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

• De Veirman Emmanuel & Dunstan Ashley, 2011, "Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption," The B.E. Journal of Macroeconomics, De Gruyter, volume 11, issue 1, pages 1-41, July, DOI: 10.2202/1935-1690.1958.
• Feyrer James D, 2008, "Convergence by Parts," The B.E. Journal of Macroeconomics, De Gruyter, volume 8, issue 1, pages 1-35, July, DOI: 10.2202/1935-1690.1646.
• Aksoy Yunus & Leon-Ledesma Miguel A., 2008, "Non-Linearities and Unit Roots in G7 Macroeconomic Variables," The B.E. Journal of Macroeconomics, De Gruyter, volume 8, issue 1, pages 1-44, February, DOI: 10.2202/1935-1690.1508.
• Smith Penelope & Summers Peter M, 2009, "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modeling Business Cycles," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-19, September, DOI: 10.2202/1935-1690.1741.
• Slacalek Jiri, 2009, "What Drives Personal Consumption? The Role of Housing and Financial Wealth," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-37, October, DOI: 10.2202/1935-1690.1555.
• Antràs Pol, 2004, "Is the U.S. Aggregate Production Function Cobb-Douglas? New Estimates of the Elasticity of Substitution," The B.E. Journal of Macroeconomics, De Gruyter, volume 4, issue 1, pages 1-36, April, DOI: 10.2202/1534-6005.1161.
• Xiao Wei, 2004, "Explaining Speculative Expansions," The B.E. Journal of Macroeconomics, De Gruyter, volume 4, issue 1, pages 1-32, August, DOI: 10.2202/1534-6005.1173.
• Gil-Alana Luis A, 2003, "Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries," The B.E. Journal of Macroeconomics, De Gruyter, volume 3, issue 1, pages 1-15, September, DOI: 10.2202/1534-5998.1139.
• Romero-Avila Diego, 2006, "Can the AK Model Be Rescued? New Evidence from Unit Root Tests with Good Size and Power," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 1, pages 1-40, March, DOI: 10.2202/1534-5998.1336.
• Harvey David I & Leybourne Stephen J & Taylor A.M. Robert, 2006, "On Robust Trend Function Hypothesis Testing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-27, March, DOI: 10.2202/1558-3708.1303.
• Pitarakis Jean-Yves, 2006, "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-30, March, DOI: 10.2202/1558-3708.1256.
• Banaian King & Lo Ming Chien, 2006, "Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1254.
• Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006, "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 2, pages 1-31, May, DOI: 10.2202/1558-3708.1302.
• Martins-Filho Carlos & Yao Feng, 2006, "Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 2, pages 1-43, May, DOI: 10.2202/1558-3708.1304.
• Haldrup Niels & Nielsen Morten Ø., 2006, "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-24, September, DOI: 10.2202/1558-3708.1367.
• Serletis Apostolos & Shahmoradi Akbar, 2006, "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-20, September, DOI: 10.2202/1558-3708.1341.
• Misiorek Adam & Trueck Stefan & Weron Rafal, 2006, "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-36, September, DOI: 10.2202/1558-3708.1362.
• De Jong Cyriel, 2006, "The Nature of Power Spikes: A Regime-Switch Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1361.
• Hinich Melvin J. & Serletis Apostolos, 2006, "Randomly Modulated Periodic Signals in Alberta's Electricity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-15, September, DOI: 10.2202/1558-3708.1340.
• Jewson Stephen & Penzer Jeremy, 2006, "Estimating Trends in Weather Series: Consequences for Pricing Derivatives," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-17, September, DOI: 10.2202/1558-3708.1386.
• Haug Alfred A & Siklos Pierre L, 2006, "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 4, pages 1-34, December, DOI: 10.2202/1558-3708.1276.
• Ma Jun & Nelson Charles R & Startz Richard, 2007, "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-29, March, DOI: 10.2202/1558-3708.1434.
• Chen Zhuo & Yang Yuhong, 2007, "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-37, March, DOI: 10.2202/1558-3708.1385.
• Lee Jin, 2007, "Fractionally Integrated Long Horizon Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1337.
• Liu Wei & Maynard Alex S, 2007, "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1376.
• Gerhard Frank & Hautsch Nikolaus, 2007, "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1377.
• Haas Markus, 2007, "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-39, May, DOI: 10.2202/1558-3708.1411.
• Hinich Melvin J. & Chong Terence T.L., 2007, "A Class Test for Fractional Integration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-24, May, DOI: 10.2202/1558-3708.1382.
• Kiliç Rehim, 2007, "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-33, September, DOI: 10.2202/1558-3708.1430.
• Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert, 2007, "Detecting Multiple Changes in Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-34, September, DOI: 10.2202/1558-3708.1370.
• Enders Walter & Falk Barry L & Siklos Pierre, 2007, "A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1322.
• Bowden Roger J. & Zhu Jennifer Z, 2007, "Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-32, September, DOI: 10.2202/1558-3708.1432.
• Basu Deepankar & de Jong Robert M, 2007, "Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 4, pages 1-35, December, DOI: 10.2202/1558-3708.1507.
• Camacho Maximo & Perez Quiros Gabriel, 2007, "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 4, pages 1-39, December, DOI: 10.2202/1558-3708.1480.
• González Andrés & Teräsvirta Timo, 2008, "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-28, March, DOI: 10.2202/1558-3708.1459.
• Diks Cees & Panchenko Valentyn, 2008, "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1476.
• Kejriwal Mohitosh, 2008, "Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1467.
• Maringer Dietmar G. & Meyer Mark, 2008, "Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1469.
• Badescu Alex & Kulperger Reg & Lazar Emese, 2008, "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1580.
• Granger Clive W.J., 2008, "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-11, September, DOI: 10.2202/1558-3708.1639.
• Harvey David I & Leybourne Stephen J & Xiao Bin, 2008, "A Powerful Test for Linearity When the Order of Integration is Unknown," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-24, September, DOI: 10.2202/1558-3708.1582.
• Hultblad Brigitta & Karlsson Sune, 2008, "Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-29, September, DOI: 10.2202/1558-3708.1519.
• Rothman Philip A, 2008, "Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-18, September, DOI: 10.2202/1558-3708.1521.
• Juvenal Luciana & Taylor Mark P., 2008, "Threshold Adjustment of Deviations from the Law of One Price," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-46, September, DOI: 10.2202/1558-3708.1520.
• Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008, "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 4, pages 1-35, December, DOI: 10.2202/1558-3708.1562.
• Lo Ming Chien, 2008, "Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 4, pages 1-31, December, DOI: 10.2202/1558-3708.1482.
• Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio, 2009, "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-24, March, DOI: 10.2202/1558-3708.1490.
• Pelagatti Matteo M, 2009, "Modelling Good and Bad Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1595.
• Choi Seungmoon, 2009, "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-41, March, DOI: 10.2202/1558-3708.1614.
• Bauwens Luc & Storti Giuseppe, 2009, "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-33, May, DOI: 10.2202/1558-3708.1512.
• Broto Carmen & Ruiz Esther, 2009, "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1620.
• Iglesias Emma M, 2009, "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1592.
• Smith Daniel R, 2009, "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-36, May, DOI: 10.2202/1558-3708.1540.
• Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009, "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-32, May, DOI: 10.2202/1558-3708.1645.
• Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009, "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-35, May, DOI: 10.2202/1558-3708.1656.
• Kang Kyu Ho & Kim Chang-Jin & Morley James, 2009, "Changes in U.S. Inflation Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 4, pages 1-23, September, DOI: 10.2202/1558-3708.1693.
• Kim Chang Sik, 2009, "Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 4, pages 1-27, September, DOI: 10.2202/1558-3708.1672.
• Sinclair Tara M, 2009, "Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-31, December, DOI: 10.2202/1558-3708.1688.
• Manner Hans, 2010, "Testing for Asymmetric Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-32, March, DOI: 10.2202/1558-3708.1658.
• Dark Jonathan Graeme, 2010, "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-50, March, DOI: 10.2202/1558-3708.1720.
• Yoo Byoung Hark, 2010, "Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-20, March, DOI: 10.2202/1558-3708.1398.
• Swamy P. A. V. B. & Tavlas George S & Hall Stephen G. F. & Hondroyiannis George, 2010, "Estimation of Parameters in the Presence of Model Misspecification and Measurement Error," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 3, pages 1-35, May, DOI: 10.2202/1558-3708.1743.
• Herrmann Klaus & Fischer Matthias, 2010, "An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 3, pages 1-23, May, DOI: 10.2202/1558-3708.1694.
• Haas Markus, 2010, "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-56, September, DOI: 10.2202/1558-3708.1765.
• Maki Daiki, 2010, "Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-43, September, DOI: 10.2202/1558-3708.1704.
• McElroy Tucker S, 2010, "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-23, September, DOI: 10.2202/1558-3708.1756.
• Lee Jihyun & Kim Tong S & Lee Hoe Kyung, 2010, "Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-43, December, DOI: 10.2202/1558-3708.1717.
• Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011, "Contemporaneous-Threshold Smooth Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-25, March, DOI: 10.2202/1558-3708.1755.
• Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011, "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-28, March, DOI: 10.2202/1558-3708.1789.
• Becker Ralf & Clements Adam E & Hurn Stan, 2011, "Semi-Parametric Forecasting of Realized Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-23, May, DOI: 10.2202/1558-3708.1814.
• Christopoulos Dimitris K & Leon-Ledesma Miguel A., 2011, "International Output Convergence, Breaks, and Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-33, May, DOI: 10.2202/1558-3708.1823.
• Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011, "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-28, May, DOI: 10.2202/1558-3708.1818.
• Yang Minxian, 2011, "Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-21, May, DOI: 10.2202/1558-3708.1820.
• Billio Monica & Casarin Roberto, 2011, "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-32, September, DOI: 10.2202/1558-3708.1856.
• Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011, "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-43, September, DOI: 10.2202/1558-3708.1825.
• Pollock D.S.G., 2012, "Band-Limited Stochastic Processes in Discrete and Continuous Time," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-29, January, DOI: 10.1515/1558-3708.1849.
• Clements Michael P., 2012, "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-27, January, DOI: 10.1515/1558-3708.1865.
• Chung Y. Peter & Zhou Zhong-guo, 2012, "The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-33, January, DOI: 10.1515/1558-3708.1634.