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

2000

• Evžen Koèenda & Juraj Valachy, 2000, "Exchange Rates and Monetary Measures," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 50, issue 9, pages 503-511, September.
• Leonardo Bartolini & Lorenzo Giorgianni, 2000, "Excess volatility of exchange rates with unobservable fundamentals," Staff Reports, Federal Reserve Bank of New York, number 103, Apr.
• Allan Timmermann & Gabriel Perez-Quiros, 2000, "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers, Financial Markets Group, number dp360, Oct.
• Olivier Scaillet & Olivier Renault & Jean-Luc Prigent, 2000, "An Empirical Investigation in Credit Spread Indices," FMG Discussion Papers, Financial Markets Group, number dp363, Nov.
• Pollock, D.S.G., 2000, "Filters for Short Nonstationary Sequences," G.R.E.Q.A.M., Universite Aix-Marseille III, number 00a04.
• Bauwens, L. & Lubrano, M., 2000, "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M., Universite Aix-Marseille III, number 00a18.
• Baghli, M., 2000, "Modelling the FF/DM Rate by Thresholding Cointegration Analysis," G.R.E.Q.A.M., Universite Aix-Marseille III, number 00b02.
• Michelacci, C. & Zaffaroni, P., 2000, "(Fractional) Beta Convergence," Papers, Banca Italia - Servizio di Studi, number 383.
• Laurent Calvet, 2000, "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1902.
• Lanne, M., 2000, "Testing the Predictability of Stock Returns," University of Helsinki, Department of Economics, Department of Economics, number 488.
• Lanne, M. & Saikkonen, P., 2000, "Threshold Autoregression for Strongly Autocorrelated Time Series," University of Helsinki, Department of Economics, Department of Economics, number 489.
• Tofallis, C., 2000, "Multiple Neutral Regression," Papers, University of Hertfordshire - Business Schoool, number 2000:13.
• Li, J.X. & Winker, P., 2000, "Time Series Simulation With Quasi Monte Carlo Methods," Papers, Pennsylvania State - Department of Economics, number 9-00-1.
• Sergey Drobyshevsky, 2000, "Modelling Spot Rate Process in the Russian Treasury Bills Market," Working Papers, Gaidar Institute for Economic Policy, number 0018, revised 2000.
• McKitrick, R., 2000, "Time Series Characteristics of Surface and Free Atmosphere Temperature Anomalies 1958-1999," Working Papers, University of Guelph, Department of Economics and Finance, number 2000-4.
• Renaud Caulet & Anne Peguin-Feissolle, 2000, "Un test d'hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels," Post-Print, HAL, number halshs-00390155, DOI: 10.2307/20076247.
• Michael Rockinger & Eric Jondeau, 2000, "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers, HAL, number hal-00601486, Jul.

1999

• Merlo, Antonio & Schotter, Andrew, 1999, "A Surprise-Quiz View of Learning in Economic Experiments," Games and Economic Behavior, Elsevier, volume 28, issue 1, pages 25-54, July.
• Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 1999, "Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 9, issue 4, pages 359-376, November.
• Ermisch, John, 1999, "Prices, Parents, and Young People's Household Formation," Journal of Urban Economics, Elsevier, volume 45, issue 1, pages 47-71, January.
• Haldane, Andrew & Quah, Danny, 1999, "UK Phillips curves and monetary policy," Journal of Monetary Economics, Elsevier, volume 44, issue 2, pages 259-278, October.
• Ben Salem, Melika & Jacques, Jean-Francois, 1999, "Contribution of aggregate and sectoral shocks to the dynamics of inventories:: An empirical study with French and American data," International Journal of Production Economics, Elsevier, volume 59, issue 1-3, pages 33-42, March.
• Dipendra Sinha, 1999, "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Working Papers, Economic Growth Center, Yale University, number 799, Apr.
• Danielsson, Jon & Payne, Richard, 1999, "Real trading patterns and prices in spot foreign exchange markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119126, Mar.
• Mª Isabel Aguilar & Mª Lucía Navarro & Mª Lucía Navarro, 1999, "Un análisis conjunto de las decisiones de actividad y ocupación de los jóvenes españoles," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 43, issue 01, pages 92-117.
• F. Bec & M. Ben Salem & R. MacDonald, 1999, "Real exchange rates and real interest rates : A nonlinear perspective," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 99-17.
• Ghatak, S. & Manolas, G. & Vavouras, I., 1999, "Wheat Supply Response in Greece and The European Union Policy," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-4, pages 57-68, January -.
• Kiviet, J.F. & Phillips, G.D.A., 1999, "Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models," Discussion Papers, University of Exeter, Department of Economics, number 9903.
• Kiviet, J.F. & Phillips, G.D.A., 1999, "The Bias of the 2SLS Variance Estimator," Discussion Papers, University of Exeter, Department of Economics, number 9904.
• Hadri, K. & Phillips, G.D.A., 1999, "The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator," Discussion Papers, University of Exeter, Department of Economics, number 9906.
• Martin Hlušek & Miroslav Singer, 1999, "Možnosti modelování vývozu a dovozu v období restrukturalizace (Import and Export Modelling in a Transition Economy)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 3, pages 143-156, March.
• Tomáš Holub, 1999, "Ceny v èeském zahranièním obchodì (Prices in Czech Foreign Trade)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 5, pages 253-267, May.
• Jan Filáèek, 1999, "Model spotøeby domácností v letech 1994-98 (Model of Household Consumption in the Czech Republic in 1994-1998)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 49, issue 7, pages 427-439, July.
• Lutz Kilian & Tao Zha, 1999, "Quantifying the half-life of deviations from PPP: The role of economic priors," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 99-21.
• Jon Danielsson & Richard Payne, 1999, "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers, Financial Markets Group, number dp320, Apr.
• Bentzen, J. & Engsted, T., 1999, "A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships," Papers, Aarhus School of Business - Department of Economics, number 99-7.
• Peguin-Feissolle, A., 1999, "A Comparison of the Power of Some Tests for Conditional Heteroscedasticity," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a22.
• Caulet, R. & Peguin-Feissolle, A., 1999, "Un test d'heteroscedasticite conditionnelle inspire de la modelisation en termes de reseaux neuronaux artificiels," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a23.
• Giraitis, L. & Kokoszka, P. & Leipus, R. & Teyssiere, G., 1999, "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a24.
• Peguin-Feissolle, A. & Terasvirta, T., 1999, "A General Framework for Testing the Granger Noncausality Hypothesis," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a42.
• Horvath, L. & Kokoszka, P. & Teyssiere, G., 1999, "Empirical Process of the Squared Residuals of an ARCH Sequence," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a44.
• Lubrano, M., 1999, "Smooth Transition GARCH Models: a Bayesian perspective," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a49.
• Bolgot, S. & Terraza, M., 1999, "Prevision des prix a terme du cacao et modeles ARMA non-lineaires," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99b02.
• Altissimo, F. & Siviero, S. & Terlizzese, D., 1999, "How Deep Are the Deep Parameters?," Papers, Banca Italia - Servizio di Studi, number 354.
• Denny, K., 1999, "Asymmetric Central Bank Reaction Functions: An Application of Smooth Transition Regression," Papers, College Dublin, Department of Political Economy-, number 99/4.
• Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999, "Kernel Based Nonlinear Canonical Analysis," Papers, Toulouse - GREMAQ, number 99.514.
• Kuo, B.-S. & Mikkola, A., 1999, "How Sure are we About PPP Panel Evidence with the Null of Stationary Real Exchange Rates," University of Helsinki, Department of Economics, Department of Economics, number 451.
• Mitra, K., 1999, "Is More Data Better?," University of Helsinki, Department of Economics, Department of Economics, number 452.
• Honkapohja, S. & Mitra, K., 1999, "Learning with Bounded Memory in Stochastic Models," University of Helsinki, Department of Economics, Department of Economics, number 456.
• Kauppi, H., 1999, "Essays on Econometrics of Cointegration," University of Helsinki, Department of Economics, Department of Economics, number 84.
• Tan, B. & Yilmaz, K., 1999, "Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation," Papers, Koc University, number 99/03.
• Nason, G.P. & von Sachs, R., 1999, "Wavelets in Time Series Analysis," Papers, Catholique de Louvain - Institut de statistique, number 9901.
• Ombao, H.C. & Raz, J.A. & Strawderman, R.L. & von Sachs, R., 1999, "A Simple GCV Method of Span Selection for Periodigram Smoothing," Papers, Catholique de Louvain - Institut de statistique, number 9917.
• Kilian, L. & Ohanian, L.E., 1999, "Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective," Papers, Michigan - Center for Research on Economic & Social Theory, number 99-02.
• Kilian, L. & Caner, M., 1999, "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate," Papers, Michigan - Center for Research on Economic & Social Theory, number 99-05.
• Asplund, M. & Sandin, R. & Steen, F., 1999, "Turbulence in the Swedish Beer Market," Papers, Norwegian School of Economics and Business Administration-, number 3/99.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-060, Oct.
• Rault, C., 1999, "Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.44.
• Bessec, M. & N'Diaye, P. MB. P., 1999, "Modeles a changement de regime Markovien," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.56.
• Brana, S. & Maurel, M., 1999, "Barter in Russia : Liquidity Shortage Versus Lack of Restructuring," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.98.
• Sinha, D., 1999, "Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis," Papers, Yale - Economic Growth Center, number 799.
• Anne Peguin-Feissolle, 1999, "A comparison of the power of some tests for conditional heteroscedasticity," Post-Print, HAL, number halshs-00390157.
• Sophie Brana & Mathilde Maurel, 1999, "Barter in Russia: Liquidity Shortage Versus Lack of Restructuring," Post-Print, HAL, number halshs-03707293, Jun.
• Enrique Sentana, 1999, "Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 1, pages 79-90.
• Regina Kaiser & Agustín Maravall, 1999, "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 2, pages 175-206.
• Yeung Lewis Chan & James H. Stock & Mark W. Watson, 1999, "A dynamic factor model framework for forecast combination," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 2, pages 91-121.
• Bjørn E. Naug, 1999, "Modelling the Demand for Imports and Domestic Output," Discussion Papers, Statistics Norway, Research Department, number 243, Jan.
• Ingvild Svendsen, 1999, "Female labour participation rates in Norway - trends and cycles," Discussion Papers, Statistics Norway, Research Department, number 253, Apr.
• Pål Boug, 1999, "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers, Statistics Norway, Research Department, number 256, Jun.
• John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999, "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, volume 31, issue 11, pages 1393-1400, DOI: 10.1080/000368499323274.
• Niels Haldrup & Michael Jansson, 1999, "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-005/4, Feb.
• Stefan Lundbergh & Timo Teräsvirta, 1999, "Evaluating GARCH Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-008/4, Feb.
• Harvey, A.C. & Koopman, S.J.M., 1999, "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-44.
• Klaassen, F.J.G.M., 1999, "Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-73.
• Harvey, A.C. & Koopman, S.J.M., 1999, "Signal Extraction and the Formulation of Unobserved Components Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number 44688527-92c9-4c46-ac53-f.
• Klaassen, F.J.G.M., 1999, "Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?," Other publications TiSEM, Tilburg University, School of Economics and Management, number a505c047-b2cf-4c2b-a7ea-8.
• Kevin S. Nell, 1999, "The Stability of Money Demand in South Africa, 1965-1997," Studies in Economics, School of Economics, University of Kent, number 9905, Feb.
• Kevin S. Nell, 1999, "The Relation Between Money, Income and Prices in South Africa," Studies in Economics, School of Economics, University of Kent, number 9909, Jul.
• Kevin S. Nell, 1999, "The Endogenous/Exogenous Nature of South Africa's Money Supply Under Direct and Indirect Monetary Control Measures," Studies in Economics, School of Economics, University of Kent, number 9912, Nov.
• Pierre Siklos, 1999, "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 25, Dec.
• Changli He & Timo Terasvirta & Hans Malmsten, 1999, "Fourth Moment Structure of a Family of First-Order Exponential GARCH Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 29, Dec.
• Nguyen Chan & Madanmohan Ghosh & John Whalley, 1999, "Evaluating Tax Reform in Vietnam Using General Equilibrium Methods," University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics, number 9904.
• Huirong Li & Jian Yang, 1999, "Modeling Stock Volatility with Trading Information," University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics, number 9909.
• Huirong Li & Jian Yang, 1999, "Stochastic Threshold Models on Interest Rate," University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics, number 9913.
• David E. A. Giles & Betty J. Johnson, 1999, "Taxes, Risk-Aversion, and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 9910, Aug.
• David E. A. Giles & Gugsa T. Werkneh & Betty J. Johnson, 1999, "Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 9911, Aug.
• Sandra G. Feltham & David E.A. Giles, 1999, "Testing for Unit Roots in Semi-Annual Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 9912, Aug.
• Benedikt M. Pötscher, 1999, "Lower Risk Bounds and Properties of Confidence Sets For Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots,and Estimation of Long Memory Parameters," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0202, Sep.
• Sophie Brana & Mathilde Maurel, 1999, "Barter in Russia: Liquidity Shortage versus Lack of Restructuring," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 271, Jun.
• Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1999, "Persistence in International Inflation Rates," Southern Economic Journal, John Wiley & Sons, volume 65, issue 4, pages 900-913, April, DOI: 10.1002/j.2325-8012.1999.tb00207.x.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 00-29, Oct.
• Jiahui Wang & Eric Zivot, 1999, "A Time Series Model of Multiple Structural changes in Level, Trend and Variance," Econometrics, University Library of Munich, Germany, number 9903002, Mar, revised 31 Mar 1999.
• Hannes Leeb & Benedikt Poetscher, 1999, "The variance of an integrated process need not diverge to infinity," Econometrics, University Library of Munich, Germany, number 9907001, Jul.
• Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999, "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance, University Library of Munich, Germany, number 9904006, Apr.
• William A. Barnett & Yijun He, 1999, "Center Manifold, Stability, and Bifurcations in Continuous Time Macroeconometric Systems," Macroeconomics, University Library of Munich, Germany, number 9901002, Jan.
• William A. Barnett & Yijun He & ., 1999, "Stabilization Policy as Bifurcation Selection: Would Keynesian Policy Work if the World Really were Keynesian?," Macroeconomics, University Library of Munich, Germany, number 9906008, Jun.
• George J. Jiang, 1999, "Stochastic Volatility And Jump-Diffusion — Implications On Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 409-440, DOI: 10.1142/S0219024999000212.
• Ahrens, Ralf, 1999, "Predicting recessions with interest rate spreads: A multicountry regime-switching analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 1999/15.
• Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999, "A simple variable selection technique for nonlinear models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,26.
• Saikkonen, Pentti & Lütkepohl, Helmut, 1999, "Testing for unit roots in time series with level shifts," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,27.
• Lütkepohl, Helmut & Müller, Christian & Saikkonen, Pentti, 1999, "Unit root tests for time series with a structural break: When the break point is known," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,33.
• Herwartz, Helmut, 1999, "Weekday dependence of German stock market returns," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,47.
• Hafner, Christian M. & Herwartz, Helmut, 1999, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,58.
• Breitung, Jörg & Wulff, Christian, 1999, "Nonlinear error correction and the efficient market hypothesis: The case of German dual-class shares," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,67.
• Saikkonen, Pentti & Lütkepohl, Helmut, 1999, "Testing for a unit root in a time series with a level shift at unknown time," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,72.
• Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssière, Gilles, 1999, "Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,81.
• Horvath, Lajos & Kokoszka, Piotr & Teyssière, Gilles, 1999, "Empirical process of the squared residuals of an ARCH sequence," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,87.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 1999, "Comparison of unit root tests for time series with level shifts," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,88.
• Kaiser, Ulrich & Voß, Katrin, 1999, "Do Business-related Services Really Lag Behind Manufacturing Industries in the Business Cycle? Empirical Evidence on the Lead/Lag Relationship Between Business-related Services and Manufacturing Industries for Germany," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 99-34.
• Peter C.B. Phillips, 1999, "Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1219, Jun.
• Peter C.B. Phillips & Werner Ploberger, 1999, "Empirical Limits for Time Series Econometric Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1220, May.
• Peter C.B. Phillips & Joon Y. Park, 1999, "Nonstationary Binary Choice," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1223, Jun.
• Hyungsik R. Moon & Peter C.B. Phillips, 1999, "Estimation of Autoregressive Roots Near Unity Using Panel Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1224, Jun.
• Michael R. Powers & Martin Shubik, 1999, "Toward a Theory of Reinsurance and Retrocession," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1227, Jun.
• Peter C.B. Phillips, 1999, "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1243, Dec.
• Peter C.B. Phillips, 1999, "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1244, Dec.
• Scholl, Armin, 1999, "Balancing and sequencing of assembly lines," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 10881.
• Braga de Macedo, J. & Catela Nunes, L. & Covas, F., 1999, "Moving the escudo into the euro," DELTA Working Papers, DELTA (Ecole normale supérieure), number 1999-14.
• Nasiruddin Ahmed, 1999, "The Demand for Money in Bangladesh During 1975-1997: A Cointegration Analysis," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 34, issue 2, pages 171-185, July.
• ROCKINGER, Michael & JONDEAU, Eric, 1999, "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," HEC Research Papers Series, HEC Paris, number 668, Apr.
• Vega, Juan Luis & Coenen, Günter, 1999, "The demand for M3 in the euro area," Working Paper Series, European Central Bank, number 6, Sep.
• Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999, "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, volume 2, issue 1, pages 107-160.
• Mohammad Hashem Pesaran & Yongcheol Shin & Richard J Smith, 1999, "Bounds Testing Approaches to the Analysis of Long Run Relationships," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 46, Feb.
• Yongcheol Shin & Andy Snell, 1999, "Testing for Stationarity in Heterogeneous Panels with Serially Correlated Errors," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 70, Dec.
• LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999, "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, volume 23, issue 9-10, pages 1487-1516, September.
• Granger, Clive W. J. & Terasvirta, Timo, 1999, "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, volume 62, issue 2, pages 161-165, February.
• Hadri, Kaddour & Phillips, Garry D. A., 1999, "The accuracy of the higher order bias approximation for the 2SLS estimator," Economics Letters, Elsevier, volume 62, issue 2, pages 167-174, February.
• Peguin-Feissolle, Anne, 1999, "A comparison of the power of some tests for conditional heteroscedasticity," Economics Letters, Elsevier, volume 63, issue 1, pages 5-17, April.
• Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999, "A simple linear time series model with misleading nonlinear properties," Economics Letters, Elsevier, volume 65, issue 3, pages 281-284, December.
• Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999, "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, volume 90, issue 2, pages 193-213, June.
• Whang, Yoon-Jae & Linton, Oliver, 1999, "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, volume 91, issue 1, pages 1-42, July.
• He, Changli & Terasvirta, Timo, 1999, "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, volume 92, issue 1, pages 173-192, September.
• Martin, Vance L. & Wilkins, Nigel P., 1999, "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, volume 93, issue 1, pages 149-175, November.
• Lumsdaine, Robin L. & Ng, Serena, 1999, "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, volume 93, issue 2, pages 257-279, December.
• Steen, Frode & Sorgard, Lars, 1999, "Semicollusion in the Norwegian cement market," European Economic Review, Elsevier, volume 43, issue 9, pages 1775-1796, October.
• Anthony W. Hughes & Maxwell L. King & Kwek Kian Teng, 1999, "Selecting the Order of an ARCH Model," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 1999-01.
• Purcell, Tim & Harrison, Stephen R., , "The effect of imports on the Australian pig industry," 1999 Conference (43th), January 20-22, 1999, Christchurch, New Zealand, Australian Agricultural and Resource Economics Society, number 124535, DOI: 10.22004/ag.econ.124535.
• Purcell, Tim, , "Forecasting Marketing Margins in the Australian Pig Industry," 1999 Conference (43th), January 20-22, 1999, Christchurch, New Zealand, Australian Agricultural and Resource Economics Society, number 124539, DOI: 10.22004/ag.econ.124539.
• Ernest Pons Fanals & Jordi Surinach Caralt, 1999, "Consecuencias de la modelizacion ARIMA para la extraccion de senales en coyuntura," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 52.
• John Knight & Fuchun Li & Mingwei Yuan, 1999, "Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model," Staff Working Papers, Bank of Canada, number 99-19, DOI: 10.34989/swp-1999-19.
• Regina Kaiser & Agustín Maravall, 1999, "Seasonal Outliers in Time Series," Working Papers, Banco de España, number 9915.
• Filippo Altissimo & Stefano Siviero & Daniele Terlizzese, 1999, "How deep are the deep parameters?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 354, Jun.
• Luis Eduardo Arango & Andrés González, 1999, "A Nonlinear Specification of Demand for Narrow Money in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 135, Oct, DOI: 10.32468/be.135.
• Luis Armando Galvis Aponte & María Modesta Aguilera Díaz, 1999, "Determinantes de la demanda por turismo hacia Cartagena, 1987-1998," Documentos de trabajo sobre Economía Regional y Urbana, Banco de la Republica de Colombia, number 09, Mar, DOI: 10.32468/dtseru.9.
• Koop, Gary & Potter, Simon M, 1999, "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, volume 17, issue 3, pages 298-312, July.
• Eric Jondeau & Michael Rockinger, 1999, "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers, Banque de France, number 66.
• Renaud Lacroix, 1999, "Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I," Working papers, Banque de France, number 70.
• Renaud Lacroix, 1999, "Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part II," Working papers, Banque de France, number 71.
• Renaud Lacroix, 1999, "Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models," Working papers, Banque de France, number 72.
• Changli He & Timo Terasvirta, 1999, "Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints," Journal of Time Series Analysis, Wiley Blackwell, volume 20, issue 1, pages 23-30, January, DOI: 10.1111/1467-9892.00123.
• Chihwa Kao & Min‐Hsien Chiang & Bangtian Chen, 1999, "International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 61, issue S1, pages 691-709, November, DOI: 10.1111/1468-0084.0610s1691.
• Kapetanios, G., 1999, "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9905, Jan.
• Pesaran, M. Hashem & Shin, Y. & Smith, R.J., 1999, "Bounds Testing Approaches to the Analysis of Long-run Relationships," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9907, Feb.
• René Garcia & Huntley Schaller, 1999, "Are the Effects of Monetary Policy Asymmetric?," Carleton Economic Papers, Carleton University, Department of Economics, number 99-17, Jul.
• Moon, Hyungsik R. & Phillips, Peter C.B., 1999, "Estimation of Autoregressive Roots near Unity using Panel Data," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt7fd8x80m, Jul.
• Silvia Gonçalves & Lutz Kilian, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers, CIRANO, number 2003s-17, Apr.
• Peter Christoffersen & Stefano Mazzotta, 2004, "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers, CIRANO, number 2004s-16, Apr.
• Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999, "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers, CIRANO, number 99s-05, Feb.
• John W. Galbraith, 1999, "Content Horizons for Forecasts of Economic Time Series," CIRANO Working Papers, CIRANO, number 99s-17, Apr.
• Luis Eduardo Arango & Andr�s Gonz�lez, 1999, "A Nonlinear Specification Of Demand For Narrow Money In Colombia," Borradores de Economia, Banco de la Republica, number 1894, Oct.
• Luis Armando Galvis-Aponte & Maria Modesta Aguilera, 1999, "Determinantes de la demanda por turismo hacia Cartagena, 1987-1998," Documentos de Trabajo Sobre Economía Regional y Urbana, Banco de la República, Economía Regional, number 12607, Mar, DOI: 10.32468/dtseru.9.
• Luis Eduardo Arango, 1999, "Componentes no observados de la inflación en Colombia," Revista de Economía del Rosario, Universidad del Rosario.
• Fève, Patrick & Hénin, Pierre-Yves & Jolivaldt, Philippe, 1999, "Testing for hysteresis : unemployment persistence and wage adjustment," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9911.
• Kuo, Biing-Shen & Mikkola, Anne, 1999, "How Sure Are We About PPP? Panel Evidence with the Null of Stationary Real Exchange Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2120, Mar.
• Zalewska, Ania, 1999, "Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2134, Apr.
• Braga de Macedo, Jorge & Catela Nunes, Luís & Covas, Francisco, 1999, "Moving the Escudo into the Euro," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2248, Oct.
• Brana, Sophie & Maurel, Mathilde, 1999, "Barter in Russia: Liquidity Shortage Versus Lack of Restructuring," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2258, Oct.
• Haldane, Andrew & Quah, Danny, 1999, "UK Phillips Curves and Monetary Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2292, Nov.
• Quah, Danny, 1999, "Cross-Country Growth Comparison: Theory to Empirics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2294, Nov.
• Kilian, Lutz & Zha, Tao, 1999, "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2334, Dec.
• Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999, "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 84, Aug.
• Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999, "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 87, Jun.
• Christian Gourieroux & Joanna Jasiak, 1999, "Dynamic Factor Models," Working Papers, Center for Research in Economics and Statistics, number 99-08.
• Jushan Bai, 1999, "Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 24, Nov, revised Oct 2000.
• He, Changli & Teräsvirta, Timo, 1999, "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, volume 15, issue 6, pages 824-846, December.
• Dijk, Dick van & Franses, Philip Hans, 1999, "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, volume 3, issue 3, pages 311-340, September.
• Muriel Hernández, Beatriz, 1999, "Un modelo de coyuntura para la actividad industrial boliviana
  [A conjuncture model for bolivian industry activity]," MPRA Paper, University Library of Munich, Germany, number 124591, Sep.
• Serletis, Apostolos & Gogas, Periklis, 1999, "The North American natural gas liquids markets are chaotic," MPRA Paper, University Library of Munich, Germany, number 1576.
• Sinha, Dipendra, 1999, "Do exports promote savings in African countries?," MPRA Paper, University Library of Munich, Germany, number 18058.
• Jensen, Mark J, 1999, "Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter," MPRA Paper, University Library of Munich, Germany, number 39152.
• Macri, Joseph & Sinha, Dipendra, 1999, "An Empirical Study of Labour’s Share in Income for Australia," MPRA Paper, University Library of Munich, Germany, number 4018, Jan.
• Lord, Montague, 1999, "The Elasticities Approach to Egypt’s Balance of Payments and Equilibrium Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 41166, Oct.
• Proietti, Tommaso, 1999, "Structural Time Series Modelling of Capacity Utilisation," MPRA Paper, University Library of Munich, Germany, number 62621, Jun.