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

• Robert Engle, 2001, "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 157-168, Fall.
• Letson, David & McCullough, B.D., 2001, "Enso And Soybean Prices: Correlation Without Causality," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 33, issue 3, pages 1-9, December, DOI: 10.22004/ag.econ.15443.
• MacKinnon, James, 2001, "Computing Numerical Distribution Functions in Econometrics," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273507, Dec, DOI: 10.22004/ag.econ.273507.
• Gilles Teyssière & Alan Kirman, 2001, "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 5A.4, Jan.
• Diks, C.G.H. & Manzan, S., 2001, "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-02.
• DE CEUSTER, Marc & ANNAERT, Jan & HODSGON, Allan, 2001, "Moment condition failure Australian evidence," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2001010, Apr.
• Shakila Aruman & Mardi Dungey, 2001, "A Perspective on Modelling the Real Trade Weighted Index Since the Float," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 435, Jun.
• Roumen Vesselinov, 2001, "Methods for Forecasting the Business Cycle," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 61-73.
• Richard Luger, 2001, "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers, Bank of Canada, number 01-2, DOI: 10.34989/swp-2001-2.
• Ying Liu, 2001, "Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model," Staff Working Papers, Bank of Canada, number 01-23, DOI: 10.34989/swp-2001-23.
• Fabio Fornari & Antonio Mele, 2001, "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 396, Feb.
• Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2001, "Money demand in the euro area: do national differences matter?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 405, Jun.
• Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001, "Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market," Borradores de Economia, Banco de la Republica de Colombia, number 169, Jan, DOI: 10.32468/be.169.
• Luis Eduardo Arango & Carlos Esteban Posada, 2001, "El Desempleo en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 176, Mar, DOI: 10.32468/be.176.
• Luis Eduardo Arango & Luis Fernando Melo, 2001, "Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models," Borradores de Economia, Banco de la Republica de Colombia, number 186, Sep, DOI: 10.32468/be.186.
• Rockinger, Michael & Urga, Giovanni, 2001, "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 1, pages 73-84, January.
• Taylor, A M Robert & Smith, Richard J, 2001, "Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 2, pages 192-207, April.
• Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009, "Private information, stock markets, and exchange rates," BIS Working Papers, Bank for International Settlements, number 271, Feb.
• Heather M. Anderson & Farshid Vahid, 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices," Australian Economic Papers, Wiley Blackwell, volume 40, issue 4, pages 541-566, December, DOI: 10.1111/1467-8454.00141.
• David E.A. Giles & Gugsa T. Werkneh & Betty J. Johnson, 2001, "Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data," The Economic Record, The Economic Society of Australia, volume 77, issue 237, pages 148-159, June, DOI: 10.1111/1475-4932.00010.
• Óan T. Henry & Peter M. Summers, 2001, "Corrigendum: Australian Economic Growth: Nonlinearities and International Influences," The Economic Record, The Economic Society of Australia, volume 77, issue 237, pages 223-224, June, DOI: 10.1111/1475-4932.00017.
• Karen Cabos & Michael Funke & Nikolaus A. Siegfried, 2001, "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, Verein für Socialpolitik, volume 2, issue 3, pages 219-238, August, DOI: 10.1111/1468-0475.00035.
• Jörg Breitung & Christian Wulff, 2001, "Non‐linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual‐Class Shares," German Economic Review, Verein für Socialpolitik, volume 2, issue 4, pages 419-434, November, DOI: 10.1111/1468-0475.00047.
• Katsuto Tanaka, 2001, "K‐Asymptotics Associated with Deterministic Trends in Integrated and Near‐Integrated Processes," The Japanese Economic Review, Japanese Economic Association, volume 52, issue 1, pages 35-63, March, DOI: 10.1111/1468-5876.00179.
• Fabio Busetti & Andrew Harvey, 2001, "Testing for the Presence of a Random Walk in Series with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 2, pages 127-150, March, DOI: 10.1111/1467-9892.00216.
• L. A. Gil‐Alana, 2001, "Testing Stochastic Cycles in Macroeconomic Time Series," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 4, pages 411-430, July, DOI: 10.1111/1467-9892.00233.
• Menelaos Karanasos, 2001, "Prediction in ARMA Models with GARCH in Mean Effects," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 5, pages 555-576, September, DOI: 10.1111/1467-9892.00241.
• Leonardo Bartolini & Lorenzo Giorgianni, 2001, "Excess Volatility of Exchange Rates with Unobservable Fundamentals," Review of International Economics, Wiley Blackwell, volume 9, issue 3, pages 518-530, August, DOI: 10.1111/1467-9396.00297.
• Christopher F. Baum & John Barkoulas, 2001, "Dynamics of Intra-EMS Interest Rate Linkages," Boston College Working Papers in Economics, Boston College Department of Economics, number 492, Feb, revised 04 May 2004.
• Jushan Bai & Serena Ng, 2001, "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics, Boston College Department of Economics, number 501, Jun.
• Jushan Bai & Serena Ng, 2001, "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics, Boston College Department of Economics, number 519, Dec.
• Cabos Karen & Funke Michael & Siegfried Nikolaus A., 2001, "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, De Gruyter, volume 2, issue 3, pages 219-238, August, DOI: 10.1111/1468-0475.00035.
• Breitung Jörg & Wulff Christian, 2001, "Non-linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares," German Economic Review, De Gruyter, volume 2, issue 4, pages 419-434, December, DOI: 10.1111/1468-0475.00047.
• Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2001, "L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar," Revue économique, Presses de Sciences-Po, volume 52, issue 2, pages 353-370.
• Harvey, A.C. & Trimbur, T.M., 2001, "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0113, Jul.
• Muller, Ulrich & Elliott, Graham, 2001, "Tests for Unit Roots and the Initial Observation," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt9h99b2sv, Dec.
• Francisco J. André & Ricardo Martín & Javier J. Pérez, 2001, "Computing Robust Stylized Facts on Comovement," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2001/03.
• Natalia Fabra & Juan Toro, 2001, "Price Wars and Collusion in the Spanish Electricity Market," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2001/05.
• Julio Nogués & Martín Grandes, 2001, "COUNTRY RISK: Economic Policy, Contagion Effect or Political noise?," Journal of Applied Economics, Universidad del CEMA, volume 4, pages 125-162, May.
• Xiaohong Chen & Oliver Linton & Peter M Robinson, 2001, "The Estimation of Conditional Densities," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 415, May.
• Javier Hidalgo & Yoshihiro Yajima, 2001, "Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 418, Jun.
• Morten O. Ravn & Harald Uhlig, 2001, "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series, CESifo, number 479.
• Rómulo A. Chumacero & Francisco A. Gallego, 2001, "Trends and Cycles in Real-Time," Working Papers Central Bank of Chile, Central Bank of Chile, number 130, Nov.
• Zoulfikar Mehoumoud Issop, 2001, "Choc des termes de l'echange et balance courante : Une estimation des effets de substitution en France (1972-1998)," Economie Internationale, CEPII research center, issue 86, pages 27-47.
• Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001, "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers, CIRANO, number 2001s-03, Jan.
• John W. Galbraith & Victoria Zinde-Walsh, 2001, "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers, CIRANO, number 2001s-11, Feb.
• John W. Galbraith & Victoria Zinde-Walsh, 2001, "Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations," CIRANO Working Papers, CIRANO, number 2001s-15, Feb.
• Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001, "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers, CIRANO, number 2001s-25, Apr.
• John M. Maheu & Thomas McCurdy, 2001, "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers, CIRANO, number 2001s-42, Jun.
• Marc Brisson & Bryan Campbell & John W. Galbraith, 2001, "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers, CIRANO, number 2001s-46, Jul.
• Eric Ghysels & Alain Guay, 2001, "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers, CIRANO, number 2001s-54, Sep.
• John W. Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001, "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers, CIRANO, number 2001s-61, Nov.
• G. Boero & E. Marrocu, 2001, "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200110.
• Luis Eduardo Arango T. & Carlos Esteban Posada, 2001, "El Desempleo En Colombia," Borradores de Economia, Banco de la Republica, number 2495, Mar.
• Luis Eduardo Arango & Luis Fernando Melo, 2001, "Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models," Borradores de Economia, Banco de la Republica, number 2691, Sep.
• Luis Eduardo Arango & Andr�s Gonz�lez & Carlos Esteban Posada, 2001, "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," Borradores de Economia, Banco de la Republica, number 3468, Jan.
• Norberto Rodríguez, 2001, "Bayesian estimation and model selection for the weekly Colombian exchange rate," Revista de Economía del Rosario, Universidad del Rosario.
• Guglielmo Maria Caporale & Nikitas Pittis, 2001, "Persistence in macroeconomic time series: Is it a model invariant property?," Revista de Economía del Rosario, Universidad del Rosario.
• Philip Hans Franses, 2001, "Some comments on seasonal adjustment," Revista de Economía del Rosario, Universidad del Rosario.
• David Fernando Tobón & Gustavo López, 2001, "Suministro de información y seguros de confiabilidad en el mercado spot de generación de electricidad colombiano," Revista de Economía del Rosario, Universidad del Rosario.
• Elsa M. Castro Franco, 2001, "Algunos tópicos econométricos de interés: Series de tiempo, pronósticos, no linealidad," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia.
• Luis Eduardo Arango T. & Carlos Esteban Posada P., 2001, "El desempleo en Colombia," Coyuntura Social, Fedesarrollo, number 12955, May.
• FERNANDES, Marcelo & GRAMMIG, Joachim, 2001, "A family of autoregressive conditional duration models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001036, Aug.
• HAFNER, Christian & HERWARTZ, Helmut, 2001, "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001039, Sep.
• HAFNER, Christian, 2001, "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001046, Jun.
• Wolff, Christian & Lehnert, Thorsten, 2001, "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers, Centre for Economic Policy Research, number 2711, Feb.
• Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001, "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers, Centre for Economic Policy Research, number 2762, Apr.
• 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.
• 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.
• 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.
• 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.
• 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.