Research classified by Journal of Economic Literature (JEL) codes

---

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

• 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

• Chao, John C. & Swanson, Norman R., 2000, "Tests Of Nonnested Hypotheses In Nonstationary Regressions With An Application To Modeling Industrial Production," Macroeconomic Dynamics, Cambridge University Press, volume 4, issue 1, pages 42-72, March.
• 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," Adelaide Economics Working Papers, Adelaide University, School of Economics, 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.
• Paolo Zaffaroni, 2000, "Stationarity and Memory of ARCH Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 383, Mar.
• Zongwu Cai & Jianqin Fan & Qiwei Yao, 2000, "Adaptive Varying-Coefficient Linear Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 388, Apr.
• Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000, "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 398, Jul.
• L A Gil-Alaña & Peter M Robinson, 2000, "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 402, Nov.
• Raimundo Soto, 2000, "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile, Central Bank of Chile, number 73, Jun.
• Christian A. Johnson, 2000, "Un Modelo de Switching para el Crecimiento en Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 84, Nov.
• Rómulo Chumacero, 2000, "Se Busca una Raíz Unitaria: Evidencia para Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 86, Dec.
• Jean-Marie Dufour & Olivier Torrès, 2000, "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," CIRANO Working Papers, CIRANO, number 2000s-17, May.
• Philip M. Bodman & Mark Crosby, 2000, "Phases of the Canadian business cycle," Canadian Journal of Economics, Canadian Economics Association, volume 33, issue 3, pages 618-633, August.
• G. Boero & E. Marrocu, 2000, "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200014.
• BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, 2000, "Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000033, Jun.
• LUBRANO, Michel, 2000, "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000038, Aug.
• BAUWENS, Luc & HUNTER, John, 2000, "Identifying long-run behaviour with non-stationary data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000043, Sep.
• GIOT, Pierre, 2000, "Intraday value-at-risk," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000045, Sep.
• Rockinger, Michael & Urga, Giovanni, 2000, "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 2346, Jan.
• Diebold, Francis & Kilian, Lutz, 2000, "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers, Centre for Economic Policy Research, number 2424, Apr.
• Kilian, Lutz & Caner, Mehmet, 2000, "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers, Centre for Economic Policy Research, number 2425, Apr.
• Zoega, Gylfi & Coakley, Jerry & Fuertes, Ana-Maria, 2000, "Evaluating The Persistence And Structuralist Theories Of Unemployment," CEPR Discussion Papers, Centre for Economic Policy Research, number 2438, Apr.
• Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000, "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers, Center for Research in Economics and Statistics, number 2000-18.
• Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 2000, "An Empirical Investigation in Credit Spread Indices," Working Papers, Center for Research in Economics and Statistics, number 2000-59.
• Prigent, J.-L. & Renault, O. & Scaillet, O., 2000, "An Empirical Investigation in Credit Spread Indices," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2000028, Sep.
• Jushan Bai, 2000, "Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices," Annals of Economics and Finance, Society for AEF, volume 1, issue 2, pages 303-339, November.
• Moon, Hyungsik R. & Phillips, Peter C.B., 2000, "Estimation Of Autoregressive Roots Near Unity Using Panel Data," Econometric Theory, Cambridge University Press, volume 16, issue 6, pages 927-997, December.
• Christian M. Hafner & Wolfgang HÄrdle, 2000, "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, volume 4, issue 2, pages 189-207.
• Liudas Giraitis & Piotr Kokoszka & Remigijus Leipus & Gilles Teyssière, 2000, "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity," Statistical Inference for Stochastic Processes, Springer, volume 3, issue 1, pages 113-128, January, DOI: 10.1023/A:1009951213271.
• Javier Andrés & José E. Boscá, 2000, "Technological differences and convergence in the OECD," Spanish Economic Review, Springer;Spanish Economic Association, volume 2, issue 1, pages 11-27.
• R. Moodley & William Kerr & Daniel Gordon, 2000, "Has the Canada-US trade agreement fostered price integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 136, issue 2, pages 334-354, June, DOI: 10.1007/BF02707691.
• Alessandro Calza & Alexander Jung & Livio Stracca, 2000, "An econometric analysis of the main components of M3 in the Euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 136, issue 4, pages 680-701, December, DOI: 10.1007/BF02707648.
• Maurizio Baussola, 2000, "The Causality Between R&D And Investment," Economics of Innovation and New Technology, Taylor & Francis Journals, volume 9, issue 4, pages 385-399, DOI: 10.1080/10438590000000015.
• Oliver Linton & Douglas Steigerwald, 2000, "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, volume 19, issue 2, pages 145-174, DOI: 10.1080/07474930008800466.
• Jesus Gonzalo & Tae-Hwy Lee, 2000, "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, volume 27, issue 7, pages 821-827, DOI: 10.1080/02664760050120515.
• Aaron Schiff & Peter Phillips, 2000, "Forecasting New Zealand's real GDP," New Zealand Economic Papers, Taylor & Francis Journals, volume 34, issue 2, pages 159-181, DOI: 10.1080/00779950009544321.
• Kurt Brännäs & Jan G. de Gooijer, 2000, "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-049/4, Jun.
• Winfried G. Hallerbach, 2000, "Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 00-064/2, Jul.
• Jenke Ter Horst & Marno Verbeek, 2000, "Estimating Short-Run Persistence In Mutual Fund Performance," The Review of Economics and Statistics, MIT Press, volume 82, issue 4, pages 646-655, November.
• Rómulo Chumacero Escudero, 2000, "Se busca una raíz unitaria: evidencia para Chile," Estudios de Economia, University of Chile, Department of Economics, volume 27, issue 1 Year 20, pages 55-68, June.
• Diego Aboal & Fernando Lorenzo & Andrés Rius, 2000, "Is the exchange rate politically manipulated around elections? The evidence from Uruguay," Documentos de Trabajo (working papers), Department of Economics - dECON, number 1800, Dec.
• Kevin Nell, 2000, "Imported Inflation in South Africa: An Empirical Study," Studies in Economics, School of Economics, University of Kent, number 0005, May.
• Miguel A. León-Ledesma, 2000, "Unemployment Hysteresis in the US and the EU: a Panel Data Approach," Studies in Economics, School of Economics, University of Kent, number 0006, Jun.
• João Ricardo Faria & Miguel León-Ledesma, 2000, "Testing the Balassa-Samuelson Effect: Implications for Growth and PPP," Studies in Economics, School of Economics, University of Kent, number 0008, Sep.
• Kevin S. Nell, 2000, "Is Low Inflation a Precondition for Faster Growth? The Case of South Africa," Studies in Economics, School of Economics, University of Kent, number 0011, Oct.
• Miguel León-Ledesma, 2000, "R&D Spillovers and Export Performance: Evidence from the OECD Countries," Studies in Economics, School of Economics, University of Kent, number 0014, Dec.
• Kodrat Wibowo, 2000, "Does an Overvalued Real Exchange Rate Create More Policy Uncertainty? Singaporean Case Using GARCH Model," Working Papers in Economics and Development Studies (WoPEDS), Department of Economics, Padjadjaran University, number 200001, Oct, revised Oct 2000.
• David E. A. Giles & Betty J. Johnson, 2000, "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 0006, May.
• Richard Harris & Brian Silverstone, 2000, "Asymmetric Adjustment of Unemployment and Output in New Zealand: Rediscovering Okun's Law," Working Papers in Economics, University of Waikato, number 00/02, May.
• Martinez Peria, Maria Soledad, 2000, "The impact of banking crises on money demand and price stability," Policy Research Working Paper Series, The World Bank, number 2305, Mar.
• Gary Krueger & Susan J. Linz, 2000, "Virtual Reality: Barter and Restructuring in Russian Industry," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 465, Apr.
• Philip M. Bodman & Mark Crosby, 2000, "Phases of the Canadian business cycle," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 33, issue 3, pages 618-633, August, DOI: 10.1111/0008-4085.00033.
• Y.K. Tse & Albert K.C. Tsui, 2000, "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics, University Library of Munich, Germany, number 0004007, Nov.
• William A. Barnett & Yijun He, 2000, "Unsolved Econometric Problems in Nonlinearity, Chaos, and Bifurcation," Macroeconomics, University Library of Munich, Germany, number 0004021, Sep.
• Höppner, Florian & Wesche, Katrin, 2000, "Non-linear Effects of Fiscal Policy in Germany: A Markov-Switching Approach," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 9/2000.
• Kräussl, Roman, 2000, "Sovereign credit ratings and their impact on recent financial crises," CFS Working Paper Series, Center for Financial Studies (CFS), number 2000/04.
• Kaiser, Ulrich & Pohlmeier, Winfried, 2000, "Efficient Bargaining and the Skill-Structure of Wages and Employment," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/24.
• Thiele, Rainer, 2000, "Estimating the aggregate agricultural supply response: a survey of techniques and results for developing countries," Kiel Working Papers, Kiel Institute for the World Economy, number 1016.
• Scheide, Joachim & Trabandt, Mathias, 2000, "Predicting inflation in Euroland: the Pstar approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1019.
• Gil-Alaña, Luis A., 2000, "Testing of fractional cointegration in macroeconomic time series," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,105.
• Gil-Alaña, Luis A., 2000, "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,106.
• Gil-Alaña, Luis A., 2000, "A generalized fractional time series model," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,107.
• Lanne, Markku & Saikkonen, Pentti, 2000, "Reducing size distortions of parametric stationarity tests," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,12.
• Gil-Alaña, Luis A., 2000, "Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,13.
• Gil-Alaña, Luis A. & Henry, Brian, 2000, "Fractional integration and the dynamics of UK unemployment," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,14.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,15.
• Gil-Alaña, Luis A., 2000, "Modelling seasonality with fractionally integrated processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,16.
• Nielsen, Hannah & Tullio, Giuseppe & Wolters, Jürgen, 2000, "Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972 - 1998," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,66.
• Gil-Alaña, Luis A., 2000, "A fractionally integrated exponential model for UK unemployment," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,67.
• Gil-Alaña, Luis A., 2000, "A fractionally integrated model with a mean shift for the US and the UK real oil prices," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,68.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Fractional cointegration and real exchange rates," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,69.
• Gil-Alaña, Luis A., 2000, "Testing stochastic cycles in macroeconomic time series," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,70.
• Herwartz, Helmut & Theilen, Bernd, 2000, "The determinants of health care expenditure: Testing pooling restrictions in small samples," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,78.
• Herwartz, Helmut & Reimers, Hans-Eggert, 2000, "Testing the purchasing power parity in pooled systems of error correction models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,79.
• Hafner, Christian M., 2000, "Fourth moments of multivariate GARCH processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,80.
• Herwartz, Helmut & Neumann, Michael H., 2000, "Bootstrap inference in single equation error correction models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,87.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Unemployment and input prices: A fractional cointegration approach," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,56.
• Krämer, Walter & Sibbertsen, Philipp, 2000, "Testing for structural change in the presence of long memory," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2000,31.
• Kleiber, Christian, 2000, "Finite sample efficiency of OLS in linear regression models with long-memory disturbances," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2000,34.
• Franz, Wolfgang, 2000, "Neues von der NAIRU?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 00-41.
• Czarnitzki, Dirk & Stadtmann, Georg, 2000, "The behaviour of noise traders: empirical evidence on purchases of business magazines," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 00-65.
• 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.
• Nikolaus A. Siegfried, 2000, "Monetary Transmission Mechanisms in Euroland," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20003, Feb.
• Lyhagen, Johan, 2000, "The seasonal KPSS statistic," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 354, Jan.
• He, Changli, 2000, "Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 359, Feb.
• Medeiros, Marcelo & Veiga, Alvaro, 2000, "A Flexible Coefficient Smooth Transition Time Series Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 360, Feb, revised 29 Apr 2004.
• Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000, "Time-Varying Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 376, Apr.
• Larsson, Rolf & Lyhagen, Johan, 2000, "Testing for common cointegrating rank in dynamic panels," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 378, Apr.
• van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000, "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 380, May, revised 17 Jan 2001.
• Medeiros, Marcelo & Veiga, Alvaro, 2000, "Diagnostic Checking in a Flexible Nonlinear Time Series Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 386, Jun, revised 15 Jan 2001.
• Lundbergh, Stefan & Teräsvirta, Timo, 2000, "Forecasting with smooth transition autoregressive models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 390, Jun.
• Medeiros, Marcelo & Veiga, Alvaro & Resende, Mauricio, 2000, "A Combinatorial Approach to Piecewise Linear Time Series Analysis," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 393, Jun.
• Lyhagen, Johan, 2000, "Why not use standard panel unit root test for testing PPP," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 413, Nov.
• Byström , Hans, 2000, "The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool," Working Papers, Lund University, Department of Economics, number 2000:15, Sep.
• Amilon , Henrik & Byström , Hans, 2000, "The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?," Working Papers, Lund University, Department of Economics, number 2000:18, Nov.
• Lindé, Jesper, 2000, "Testing for the Lucas Critique: A Quantitative Investigation," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 113, Nov.
• Lindé, Jesper, 2000, "Monetary Policy Analysis in Backward-Looking Models," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 114, Nov.
• Lindström, Tomas, 2000, "Qualitative Survey Responses and Production over the Business Cycle," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 116, Nov.
• de Luna, Xavier, 2000, "Prediction Inference for Time Series," Umeå Economic Studies, Umeå University, Department of Economics, number 519, Jan.
• Brännäs, Kurt & de Gooijer, Jan G., 2000, "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," Umeå Economic Studies, Umeå University, Department of Economics, number 535, May.
• Yin-Wong Cheung, 2000, "Hong Kong Output Dynamics: An Empirical Analysis," Working Papers, Hong Kong Institute for Monetary Research, number 112000, Dec.
• Crespo-Cuaresma, Jesus, 2000, "Forecasting European GDP Using Self-Exciting Threshold Autoregressive Models. A Warning," Economics Series, Institute for Advanced Studies, number 79, Mar.
• Mansor H. Ibrahim, 2000, "Public And Private Capital Formation And Economic Growth In Malaysia, 1961-1995," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 8, issue 1, pages 21-40, June.
• Siklos, Pierre L, 2000, "Inflation Targets and the Yield Curve: New Zealand and Australia versus the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 5, issue 1, pages 15-32, February.
• Blum Ulrich & Dudley Leonard, 2000, "Blood, Sweat, and Tears: The Rise and Decline of the East German Economy, 1949–1988 / Blut, Schweiß, Tränen: Aufstieg und Niedergang der ostdeutschen Wirtschaft, 1949–1988," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 220, issue 4, pages 438-452, August, DOI: 10.1515/jbnst-2000-0405.
• Hujer Reinhard & Grammig Joachim & Kokot Stefan, 2000, "Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 220, issue 6, pages 689-714, December, DOI: 10.1515/jbnst-2000-0606.
• Fazekas, Károly & Ozsvald, Éva, 2000, "Növekvő munkanélküliség, rugalmasabb munkaerőpiac a japán stílusú foglalkoztatási modell átalakulása
  [Rising unemployment and a more flexible labour market the transformation of the Japanese-style employment model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 157-177.
• Tarján, Tamás, 2000, "Jánossy elmélete az új növekedési elmélet tükrében
  [Jánossy's theory in the light of the new growth theory]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 457-472.
• Janecskó, Balázs, 2000, "Idősor-modellezés és opcióárazás csonkolt Lévy-eloszlással
  [Time-series modelling and option pricing with a truncated Lévy distribution]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 899-917.
• Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000, "Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity," Cahiers de recherche, Université Laval - Département d'économique, number 0004.
• Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000, "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche, GREEN, number 0004.
• Jamie Emerson & Chihwa Kao, 2000, "Testing for Structural Change of a Time Trend Regression in Panel Data," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 15, Mar.
• Badi H. Baltagi & Chihwa Kao, 2000, "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 16, Mar.
• Yongmiao Hong & Chihwa Kao, 2000, "Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 32, Oct.
• Maurice J. Roche & Kieran McQuinn, 2000, "Speculation in agricultural land," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1010700, Oct.
• Kevin S. Nell, 2000, "The Endogenous/Exogenous Nature of South Africa’s Money Supply Under Direct and Indirect Monetary Control Measures," Journal of Post Keynesian Economics, Taylor & Francis Journals, volume 23, issue 2, pages 313-329, December, DOI: 10.1080/01603477.2000.11490283.
• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 159-179, September.
• Richard T. Baillie & Aydin A. Cecen & Young-Wook Han, 2000, "High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 247-267, September.
• Henry, O.T. & Summers, P.M., 2000, "Australian Economic Growth: Non-Linearities and Internaitonal Influences," Department of Economics - Working Papers Series, The University of Melbourne, number 738.
• Shami, R.G. & Forbes, C.S., 2000, "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/00, Dec.
• Anderson, H.M. & Vahid, F., 2000, "Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/00, Mar.