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

2001

• Eric Ghysels & Alain Guay, 2001, "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 133, Jun.
• Alain Guay, 2001, "Optimal Predictive Tests and a Simulation Study," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 142, Oct.
• Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001, "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 143, Oct.
• Douglas J. Hodgson & Keith Vorkink, 2001, "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 144, Oct.
• Han Hong & Olivier Scaillet & Elie Tamer, 2001, "A Fast Subsampling Method for Nonlinear Dynamic Models," Working Papers, Center for Research in Economics and Statistics, number 2001-39.
• Pérez, Ana & Ruiz Ortega, Esther, 2001, "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number ds010101, Jun.
• Romano, Joseph P. & Wolf, Michael, 2001, "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010201, Jan.
• Vincent BODART & Paul REDING, 2001, "Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001016, Apr.
• Michel LUBRANO, 2001, "Smooth Transition Garch Models : a Baysian Perspective," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001032, Sep.
• Soosung Hwang & John Knight & Stephen E. Satchell, 2001, "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 187-213, May.
• John C. Chao & Valentina Corradi & Norman R. Swanson, 2001, "Data Transformation and Forecasting in Models with Unit Roots and Cointegration," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 59-76, May.
• Velasco, Carlos & Robinson, Peter M., 2001, "Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean," Econometric Theory, Cambridge University Press, volume 17, issue 3, pages 497-539, June.
• Letson, David & McCullough, B.D., 2001, "ENSO and Soybean Prices: Correlation without Causality," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 33, issue 3, pages 513-521, December.
• Anderson, Heather M. & Vahid, Farshid, 2001, "Predicting The Probability Of A Recession With Nonlinear Autoregressive Leading-Indicator Models," Macroeconomic Dynamics, Cambridge University Press, volume 5, issue 4, pages 482-505, September.
• Powers, Michael R. & Shubik, Martin, 2001, "Toward a theory of reinsurance and retrocession," Insurance: Mathematics and Economics, Elsevier, volume 29, issue 2, pages 271-290, October.
• Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 2001, "Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, volume 20, issue 3, pages 379-399, June.
• Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 2001, "An empirical reassessment of target-zone nonlinearities," Journal of International Money and Finance, Elsevier, volume 20, issue 4, pages 533-548, August.
• Caner, M. & Kilian, L., 2001, "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, volume 20, issue 5, pages 639-657, October.
• Marinucci, D & Robinson, Peter, 2001, "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2015, Jul.
• Hidalgo, Javier & Robinson, Peter, 2001, "Adapting to unknown disturbance autocorrelation in regression with long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2078, Sep.
• Marinucci, D. & Robinson, Peter, 2001, "Finite sample improvements in statistical inference with I(1) processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2161, Jul.
• Giraitis, Liudas & Hidalgo, Javier & Robinson, Peter, 2001, "Gaussian estimation of parametric spectral density with unknown pole," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2182, Aug.
• Giraitis, Liudas & Robinson, Peter M., 2001, "Parametric estimation under long-range dependence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2227, May.
• Robinson, Peter & Yajima, Yoshihiro, 2001, "Determination of cointegrating rank in fractional systems," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2267, Jul.
• Marinucci, D & Robinson, Peter M., 2001, "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2269, Jul.
• Robinson, Peter M., 2001, "The memory of stochastic volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2298, Feb.
• Chen, Xiaohong & Linton, Oliver & Robinson, Peter, 2001, "The estimation of conditional densities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2312, May.
• Gil-Alaña, L. A. & Robinson, Peter M., 2001, "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 298, Mar.
• Hidalgo, Javier & Yajima, Y., 2001, "Prediction and signal extraction of strong dependent processess in the frequency domain," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6859, Jun.
• Orbe Mandaluniz, Susan & Ferreira García, María Eva & Rodríguez Poo, Juan M., 2001, "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jan.
• Ansgar Belke, 2001, "Exchange Rate Uncertainty and the German Labour Market: A Cointegration Application of the ARDL Approach," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 5, issue 1, pages 8-46, Summer.
• Guglielmo Maria Caporale & Nikitas Pttis, 2001, "Revisiting the Long-Run Relationship between Real Exchange Rates and Real Interest Differentials: A Productivity Differential Approach Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 5, issue 2, pages 155-177, Winter.
• Mohammed I. Ansari, 2001, "Accounting for the Service Sector Growth in the United States: An Econometric Study," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 5, issue 2, pages 215-228, Winter.
• van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001, "The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-12, Mar.
• Harissis H. & Mesomeris S. & Staikouras S., 2001, "Long-Term Trends and Short-Run Dynamics in International Stock Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 103-120, July - De.
• Ghatak A., 2001, "Structual Break: Tests of the Present-Value Government Borrowing Constraint and Stability of Debt-GDP Ratio in the UK: 1970-2000," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 37-54, July - De.
• Pronzato, Chiara, 2007, "Return to work after childbirth: does parental leave matter in Europe?," ISER Working Paper Series, Institute for Social and Economic Research, number 2007-30, Nov.
• Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001, "Factor Forecasts for the UK," Economics Working Papers, European University Institute, number ECO2001/15.
• Valentina Corradi & Norman R. Swanson, 2001, "Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error," Discussion Papers, University of Exeter, Department of Economics, number 0101, Feb.
• Valentina Corradi & Norman R. Swanson, 2001, "A Randomized Procedure for Choosing Data Transformation," Discussion Papers, University of Exeter, Department of Economics, number 0105, Jun.
• Robert Plasman & Fran?ois Rycx, 2001, "The War of Models: Determination of Wages and Employment in Swedish Private Sector," STUDI ECONOMICI, FrancoAngeli Editore, volume 2001, issue 73.
• Martin Melecký, 2001, "Comparison of Selected Simple Models of Inflation in the Czech Economy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 5, pages 279-297, May.
• Tao Wu, 2001, "Stylized Facts on Nominal Term Structure and Business Cycles: An Empirical VAR Study," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-08, Aug, DOI: 10.24148/wp2002-08.
• Michael J. Dueker & Katrin Wesche, 2001, "European business cycles: new indices and analysis of their synchronicity," Working Papers, Federal Reserve Bank of St. Louis, number 1999-019, DOI: 10.20955/wp.1999.019.
• Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001, "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers, Financial Markets Group, number dp382, Jun.
• Hong, H. & Scaillet, O. & Tamer, E., 2001, "A fast Subsampling Method for Nonlinear Dynamic Models," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.09.
• Podevin, M., 2001, "Are Consumers Forward-Looking?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.22.
• 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.
• Harding, Don & Pagan, Adrian, 2001, "Extracting, Using and Analysing Cyclical Information," MPRA Paper, University Library of Munich, Germany, number 15, Aug.
• Das, Nimai & Sarker, Debnarayan, 2001, "Population, Forest Degradation and Environment: A Nexus," MPRA Paper, University Library of Munich, Germany, number 15161.
• Souza-Sobrinho, Nelson, 2001, "Extração da Volatilidade do Ibovespa
  [Estimating Ibovespa's Volatility]," MPRA Paper, University Library of Munich, Germany, number 15571.
• Iqbal, Javed & Tahir, Muhammad & Baig, Mirza Aqeel, 2001, "Aggregate import demand function for Pakistan: a co-integration approach," MPRA Paper, University Library of Munich, Germany, number 23756, Mar.
• Iqbal, Javed, 2001, "Forecasting methods: a comparative analysis," MPRA Paper, University Library of Munich, Germany, number 23856, revised 2001.
• Moloche, Guillermo, 2001, "Local Nonparametric Estimation of Scalar Diffusions," MPRA Paper, University Library of Munich, Germany, number 46154, Sep.
• Bilgili, Faik, 2001, "ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması
  [A comparison of VAR and ARIMA Models’ forecasting accuracies]," MPRA Paper, University Library of Munich, Germany, number 75609.
• Koller, Wolfgang & Fischer, Manfred M., 2001, "Testing for Non-Linear Dependence in Univariate Time Series An Empirical Investigation of the Austrian Unemployment Rate," MPRA Paper, University Library of Munich, Germany, number 77809.
• Carrera, Jorge Eduardo & Cusolito, Ana Paula & Féliz, Mariano & Panigo, Demian, 2001, "An econometric approach to macroeconomic risk. A cross country study," MPRA Paper, University Library of Munich, Germany, number 7846, revised 2001.
• Sébastien Laurent & Aurélie Boubel & Christelle Lecourt, 2001, "L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar," Revue Économique, Programme National Persée, volume 52, issue 2, pages 353-370, DOI: 10.3406/reco.2001.410321.
• James G. MacKinnon, 2001, "Computing Numerical Distribution Functions In Econometrics," Working Paper, Economics Department, Queen's University, number 1037, Dec.
• Stephen Pollock, 2001, "Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem," Working Papers, Queen Mary University of London, School of Economics and Finance, number 433, Feb.
• Stephen Pollock & Nikoletta Lekka, 2001, "Deconstructing the Consumption Function: New Tools and Old Problems," Working Papers, Queen Mary University of London, School of Economics and Finance, number 448, Dec.
• Stephen Pollock, 2001, "Improved Frequency-selective Filters," Working Papers, Queen Mary University of London, School of Economics and Finance, number 449, Dec.
• Maria José Salgado & Márcio Gomes Pinto Garcia & Marcelo C. Medeiros, 2001, "Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 444, Sep.
• Marcelo C. Medeiros & Timo Terasvirta, 2001, "Statistical methods for modelling neural networks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 445, Sep.
• Marcelo C. Medeiros & Carlos E. Pedreira, 2001, "What are the effects of forecasting linear time series with neural networks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 446, Sep.
• Kostantinos Drakos, 2001, "The Expectations Hypothesis of the Term Structure: The Greek Interbank Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 4, pages 477-489.
• Panos Afxentiou & Apostolos Serletis, 2001, "Structural Characteristics of the Maastricht Convergence Criteria," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 3, pages 283-298.
• Subrata Ghatak & Alan Mulhern & Chris Stewart, 2001, "European Enlargement and Expansion of Polish SMEs," Economics Discussion Papers, School of Economics, Kingston University London, number 2001-6, Jan.
• Asmara Jamaleh, 2001, "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, volume 91, issue 2, pages 79-132, February.
• Patrik Gustavsson & Jonas Nordström, 2001, "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , volume 7, issue 2, pages 117-133, June, DOI: 10.5367/000000001101297766.
• S»bastien Laurent and Jean-Philippe Peters, 2001, "G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models," Computing in Economics and Finance 2001, Society for Computational Economics, number 123, Apr.
• Laurens Swinkels, Pieter Jelle VanDerSluis, 2001, "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001, Society for Computational Economics, number 125, Apr.
• Andrew Hughes Hallett, Christian R Richter, 2001, "Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure," Computing in Economics and Finance 2001, Society for Computational Economics, number 127, Apr.
• Nikolay Gospodinov, 2001, "Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity," Computing in Economics and Finance 2001, Society for Computational Economics, number 136, Apr.
• A. A. Perez Jr. and J. M. P. Moser, 2001, "Empirical analysis of the emerging Brazilian stock market: scaling and volatility," Computing in Economics and Finance 2001, Society for Computational Economics, number 174, Apr.
• Alan P. Kirman, Gilles Teyssiere, 2001, "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," Computing in Economics and Finance 2001, Society for Computational Economics, number 221, Apr.
• Robert A. Connolly, Nuray G½ner, and Kenneth N. Hightower, 2001, "Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?," Computing in Economics and Finance 2001, Society for Computational Economics, number 223, Apr.
• Gonul Turhan-Sayan * and Serdar Sayan**, 2001, "A Comparative Evaluation of the Performances of Different Filtering Techniques in Business Cycle Identification," Computing in Economics and Finance 2001, Society for Computational Economics, number 227, Apr.
• Jerry Coakley; Ana-Maria Fuertes, 2001, "Bootstrap LR Tests for Sign and Amplitude Asymmetries," Computing in Economics and Finance 2001, Society for Computational Economics, number 262, Apr.
• Jurgen A. Doornik and Marius Ooms, 2001, "Multimodality and the GARCH Likelihood," Computing in Economics and Finance 2001, Society for Computational Economics, number 76, Apr.
• Christopher F Baum, Mustafa Caglayan, Neslihan Ozkan, 2001, "Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data," Computing in Economics and Finance 2001, Society for Computational Economics, number 85, Apr.
• Tubagus Feridhanusetyawan & Haryo Aswicahyono & Ari A. Perdana, 2001, "The Male-Female Wage Differentials in Indonesia," CSIS Economics Working Paper Series, Centre for Strategic and International Studies, Jakarta, Indonesia, number WPE059, Jul.
• Michael Wüger & Gerhard Thury, 2001, "The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function," Empirical Economics, Springer, volume 26, issue 2, pages 325-341.
• Harri Ramcharran, 2001, "Estimating productivity and returns to scale in the US textile industry," Empirical Economics, Springer, volume 26, issue 3, pages 515-524.
• Donald W.K. Andrews & Yixiao Sun, 2001, "Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1293, Feb.
• Offer Lieberman & Peter C.B. Phillips, 2001, "Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1308, Jul.
• Jun Yu & Peter C.B. Phillips, 2001, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1309, Jul.
• Peter C.B. Phillips, 2001, "Regression with Slowly Varying Regressors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1310, Jul.
• Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001, "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1311, Jul.
• Zhijie Xiao & Peter C.B. Phillips, 2001, "A CUSUM Test for Cointegration Using Regression Residuals," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1329, Sep.
• Peter C.B. Phillips, 2001, "Bootstrapping Spurious Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1330, Sep.
• Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001, "Nonlinear Instrumental Variable Estimation of an Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1331, Sep.
• Federico M. Bandi & Peter C.B. Phillips, 2001, "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1332, Sep.
• Detelina Ivanova & Kajal Lahiri, 2001, "When should we care about consumer sentiment? Evidence from linear and Markov-switching models," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 36, issue 1, pages 153-169, January.
• John B. Guerard Jr., 2001, "A Note on the Forcasting Effectiveness of the U.S. Leading Economic Indicators," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 36, issue 1, pages 251-268, January.
• K. Dhanasekaran, 2001, "Government Tax Revenue, Expenditure and Causality: the Experience of India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 36, issue 2, pages 359-379, July.
• POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001, "New Extreme-Value Dependance Measures and Finance Applications," HEC Research Papers Series, HEC Paris, number 719, Feb.
• ROCKINGER, Michael & JONDEAU, Eric, 2001, "Testing for differences in the tails of stock-market returns," HEC Research Papers Series, HEC Paris, number 739, Oct.
• Pérez Quirós, Gabriel & Timmermann, Allan, 2001, "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series, European Central Bank, number 58, Apr.
• Pérez Quirós, Gabriel & Sicilia, Jorge & Gaspar, Ví­tor, 2001, "The ECB monetary policy strategy and the money market," Working Paper Series, European Central Bank, number 69, Jul.
• Engle, Robert F. & Manganelli, Simone, 2001, "Value at risk models in finance," Working Paper Series, European Central Bank, number 75, Aug.
• Cooper, Suzanne & Piehl, Anne Morrison & Braga, Anthony & Kennedy, David, 2001, "Testing for Structural Breaks in the Evaluation of Programs," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp01-019, May.
• Park, Joon Y & Phillips, Peter C B, 2001, "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, volume 69, issue 1, pages 117-161, January.
• Taylor, Alan M, 2001, "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," Econometrica, Econometric Society, volume 69, issue 2, pages 473-498, March.
• Mehmet Caner & Bruce E. Hansen, 2001, "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, volume 69, issue 6, pages 1555-1596, November.
• Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001, "Likelihood-based cointegration tests in heterogeneous panels," Econometrics Journal, Royal Economic Society, volume 4, issue 1, pages 1-41.
• Krolzig, Hans-Martin & Hendry, David F., 2001, "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, volume 25, issue 6-7, pages 831-866, June.
• Gil-Alana, Luis A., 2001, "A fractionally integrated model with a mean shift for the US and the UK real oil prices," Economic Modelling, Elsevier, volume 18, issue 4, pages 643-658, December.
• Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel, 2001, "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, volume 71, issue 3, pages 317-322, June.
• Kleiber, Christian, 2001, "Finite sample efficiency of OLS in linear regression models with long-memory disturbances," Economics Letters, Elsevier, volume 72, issue 2, pages 131-136, August.
• Fountas, Stilianos, 2001, "The relationship between inflation and inflation uncertainty in the UK: 1885-1998," Economics Letters, Elsevier, volume 74, issue 1, pages 77-83, December.
• Perez-Quiros, Gabriel & Timmermann, Allan, 2001, "Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities," Journal of Econometrics, Elsevier, volume 103, issue 1-2, pages 259-306, July.
• Burridge, Peter & Taylor, A. M. Robert, 2001, "On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity," Journal of Econometrics, Elsevier, volume 104, issue 1, pages 91-117, August.
• Hafner, Christian M. & Herwartz, Helmut, 2001, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 1-34, March.
• Fornari, Fabio & Mele, Antonio, 2001, "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 83-110, March.
• Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001, "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 325-342, July.
• Campbell, John Y., 2001, "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, volume 8, issue 5, pages 459-491, December.
• Bentzen, Jan & Engsted, Tom, 2001, "A revival of the autoregressive distributed lag model in estimating energy demand relationships," Energy, Elsevier, volume 26, issue 1, pages 45-55, DOI: 10.1016/S0360-5442(00)00052-9.

2000

• Donald W.K. Andrews & Patrik Guggenberger, 2000, "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1263, Jun.
• Katsumi Shimotsu & Peter C.B. Phillips, 2000, "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1265, Jul.
• Katsumi Shimotsu & Peter C.B. Phillips, 2000, "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1266, Jul, revised Sep 2003.
• Katsumi Shimotsu & Peter C.B. Phillips, 2000, "Pooled Log Periodogram Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1267, Jul.
• Hyungsik Roger Moon & Peter C.B. Phillips, 2000, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1274, Sep.
• Aaron F. Schiff & Peter C.B. Phillips, 2000, "Forecasting New Zealand's Real GDP," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1278, Oct.
• Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000, "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1283, Nov.
• René Böheim & Stephen P. Jenkins, 2000, "Do Current Income and Annual Income Measures Provide Different Pictures of Britain's Income Distribution?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 214.
• Stephen P. Jenkins & Carlos García-Serrano, 2000, "Re-employment Probabilities for Spanish Men: What Role Does the Unemployment Benefit System Play?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 216.
• Stephen P. Jenkins, 2000, "The Distribution of Income by Sectors of the Population," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 217.
• ROCKINGER, Michael & JONDEAU, Eric, 2000, "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," HEC Research Papers Series, HEC Paris, number 710, Jul.
• Fabiani, Silvia & Mestre, Ricardo, 2000, "Alternative measures of the NAIRU in the euro area: estimates and assessment," Working Paper Series, European Central Bank, number 17, Mar.
• De Bandt, Olivier & Mongelli, Francesco Paolo, 2000, "Convergence of fiscal policies in the euro area," Working Paper Series, European Central Bank, number 20, May.
• Morana, Claudio, 2000, "Measuring core inflation in the euro area," Working Paper Series, European Central Bank, number 36, Nov.
• Choi, Woon Gyu & Wen, Yi, 2000, "Measuring Interest Rates as Determined by Thrift and Productivity," Working Papers, Cornell University, Center for Analytic Economics, number 00-03, Jan.
• Joon Y. Park & Peter C. B. Phillips, 2000, "Nonstationary Binary Choice," Econometrica, Econometric Society, volume 68, issue 5, pages 1249-1280, September.
• Franc Klaassen, 2000, "Why is it so Difficult to Find an Effect of Exchange Rate Risk on Trade?," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0133, Aug.
• Anindya Banerjee & Bill Russell, 2000, "The Relationship Between the Markup and Inflation in the G7 Plus One Economies," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0242, Aug.
• Yiu Kuen Tse & Albert K. C. Tsui, 2000, "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0250, Aug.
• Helmut Luetkepohl & Pentti Saikkonen, 2000, "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0342, Aug.
• Hans-Martin Krolzig, 2000, "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0411, Aug.
• Filippo Altissimo & Valentina Corradi, 2000, "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0574, Aug.
• Jurgen A. Doornik & Marius Ooms, 2000, "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0798, Aug.
• Hyungsik Roger Moon, 2000, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0913, Aug.
• Gunter Coenen & Juan Luis Vega, 2000, "The Demand for M3 in the Euro Area," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0976, Aug.
• Jesper Linde, 2000, "Monetary Policy Analysis in Backward-Looking Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1028, Aug.
• Rolf Larsson & Johan Lyhagen, 2000, "Likelihood-Based Inference in Multivariate Panel Cointegration Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1313, Aug.
• John W. Galbraith & Victoria Zinde-Walsh, 2000, "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1800, Aug.
• Andrew Harvey & Siem Jan Koopman, 2000, "Signal extraction and the formulation of unobserved components models," Econometrics Journal, Royal Economic Society, volume 3, issue 1, pages 84-107.
• Jensen, Mark J., 2000, "An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 3, pages 361-387, March.
• Barnett, William A. & Serletis, Apostolos, 2000, "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 5-7, pages 703-724, June.
• Rault, Christophe, 2000, "Non-causality in VAR-ECM models with purely exogenous long-run paths," Economics Letters, Elsevier, volume 66, issue 1, pages 7-15, January.
• Karlsson, Sune & Lothgren, Mickael, 2000, "On the power and interpretation of panel unit root tests," Economics Letters, Elsevier, volume 66, issue 3, pages 249-255, March.
• Rault, Christophe, 2000, "Non-causality in VAR-ECM models with purely exogeneous long-run paths," Economics Letters, Elsevier, volume 67, issue 2, pages 121-129, May.
• Brooks, Chris & Henry, Olan T., 2000, "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, volume 67, issue 3, pages 245-251, June.
• Ayat, Leila & Burridge, Peter, 2000, "Unit root tests in the presence of uncertainty about the non-stochastic trend," Journal of Econometrics, Elsevier, volume 95, issue 1, pages 71-96, March.
• Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000, "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, volume 96, issue 1, pages 39-73, May.
• Dufour, Jean-Marie & Torres, Olivier, 2000, "Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes," Journal of Econometrics, Elsevier, volume 99, issue 2, pages 255-289, December.
• Jeyanthi Karuppiah & Cornelis A. Los, 2000, "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 2000-06.
• Renaud Caulet & Anne Peguin-Feissolle, 2000, "Un test d'hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels," Annals of Economics and Statistics, GENES, issue 59, pages 177-197.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2000, "Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 5B.1, Dec.
• Schiff, Aaron & Phillips, Peter, 2000, "Forecasting New Zealand's Real GDP," Working Papers, Department of Economics, The University of Auckland, number 186.
• Ernest Pons Fanals & Jordi Surinach Caralt, 2000, "Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 61.
• Gilles Bérubé & Denise Côté, 2000, "Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada," Staff Working Papers, Bank of Canada, number 00-3, DOI: 10.34989/swp-2000-3.
• Agustín Maravall & Fernando J. Sánchez, 2000, "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers, Banco de España, number 0014.
• Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000, "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 370, Mar.
• Claudio Michelacci & Paolo Zaffaroni, 2000, "(Fractional) Beta Convergence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 383, Oct.
• Eric Jondeau & Michael Rockinger, 2000, "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers, Banque de France, number 77.
• Ólan T. Henry & Peter M. Summers, 2000, "Australian Economic Growth: Nonlinearities and International Influences," The Economic Record, The Economic Society of Australia, volume 76, issue 235, pages 365-373, December, DOI: 10.1111/j.1475-4932.2000.tb00033.x.
• J. Durbin & S. J. Koopman, 2000, "Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 62, issue 1, pages 3-56, DOI: 10.1111/1467-9868.00218.
• Patrick Feve & Pierre‐Yves Henin, 2000, "Assessing Effective Sustainability of Fiscal Policy within the G–7," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 62, issue 2, pages 175-195, May, DOI: 10.1111/1468-0084.00167.
• A. M. R. Taylor, 2000, "The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag‐selection in Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 62, issue 2, pages 293-304, May, DOI: 10.1111/1468-0084.00172.
• Marcus Asplund & Rickard Eriksson & Richard Friberg, 2000, "Price Adjustments by a Gasoline Retail Chain," Scandinavian Journal of Economics, Wiley Blackwell, volume 102, issue 1, pages 101-121, March, DOI: 10.1111/1467-9442.00186.
• Basma Bekdache & Christopher F. Baum, 2000, "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics, Boston College Department of Economics, number 472, Sep.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2000, "Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports," Boston College Working Papers in Economics, Boston College Department of Economics, number 488, Dec, revised 30 Jul 2002.
• Aman Ullah & Tae-Hwy Lee, 2000, "Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models," Working papers, Centre for Development Economics, Delhi School of Economics, number 77, Mar.
• Jansson, Michael & Haldrup, Niels Prof., 2000, "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt5b13w0rp, Jun.
• Haldrup, Niels Prof. & Lildholdt, Peter, 2000, "Local Power Functions of Tests for Double Unit Roots," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt01j3m1h6, Jun.
• Haldrup, Niels Prof. & Lildholdt, Peter, 2000, "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2k0780sh, Jun.