Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

2006

• Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006, "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp152006, Jul.
• Niels Haldrup & Andreu Sansó, 2006, "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-01, Jan.
• Gunnar Bårdsen & Niels Haldrup, 2006, "A Gaussian IV estimator of cointegrating relations," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-03, Feb.
• Stanislav Anatolyev & Dmitry Shakin, 2006, "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers, New Economic School (NES), number w0070, Aug.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, New Economic School (NES), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, New Economic School (NES), number w0075, Dec.
• Stanislav Anatolyev, 2006, "Dynamic modeling under linear-exponential loss," Working Papers, New Economic School (NES), number w0092, Dec.
• Olivier Roodenburg & Ard H.J. den Reijer, 2006, "Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 52, issue 4, pages 337-356.
• J-P.Guironnet, 2006, "Analyse cliométrique des cycles de croissance de l'éducation en France (1815-2003): vers un modèle à seuil autorégressif," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 34, pages 193-214, February.
• Olivier Darné & Claude Diebolt, 2006, "Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945," Working Papers, Association Française de Cliométrie (AFC), number 06-01.
• Claude Diebolt & Tapas K. Mishra, 2006, "Cliometrics of the Abiding Nexus Between Demographic Components and Economic Development," Working Papers, Association Française de Cliométrie (AFC), number 06-06.
• Mohamed Chikhi & Claude Diebolt, 2006, "Nonparametric Analysis of Financial Time Series by the Kernel Methodology," Working Papers, Association Française de Cliométrie (AFC), number 06-11.
• Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006, "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 21181, DOI: 10.22004/ag.econ.21181.
• Fischer, Christian & Gil-Alana, Luis A., 2006, "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," 98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece, European Association of Agricultural Economists, number 10049, DOI: 10.22004/ag.econ.10049.
• Obi, Ajuruchukwu & van Schalkwyk, Herman D., 2006, "Recent Trends in Agricultural Land Prices in South Africa: A Preliminary Investigation Using Cointegration Analysis," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25234, DOI: 10.22004/ag.econ.25234.
• Caceres-Hernandez, Jose Juan & Martin-Rodriguez, Gloria, 2006, "Heterogeneous Seasonal Patterns in Agricultural Data and Evolving Splines," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25261, DOI: 10.22004/ag.econ.25261.
• Fischer, Christian & Gil-Alana, Luis A., 2006, "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25341, DOI: 10.22004/ag.econ.25341.
• Resende Filho, Moises de Andrade & Buhr, Brian L., 2006, "Economic Evidence of Willingness to Pay for the National Animal Identification System in the US," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25342, DOI: 10.22004/ag.econ.25342.
• Carter, Colin A. & Smith, Aaron D., 2006, "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25447, DOI: 10.22004/ag.econ.25447.
• Mghenyi, Elliot W. & Jayne, Thomas S., 2006, "Food Pricing Policy and Rural Poverty: Insights from Maize in Kenya," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25466, DOI: 10.22004/ag.econ.25466.
• van Tilburg, Aad & Kuiper, W. Erno & Swinkels, Rob, 2006, "Market Performance of Potato Auctions in Bhutan," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25520, DOI: 10.22004/ag.econ.25520.
• Jayne, Thomas S. & Myers, Robert J. & Nyoro, James K., 2006, "The Effects of Government Maize Marketing Policies on Maize Market Prices in Kenya," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25555, DOI: 10.22004/ag.econ.25555.
• Brümmer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006, "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25575, DOI: 10.22004/ag.econ.25575.
• Berg, Ernst & Schmitz, Bernhard & Starp, Michael, 2006, "Weather Derivatives as an Instrument to Hedge Against the Risk of High Energy Cost in Greenhouse Production," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25629, DOI: 10.22004/ag.econ.25629.
• Alemu, Zerihun Gudeta & Biacuana, G.R., 2006, "Measuring Market Integration in Mozambican Maize Markets: A Threshold Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25657, DOI: 10.22004/ag.econ.25657.
• Yakhshilikov, Yorbol & Brosig, Stephan, 2006, "Spatial Price Transmission in Kazakh Wheat Markets," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25690, DOI: 10.22004/ag.econ.25690.
• Hall, Viv & McDermott, John & Tremewan, James, 2006, "The Ups and Downs of New Zealand House Prices," Motu Working Papers, Motu Economic and Public Policy Research, number 292874, Jul, DOI: 10.22004/ag.econ.292874.
• Hall, Viv & McDermott, John, 2006, "Regional business cycles in New Zealand: Do they exist? What might drive them?," Motu Working Papers, Motu Economic and Public Policy Research, number 292992, Oct, DOI: 10.22004/ag.econ.292992.
• Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2006, "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273665, Feb, DOI: 10.22004/ag.econ.273665.
• Narayan, Paresh Kumar & Smyth, Russell, 2006, "Democracy and Economic Growth in China: Evidence from Cointegration and Causality Testing," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 2, issue 01, pages 1-18, DOI: 10.22004/ag.econ.50282.
• Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006, "Time Series Analysis," Working Papers, University of Maryland, Department of Agricultural and Resource Economics, number 28556, DOI: 10.22004/ag.econ.28556.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, , "Testing for stationarity in heterogeneous panel data in the presence of cross section dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269651, DOI: 10.22004/ag.econ.269651.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, , "Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269741, DOI: 10.22004/ag.econ.269741.
• Iñaki Iriarte Goñi & María Isabel Ayuda, 2006, "Una Estimación Del Consumo De Madera En España Entre 1860 Y 1935," Documentos de Trabajo (DT-AEHE), Asociación Española de Historia Económica, number 0603, Sep.
• Diks, C.G.H. & Wagener, F.O.O., 2006, "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-04.
• Diks, C.G.H. & Panchenko, V., 2006, "Rank-based entropy tests for serial independence," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-14.
• Erik Alencar de Figueirêdo, 2006, "Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 7, issue 1, pages 1-28.
• Fabrício de Assis C. Vieira & Márcio Holland, 2006, "Crescimento Econômico Secular No Brasil, Modelo De Thirlwall E Termos De Troca," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 167.
• ZARZOSA VALDIVIA, Fernando Enrique, 2006, "Income distribution, Dutch disease and real exchange rate movements," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2006033, Dec.
• Isabel Cortes Jimenez & Manuel Artis Ortuno, 2006, "The role of the tourism sector in economic development. Lessons from the Spanish experience," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 158.
• Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006, "Testing for multicointegration in panel data with common factors," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 160.
• René Lalonde & Nicolas Parent, 2006, "The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States," Staff Working Papers, Bank of Canada, number 06-11, DOI: 10.34989/swp-2006-11.
• Yi Zheng & James Rossiter, 2006, "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers, Bank of Canada, number 06-26, DOI: 10.34989/swp-2006-26.
• Jason Allen & Robert Amano & David Byrne & Allan Gregory, 2006, "Canadian City Housing Prices and Urban Market Segmentation," Staff Working Papers, Bank of Canada, number 06-49, DOI: 10.34989/swp-2006-49.
• Patrick Lünnemann & Thomas Mathä, 2006, "New survey evidence on the pricing behaviour of Luxembourg firms," BCL working papers, Central Bank of Luxembourg, number 19, May.
• Hildegart A. Ahumada, 2006, "A Note on Regressions with Integrated Variables," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 45, pages 79-94, October.
• Verónica Balzarotti, 2006, "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200606, Dec.
• Federico Ravenna, 2006, "Vector autoregressions and reduced form representations of DSGE models," Working Papers, Banco de España, number 0619, Aug.
• Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006, "Structural breaks in labor productivity growth: the United States vs. the European Union," Working Papers, Banco de España, number 0625, Oct.
• Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006, "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 575, Feb.
• Benavides Guillermo, 2006, "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers, Banco de México, number 2006-04, Apr.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006, "Spurious Regression and Econometric Trends," Working Papers, Banco de México, number 2006-05, Apr.
• Ramos Francia Manuel & Capistrán Carlos, 2006, "Inflation Dynamics in Latin America," Working Papers, Banco de México, number 2006-11, Nov.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006, "Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks," Working Papers, Banco de México, number 2006-12, Dec.
• Munir A. Jalil B. & Martha Misas A, 2006, "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de perdida asimétricas," Borradores de Economia, Banco de la Republica de Colombia, number 376, Feb, DOI: 10.32468/be.376.
• Meitz, Mika & Terasvirta, Timo, 2006, "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 104-124, January.
• Sanvi Avouyi-Dovi & Brun, M. & Dreyfus, A. & Françoise Drumetz & Oung, V. & Jean-Guillaume Sahuc, 2006, "La fonction de demande de monnaie pour la zone euro : un r examen," Working papers, Banque de France, number 142.
• Caroline Jardet, 2006, "Term Structure Anomalies: Term Premium or Peso problem?," Working papers, Banque de France, number 143.
• Olivier de Bandt & Catherine Bruno & Alexis Flageollet, 2006, "Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area," Working papers, Banque de France, number 145.
• Élisabeth Fonteny, 2006, "La désaisonnalisation des séries d agrégats mon taires et de Crédit à la Banque de France : aspects Théoriques et mise en oeuvre," Working papers, Banque de France, number 147.
• Suleiman Abu-Bader & Aamer S. Abu-Qarn, 2006, "Trade Liberalization Or Oil Shocks: Which Explains Structural Breaks In International Trade Ratios?," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0613.
• Stefan Gerlach & Wensheng Peng, 2006, "Output gaps and inflation in Mainland China," BIS Working Papers, Bank for International Settlements, number 194, Feb.
• Stefan Gerlach & Katrin Assenmacher-Wesche, 2006, "Interpreting Euro area inflation at high and low frequencies," BIS Working Papers, Bank for International Settlements, number 195, Feb.
• Paresh Kumar Narayan & Russell Smyth, 2006, "What Determines Migration Flows From Low‐Income To High‐Income Countries? An Empirical Investigation Of Fiji–U.S. Migration 1972–2001," Contemporary Economic Policy, Western Economic Association International, volume 24, issue 2, pages 332-342, April, DOI: 10.1093/cep/byj019.
• Kevin S. Nell, 2006, "Structural Change And Nonlinearities In A Phillips Curve Model For South Africa," Contemporary Economic Policy, Western Economic Association International, volume 24, issue 4, pages 600-617, October, DOI: 10.1093/cep/byl004.
• Patricia Alvarez‐Plata & Mechthild Schrooten, 2006, "The Argentinean Currency Crisis: A Markov‐Switching Model Estimation," The Developing Economies, Institute of Developing Economies, volume 44, issue 1, pages 79-91, March, DOI: 10.1111/j.1746-1049.2006.00004.x.
• Dierk HERZER & Felicitas NOWAK‐LEHMANN D. & Boriss SILIVERSTOVS, 2006, "Export‐Led Growth In Chile: Assessing The Role Of Export Composition In Productivity Growth," The Developing Economies, Institute of Developing Economies, volume 44, issue 3, pages 306-328, September, DOI: 10.1111/j.1746-1049.2006.00019.x.
• Eric Jondeau & Michael Rockinger, 2006, "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, volume 12, issue 1, pages 29-55, January, DOI: 10.1111/j.1354-7798.2006.00309.x.
• Helmut Herwartz & Hans‐Eggert Reimers, 2006, "Long‐Run Links among Money, Prices and Output: Worldwide Evidence," German Economic Review, Verein für Socialpolitik, volume 7, issue 1, pages 65-86, February, DOI: 10.1111/j.1468-0475.2006.00147.x.
• Stephen P. Jenkins & Lorenzo Cappellari & Peter Lynn & Annette Jäckle & Emanuela Sala, 2006, "Patterns of consent: evidence from a general household survey," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 169, issue 4, pages 701-722, October, DOI: 10.1111/j.1467-985X.2006.00417.x.
• Jukka Corander & Mattias Villani, 2006, "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 1, pages 141-156, January, DOI: 10.1111/j.1467-9892.2005.00460.x.
• Liudas Giraitis & Peter C. B. Phillips, 2006, "Uniform Limit Theory for Stationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 1, pages 51-60, January, DOI: 10.1111/j.1467-9892.2005.00452.x.
• Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006, "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 2, pages 211-251, March, DOI: 10.1111/j.1467-9892.2005.00464.x.
• Giuseppe Cavaliere & A. M. Robert Taylor, 2006, "Testing the Null of Co‐integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 4, pages 613-636, July, DOI: 10.1111/j.1467-9892.2006.00475.x.
• Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2006, "Spurious Regression Under Broken‐Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 5, pages 671-684, September, DOI: 10.1111/j.1467-9892.2006.00482.x.
• Mariam Camarero & Josep Lluís Carrion‐i‐Silvestre & Cecilio Tamarit, 2006, "Testing for Hysteresis in Unemployment in OECD Countries: New Evidence using Stationarity Panel Tests with Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue 2, pages 167-182, April, DOI: 10.1111/j.1468-0084.2006.00157.x.
• Josep Lluís Carrion‐i‐Silvestre & Andreu Sansó, 2006, "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue 5, pages 623-646, October, DOI: 10.1111/j.1468-0084.2006.00180.x.
• Vanessa Berenguer‐Rico & Josep Lluís Carrion‐i‐Silvestre, 2006, "Testing for Multicointegration in Panel Data with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 721-739, December, DOI: 10.1111/j.1468-0084.2006.00453.x.
• Raffaella Giacomini & Barbara Rossi, 2006, "How Stable is the Forecasting Performance of the Yield Curve for Output Growth?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 783-795, December, DOI: 10.1111/j.1468-0084.2006.00456.x.
• Jesús Gonzalo & Jean‐Yves Pitarakis, 2006, "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 813-833, December, DOI: 10.1111/j.1468-0084.2006.00458.x.
• Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006, "Convergence of Prices and Rates of Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 863-877, December, DOI: 10.1111/j.1468-0084.2006.00460.x.
• Laura Mayoral, 2006, "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 901-920, December, DOI: 10.1111/j.1468-0084.2006.00462.x.
• Jesús Crespo Cuaresma & Gerhard Reitschuler, 2006, "‘Guns Or Butter?’ Revisited: Robustness And Nonlinearity Issues In The Defense–Growth Nexus," Scottish Journal of Political Economy, Scottish Economic Society, volume 53, issue 4, pages 523-541, September, DOI: 10.1111/j.1467-9485.2006.00393.x.
• Christopher F. Baum & Mustafa Caglayan, 2006, "On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty," Boston College Working Papers in Economics, Boston College Department of Economics, number 641, Apr, revised 06 Feb 2008.
• Stephen G. Hall & George Hondroyiannis, 2006, "Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries," Working Papers, Bank of Greece, number 31, Jan.
• George A. Christodoulakis & Stephen E Satchell, 2006, "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers, Bank of Greece, number 32, Jan.
• Alexandros E. Milionis, 2006, "An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing," Working Papers, Bank of Greece, number 50, Nov.
• Salem Abo Zaid, 2006, "The Trade–Growth Relationship in Israel Revisited: Evidence from Annual Data, 1960-2004," Bank of Israel Working Papers, Bank of Israel, number 2006.11, Dec.
• Zeynel Abidin Ozdemir, 2006, "Persistence in Emerging Market Stock Returns: Empirical Evidence from Six Stock Markets," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 8, issue 31, pages 19-30.
• Nildag Basak Ceylan, 2006, "The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 8, issue 32, pages 37-56.
• Pierre Perron & Zhongjun Qu, 2006, "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-016, Dec.
• Tatsuma Wada & Pierre Perron, 2006, "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-029, Sep.
• Mohitosh Kejriwal & Pierre Perron, 2006, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-051, Sep.
• Mohitosh Kejriwal & Pierre Perron, 2006, "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-052, Sep.
• Dukpa Kim & Pierre Perron, 2006, "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-063, Nov.
• Mohitosh Kejriwal & Pierre Perron, 2006, "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-064, Dec.
• Luca Fanelli, 2006, "Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• Luca Fanelli, 2006, "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006, "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 1, pages 55-77.
• Guglielmo Maria Caporale & Alexandros Kontonikas, 2006, "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-01, Jan.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006, "Testing For Unit And Fractional Orders Of Integration In The Trend And Seasonal Components Of Us Monetary Aggregates," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-13, Apr.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-18, Sep.
• Mikael Bask & Tung Liu & Anna Widerberg, 2006, "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers, Ball State University, Department of Economics, number 200603, Apr, revised Apr 2006.
• Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006, "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, volume 72, issue 2, pages 177-194.
• Éric Heyer & Xavier Timbeau, 2006, "Immobilier et politique monétaire," Revue de l'OFCE, Presses de Sciences-Po, volume 96, issue 1, pages 115-151.
• Olivier Darné & Claude Diebolt, 2006, "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis," Revue d'économie politique, Dalloz, volume 116, issue 1, pages 65-78.
• Pesaran, M.H. & Timmermann, A., 2006, "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0648, Jul.
• DeRossi, G. & Harvey, A., 2006, "Time-Varying Quantiles," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0649, Jul.
• Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006, "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers, Central Bank of Ireland, number 2/RT/06, Apr.
• Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006, "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers, Central Bank of Ireland, number 3/RT/06, Apr.
• D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006, "(Un)Predictability and Macroeconomic Stability," Research Technical Papers, Central Bank of Ireland, number 5/RT/06, Jun.
• Fabio C. Bagliano & Claudio Morana, 2006, "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 32.
• Sylviane GUILLAUMONT JEANNENEY & Patrick GUILLAUMONT, 2006, "Big Push versus Absorptive Capacity: How to Reconcile the Two Approaches," Working Papers, CERDI, number 200614.
• Amalia Morales Zumaquero & Simón Sosvilla Rivero, 2006, "Macroeconomic Instability in the European Monetary System?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2006/06.
• Kristen Monaco & Taggert J. Brooks & John Bitzan, 2006, "A time series analysis of wages in deregulated industries: A study of motor carriage and rail," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 105-118, May.
• Viviana Fernández, 2006, "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 275-293, November.
• James F. Nieberding, 2006, "Estimating overcharges in antitrust cases using a reduced-form approach: Methods and issues," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 361-380, November.
• Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006, "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number /06/497, Jan.
• Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006, "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 497, Jan.
• Peter M Robinson, 2006, "Nonparametric Spectrum Estimation for SpatialData," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 498, Feb.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series, CESifo, number 1811.
• Guglielmo Maria Caporale & Alexandros Kontonikas, 2006, "The Euro and Inflation Uncertainty in the European Monetary Union," CESifo Working Paper Series, CESifo, number 1842.
• Klaus Abberger, 2006, "Qualitative Business Surveys in Manufacturing and Industrial Production - What can be Learned from Industry Branch Results?," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 31.
• Stanislav Anatolyev & Dmitry Shakin, 2006, "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers, Center for Economic and Financial Research (CEFIR), number w0070, Aug.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, Center for Economic and Financial Research (CEFIR), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, Center for Economic and Financial Research (CEFIR), number w0075, Dec.
• Stanislav Anatolyev, 2006, "Dynamic modeling under linear-exponential loss," Working Papers, Center for Economic and Financial Research (CEFIR), number w0092, Dec.
• Eric Jondeau & Michael Rockinger, 2006, "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-35, Nov.
• Maria Semenova, 2006, "What Jump Process to use to Model S&P500 Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-06, Mar.
• Eric Jondeau & Michael Rockinger, 2006, "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-28, Nov.
• vladimir Borgy & Valérie Mignon, 2006, "Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale," Working Papers, CEPII research center, number 2006-25, Dec.
• Alex Maynard, 2006, "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, volume 39, issue 4, pages 1244-1281, November.
• Joon Y. Park & Mototsugu Shintani, 2006, "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography, UCLA Department of Economics, number 321307000000000316, Sep.
• Ian Babetskii, 2006, "Aggregate Wage Flexibility in Selected New EU Member States," Working Papers, Czech National Bank, Research and Statistics Department, number 2006/1, Apr.
• Martha Misas & Mar�a Teresa Ram�rez, 2006, "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," Borradores de Economia, Banco de la Republica, number 2148, Dec.
• Munir A. Jalil. B & Martha Misas, 2006, "Evaluaci�n de pron�sticos del tipo de cambio utilizando," Borradores de Economia, Banco de la Republica, number 2636, Feb.
• Mauricio Arias & Camilo Hern�ndez & Camilo Zea, 2006, "Expectativas De Inflacion En El Mercado De Deuda P�Blica Colombiano," Borradores de Economia, Banco de la Republica, number 2695, Mar.
• Eliana Gonz�lez & Miguel I. G�mez & Luis F. Melo & Jos� Luis Torres, 2006, "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia, Banco de la Republica, number 2735, Oct.
• Luis Eduardo Arango & Andr�s Felipe Garc�a & Carlos Esteban Posada, 2006, "La metodolog�a de la Encuesta Continua de Hogares y el empalme de las series del mercado laboral urbano de Colombia," Borradores de Economia, Banco de la Republica, number 3039, Oct.
• Timo Terasvirta & Andr�s Gonz�lez, 2006, "Modelling autoregressive processes with a shifting mean," Borradores de Economia, Banco de la Republica, number 3230, Dec.
• Carlos Alberto Castro & Juan Ricardo Perilla & Orlando Gracia, 2006, "El comercio internacional y la productividad total de los factores en Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 2470, May.
• Juan Sebastián CAMPOS, 2006, "Estimación de la brecha entre el PIB Potencial y el observado a través de Modelos VAR estructural para Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 2596, Mar.
• Constanza MARTINEZ VENTURA, 2006, "Pronósticos de producción agrícola," Archivos de Economía, Departamento Nacional de Planeación, number 3394, Apr.
• Julio César Alonso & Mauricio Alejandro Arcos, 2006, "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," Estudios Gerenciales, Universidad Icesi.
• Julio César Alonso & Mauricio Alejandro Arcos, 2006, "Valor en Riesgo: Evaluación del desempeno de diferentes metodologías para 7 países latinoamericanos," Borradores de Economía y Finanzas, Universidad Icesi, number 3744, Sep.
• Álvaro Hernando Chaves Castro, 2006, "Desestacionalización de la producción industrial con la metodología X-12 ARIMA," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 2294, Oct.
• Fabio Fernando Moscoso & Hernando E. V�squez, 2006, "Determinantes del comercio intra-industrial en el Grupo de los Tres," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 2324, Apr.
• Ramón Javier Mesa Callejas & Mauricio López Gonzalez, 2006, "Reflexiones a propósito de la estrategia de Crecimiento económico en Colombia 2019," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Wilman Gómez Munoz & Alejandro Torres García, 2006, "Distribución, crecimiento económico y pobreza en Colombia: la discusión reciente y algunas perspectivas a mediano plazo," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Elkin Castano & Santiago Gallón & Karoll Gómez & Johanna Vásquez, 2006, "Análisis de los factores asociadosa la deserción y graduación estudiantil universitaria," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Mauricio A. Hernández Monsalve & Ramón Javier Mesa, 2006, "La experiencia colombiana bajo un régimen de fluctuación controlada del tipo de cambio: el papel de las intervenciones bancarias," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Bernardo Albertoi Zapata Bonnett, 2006, "Determinantes de la prima de riesgo soberano para Colombia," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 8271, Sep.
• Alejandro Marín Calad & Álvaro Hurtado Rendon, 2006, "Un aporte al debate sobre la neutralidad del dinero: evidencia empírica del caso colombiano en el periodo 1970-2000," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 8272, Sep.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006, "Regime switching GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006011, Feb.
• BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006012, Feb.
• PREMINGER, Arie & HAFNER, Christian, 2006, "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006042, May.
• PREMINGER, Arie & STORTI, Giuseppe, 2006, "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006068, Aug.
• HAFNER, Christian & PREMINGER, Arie, 2006, "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006071, Sep.
• CORONEO, Laura & VEREDAS, David, 2006, "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006077, Sep.
• MEITZ, Mika & SAIKKONEN, Pentti, 2006, "Stability of nonlinear AR-GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006078, Sep.
• Minford, Patrick & Peel, David, 2006, "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5611, Apr.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5632, Apr.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Understanding the Link between Money Growth and Inflation in the Euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5683, May.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5723, Jun.
• Steen, Frode & Asche, Frank, 2006, "When Anti-Dumping Measures Lead to Increased Market Power: A Case Study of the European Salmon Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5781, Aug.
• Siotis, Georges & Martinez Granado, Maite, 2006, "Computing Abuse Related Damages in the Case of New Entry: An Illustration for the Directory Enquiry Services Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5813, Sep.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Money at Low Frequencies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5868, Oct.
• Daniel Waldenstrom & Bruno S. Frey, 2006, "Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2006-27, Nov.
• Nikolay Gospodinov, 2006, "A New Look at the Forward Premium Puzzle," Working Papers, Concordia University, Department of Economics, number 08009, Sep, revised Dec 2008.
• Gonzalo, Jesús & Pitarakis, Jean-Yves, 2006, "Threshold effects in cointegrating relationships," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20060621, Jun.
• Tena Horrillo, Juan de Dios & Jerez, Miguel & Sotoca, Sonia & Carvallo, Nicole, 2006, "A proposal to obtain a long quarterly chilean gdp series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws061706, Mar.
• Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006, "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006006, Feb.
• Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006, "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006007, Feb.
• Frédérique BEC & Mélika BEN SALEM & Ronald MACDONALD, 2006, "Real exchange rates and real interest rates : a nonlinear perspective," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2006024, Jun.
• Olmo, J., 2006, "A new family of estimators for the extremal index," Working Papers, Department of Economics, City St George's, University of London, number 06/01.
• Chen, Willa W. & Deo, Rohit S., 2006, "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, volume 22, issue 2, pages 206-234, April.
• Hualde, Javier, 2006, "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, volume 22, issue 5, pages 765-814, October.
• Meitz, Mika, 2006, "A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes," Econometric Theory, Cambridge University Press, volume 22, issue 5, pages 985-988, October.
• Bidarkota, Prasad V., 2006, "On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 1, pages 56-76, February.
• Breyer, Friedrich & Felder, Stefan, 2006, "Life expectancy and health care expenditures: A new calculation for Germany using the costs of dying," Health Policy, Elsevier, volume 75, issue 2, pages 178-186, January.
• Billah, Baki & King, Maxwell L. & Snyder, Ralph D. & Koehler, Anne B., 2006, "Exponential smoothing model selection for forecasting," International Journal of Forecasting, Elsevier, volume 22, issue 2, pages 239-247.
• Hyndman, Rob J. & Koehler, Anne B., 2006, "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, volume 22, issue 4, pages 679-688.
• Lucas, Andre & Klaassen, Pieter, 2006, "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, volume 30, issue 1, pages 23-35, January.
• Kocenda, Evzen & Valachy, Juraj, 2006, "Exchange rate volatility and regime change: A Visegrad comparison," Journal of Comparative Economics, Elsevier, volume 34, issue 4, pages 727-753, December.