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

1998

• Christian Ragacs & Thomas Steinberger & Martin Zagler, 1998, "Growth Theories and the Persistence of Output Fluctuations: The Case of Austria," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp060, Sep.
• Ragacs, Christian & Steinberger, Thomas & Zagler, Martin, 1998, "Growth theories and the persistence of output fluctuations. The case of Austria," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 60.
• Steven N. Durlauf & Danny T. Quah, 1998, "The New Empirics of Economic Growth," Working Papers, Santa Fe Institute, number 98-01-012, Jan.
• William A. Barnett & Apostolos Serletis, 1998, "Martingales, Nonlinearity, and Chaos," Econometrics, University Library of Munich, Germany, number 9805003, Jun.
• Chihwa Kao & Jamie Emerson, 1998, "On the Estimation of a Linear Time Trend Regression with a One- Way Error Component Model in the Presence of Serially Correlated Errors," Econometrics, University Library of Munich, Germany, number 9805004, Jul.
• Michael A. Hauser, 1998, "Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study," Econometrics, University Library of Munich, Germany, number 9809001, Sep.
• John T. Cuddington & Hong Liang, 1998, "Commodity Price Volatility Across Exchange Rate Regimes," International Finance, University Library of Munich, Germany, number 9802003, Feb, revised 11 May 1998.
• William A. Barnett & Yijun He, 1998, "Bifurcations in Continuous-Time Macroeconomic Systems," Macroeconomics, University Library of Munich, Germany, number 9805018, Jun.
• Randal J. Verbrugge, 1998, "A cross-country investigation of macroeconomic asymmetries," Macroeconomics, University Library of Munich, Germany, number 9809017, Sep, revised 30 Sep 1998.
• Suzanne McCoskey & Chihwa Kao, 1998, "A Panel Data Investigation of the Relationship Between Urbanization and Growth," Urban/Regional, University Library of Munich, Germany, number 9805004, Jul.
• Boero, G. & Torricelli, C., 1998, "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 512.
• Stephen Brown & William Goetzmann & Alok Kumar, 1998, "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," Yale School of Management Working Papers, Yale School of Management, number ysm85, Feb, revised 01 Apr 2008.
• Stephen Brown & William Goetzmann & Alok Kumar, 1998, "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," Yale School of Management Working Papers, Yale School of Management, number ysm85, Feb, revised 01 Apr 2008.
• Gerhard, Frank & Hess, Dieter & Pohlmeier, Winfried, 1998, "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 98/01.
• Meyler, Aidan & Kenny, Geoff & Quinn, Terry, 1998, "Forecasting irish inflation using ARIMA models," MPRA Paper, University Library of Munich, Germany, number 11359, Dec.
• Sinha, Dipendra, 1998, "Economic growth and government expenditure in China," MPRA Paper, University Library of Munich, Germany, number 18347.
• Pastore, Francesco, 1998, "Le politiche salariali in una Unione Europea. Un'applicazione al caso italiano
  [Wage policies in a Monetary Union. An Application to the case of Italy]," MPRA Paper, University Library of Munich, Germany, number 21182.
• Lord, Montague, 1998, "Modeling the Open Macro-Economy of Vietnam," MPRA Paper, University Library of Munich, Germany, number 41164, Nov.
• Bilgili, Faik, 1998, "Stationarity and cointegration tests: Comparison of Engle - Granger and Johansen methodologies," MPRA Paper, University Library of Munich, Germany, number 75967.
• Robert A. Amano & Tony S. Wirjanto, 1998, "Government Expenditures and the Permanent-Income Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 1, issue 3, pages 719-730, July, DOI: 10.1006/redy.1998.0021.
• Yangru Wu & Junxi Zhang, 1998, "Are the U.S. Exports to and Imports from Japan Cointegrated?," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 13, pages 626-643.
• Bruce Mizrach & James Watkins, 1998, "A Markov Switching Cookbook," Departmental Working Papers, Rutgers University, Department of Economics, number 199817, Aug.
• Kamstra, M., 1998, "The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?," Discussion Papers, Department of Economics, Simon Fraser University, number dp98-05.
• Antti Ripatti, 1998, "Stability of the demand for M1 and harmonized M3 in Finland," Empirical Economics, Springer, volume 23, issue 3, pages 317-337.
• ûyvind Eitrheim, 1998, "The demand for broad money in Norway, 1969-1993," Empirical Economics, Springer, volume 23, issue 3, pages 339-354.
• Michael Scharnagl, 1998, "The stability of German money demand: Not just a myth," Empirical Economics, Springer, volume 23, issue 3, pages 355-370.
• Juan Luis Vega, 1998, "Money demand stability: Evidence from Spain," Empirical Economics, Springer, volume 23, issue 3, pages 387-400.
• Boero, Gianna & Torricelli, Costanza, , "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: some comparative evidence," Economic Research Papers, University of Warwick - Department of Economics, number 268794, DOI: 10.22004/ag.econ.268794.
• VALCKX, Nico & PLASMANS, Joseph E.J., 1998, "Financial asset returns and the macroeconomy: An elaboration of the consumption CAPM," SESO Working Papers, University of Antwerp, Faculty of Business and Economics, number 1998035, Dec.
• Durlauf,S.N. & Quah,D.T., 1998, "The new empirics of economic growth," Working papers, Wisconsin Madison - Social Systems, number 3.
• Phillips, Peter, 1998, "New Unit Root Asymptotics in the Presence of Deterministic Trends," Working Papers, Department of Economics, The University of Auckland, number 196.
• Emili Valdero Mora, 1998, "An application of a time series inequality to the detection of non-invertible moving average processes," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 24.
• Josep Lluis Carrion Silvestre & Andreu Sanso & Manuel Artis Ortuno, 1998, "Response surfaces for the dickey-fuller unit root test with structural breaks," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 25.
• Josep Lluis Carrion Silvestre & Andreu Sanso & Manuel Artis Ortuno, 1998, "Tendencias y cambios estructurales en la economia espanola. O hasta que punto es debil la presencia de raices unitarias," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 38.
• Víctor Gómez & Agustín Maravall, 1998, "Guide for Using the Programs TRAMO and SEATS (Beta Version: December 1997)," Working Papers, Banco de España, number 9805.
• Víctor Gómez & Agustín Maravall, 1998, "Automatic Modeling Methods for Univariate Series," Working Papers, Banco de España, number 9808.
• Víctor Gómez & Agustín Maravall, 1998, "Seasonal Adjustment and Signal Extraction in Economic Time Series," Working Papers, Banco de España, number 9809.
• Luis Eduardo Arango & Andrés González, 1998, "Some Evidence of Smooth Transition Nonlinearity in Colombian Inflation," Borradores de Economia, Banco de la Republica de Colombia, number 105, Sep, DOI: 10.32468/be.105.
• Sidika Basci & Asad Zaman, 1998, "Variance Estimates and Model Selection," Working Papers, Department of Economics, Bilkent University, number 9814.
• Peter C. B. Phillips & Zhijie Xiao, 1998, "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, volume 12, issue 5, pages 423-470, December, DOI: 10.1111/1467-6419.00064.
• John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998, "Fractional Monetary Dynamics," Boston College Working Papers in Economics, Boston College Department of Economics, number 321., Jan.
• Robin L. Lumsdaine & Serena Ng, 1998, "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics, Boston College Department of Economics, number 370, Aug.
• John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998, "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics, Boston College Department of Economics, number 377, Jun, revised 21 Apr 2000.
• Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1998, "Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?," Boston College Working Papers in Economics, Boston College Department of Economics, number 380, Feb.
• Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998, "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics, Boston College Department of Economics, number 404., Mar, revised 16 Nov 1999.
• Basma Bekdache & Christopher F. Baum, 1998, "Modeling fixed income excess returns," Boston College Working Papers in Economics, Boston College Department of Economics, number 409, Jun, revised 14 Apr 2000.
• Jushan Bai & Serena Ng, 1998, "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 410, Aug.
• Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 1998, "An Empirical Reassessment of Target-zone Nonlinearities," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9825, Nov.
• Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998, "Forecasting Irish inflation using ARIMA models," Research Technical Papers, Central Bank of Ireland, number 3/RT/98, Dec.
• Oscar Jorda, 1998, "Decision Rules for Selecting between Exponential and Logistic STAR," Working Papers, University of California, Davis, Department of Economics, number 207, Jan.
• S Durlauf & Danny Quah, 1998, "The New Empirics of Economic Growth," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0384, Mar.
• Robert M. Kunst, 1998, "Unit Roots, Change, and Decision Bounds," CESifo Working Paper Series, CESifo, number 157.
• Eric Ghysels & Alain Guay, 1998, "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers, CIRANO, number 98s-19, Jun.
• Myles Callan & Eric Ghysels & Norman R. Swanson, 1998, "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers, CIRANO, number 98s-40, Nov.
• Claudio Michelacci & Paolo Zaffaroni, 1998, "(Fractional) Beta Convergence," Working Papers, CEMFI, number wp1998_9803.
• Javier Álvarez & Manuel Arellano, 1998, "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Working Papers, CEMFI, number wp1998_9808.
• Luis Eduardo Arango & Andr�s Gonz�lez, 1998, "Some Evidence Of Smooth Transition Nonlinearity In Colombian Inflation," Borradores de Economia, Banco de la Republica, number 3515, Sep.
• Luis Eduardo Arango Thomas, 1998, "Temporary And Permanent Components Of Colombia'S Outpout," Borradores de Economia, Banco de la Republica, number 3549, Jun.
• Luis Fernando Melo & Martha Misas, 1998, "Análisis del comportamiento de la inflación trimestral en Colombia bajo cambios de régimen: Una evidencia a través del modelo "Switching" de Hamilton," Revista de Economía del Rosario, Universidad del Rosario.
• HAFNER, Christian & HERWARTZ, Helmut, 1998, "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1998047, Aug.
• LUBRANO, Michel, 1998, "Smooth transition GARCH models: a Bayesian perspective," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1998066, Dec.
• Fève, Patrick & Hénin, Pierre-Yves & Jolivaldt, Philippe, 1998, "Feedback covariates unit root tests : an application to the sustainability of fiscal policy," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9810.
• Fève, Patrick & Hénin, Pierre-Yves, 1998, "Assessing effective sustainability of fiscal policy within the G-7," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9815.
• Artis, Michael J & Marcellino, Massimiliano, 1998, "Fiscal Solvency and Fiscal Forecasting in Europe," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1836, Mar.
• Darvas, Zsolt, 1998, "Spurious Correlation in Exchange Rate Target Zone Modelling: Testing the Drift Adjustment Method on the US Dollar, Random Walk and Chaos," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1890, May.
• Eric Guysels & Alain Guay, 1998, "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 61, Jun.
• Eric Ghysels & Alain Guay, 1998, "Structural Change Tests for Simulated Method of Moments," Working Papers, Center for Research in Economics and Statistics, number 98-37.
• Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 1998, "Kernel Based Nonlinear Canonical Analysis," Working Papers, Center for Research in Economics and Statistics, number 98-55.
• Hassler, Uwe & Mármol, Francesc, 1998, "Fractional cointegrating regressions in the presence of linear time trends," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9794, Jan.
• Candelon, Bertrand C.B. & Hecq, Alain W.J., 1998, "Stability of Okun's Law in a Codependent System," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1998016, Jul.
• Jérôme DRUNAT & Gilles DUFRÉNNOT & Laurent MATHIEU, 1998, "Le taux de change du dollar contre le mark suit-il une dynamique non-linéaire? Une évaluation empirique sur données infra-journalières," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1998022, Jun.

1997

• Arthur, W.B. & LeBaron, B. & Palmer, R., 1997, "Time Series Properties of an Artificial Stock Market," Working papers, Wisconsin Madison - Social Systems, number 9725.
• Marmol, F. & Reboredo, J.C., 1997, "On the Finite Sample Bhaviour of the Durbin-Watson Test in the Presence of Nonsense Regressions," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 379.97.
• Marmol, F. & Reboredo, J.C., 1997, "Detecting Unbalanced Regressions Using the Durbin-Watson Test," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 380.97.
• Ernest Pons Fanals & Jordi Pons Novell, 1997, "Son excesivamente suaves las series de contabilidad nacional trimestral?," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 15.
• Andreu Sanso & Ernest Pons Fanals & Manuel Artis Ortuno & Jordi Surinach Caralt, 1997, "Analisis del sesgo producido en los contrastes univariantes de phillips-ouliaris-joyeux por la utilizacion de ventanas espectrales," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 16.
• Ernest Pons Fanals & Jordi Pons Novell & Jordi Surinach Caralt, 1997, "Trimestralizacion y conciliacion de magnitudes economicas: una ampliacion del metodo Chow-Lin," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 20.
• Marie-Josée Godbout & Simon van Norden, 1997, "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers, Bank of Canada, number 97-1, DOI: 10.34989/swp-1997-1.
• Hansen, Bruce E, 1997, "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, volume 15, issue 1, pages 60-67, January.
• Cheung, Yin-Wong & Chinn, Menzie D, 1997, "Further Investigation of the Uncertain Unit Root in GNP," Journal of Business & Economic Statistics, American Statistical Association, volume 15, issue 1, pages 68-73, January.
• Andersen, Torben G & Bollerslev, Tim, 1997, "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, volume 52, issue 3, pages 975-1005, July.
• John T. Barkoulas & Christopher F. Baum, 1997, "Fractional Differencing Modeling And Forecasting Of Eurocurrency Deposit Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 20, issue 3, pages 355-372, September.
• John Barkoulas & Christopher F. Baum, 1997, "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 361, Feb.
• Bruce E. Hansen & Mehmet Caner, 1997, "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics, Boston College Department of Economics, number 381, Aug.
• Park, S.B., 1997, "Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market," Carleton Economic Papers, Carleton University, Department of Economics, number 97-06, Oct.
• Peter M Robinson & Paolo Zaffaroni, 1997, "Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 319, Jan.
• V A Hajivassiliou, 1997, "Testing Game-Theoretic Models of Price Fixing Behaviour," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 324, Mar.
• Eric Ghysels & Joann Jasiak, 1997, "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers, CIRANO, number 97s-06, Feb.
• William R. Bell & Eric Ghysels & Hahn Shik Lee, 1997, "Seasonal Time Series and Autocorrelation Function Estimation," CIRANO Working Papers, CIRANO, number 97s-35, Oct.
• Alan A. Powell, 1997, "How Does the Share of Imports Change During Structural Adjustment?," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number op-86, Aug.
• HÄRDLE, Wolfgang & HAFNER, Christian, 1997, "Discrete time option pricing with flexible volatility estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997047, Jun.
• BAUWENS, LUC & LUBRANO, Michel, 1997, "Bayesian option pricing using asymmetric GARCH," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997059, Aug.
• Ben-David, Dan & Papell, David, 1997, "Structural Change and International Trade," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1568, Feb.
• Estrin, Saul & Urga, Giovanni, 1997, "Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1616, Apr.
• Geroski, Paul A & Samiei, Hossein & Urga, Giovanni, 1997, "Are Differences in Firm Size Transitory or Permanent?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1691, Oct.
• Kuo, Biing-Shen & Mikkola, Anne, 1997, "The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1716, Oct.
• Alain Guay & Pierre St-Amant, 1997, "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 53, Aug.
• Escribano, Álvaro & Jordá, Óscar, 1997, "Testing nonlinearity: decision rules for selecting between logistic and exponential star models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6216, Sep.
• Harris, David, 1997, "Principal Components Analysis of Cointegrated Time Series," Econometric Theory, Cambridge University Press, volume 13, issue 4, pages 529-557, February.
• Siklos, Pierre L. & Granger, Clive W.J., 1997, "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 3, pages 640-657, September.
• Ramsey, J.B. & Lampart, C., 1997, "The Decomposition of Economic Relationships by Time Scale Using Wavelets," Working Papers, C.V. Starr Center for Applied Economics, New York University, number 97-08.
• Ben-David, Dan & Papell, David H., 1997, "International trade and structural change," Journal of International Economics, Elsevier, volume 43, issue 3-4, pages 513-523, November.
• Hylleberg, S. & Pagan, A. R., 1997, "Seasonal integration and the evolving seasonals model," International Journal of Forecasting, Elsevier, volume 13, issue 3, pages 329-340, September.
• Lee, Hahn Shik & Siklos, Pierre L., 1997, "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, volume 13, issue 3, pages 381-391, September.
• Saligari, Grant R. & Snyder, Ralph D., 1997, "Trends, lead times and forecasting," International Journal of Forecasting, Elsevier, volume 13, issue 4, pages 477-488, December.
• Acemoglu, Daron & Scott, Andrew, 1997, "Asymmetric business cycles: Theory and time-series evidence," Journal of Monetary Economics, Elsevier, volume 40, issue 3, pages 501-533, December.
• Serletis, Apostolos & Gogas, Periklis, 1997, "Chaos in East European black market exchange rates," Research in Economics, Elsevier, volume 51, issue 4, pages 359-385, December.
• van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997, "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9734/A, Jan.
• Harris, Richard & Tzavalis, Elias, 1997, "Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends," Discussion Papers, University of Exeter, Department of Economics, number 9705.
• Harris, Richard, 1997, "Analyst Optimism and the Magnitude of Earnings Growth," Discussion Papers, University of Exeter, Department of Economics, number 9708.
• Tzavalis, Elias, 1997, "Which alternative to choose: does the excess sensitivity hypothesis or a time varying term premium explain the failure of the rational expectations hypothesis of the term structure?," Discussion Papers, University of Exeter, Department of Economics, number 9711.
• Francis X. Diebold & Lutz Kilian, 1997, "Measuring predictability: theory and macroeconomic applications," Working Papers, Federal Reserve Bank of Philadelphia, number 97-23.
• Bauwens, L. & Lubrano, M., 1997, "Bayesian Option Pricing Using Asymmetric GARCH," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a40.
• Serletis, A. & Gogas, P., 1997, "Chaos in East European Black-Market Exchange Rates," Papers, Calgary - Department of Economics, number 9708.
• Chao, J.C. & Swanson, N.R., 1997, "Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production," Papers, Pennsylvania State - Department of Economics, number 9-97-3.
• Hagerud, Gustaf E., 1997, "A Smooth Transition ARCH Model for Asset Returns," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 162, Mar.
• Hagerud, Gustaf E., 1997, "Specification Tests for Asymmetric GARCH," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 163, Mar.
• Hagerud, Gustaf E., 1997, "Modeling Nordic Stock Returns with Asymmetric GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 164, Mar.
• Hagerud, Gustaf E., 1997, "Discrete Time Hedging of OTC Options in a GARCH Environment: A Simulation Experiment," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 165, Mar.
• He, Changli & Teräsvirta, Timo, 1997, "Fourth Moment Structure of the GARCH (p, q) Process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 168, Apr.
• He, Changli & Teräsvirta, Timo, 1997, "Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 169, Apr.
• Andersson, Michael K. & Gredenhoff, Mikael P., 1997, "Bootstrap Testing for Fractional Integration," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 188, Aug.
• Asplund, Marcus & Eriksson, Rickard & Friberg, Richard, 1997, "Price adjustments by a gasoline retail chain," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 194, Sep.
• He, Changli & Teräsvirta, Timo, 1997, "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 198, Sep.
• He, Changli & Teräsvirta, Timo, 1997, "Statistical Properties of the Asymmetric Power ARCH Process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 199, Sep, revised 30 Sep 1997.
• Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo, 1997, "Testing Linearity against Nonlinear Moving Average Models," Umeå Economic Studies, Umeå University, Department of Economics, number 405, Aug.
• Brännäs, Kurt & de Luna, Xavier, 1997, "Generalized Method of Moment and Indirect Estimation of the ARASMA Model," Umeå Economic Studies, Umeå University, Department of Economics, number 436, Dec.
• C. Emre ALPER, 1997, "Türkiye''de Sermaye Hareketleri Ve Risk Primi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 12, issue 136, pages 53-63.
• Gabriele Fiorentini & Giorgio Calzolari, 1997, "A tobit model with garch errors," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 1997-13, Apr.
• Gabriele Fiorentini & Enrique Sentana Iváñez, 1997, "Conditional means of time series processes and time series processes for conditional means," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 1997-17, Jun.
• Carol Alexander & Manuel Cantavella Jordá, 1997, "Seasonal unit roots in trade variables," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 1997-13, Jan.
• Menelaos Karanasos, 1997, "A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution," Keele Department of Economics Discussion Papers (1995-2001), Department of Economics, Keele University, number 97/09.
• Kilian, L., 1997, "Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?," Working Papers, Research Seminar in International Economics, University of Michigan, number 401.
• Martin, V.L. & Wilkins, N.P., 1997, "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series, The University of Melbourne, number 547.
• Oliver, J.J. & Forbes, C.S., 1997, "Bayesian Approaches to Segmenting A Simple Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/97.
• Francis X. Diebold & Lutz Kilian, 1997, "Measuring Predictability: Theory and Macroeconomic Applications," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0213, Aug.
• Torben G. Andersen & Tim Bollerslev, 1997, "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 6023, Apr.
• Dan Ben-David & David H. Papell, 1997, "International Trade and Structural Change," NBER Working Papers, National Bureau of Economic Research, Inc, number 6096, Jul.
• Dan Ben-David & David H. Papell, 1997, "Slowdowns and Meltdowns: Postwar Growth Evidence from 74 Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 6266, Nov.
• Richard Dennis, 1997, "A measure of monetary conditions," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number G97/1, Jan.
• Yoon-Jae Whang & Oliver Linton, 1997, "The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1130R, Oct.
• Scholl, Armin & Klein, Robert & Jürgens, Christian, 1997, "BISON: a fast hybrid procedure for exactly solving the one-dimensional bin packing problem," 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 644.
• Scholl, Armin, 1997, "Produktionssteuerung bei automatisierter Verpackung inhomogener Massengüter - dargestellt an einem Beispiel aus der Lebensmittelindustrie," 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 7167.
• John P. Haisken-DeNew & Felix Büchel & Gert G. Wagner, 1997, "Assimilation and Other Determinants of School Attainment in Germany: Do Immigrant Children Perform as Well as Germans?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 66, issue 1, pages 169-179.
• Ulrich Thießen, 1997, "Schattenwirtschaft in Osteuropa: das Beispiel der Ukraine," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 64, issue 18, pages 334-340.
• Pesaran, M Hashem, 1997, "The Role of Economic Theory in Modelling the Long Run," Economic Journal, Royal Economic Society, volume 107, issue 440, pages 178-191, January.
• Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997, "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, volume 76, issue 1-2, pages 149-169.
• Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1997, "Bayesian analysis of seasonal unit roots and seasonal mean shifts," Journal of Econometrics, Elsevier, volume 78, issue 2, pages 359-380, June.
• Granger, Clive W. J. & Swanson, Norman R., 1997, "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, volume 80, issue 1, pages 35-62, September.
• Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997, "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, volume 82, issue 1, pages 157-192.
• Serletis, Apostolos, 1997, "Is there an East-West split in North-American natural gas markets?," MPRA Paper, University Library of Munich, Germany, number 1746.
• Mariam, Yohannes & Barre, Mike, 1997, "Statistical Time Series Analysis of Emission and Deposition of SO2 and NOx in Northeastern North America," MPRA Paper, University Library of Munich, Germany, number 663, revised 01 Jun 1997.
• Mariam, Yohannes & Barre, Mike & Molburg, John, 1997, "Use of Aggregate Emission Reduction Cost Functions in Designing Optimal Regional SO2 Abatement Strategies," MPRA Paper, University Library of Munich, Germany, number 668, Jan, revised 01 Jun 1997.
• Belessiotis, Tassos & Carone, Giuseppe, 1997, "A dynamic analysis of France's external trade," MPRA Paper, University Library of Munich, Germany, number 745, Oct.
• Michel Beine & Alain Hecq, 1997, "Asymmetric Shocks Inside Future EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 12, pages 131-140.
• Hodgson, D.J., 1997, "Semiparametric Efficient Estimation in Time Series," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 442.
• Jenkins, Stephen P, 1997, "Trends in Real Income in Britain: A Microeconomic Analysis," Empirical Economics, Springer, volume 22, issue 4, pages 483-500.
• Anders Rygh Swensen, 1997, "Change in Regime and Markov Models," Discussion Papers, Statistics Norway, Research Department, number 204, Nov.
• Gloria Gonzalez-Rivera, 1997, "A note on adaptation in garch models," Econometric Reviews, Taylor & Francis Journals, volume 16, issue 1, pages 55-68, DOI: 10.1080/07474939708800372.
• Uhlig, H.F.H.V.S. & Ravn, M., 1997, "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-50.
• Ter Horst, J.R. & Verbeek, M.J.C.M., 1997, "Estimating short-run persistence in mutual fund performance," Discussion Paper, Tilburg University, Center for Economic Research, number 97.21.
• Banerjee, A.N., 1997, "Sensitivity of Univariate AR(1) Time-series Forecasts Near the Unit Root," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-88.
• Eugene Canjels & Mark W. Watson, 1997, "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," The Review of Economics and Statistics, MIT Press, volume 79, issue 2, pages 184-200, May.
• Michel Beine & Alain Hecq, 1997, "Asymmetric shocks inside future EMU," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10465, Jun.
• Pedro Delicado & Ana Justel, 1997, "Forecasting with missing data: Application to a real case," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 213, May.
• Robert A. Amano & Tony Wirjanto, 1997, "Government Expenditures and the Permanent-Income Model," Working Papers, University of Waterloo, Department of Economics, number 98002, Nov, revised Nov 1997.
• Saul Estrin & Geovanni Urga, 1997, "Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 30, Feb.
• Lee, H.S. & Siklos, P.L., 1997, "The Role of Seasonality in Economic Time Series: Reinterpretating Money-Output Causality in U.S. Data," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-1.
• Siklos, P.L. & Anusiewicz, J., 1997, "The Effect of Canadian and U.S. M1 Announcements on Canadian Financial Markets: The Crow Years," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-3.
• Gillman, M. & Siklos, P.L. & Silver, J.L., 1997, "Money Velocity with Costly Credit," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-4.
• Siklos, P.L. & Granger, C.W.J., 1997, "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-5.
• Charles Nelson & Christian Murray, 1997, "The Uncertain Trend in U.S. GDP," Computational Economics, University Library of Munich, Germany, number 9702001, Feb.
• Chihwa Kao, 1997, "Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable," Econometrics, University Library of Munich, Germany, number 9703002, Mar.
• Mark J. Jensen, 1997, "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics, University Library of Munich, Germany, number 9709002, Sep.
• Mark J. Jensen, 1997, "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics, University Library of Munich, Germany, number 9710002, Oct.
• Chihwa Kao & Suzanne McCoskey, 1997, "A Residual-Based Test Of The Null Of Cointegration In Panel Data," Econometrics, University Library of Munich, Germany, number 9711002, Nov.
• Suzanne McCoskey & Chihwa Kao, 1997, "A Monte Carlo Comparison of Tests for Cointegration in Panel Data," Econometrics, University Library of Munich, Germany, number 9712002, Dec.
• Min-Hsien Chiang & Chihwa Kao & Bangtian Chen, 1997, "International R&D Spillovers: An Application of Estimation and Inference in Panel," International Trade, University Library of Munich, Germany, number 9712001, Dec.
• Härdle, Wolfgang & Hafner, Christian M., 1997, "Discrete time option pricing with flexible volatility estimation," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,56.

1996

• Hans Dewachter, 1996, "Modelling interest rate volatility: Regime switches and level links," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 132, issue 2, pages 236-258, September, DOI: 10.1007/BF02707806.
• Hilde Christiane Bjørnland, 1996, "The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks," Discussion Papers, Statistics Norway, Research Department, number 174, Jun.
• Hilde Christiane Bjørnland, 1996, "Sources of Business Cycles in Energy Producing Economies - The case of Norway and United Kingdom," Discussion Papers, Statistics Norway, Research Department, number 179, Aug.
• Garcia, Rene & Perron, Pierre, 1996, "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, volume 78, issue 1, pages 111-125, February.
• Engel, C., 1996, "Long-Run PPP May Not Hold After All," Working Papers, University of Washington, Department of Economics, number 96-05.