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

1997

• 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.
• 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.
• 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.
• Apostolos Serletis, 1997, "Is There an East-West Split in North American Natural Gas Markets?," The Energy Journal, , volume 18, issue 1, pages 47-62, January, DOI: 10.5547/ISSN0195-6574-EJ-Vol18-No1-.
• 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.
• Wang, J. & Zivot, E., 1996, "Inference of a Structural Parameter in Intrumental Variables Regression with weak Instruments," Working Papers, University of Washington, Department of Economics, number 96-06.
• Nelson, C.R. & Startz, R. & Zivot, E., 1996, "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Working Papers, University of Washington, Department of Economics, number 96-15.
• William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996, "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics, University Library of Munich, Germany, number 9602003, Feb.
• William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996, "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics, University Library of Munich, Germany, number 9602005, Feb, revised 29 Jan 1997.
• Mukhtar M. Ali, 1996, "Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model," Econometrics, University Library of Munich, Germany, number 9604001, Apr.
• Mukhtar M. Ali, 1996, "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics, University Library of Munich, Germany, number 9610004, Oct.
• Eric Zivot, 1996, "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics, University Library of Munich, Germany, number 9612001, Dec.
• William A. Barnett & Yi Liu, 1996, "Beyond the Risk Neutral Utility Function," Macroeconomics, University Library of Munich, Germany, number 9602001, Feb.
• William A. Barnett & Milka Kirova & Meenakshi Pasupathy & Piyu Yue, 1996, "Estimating Policy-Invariant Technology and Taste Parameters in the Financial Sector, When Risk and Growth Matter," Macroeconomics, University Library of Munich, Germany, number 9602002, Feb.
• William A. Barnett, 1996, "A Perspective on the Current State of Macroeconomic Theory," Macroeconomics, University Library of Munich, Germany, number 9602003, Feb.
• Simon van Norden & Robert Vigfusson, 1996, "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers, University Library of Munich, Germany, number 9603001, Mar.
• Lester C Hunt & Guy Judge, 1996, "Evolving Seasonal Patterns In Uk Energy Series," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: G MacKerron & P Pearson, "The Uk Energy Experience A Model or A Warning?".
• James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996, "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers, York University, Department of Economics, number 1996_07, Sep.
• Ripatti, Antti, 1996, "Stability of the demand for M1 and harmonized M3 in Finland," Bank of Finland Research Discussion Papers, Bank of Finland, number 18/1996.
• Solveen, Ralph, 1996, "Verhindert die Unabhängigkeit der Zentralbank politische Konjunkturzyklen?," Kiel Working Papers, Kiel Institute for the World Economy, number 747.
• Solveen, Ralph, 1996, "Geldpolitik und Staatsverschuldung - welche Rolle spielt die Unabhängigkeit der Notenbank?," Kiel Working Papers, Kiel Institute for the World Economy, number 750.
• Krämer, Jörg W., 1996, "Determinants of the expected real long-term interest rates in the G7-countries," Kiel Working Papers, Kiel Institute for the World Economy, number 751.
• Fischer, Malte, 1996, "Die Preisbildung im westdeutschen Außenhandel: Eine empirische Analyse," Kiel Working Papers, Kiel Institute for the World Economy, number 782.
• Skalin, J. & Teräsvirta, T., 1996, "Another Look at Swedish Business Cycles, 1861-1988," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1996,96.
• Teräsvirta, Timo, 1996, "Power Properties of Linearity Tests for Time Series," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 94, Jan.
• Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996, "Testing Linearity against Nonlinear Moving Average Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 95, Jan.
• Teräsvirta, Timo, 1996, "Two Stylized Facts and the Garch (1,1) Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 96, Jan.
• Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996, "Stylized Facts of Daily Return Series and the Hidden Markov Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 117, Jun.
• Skalin, Joakim & Teräsvirta, Timo, 1996, "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 130, Nov.
• Teräsvirta, Timo, 1996, "Smooth Transition Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 132, Nov.
• Hahn, Franz & Ruenstler, Gerhard, 1996, "Potential Output, the Natural Rate of Unemployment, and the Phillips Curve in a Multivariate Structural Time Series Framework," Economics Series, Institute for Advanced Studies, number 33, Jun.
• Kaufmann, Sylvia & Scheicher, Martin, 1996, "Markov-Regime Switching in Economic Variables: Part I. Modelling, Estimating and Testing. - Part II. A Selective Survey," Economics Series, Institute for Advanced Studies, number 38, Nov.
• Hansen, Bruce E, 1996, "Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 11, issue 2, pages 195-198, March-Apr.
• Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996, "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 11, issue 4, pages 399-417, July-Aug..
• MacKinnon, James G, 1996, "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 11, issue 6, pages 601-618, Nov.-Dec..
• Ulrike Radosch, 1996, "Provision of health care services in Austria," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 23, issue 2, pages 191-206, June, DOI: 10.1007/BF00925339.
• Joseph Aschheim & Costas Christou & P. Swamy & George Tavlas, 1996, "A random coefficient model of speculative attacks: The case of the Mexican peso," Open Economies Review, Springer, volume 7, issue 1, pages 553-571, March, DOI: 10.1007/BF01886213.
• Evžen Kočenda, 1996, "Volatility of a Seemingly Fixed Exchange Rate," Eastern European Economics, Taylor & Francis Journals, volume 34, issue 6, pages 37-67, December.
• Hurn, A.S. & Lindsay, K.A., 1996, "Time Series Evidence of Global Warming," Department of Economics - Working Papers Series, The University of Melbourne, number 502.
• Saligari, G.R. & Snyder, R.D., 1996, "Trends, Lead Times and Forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/96.
• Maharaj, A. & Inder, B., 1996, "A Test to Compare two Related Stationary Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/96.
• Bollen, B. & Kofman, P., 1996, "Estimating Daily Volatility from Intraday Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/96.
• Harris, D., 1996, "Principal Components Analysis of Cointegrated Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/96.
• Hao, K., 1996, "Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/96.
• Ghysels, E. & Ng, S., 1996, "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9612.
• Ghysels, E. & Ng, S., 1996, "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9612.
• Yin-Wong Cheung & Menzie D. Chinn, 1996, "Further Investigation of the Uncertain Unit Root in GNP," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0206, Nov.
• Yacine Ait-Sahalia, 1996, "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 5479, Mar.
• Charles Engel, 1996, "Long-Run PPP May Not Hold After All," NBER Working Papers, National Bureau of Economic Research, Inc, number 5646, Jul.
• Torben G. Andersen & Tim Bollerslev, 1996, "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 5752, Sep.
• Torben G. Andersen & Tim Bollerslev, 1996, "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers, National Bureau of Economic Research, Inc, number 5783, Oct.
• Ben-David, Dan & Rahman, Atiqur, 1996, "Technological Convergence and International Trade," Foerder Institute for Economic Research Working Papers, Tel-Aviv University > Foerder Institute for Economic Research, number 275614, Jan, DOI: 10.22004/ag.econ.275614.
• Ben-David, Dan & Papell, David H., 1996, "Structural Change and International Trade," Foerder Institute for Economic Research Working Papers, Tel-Aviv University > Foerder Institute for Economic Research, number 275621, Dec, DOI: 10.22004/ag.econ.275621.
• Tomas del Barrio Castro & Miguel Juan Clar Lopez & Ernest Pons Fanals, 1996, "El filtro de lineas aereas modificadas, integrabilidad y cointegracion," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 11.
• Jordi Pons Novell & Andreu Sanso, 1996, "Fluctuaciones ciclicas y raices unitarias en la economia espanola, 1850-1990," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 2.
• Menelaos Karanasos,, 1996, "A New Method for Obtaining the Autocovariance of an ARMA Model: An Exact-form solution," Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics, number 9613.
• Alain Guay & Pierre St-Amant, 1996, "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports, Bank of Canada, number 78, DOI: 10.34989/tr-78.
• Marie-Josée Godbout & Simon van Norden, 1996, "Unit-Root Test and Excess Returns," Staff Working Papers, Bank of Canada, number 96-10, DOI: 10.34989/swp-1996-10.
• Robert Vigfusson & Simon van Norden, 1996, "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Staff Working Papers, Bank of Canada, number 96-11, DOI: 10.34989/swp-1996-11.
• Jamie Armour & Walter Engert & Ben Fung, 1996, "Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions," Staff Working Papers, Bank of Canada, number 96-4, DOI: 10.34989/swp-1996-4.
• Agustín Maravall & Victor Gómez & Gianluca Caporello, 1996, "Statistical and Econometrics Software: TRAMO and SEATS," Statistical and Econometrics Software, Banco de España, number tramoseats, revised 2015.
• Agustín Maravall, 1996, "Short-Term Analysis of Macroeconomic Time Series," Working Papers, Banco de España, number 9607.
• Agustín Maravall, 1996, "Unobserved Components in Economic Time Series," Working Papers, Banco de España, number 9609.
• Agustín Maravall & Daniel Peña, 1996, "Missing Observations and Additive Outliers in Time Series Models," Working Papers, Banco de España, number 9612.
• Juan J. Dolado & Francisco Mármol, 1996, "Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes," Working Papers, Banco de España, number 9617.
• María de los Llanos Matea & Ana Valentina Regil, 1996, "Short-term inflation indicators," Working Papers, Banco de España, number 9621.
• Victor Gómez & Agustín Maravall, 1996, "Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)," Working Papers, Banco de España, number 9628.
• Andersen, Torben G & Sorensen, Bent E, 1996, "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 3, pages 328-352, July.
• Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996, "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 3, pages 374-386, July.
• Jesus Gonzalo & Tae‐Hwy Lee, 1996, "RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES," Journal of Time Series Analysis, Wiley Blackwell, volume 17, issue 1, pages 37-47, January, DOI: 10.1111/j.1467-9892.1996.tb00263.x.
• Gregory, Allan W & Hansen, Bruce E, 1996, "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 58, issue 3, pages 555-560, August.
• John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996, "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 315., Jan.
• John Barkoulas & Christopher F. Baum, 1996, "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 317., Jan.
• John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996, "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics, Boston College Department of Economics, number 320., Jan.
• Bruce E. Hansen, 1996, "Estimation of TAR Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 325., Jan.
• Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996, "Persistence in International Inflation Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 333., Jan.
• John Barkoulas & Christopher F. Baum, 1996, "Fractional Dynamics in Japanese Financial Time Series," Boston College Working Papers in Economics, Boston College Department of Economics, number 334., Jan.
• Marco Bianchi & Gylfi Zoega, 1996, "Unemployment persistence: Does the size of the shock matter?," Bank of England working papers, Bank of England, number 50, Jun.
• Teräsvirta Timo, 1996, "Power Properties of Linearity Tests for Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 1, issue 1, pages 1-10, April, DOI: 10.2202/1558-3708.1008.
• Swanson Norman, 1996, "Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 1, issue 1, pages 1-20, April, DOI: 10.2202/1558-3708.1012.
• Pesaran, M.H., 1996, "The Role of Economic Theory in Modelling the Long Run," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9612.
• Granger, C.W.J. & Pesaran, H., 1996, "A Decision_Theoretic Approach to Forecast Evaluation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9618.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-155, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-158, Aug.
• Bernardo da Veiga & Felix Chan & Michael McAleer, 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-186, Oct.
• Eric Ghysels & Serena Ng, 1996, "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers, CIRANO, number 96s-18, Jul.
• BAUWENs, Luc & LUBRANO , Michel, 1996, "Bayesian Inference on GARCH Models using the Gibbs Sampler," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1996027, May.
• Quah, Danny, 1996, "Regional Convergence Clusters Across Europe," CEPR Discussion Papers, Centre for Economic Policy Research, number 1286, Jan.
• Ben-David, Dan & Lumsdaine, Robin L & Papell, David, 1996, "The Unit Root Hypothesis in Long-term Output: Evidence from Two Structural Breaks for 16 Countries," CEPR Discussion Papers, Centre for Economic Policy Research, number 1336, Feb.
• Fatás, Antonio, 1996, "Endogenous Growth and Stochastic Trends," CEPR Discussion Papers, Centre for Economic Policy Research, number 1340, Feb.
• Ben-David, Dan, 1996, "Technological Convergence and International Trade," CEPR Discussion Papers, Centre for Economic Policy Research, number 1359, Mar.
• Gonzalo, Jesús & Lee, Tae-Hwy, 1996, "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4542, Jan.
• Hansen, Bruce E., 1996, "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, volume 12, issue 2, pages 347-359, June.
• Vannetelbosch, Vincent J., 1996, "Testing between alternative wage-employment bargaining models using Belgian aggregate data," Labour Economics, Elsevier, volume 3, issue 1, pages 43-64, August.
• Sandmann, G. & Koopman, Siem, 1996, "Maximum likelihood estimation of stochastic volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119161, Jun.
• Snell, Andy & Tonks, Ian, 1996, "Using time series methods to assess information and inventory effects in a dealer market in Il-liquid stocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119167, Mar.
• C. Bruneau & E. Jondeau, 1996, "Test of persistent causality with an application of the expectations theory of the term structure," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 96-14.
• van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996, "Testing for ARCH in the Presence of Additive Outliers," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9659-/A, Jan.
• Harris, R. & Tzavalis, E., 1996, "Inference for Unit Roots in Dynamic Panels," Discussion Papers, University of Exeter, Department of Economics, number 9604.
• Guay, A & St-Amant, P, 1996, "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada, Department of Finance Canada, number 1996-2.
• Angelos A. Antzoulatos, 1996, "Error correction mechanisms and short-run expectations," Staff Reports, Federal Reserve Bank of New York, number 10, Feb.
• G Sandmann & Siem Jan Koopman, 1996, "Maximum Likelihood Estimation of Stochastic Volatility Models," FMG Discussion Papers, Financial Markets Group, number dp248, Oct.
• Barthelemy, F. & Lubrano, M., 1996, "Properties of Unit Root Tests for Models with Trend and Cycles," G.R.E.Q.A.M., Universite Aix-Marseille III, number 96a01.
• Lubrano, M., 1996, "Bayesian Analysis of Nonlinear Time Series Models with Threshold," G.R.E.Q.A.M., Universite Aix-Marseille III, number 96a12.
• Barthelemy, F. & Lubrano, M., 1996, "Properties of the ADF Unit Root Test for Models with Trends and Cycles," G.R.E.Q.A.M., Universite Aix-Marseille III, number 96a13.
• Davidson, R. & Kozak, J.J., 1996, "Survival Probabilities of Random Walks on General Lattices with Trapping Sites," G.R.E.Q.A.M., Universite Aix-Marseille III, number 96a18.
• Bauwens, L. & Lubrano, M., 1996, "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M., Universite Aix-Marseille III, number 96a21.
• Fiorentini, G & Planas, C, 1996, "Non-Admissible Decompositions in Unobserved Components Models," Papers, Centro de Estudios Monetarios Y Financieros-, number 9613.
• Fiorentini, G & Sentana, E, 1996, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers, Centro de Estudios Monetarios Y Financieros-, number 9617.
• Wilson, C.R., 1996, "Distortion Effects and Extreme Observations in Empirical Research: An Analysis of the Incremental Information Content of Cash Flows," Papers, Melbourne - Centre in Finance, number 96-1.
• Steen, F & Sorgard, L, 1996, "Semicollusion in the Norwegian Cement Market," Papers, Norwegian School of Economics and Business Administration-, number 10/96.
• Camarero, M. & Esteve, V. & Tamarit, C., 1996, "Price Convergence of Periphical European Countries on the Way to the EMU: A Time Series Approach," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research, number 96-2.
• Granger, E.J. & Swanson, N.R., 1996, "An introduction to stochastic Unit Root Processes," Papers, Pennsylvania State - Department of Economics, number 4-96-3.
• Corradi, V. & Swanson, N. & White, H., 1996, "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers, Pennsylvania State - Department of Economics, number 4-96-6.
• Swanson, N.R., 1996, "Forecasting Using First Available Versus Fully Revised Economic Time Series data," Papers, Pennsylvania State - Department of Economics, number 4-96-7.
• Bruneau, C., 1996, "Impulse-Response Analysis in Econometrics," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9613.
• Bruneau, C. & Jondeau, E., 1996, "Test of persistent Causality with an Application of the Expectations Theory of the Term Structure," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9614.
• Bruneau, C., 1996, "Test de causalite indirecte entre deux series extraites d'un modele vectoriel autoregressif stationnaire," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9615.
• Bryan, I., 1996, "Pricing-to-Market in the Presence of Freight Rate and Exchange Rate Changes: Evidence from Canadian Data," Papers, Ryerson Polytechnical Institute - Department of Economics, number 9.
• Ben-David, D. & Lumsdaine, L.R. & Papell, D.H., 1996, "Unit Roots Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks," Papers, Tel Aviv, number 33-96.
• Engel, C., 1996, "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington, number 96-05.
• Wang, J. & Zivot, E., 1996, "Inference of a Structural Parameter in Intrumental Variables Regression with weak Instruments," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington, number 96-06.