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

• 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 & Marcellino, Massimiliano, 1998, "Fiscal Solvency and Fiscal Forecasting in Europe," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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.
• Barkoulas, John T. & Baum, Christopher F., 1998, "Fractional dynamics in Japanese financial time series," Pacific-Basin Finance Journal, Elsevier, volume 6, issue 1-2, pages 115-124, May.
• Marinucci, D & Robinson, Peter M., 1998, "Semiparametric frequency domain analysis of fractional cointegration," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2258, Mar.
• Giraitis, Liudas & Robinson, Peter M., 1998, "Variance-type estimation of long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2327, Oct.
• Busetti, Fabio & Harvey, Andrew, 1998, "Testing for the presence of a random walk in series with structural breaks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6870, Dec.
• Javier Fernández & Jorge Virto & Lander Ibarra & Imanol Montoya & Zurine Rosende, 1998, "Patrones de convergencia regional en los servicios de la economía española," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 42, issue 03, pages 172-183.
• Cabrera Castellanos, Luis Fernando & Wallace, Frederick H. & Shelley, Gary L., 2011, "La paridad de poder de compra en México (1930-1960)," El Trimestre Económico, Fondo de Cultura Económica, volume 78, issue 311, pages 675-693, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v78i.
• Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998, "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9811, Jul.
• Constantinos Agorastos & Dionysios Chionis, 1998, "Trading Volume and Volatility: Intraday Evidence from the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 71-92, April - J.
• Shu C., 1998, "Fiscal and Monetary Policy on Economic Growth," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 16-25, October -.
• Gil-Alana, L., 1998, "Fractional Integration in the Purchasing Power Parity," Economics Working Papers, European University Institute, number eco98/18.
• Gil-Alana, L., 1998, "Multivariate Tests of Fractionally Integrated Hypotheses," Economics Working Papers, European University Institute, number eco98/19.
• Artis, M. & Marcellino, M., 1998, "Fiscal Solvency and Fiscal Forecasting in Europe," Economics Working Papers, European University Institute, number eco98/2.
• Gil-Alana, L. & Robinson, P.M., 1998, "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers, European University Institute, number eco98/20.
• Gil-Alana, L., 1998, "Nelson and Plosser Revisited: Evidence from Fractional Arima Models," Economics Working Papers, European University Institute, number eco98/21.
• Harris, R.D.F. & Tzavalis, E., 1998, "Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors," Discussion Papers, University of Exeter, Department of Economics, number 9806.
• Kiviet, J.F. & Phillips, G.D.A., 1998, "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Discussion Papers, University of Exeter, Department of Economics, number 9909.
• Kwanashie, M. & Ajilima, I. & Garba, A.G., 1998, "The Nigerian economy: Response of Egriculture to Adjustment Policies," Papers, African Economic Research Consortium, number 78.
• Kirori, G.N. & Ali, J., 1998, "Macroeconomic Implications of Demographic Changes in Kenya," Papers, African Economic Research Consortium, number 83.
• Lubrano, M., 1998, "Bayesian Analysis of Nonlinear Time Series Models with a Threshold," G.R.E.Q.A.M., Universite Aix-Marseille III, number 98a13.
• Alvarez, J. & Arellano, M., 1998, "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers, Centro de Estudios Monetarios Y Financieros-, number 9808.
• Duan, J.-C. & Simonato, J.-G., 1998, "The Estimation of Deposit Insurance with Interest Rate Risk," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques., number 98-07.
• Mitra, K., 1998, "On the Relationship of Optimal Memory to Steady States, Cycles, Chaos," University of Helsinki, Department of Economics, Department of Economics, number 433.
• Kilian, L., 1998, "Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics," Papers, Michigan - Center for Research on Economic & Social Theory, number 98-04.
• Kilian, L. & Caner, M., 1998, "Analyzing Unit Root Tests in Finite Samples Using Power Profiles," Papers, Michigan - Center for Research on Economic & Social Theory, number 98-05.
• Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998, "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-013, Feb.
• Charles Engel, 1998, "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 0050, Nov.
• Chris Murray & Charles Nelson, 1998, "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington, number 0074, Mar.
• Abdelhak Senhadji, 1998, "Time-Series Estimation of Structural Import Demand Equations: A Cross-Country Analysis," IMF Staff Papers, Palgrave Macmillan, volume 45, issue 2, pages 236-268, June.
• Christian Jochum & Laura Kodres, 1998, "Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?," IMF Staff Papers, Palgrave Macmillan, volume 45, issue 3, pages 486-521, September.
• 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.
• Peter C.B. Phillips & Zhijie Xiao, 1998, "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1189, Aug.
• Joon Y. Park & Peter C.B. Phillips, 1998, "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1190, Aug.
• Peter C.B. Phillips, 1998, "New Unit Root Asymptotics in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1196, Oct.
• Werner Ploberger & Peter C.B. Phillips, 1998, "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1197, Oct.
• Scholl, Armin, 1998, "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 8763.
• Banaian, K. & Bolgarin, I.V. & de Menil, G., 1998, "Inflation and Money in Ukraine," DELTA Working Papers, DELTA (Ecole normale supérieure), number 98-06.
• Michael, ROCKINGER & Giovanni, URGA, 1998, "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," HEC Research Papers Series, HEC Paris, number 635, Jan.
• Luc Bauwens & Michel Lubrano, 1998, "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, volume 1, issue Conferenc, pages 23-46.
• Gary Koop & Simon M. Potter, 1998, "Dynamic asymmetries in US unemployment," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 15, Feb.
• Crosby, Mark, 1998, "A Note on the Australian Business Cycle," Economic Analysis and Policy, Elsevier, volume 28, issue 1, pages 103-108, March.
• Ait-Sahalia, Yacine, 1998, "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, volume 84, issue 1, pages 93-127, May.
• Smith, Richard J. & Taylor, A. M. Robert, 1998, "Additional critical values and asymptotic representations for seasonal unit root tests," Journal of Econometrics, Elsevier, volume 85, issue 2, pages 269-288, August.
• Blundell, Richard & Bond, Stephen, 1998, "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, volume 87, issue 1, pages 115-143, August.

1997

• 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.
• 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.
• 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.
• 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-.
• 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, Centre for Economic Policy Research, number 1568, Feb.
• Estrin, Saul & Urga, Giovanni, 1997, "Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995," CEPR Discussion Papers, Centre for Economic Policy Research, number 1616, Apr.
• Geroski, Paul A & Urga, Giovanni & Samiei, Hossein, 1997, "Are Differences in Firm Size Transitory or Permanent?," CEPR Discussion Papers, Centre for Economic Policy Research, number 1691, Oct.
• Mikkola, Anne & Kuo, Biing-Shen, 1997, "The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• 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.

1996

• 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.