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

• 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.
• Hassler, Uwe & Rodrigues, Paulo M. M., 2002, "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 113.
• Levy, Daniel, 2002, "Cointegration in Frequency Domain," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 23, issue 3, pages 333-339.
• Fischer, Matthias J., 2002, "Solving the Esscher puzzle: the NEF-GHS option pricing model," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 42a/2002.
• Fischer, Matthias J., 2002, "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 46/2002.
• Thiele, Rainer, 2002, "Price incentives, non-price factors, and agricultural production in Sub-Saharan Africa: a cointegration analysis," Kiel Working Papers, Kiel Institute for the World Economy, number 1123.
• Holtemöller, Oliver, 2002, "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,12.
• Kleinow, Torsten, 2002, "Testing the diffusion coefficient," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,38.
• Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt, 2002, "Monitoring structural change in dynamic econometric models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2002,07.
• Bohl, Martin T. & Sell, Friedrich L., 2002, "The demand for money by private firms in a regulated economy: Theoretical underpinnings and empirical evidence for Germany 1960-1998," Working Papers in Economics, Bundeswehr University Munich, Economic Research Group, number 2002,3.

2001

• Hakan Berument & Halil Kiymaz, 2001, "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 181-193, June, DOI: 10.1007/BF02744521.
• Álvaro Escribano & Oscar Jordá, 2001, "Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models," Spanish Economic Review, Springer;Spanish Economic Association, volume 3, issue 3, pages 193-209.
• Guglielmo Caporale & Nikitas Pittis, 2001, "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 3, pages 501-524, September, DOI: 10.1007/BF02707628.
• Luis Arango & Andres Gonzalez, 2001, "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, volume 33, issue 2, pages 155-162, DOI: 10.1080/00036840122443.
• Akira Tokihisa & Shigeyuki Hamori, 2001, "Seasonal Integration For Daily Data," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 187-200, DOI: 10.1081/ETC-100103822.
• Christian Gourieroux & Joann Jasiak, 2001, "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 4, pages 385-424, DOI: 10.1081/ETC-100106997.
• Kurt Brannas & Jorgen Hellstrom, 2001, "Generalized Integer-Valued Autoregression," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 4, pages 425-443, DOI: 10.1081/ETC-100106998.
• Kevin Denny, 2001, "Asymmetric Central Bank Reaction Function: An Application of Smooth Transition Regression," International Economic Journal, Taylor & Francis Journals, volume 15, issue 4, pages 23-32, DOI: 10.1080/10168730100000050.
• Julio Nogués & Martín Grandes, 2001, "Country Risk: Economic Policy, Contagion Effect or Political Noise?," Journal of Applied Economics, Taylor & Francis Journals, volume 4, issue 1, pages 125-162, May, DOI: 10.1080/15140326.2001.12040561.
• P. Newbold & S. J. Leybourne & R. Sollis & M. E. Wohar, 2001, "U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number 20011.
• R. Sollis, 2001, "U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number 20012.
• Jan F. Kiviet & Garry D.A. Phillips, 2001, "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-118/4, Dec.
• Noud P.A. van Giersbergen & Jan F. Kiviet, 2001, "How to implement the Bootstrap in Static or Stable Dynamic Regression Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-119/4, Dec.
• Noud P.A. van Giersbergen, 2001, "Bias Correction in a Stable AD(1,1) Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-120/4, Dec.
• Swinkels, L.A.P. & van der Sluis, P.J., 2001, "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-96.
• Swinkels, L.A.P. & van der Sluis, P.J., 2001, "Return-Based Style Analysis with Time-Varying Exposures," Other publications TiSEM, Tilburg University, School of Economics and Management, number f2c16530-4d18-4f43-bb6d-f.
• Carlos Oyarzún & Iván Araya, 2001, "Long run dynamics of regional growth in Chile," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 1 Year 20, pages 69-78, June.
• Christian A.Johnson, 2001, "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 2 Year 20, pages 217-247, December.
• Amelia U. Santos-Paulino, 2001, "The Effects of Trade Liberalisation on Imports in Selected Developing Countries," Studies in Economics, School of Economics, University of Kent, number 0110, May.
• François Rycx & Robert Plasman, 2001, "The war of models: determination of wages and employment in Swedish private sector," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/793.
• Rabija SOMUN, 2001, "Empirical analysis of production fonction of Bosnia and Herzegovina for the period 1952-1989," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2001-15.
• Jesús Gonzalo & Michael Wolf, 2001, "Subsampling inference in threshold autoregressive models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 573, Oct.
• Ulrich K. Müller & Graham Elliott, 2001, "Tests for Unit Roots and the Initial Observation," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-02, Dec.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "US Stock Prices and Macroeconomic Fundamentals," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-08.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "How Big is the Speculative Component in Australian Share Prices?," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-14.
• Atsushi Inoue & Mototsugu Shintani, 2001, "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0129, Dec, revised Aug 2003.
• David E. A. Giles, 2001, "Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and Her Trading Partners, 1950-1992," Econometrics Working Papers, Department of Economics, University of Victoria, number 0102, Jun.
• Benedikt M. Pötscher, 2001, "Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0203, Nov.
• Manfred M. Fischer & Wolfgang Koller, 2001, "Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate," ERSA conference papers, European Regional Science Association, number ersa01p233, Aug.
• Kurt Brännäs & Andreia Hall, 2001, "Estimation in integer‐valued moving average models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 17, issue 3, pages 277-291, July, DOI: 10.1002/asmb.445.
• William A. Barnett, 2001, "Fellow's Opinion: Tastes and Technology, Curvature is not Sufficient for Regularity," Econometrics, University Library of Munich, Germany, number 0110007, Oct.
• Godwin Nwaobi, 2001, "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics, University Library of Munich, Germany, number 0111004, Nov.
• William A. Barnett & Meenakshi Pasupathy, 2001, "Regularity Of The Generalized Quadratic Production Model: A Counterexample," Econometrics, University Library of Munich, Germany, number 0112001, Dec.
• Bengi Kibritcioglu & Bulent Kose & Gamze Ugur, 2001, "A Leading Indicators Approach to the Predictability of Currency," International Finance, University Library of Munich, Germany, number 0108001, Sep, revised 06 Sep 2001.
• Joanna Nowicka-Zagrajek & Aleksander Weron, 2001, "Dependence structure of stable R-GARCH processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/01/02.
• Reimers, Hans-Eggert & Herwartz, Helmut, 2001, "Long-Run Links Among Money, Prices, and Output: World-Wide Evidence," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2001,14.
• Gil-Alaña, Luis A., 2001, "Forecasting the real output using fractionally integrated techniques," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,27.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001, "Test procedures for unit roots in time series with level shifts at unknown time," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,39.
• Candelon, Bertrand & Gil-Alaña, Luis A., 2001, "Fractional integration and business cycle features," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,46.
• Lanne, Markku & Lütkepohl, Helmut, 2001, "Unit root tests for time series with level shifts: A comparison of different proposals," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,5.
• Gil-Alaña, Luis A., 2001, "Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,67.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001, "Unit root tests in the presence of innovational outliers," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,82.
• Herwartz, Helmut & Reimers, Hans-Eggert, 2001, "Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,83.
• Sibbertsen, Philipp, 2001, "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2001,39.
• Sibbertsen, Philipp, 2001, "Long-memory in volatilities of German stock returns," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2001,42.
• Laurence Broze & Christian Francq & Jean-Michel Zakoı̈an, 2001, "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Post-Print, HAL, number hal-05431272, Jun, DOI: 10.1016/S0165-1765(01)00387-1.
• Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001, "New Extreme-Value Dependance Measures and Finance Applications," Working Papers, HAL, number hal-00597018, Feb.
• Michael Rockinger & Eric Jondeau, 2001, "Testing for differences in the tails of stock-market returns," Working Papers, HAL, number hal-00601480, Oct.
• Karen Cabos & Nikolaus A. Siegfried, 2001, "Controlling Inflation in Euroland," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20102, Feb.
• Koskinen, Lasse & Öller, Lars-Erik, 2001, "A Classifying Procedure for Signaling Turning Points," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 427, Feb.
• van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001, "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0429, Mar, revised 01 Jun 2004.
• Skoglund, Jimmy, 2001, "A simple efficient GMM estimator of GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0434, Feb.
• Yao, Yudong & Lyhagen, Johan, 2001, "Using A Trade-induced Catch-up Model to Explain China's Provincial Economic Growth 1978-97," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0435, Feb.
• Byström, Hans, 2001, "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers, Lund University, Department of Economics, number 2001:18, Oct.
• Byström, Hans, 2001, "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers, Lund University, Department of Economics, number 2001:19, Oct.
• Lindé, Jesper, 2001, "Estimating New-Keynesian Phillips Curves: A Full Information Maximum Likelihood Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 129, Dec, revised 01 Mar 2005.
• Lindé, Jesper, 2001, "The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 130, Dec.
• Brännäs, Kurt & Nordman, Niklas, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 556, Apr.
• Brännäs, Kurt & Nordström, Jonas, 2001, "The Number of Occupied Hotel Rooms: A Time Series Model that Accounts for Constrained Capacity and Prices," Umeå Economic Studies, Umeå University, Department of Economics, number 559, May.
• Brännäs, Kurt & Nordman, Niklas, 2001, "Conditional Skewness Modelling for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 562, Jun.
• Bask, Mikael & de Luna, Xavier, 2001, "Characterizing the degree of stability of non-linear dynamic models," Umeå Economic Studies, Umeå University, Department of Economics, number 564, Nov.
• Bask, Mikael & de Luna, Xavier, 2001, "EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence," Umeå Economic Studies, Umeå University, Department of Economics, number 565, Nov.
• Jorge V. Pérez Rodríguez & Francisco J. Ledesma Rodríguez & Manuel Navarro Ibáñez & Simón Sosvilla-Rivero, 2001, "Expectativas, Aprendizaje Y Credibilidad De La Política Monetaria En España," Hacienda Pública Española / Review of Public Economics, IEF, volume 158, issue 3, September.
• Campbell, John, 2001, "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles, Harvard University Department of Economics, number 3196341.
• Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001, "The ECB Monetary Policy Strategy and the Money Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 6, issue 4, pages 325-342, October.
• Mr. C. John McDermott & Mr. Paul Cashin, 2001, "An Unbiased Appraisal of Purchasing Power Parity," IMF Working Papers, International Monetary Fund, number 2001/196, Dec.
• Indrani Chakraborty, 2001, "Economic reforms, capital inflows and macro economic impact in India," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 311, Jan.
• N. Vijayamohanan Pillai, 2001, "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 312, Feb.
• Alessandra Spremolla, 2001, "Persistencia en el Desempleo de Uruguay," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 38, issue 113, pages 73-89.
• Christian Johnson, 2001, "Un Modelo de Switching para el Crecimiento en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 38, issue 115, pages 291-319.
• Giancarlo Bruno, 2001, "Seasonal Adjustment of Italian Industrial Production Index using Tramo-Seats," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 18, Apr.
• DiNardo, John & Tobias, Justin, 2001, "Nonparametric Density and Regression Estimation," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12020, Jan.
• Ángel León & Antonio Rubia, 2001, "Comportamiento Del Precio Y Volatilidad En El Pool Eléctrico Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-04, Mar.
• Fuess Jr., Scott M. & Millea, Meghan, 2001, "Pay and Productivity in a Corporatist Economy: Evidence from Austria," IZA Discussion Papers, IZA Network @ LISER, number 244, Jan.
• Addison, John T. & Teixeira, Paulino, 2001, "Employment Adjustment in Portugal: Evidence from Aggregate and Firm Data," IZA Discussion Papers, IZA Network @ LISER, number 391, Nov.
• L. A. Gil-Alana & P. M. Robinson, 2001, "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 2, pages 95-114.
• Peter C. B. Phillips, 2001, "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 3, pages 389-413.
• Francis X. Diebold & Lutz Kilian, 2001, "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 6, pages 657-669.
• G. Coenen & J.-L. Vega, 2001, "The demand for M3 in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 6, pages 727-748.
• Jushan Bai & Serena Ng, 2001, "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 469, Dec.
• Hassler Uwe, 2001, "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 1, pages 32-44, February, DOI: 10.1515/jbnst-2001-0104.
• Goldrian Georg, 2001, "Direkte Schätzung der Trend-Konjunktur-Komponente versus Saisonbereinigung am aktuellen Zeitreihenrand / Direct Approximation of the Trend-Cyclical-Component versus Seasonal Adjustment at the Current End of a Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 2, pages 129-144, April, DOI: 10.1515/jbnst-2001-0202.
• Franz Wolfgang, 2001, "Neues von der NAIRU? / News from the NAIRU?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 3, pages 256-284, June, DOI: 10.1515/jbnst-2001-0303.
• Addison John T. & Teixeira Paulino, 2001, "Employment Adjustment in a “Sclerotic” Labour Market: Comparing Portugal with Germany, Spain, and the United Kingdom / Beschäftigungsanpassung in einem „sklerotischen“ Arbeitsmarkt: Ein Vergleich von Portugal mit Deutschland, Spanien und Großbritanni," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 4, pages 353-370, August, DOI: 10.1515/jbnst-2001-0402.
• Banerjee, Anurag N, 2001, "Sensitivity of Univariate AR(1) Time-Series Forecasts Near the Unit Root," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 3, pages 203-229, April.
• Gil-Alana, Luis A, 2001, "A Fractionally Integrated Exponential Model for UK Unemployment," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 5, pages 329-340, August.
• Pollock, D S G, 2001, "Filters for Short Non-stationary Sequences," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 5, pages 341-355, August.
• Hans Dewachter & Konstantijn Maes, 2001, "An Affine Model for International Bond Markets," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0106, Feb.
• Hans Dewachter & Konstantijn Maes, 2001, "An Admissible Affine Model for Joint Term Structure Dynamics of Interest Rates," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie001, Feb.
• Chihwa Kao, 2001, "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 34, Feb.
• Chihwa Kao, 2001, "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 35, Feb.
• Kam, T.C.Y., 2001, "Public Infrastructure Spillovers and Growth: Theory and Time Series Evidence for Australia," Department of Economics - Working Papers Series, The University of Melbourne, number 811.
• Anderson, H.M. & Vahid, F., 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/01, May.
• Athanasopoulos, G. & Anderson, H.M. & Vahid, F., 2001, "Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/01, Jun.
• Subarna K. Samanta & Ali H. M. Zadeh, 2001, "Foreign Exchange Rates, Asymmetric Adjustment and Threshold Co-integration: Empirical Evidence from Canada," Journal of Economic Insight, Missouri Valley Economic Association, volume 27, issue 2, pages 19-35.
• Yacine Ait-Sahalia, 2001, "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8504, Oct.
• Fountas, Stilianos & Karanasos,Menelaos, 2001, "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers, National University of Ireland Galway, Department of Economics, number 0053, revised 2001.
• Vasco J. Gabriel, 2001, "Cointegration and the joint confirmation hypothesis," NIPE Working Papers, NIPE - Universidade do Minho, number 12/2001.
• Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001, "A simple method for testing cointegration subject to regime changes," NIPE Working Papers, NIPE - Universidade do Minho, number 15/2001.
• Vasco J. Gabriel, 2001, "Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison," NIPE Working Papers, NIPE - Universidade do Minho, number 7/2001.
• C. Audenis & P. Biscourp & N. Riedinger, 2001, "Is the transmission of crude oil prices to gasoline prices asymmetric?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2001-17.
• Solveig Osborg Ose & Jan Morten Dyrstad, 2001, "Non-linear Unemployment Effects in Sickness Absence: Discipline or Composition Effects?," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 2502, Feb.
• Jurgen A. Doornik & Marius Ooms, 2001, "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W27, Nov.
• W A Razzak, 2001, "Money in the era of inflation targeting," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2001/02, Jul.
• Tim Hampton, 2001, "How much do import price shocks matter for consumer prices?," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2001/06, Nov.
• Mara Meacci & David Turner, 2001, "Modelling Import Responsiveness for OECD Manufactures Trade," OECD Economics Department Working Papers, OECD Publishing, number 311, Oct, DOI: 10.1787/304013015652.
• Sylvia Kaufmann, 2001, "Is there an asymmetric effect on monetary policy over time? A bayesian analysis using Austrian data," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 45, May.
• Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001, "The ECB monetary policy strategy and the money market," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 47, Jun.
• Gary Chamberlain, 2001, "Minimax Estimation and Forecasting in a Stationary Autoregression Model," American Economic Review, American Economic Association, volume 91, issue 2, pages 55-59, May.
• John DiNardo & Justin L. Tobias, 2001, "Nonparametric Density and Regression Estimation," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 11-28, Fall.
• Bruce E. Hansen, 2001, "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 117-128, Fall.