "A New Minimum Distance Estimation Procedure of ARFIMA Processes," Working Papers, Barcelona School of Economics, number 100, Sep.
• Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003, "Adaptive varying‐coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 65, issue 1, pages 57-80, February, DOI: 10.1111/1467-9868.00372.
• Markku Lanne & Pentti Saikkonen, 2003, "Reducing size distortions of parametric stationarity tests," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 4, pages 423-439, July, DOI: 10.1111/1467-9892.00314.
• Marcelo C. Medeiros & Alvaro Veiga, 2003, "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 4, pages 461-482, July, DOI: 10.1111/1467-9892.00316.
• Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2003, "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 1, pages 91-115, February, DOI: 10.1111/1468-0084.00036.
• Luis A. Gil‐Alana & S. G. Brian Henry, 2003, "Fractional Integration and the Dynamics of UK Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 2, pages 221-239, May, DOI: 10.1111/1468-0084.t01-1-00047.
• Luis A. Gil‐Alana, 2003, "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 4, pages 517-529, September, DOI: 10.1111/1468-0084.t01-1-00048.
• Jacqueline Pradel & Christophe Rault, 2003, "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 5, pages 629-653, December, DOI: 10.1111/j.1468-0084.2003.00065.x.
• Dick van Dijk & Philip Hans Franses, 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 727-744, December, DOI: 10.1046/j.0305-9049.2003.00091.x.
• Jan G. De Gooijer & Dawit Zerom, 2003, "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 57, issue 2, pages 159-176, May, DOI: 10.1111/1467-9574.00226.
• John Barkoulas & Christopher F. Baum, 2003, "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics, Boston College Department of Economics, number 558, May.
• Raffaella Giacomini & Ivana Komunjer, 2003, "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics, Boston College Department of Economics, number 571, Jun.
• Raffaella Giacomini & Halbert White, 2003, "Tests of conditional predictive ability," Boston College Working Papers in Economics, Boston College Department of Economics, number 572, Apr.
• Christopher F. Baum, 2003, "A review of Stata 8.1 and its time series capabilities," Boston College Working Papers in Economics, Boston College Department of Economics, number 581, Oct.
• Stephen G. Hall & Nicholas G. Zonzilos, 2003, "An Indicator Measuring Underlying Economic Activity in Greece," Working Papers, Bank of Greece, number 04, Aug.
• Alexandros E. Milionis, 2003, "Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach," Working Papers, Bank of Greece, number 07, Nov.
• Pranab Bardhan & Dilip Mookherjee, 2003, "Pro-Poor Targeting and Accountability of Local Governments in West Bengal," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics, number dp-138, Dec.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Mustapha Baghli & Gilbert Cette & Arnaud Sylvain, 2003, "Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : analyse empirique sur la période. 1970-2000," Economie & Prévision, La Documentation Française, volume 158, issue 2, pages 1-25.
• Pesaran, H.M. & Timmermann, A., 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0306, Jan.
• Pesaran, M.H., 2003, "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0346, Oct.
• Im, K.S. & Pesaran, M.H., 2003, "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0347, Oct, DOI: 10.17863/CAM.5079.
• Uma S. Kambhampati & Paul A. Kattuman, 2003, "Growth Response to Competitive Shocks: Market Structure Dynamics Under Liberalisation - the Case of India," Working Papers, Centre for Business Research, University of Cambridge, number wp263, Jun.
• Oscar Jorda & James D. Hamilton, 2003, "A model for the federal funds rate target," Working Papers, University of California, Davis, Department of Economics, number 176, Jan.
• Oscar Jorda & Massimiliano Marcellino, 2003, "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers, University of California, Davis, Department of Economics, number 273, Jan.
• Oscar Jorda & Massimiliano Marcellino, 2003, "Time-Scale Transformations of Discrete-Time Processes," Working Papers, University of California, Davis, Department of Economics, number 65, Feb.
• Surajit Deb, 2003, "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers, Centre for Development Economics, Delhi School of Economics, number 115, Mar.
• Su, Liangjun & White, Halbert, 2003, "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt35v8g0fm, Oct.
• Francisco Horácio P. Oliveira & Frederico G. Jayme Jr. & Mauro B. Lemos, 2003, "Increasing returns to scale and international diffusion of technology: an empirical study for Brazil (1976-2000)," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td211, Jul.
• Javier J. Pérez & Francisco J. André, 2003, "Robust Stylized Facts on Comovement for the Spanish Economy," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/02.
• Diego J. Pedregal, 2003, "Filter-Design and Model-Based Analysis of Economic Cycles," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/13.
• Encarnación Murillo García & Simón Sosvilla-Rivero, 2003, "Efectos a largo plazo sobre la economia andaluza de las ayudas procedentes de los fondos estructurales: el Marco de Apoyo Comunitario 1994-1999," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/34.
• Oliver Linton & Mototsugu Shintani, 2003, "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 455, May.
• Woocheol Kim & Oliver Linton, 2003, "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 456, May.
• Oliver Linton & Yoon-Jae Whang, 2003, "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 463, Nov.
• Allan Timmermann & M. Hashem Pesaran, 2003, "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series, CESifo, number 990.
• Martin Meurers, 2003, "Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 13, September.
• Dieter Dziadkowski & Andrea Gebauer & W. Christian Lohse & Chang Woon Nam & Rüdiger Parsche, 2002, "Development of Recent VAT Revenues and Anticipated Fiscal Effects of Reform Proposals for VAT System," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 13, October.
• Francisco A. Gallego & Christian A. Johnson, 2003, "Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping," Working Papers Central Bank of Chile, Central Bank of Chile, number 202, Feb.
• Claude Lopez & Christian J. Murray & David H. Papell, 2003, "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2003-07, Oct.
• Peter Christoffersen & Kris Jacobs, 2003, "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers, CIRANO, number 2003s-52, Aug.
• Mototsugu Shintani, 2003, "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Working Paper Archive, David K. Levine, number 506439000000000172, Jan.
• Robert H. McGuckin & Ataman Ozyildirim, 2003, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Economics Program Working Papers, The Conference Board, Economics Program, number 03-04, Jun.
• A. Lanza & Manera & Giovannini, 2003, "Oil and price dynamics in international petroleum markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200306.
• Ascari & E. Marrocu, 2003, "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200307.
• Fabio S√Ånchez & Luz Magdalena Salas & Oskar Nupia, 2003, "Ciclos Econ√Ìmicos Y Mercado Laboral En Colombia 1984-2000: ¬Øqui√Ân Gana M√Ås, Qui√Ân Pierde M√Ås?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2123, May.
• Fabio S√Ånchez & Luz Magdalena Salas & Oskar Nupia, 2003, "En Colombia 1984-2000: ¬Øqui√Ân Gana M√Ås, Qui√Ân Pierdem√Ås?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2124, May.
• Norberto Rodr�guez & Patricia Siado, 2003, "Un Pron�Stico No Param�Trico De La Inflaci�N Colombiana," Borradores de Economia, Banco de la Republica, number 3691, Jun.
• Fabio SANCHEZ TORRES & Luz Magdalena SALAS BAHAM�N & Oskar Andr�s NUPIA MART�NEZ, 2003, "Ciclos económicos y mercado laboral en Colombia: ¿Quién gana más, quién pierde más? 1984-2000," Archivos de Economía, Departamento Nacional de Planeación, number 11295, Jul.
• HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003003, Jan.
• HORVATH, Lajos & KOKOSZKA, Piotr & TEYSSIÈRE , Gilles, 2003, "Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003009, Feb.
• TEYSSIERE, Gilles, 2003, "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003026, Feb.
• BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003, "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003029, Mar.
• HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Estimation of temporally aggregated multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003073, Oct.
• BAUWENS, Luc & HAUTSCH, Nikolaus, 2003, "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003103, Dec.
• Kilian, Lutz & Inoue, Atsushi, 2003, "On the Selection of Forecasting Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 3809, Mar.
• Kilian, Lutz & Manganelli, Simone, 2003, "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers, Centre for Economic Policy Research, number 3918, Jun.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 4037, Aug.
• Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003, "Explaining movements in UK stock prices:," Working Papers, University of Crete, Department of Economics, number 0302, Jan.
• Martínez, Oscar & Gonzalo, Jesús, 2003, "Threshold integrated moving average models: does size matter? maybe so," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 16008, Jan.
• Théophile, AZOMAHOU & Raouf, BOUCEKKINE & Phu, NUYEN VAN, 2003, "Energy consumption, technological progress and economic policy," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2003025, Nov.
• Phillips, Peter C.B., 2003, "Vision And Influence In Econometrics: John Denis Sargan," Econometric Theory, Cambridge University Press, volume 19, issue 3, pages 495-511, June.
• Nielsen, Hannah, 2003, "Inflation Expectations in the EU: Results from Survey Data," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,13.
• Herwartz, Helmut, 2003, "On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,2.
• Holtemöller, Oliver, 2003, "Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,40.
• Sibbertsen, Philipp & Venetis, Ioannis, 2003, "Distinguishing between long-range dependence and deterministic trends," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2003,16.
• Dewenter, Ralf & Westermann, Michael, 2003, "Cinema demand in Germany," IBES Diskussionsbeiträge, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES), number 125.
• Franz, Wolfgang, 2003, "Will the (German) NAIRU Please Stand up?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-35.
• Daniel Levy & Hashem Dezhbakhsh, 2003, "On the typical spectral shape of an economic variable," Post-Print, HAL, number hal-02386554, May, DOI: 10.1080/1350485032000102187.
• Bhattacherjee, Debashish, 2003, "The Effects of Group Incentives in an Indian Firm - Evidence from Payroll Data," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 03-14, Jan.
• Hjalmarsson, Erik, 2003, "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics, University of Gothenburg, Department of Economics, number 101, Jul.
• Lundbergh, Stefan & Teräsvirta, Timo, 2003, "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 533, Sep.
• Eklund, Bruno, 2003, "Testing the unit root hypothesis against the logistic smooth transition autoregressive model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 546, Nov.
• Eklund, Bruno, 2003, "A nonlinear alternative to the unit root hypothesis," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 547, Nov.
• Eklund, Bruno, 2003, "Estimating confidence regions over bounded domains," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 548, Nov.
• Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003, "Testing the New Keynesian Phillips curve," Memorandum, Oslo University, Department of Economics, number 18/2002, Jun.
• C. Bjørnland, Hilde, 2003, "A stable demand for money despite financial crisis: The case of Venezuela," Memorandum, Oslo University, Department of Economics, number 12/2003, Mar.
• Hansen, Jan, 2003, "Financial Cycles and Bankruptcies in the Nordic Countries," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 149, Aug.
• Lindé, Jesper, 2003, "Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 153, Nov.
• Brännäs, Kurt & Simonsen, Ola, 2003, "Discretized Time and Conditional Duration Modelling for Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 610, May.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Peter M. Summers, 2003, "Bayesian Evidence on the Structure of Unemployment," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2003n03, Feb.
• Anna Persson & Timo Teräsvirta, 2003, "The net barter terms of trade: A smooth transition approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 8, issue 1, pages 81-97, DOI: 10.1002/ijfe.198.
• N. Vijayamohanan Pillai, 2003, "A contribution to peak load pricing theory and application," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 346, Apr.
• Ajit Karnik & Abhay Pethe & Dilip Karmarkar, 2003, "Assessment Of Revenue And Expenditure Patterns In Urban Local Bodies Of Maharashtra," Department of Economics, University of Mumbai, Mumbai Working Papers, Department of Economics, University of Mumbai, Mumbai, number 5, Jan.
• Se Kyu Choi-Ha & Luis Felipe Lagos, 2003, "El Dinero como Indicador Líder," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 259-283.
• Antonio Rubia Serrano & Trino-Manuel Ñíguez, 2003, "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-34, Oct.
• Sliwka, Dirk, 2003, "Management Incentives, Signaling Effects and the Costs of Vertical Integration," IZA Discussion Papers, IZA Network @ LISER, number 856, Aug.
• G. Urga & P. A. Geroski & S. Lazarova & C. F. Walters, 2003, "Are differences in firm size transitory or permanent?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 18, issue 1, pages 47-59, DOI: 10.1002/jae.676.
• Flaig Gebhard, 2003, "Seasonal and Cyclical Properties of Ifo Business Test Variables / Saisonale und zyklische Eigenschaften von ifo Konjunkturtest Variablen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 223, issue 5, pages 556-570, October, DOI: 10.1515/jbnst-2003-0504.
• Jenny Li & Peter Winker, 2003, "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, volume 21, issue 1, pages 23-43, February, DOI: 10.1023/A:1022289509702.
• Jenny X. Li & Peter Winker, 2003, "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, volume 21, issue 1_2, pages 23-43, February.
• L.A. Gil-Alana, 2003, "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, volume 22, issue 1, pages 23-38, August, DOI: 10.1023/A:1024553430101.
• Flaig, Gebhard, 2003, "Seasonal and Cyclical Properties of Ifo Business Test Variables," Munich Reprints in Economics, University of Munich, Department of Economics, number 20379.
• Schlicht, Ekkehart, 2003, "Estimating Time-Varying Coefficients With the VC Program," Discussion Papers in Economics, University of Munich, Department of Economics, number 34, Jun.
• A Matas-Mir & D R Osborn, 2003, "Seasonal Adjustment and the Detection of Business Cycle Phases," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 26.
• A Matas-Mir & D R Osborn, 2003, "Seasonal Adjustment and the Detection of Business Cycle Phases," Economics Discussion Paper Series, Economics, The University of Manchester, number 0304.
• Markku Lanne & Matti Liski, 2003, "Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028," Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research, number 0302, Jan.
• Fabrizio Carmignani, 2003, "The Road to Regional Integration in Africa: Macroeconomic Convergence and Performance in COMESA," Working Papers, University of Milano-Bicocca, Department of Economics, number 67, Dec, revised Dec 2003.
• Zsolt Darvas & Gábor Vadas, 2003, "Univariate Potential Output Estimations for Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2003/8.
• Lydia Shenstone & Rob J. Hyndman, 2003, "Stochastic models underlying Croston's method for intermittent demand forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/03, Feb.
• Xibin Zhang & Maxwell L. King, 2003, "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/03, Apr.
• B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003, "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/03, Sep.
• Heather M. Anderson & Farshid Vahid, 2003, "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/03, Nov.
• Md B. Billah & R.J. Hyndman & A.B. Koehler, 2003, "Empirical Information Criteria for Time Series Forecasting Model Selection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/03, Jan.
• Heather Anderson & Farshid Vahid, 2003, "The Decline in Income Growth Volatility in the United States: Evidence from Regional Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/03, Nov.
• Rob J. Hyndman & Muhammad Akram & Blyth Archibald, 2003, "Invertibility Conditions for Exponential Smoothing Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/03, Apr.
• B.P.M. McCabe & G.M. Martin, 2003, "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/03, Apr.
• GONÇALVES, Silvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-01.
• Gonçalves, Sílvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 01-2003.
• Fatih Savasan, 2003, "Modeling the Underground Economy in Turkey: Randomized Response and MIMIC Models," Journal of Economic Insight, Missouri Valley Economic Association, volume 29, issue 1, pages 49-76.
• John Y. Campbell & Motohiro Yogo, 2003, "Efficient Tests of Stock Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 10026, Oct.
• Yacine Ait-Sahalia & Per A. Mykland, 2003, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 9611, Apr.
• Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003, "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 9817, Jul.
• David Berger & Ricardo J. Caballero & Eduardo Engel, 2003, "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 9898, Aug.
• Yacine Ait-Sahalia, 2003, "Disentangling Volatility from Jumps," NBER Working Papers, National Bureau of Economic Research, Inc, number 9915, Aug.
• Eduardo Gonçalves & Tharsila Reis de Medeiros & Alexandre Sabino de Oliveira & Cristina Márcia Barros de Castro, 2003, "Competitividade industrial de Minas Gerais no período 1985-2000: um enfoque econométrico [Industrial competitiveness in Minas Gerais in 1985-2000: an econometric approach]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 13, issue 2, pages 81-108, July-Dece.
• Dr Garry Young, 1998, "Estimating Cointegrating Relationships When There Is Uncertainty About The Time Series Properties of," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 135, Feb.
• David Hendry & Hans-Martin Krolzig, 2003, "The Properties of Automatic Gets Modelling," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W14, Mar.
• Jurgen A. Doornik & Marius Ooms, 2003, "Multimodality in the GARCH Regression Model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W20, Sep.
• Robert A Buckle & Kunhong Kim & Nathan McLellan, 2003, "The impact of monetary policy on New Zealand business cycles and inflation variability," Treasury Working Paper Series, New Zealand Treasury, number 03/09, Mar.
• Vuong, Quan-Hoang, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," OSF Preprints, Center for Open Science, number ahrjd, Sep, DOI: 10.31219/osf.io/ahrjd.
• Gabriel Rodriguez, 2003, "The Role of the Interprovincial Transfers in the B-Convergence Process. Further Empirical Evidence for CanadaAbstract: Based on the approach of Timljonavich and Vogelsang (2002), I present empirical evidence of the role of the federal transfers on th," Working Papers, University of Ottawa, Department of Economics, number 0305E.
• Hui Liu & Gabriel Rodriguez, 2003, "Human Activities and Global Warming: A Cointegration Analysis," Working Papers, University of Ottawa, Department of Economics, number 0307E.
• Gabriel Rodriguez, 2003, "Identifying Canadian Regional Business Cycles using the Friedmand Plucking Model," Working Papers, University of Ottawa, Department of Economics, number 0309E.
• Stefan Mittnik & Thorsten Neumann, 2003, "Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending," Economic Inquiry, Western Economic Association International, volume 41, issue 4, pages 565-573, October.
• Martin B. Schmidt & David J. Berri, 2003, "On the Evolution of Competitive Balance: The Impact of an Increasing Global Search," Economic Inquiry, Western Economic Association International, volume 41, issue 4, pages 692-704, October.
• Paul Cashin & C. John McDermott, 2003, "An Unbiased Appraisal of Purchasing Power Parity," IMF Staff Papers, Palgrave Macmillan, volume 50, issue 3, pages 1-1.
• Peter F. Christoffersen & Francis X.Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-009, Sep.
• Mynbaev, Kairat, 2003, "Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends," MPRA Paper, University Library of Munich, Germany, number 18448, revised 2005.
• Razzak, Weshah, 2003, "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," MPRA Paper, University Library of Munich, Germany, number 1970, revised 2007.
• bouoiyour, jamal, 2003, "Trade and GDP Growth in Morocco: Short-run or Long-run Causality?," MPRA Paper, University Library of Munich, Germany, number 28859, Jul.
• Mourao, Paulo, 2003, "Que critérios redistributivos na Lei das Finanças Locais?
  [What kind of criteria in the Portuguese Local Finances Law?]," MPRA Paper, University Library of Munich, Germany, number 3068.
• Kablan, Sandrine, 2003, "Analyse de la demande de crédit du secteur privé dans l’UEMOA :
  [Credit demand for the private sector in WAEMU]," MPRA Paper, University Library of Munich, Germany, number 41318, Sep, revised 28 Sep 2003.
• Palombini, Edgardo, 2003, "Volatility and liquidity in the Italian money market," MPRA Paper, University Library of Munich, Germany, number 42699, Mar.