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

2006

• Paolo Guasoni, 2006, "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, volume 10, issue 2, pages 159-177, April, DOI: 10.1007/s00780-006-0006-4.
• Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006, "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1545, Jan.
• Peter C. B. Phillips & Chirok Han, 2006, "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1546, Jan.
• Peter C. B. Phillips, 2006, "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1547, Jan.
• Nicholas Z. Muller & Peter C. B. Phillips, 2006, "Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1548, Jan.
• Offer Lieberman & Peter C. B. Phillips, 2006, "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1549, Jan.
• P. Jeganathan, 2006, "Limit Theorems for Functionals of Sums That Converge to Fractional Stable Motions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1558, Feb, revised Mar 2006.
• Ke-Li Xu & Peter C.B. Phillips, 2006, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1585, Oct.
• Ke-Li Xu & Peter C.B. Phillips, 2006, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1585R, Oct, revised Nov 2006.
• Offer Lieberman & Peter C.B. Phillips, 2006, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1586, Oct.
• Chang Sik Kim & Peter C.B. Phillips, 2006, "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1587, Oct.
• Qiying Wang & Peter C.B. Phillips, 2006, "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1594, Dec.
• Martin B. Schmidt, 2006, "Institutional Change and Factor Movement: A Test of the Coase Theorem's Invariance Principle," Working Papers, Economics Department, William & Mary, number 47, Nov.
• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," 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 36774, Mar.
• Röthig, Andreas & Chiarella, Carl, 2009, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," 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 77372.
• Gerardo Angeles-Castro, 2006, "The relationship between economic growth and inequality: evidence from the age of market liberalism," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c011_009, Jun.
• Michal Myck & Howard Reed, 2006, "Tax and Benefit Reforms in a Model of Labour Market Transitions," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 75, issue 3, pages 208-239, DOI: 10.3790/vjh.75.3.208.
• Christian Dreger & Jürgen Wolters, 2006, "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 561.
• Christian Dreger & Hans-Eggert Reimers, 2006, "Hysteresis and Persistence in the Course of Unemployment: The EU and US Experience," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 572.
• Jiri Slacalek, 2006, "International Wealth Effects," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 596.
• Michal Myck & Howard Reed, 2006, "Tax and Benefit Reforms in a Model of Labour Market Transitions," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 625.
• Jiri Slacalek, 2006, "What Drives Personal Consumption?: The Role of Housing and Financial Wealth," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 647.
• Catherine Bruneau & Amine Lahiani, 2006, "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-17.
• Olivier Darné & Jean-François Hoarau, 2006, "Testing the purchasing power parity in China," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-18.
• John Thornton, 2006, "Inflation and Inflation Uncertainty in India, 1957 - 2005," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 41, issue 1, pages 1-8, July.
• Akhtar Hossain, 2006, "The Money Demand Behaviour in Bangladesh, 1973-2003: An Application of the Cointegration and Error-Correction Methods," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 41, issue 1, pages 55-80, July.
• Rossi, Barbara & Giacomini, Raffaella, 2006, "Detecting and Predicting Forecast Breakdowns," Working Papers, Duke University, Department of Economics, number 06-01.
• Bill Russell, 2006, "Non-Stationary Inflation and the Markup: an Overview of the Research and some Implications for Policy," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 191, Aug.
• GÓMEZ-SORZANO Gustavo A, 2006, "A Structural Model For The Demand For Lease Renewals In The U.S. Leasing Industry," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 1.
• Jayanthakumaran, K. & Pahlavani, M., 2006, "Australia and New Zealand CER agreement and breakpoints in bilateral trade: an application of the Wald-type test," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Maghyereh, A. & Al-Zoubi, H., 2006, "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Tsoulfidis, L. & Dergiades, Th., 2006, "The Inflation-Capacity Utilization Conundrum: Evidence from the Canadian Economy," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• El Bouhadi, A. & Benali, M., 2006, "The Moroccan Monetary and Financial Structure Reforms and Economic Agents´Behaviour," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Melike BILDIRICI & Seçkin SUNAL, 2006, "Economic Determinants Of Development In World Economy I: 1920-2005. An Analysis of 165 Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• BATTISTI,Michele, 2006, "Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Khurshid M. KIANI & Terry L. KASTENS, 2006, "Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Mourao, P. R., 2006, "Why is the number of catholic priests diminishing in Portugal?. Analysis of the period 1960-2002," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 6, issue 2.
• Kamaly, A., 2006, "Economic Growth Before and After Reform: The Case of Egypt, 1973-2002," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 3, issue 2, pages 21-54.
• Peter C. B. Phillips & Jun Yu, 2006, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Development Economics Working Papers, East Asian Bureau of Economic Research, number 22471, Jan.
• Peter C. B. Phillips & Jun Yu, 2006, "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22472, Jan.
• Anders C Johansson & Christer Ljungwall, 2006, "Spillover Effects among the Greater China Region Stock Markets," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 22046, Jan.
• Nedyalka Dimitrova, 2006, "Изследване На Конвергенцията На Инфлационните Равнища Между България И Ес," Working paper series, Agency for Economic Analysis and Forecasting, number 32006bg, Feb.
• Duan, Jin-Chuan & Fulop, Andras, 2006, "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 06015, Oct.
• Fulop, Andras, 2006, "Feedback Effects of Rating Downgrades," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 06016, Oct.
• Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio, 2006, "Inflation convergence and divergence within the European Monetary Union," Working Paper Series, European Central Bank, number 574, Jan.
• Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006, "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series, European Central Bank, number 591, Feb.
• Calza, Alessandro & Zaghini, Andrea, 2006, "Non-linear dynamics in the euro area demand for M1," Working Paper Series, European Central Bank, number 592, Feb.
• Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006, "The impact of the euro on financial markets," Working Paper Series, European Central Bank, number 598, Mar.
• Surico, Paolo & Giannone, Domenico & D'Agostino, Antonello, 2006, "(Un)Predictability and macroeconomic stability," Working Paper Series, European Central Bank, number 605, Apr.
• Lünnemann, Patrick & Mathä, Thomas Y., 2006, "New survey evidence on the pricing behaviour of Luxembourg firms," Working Paper Series, European Central Bank, number 617, May.
• Diron, Marie, 2006, "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series, European Central Bank, number 622, May.
• Giacomini, Raffaella & Rossi, Barbara, 2006, "Detecting and predicting forecast breakdowns," Working Paper Series, European Central Bank, number 638, Jun.
• Schnabl, Gunther & Hillebrand, Eric, 2006, "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series, European Central Bank, number 650, Jun.
• Anthony Garratt & Shaun P Vahey, 2006, "UK Real-Time Macro Data Characteristics," Economic Journal, Royal Economic Society, volume 116, issue 509, pages 119-135, February.
• Chirok Han & Peter C. B. Phillips, 2006, "GMM with Many Moment Conditions," Econometrica, Econometric Society, volume 74, issue 1, pages 147-192, January.
• Raffaella Giacomini & Halbert White, 2006, "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, volume 74, issue 6, pages 1545-1578, November.
• Yongcheol Shin & Andy Snell, 2006, "Mean group tests for stationarity in heterogeneous panels," Econometrics Journal, Royal Economic Society, volume 9, issue 1, pages 123-158, March.
• Tommaso Proietti, 2006, "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, volume 9, issue 3, pages 357-372, November.
• Agostino Consolo, 2006, "Forecasting measures of inflation for the Estonian economy," Bank of Estonia Working Papers, Bank of Estonia, number 2006-03, Oct, revised 12 Nov 2006.
• Kosater, Peter & Mosler, Karl, 2006, "Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices," Applied Energy, Elsevier, volume 83, issue 9, pages 943-958, September.
• GERLACH, Stefan & Peng, Wensheng, 2006, "Output gaps and inflation in Mainland China," China Economic Review, Elsevier, volume 17, issue 2, pages 210-225.
• Liu, Tung & Li, Kui-Wai, 2006, "Disparity in factor contributions between coastal and inner provinces in post-reform China," China Economic Review, Elsevier, volume 17, issue 4, pages 449-470.
• Pollock, D.S.G., 2006, "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 9, pages 2268-2292, May.
• Koopman, Siem Jan & Ooms, Marius, 2006, "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 2, pages 885-903, November.
• Arteche, J., 2006, "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2118-2141, December.
• Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006, "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2218-2231, December.
• Bardhan, Pranab & Mookherjee, Dilip, 2006, "Pro-poor targeting and accountability of local governments in West Bengal," Journal of Development Economics, Elsevier, volume 79, issue 2, pages 303-327, April.
• Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006, "Are European business cycles close enough to be just one?," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1687-1706.
• Sahuc, Jean-Guillaume, 2006, "Partial indexation, trend inflation, and the hybrid Phillips curve," Economics Letters, Elsevier, volume 90, issue 1, pages 42-50, January.
• Meddahi, Nour & Renault, Eric & Werker, Bas, 2006, "GARCH and irregularly spaced data," Economics Letters, Elsevier, volume 90, issue 2, pages 200-204, February.
• Anderson, Heather M. & Low, Chin Nam & Snyder, Ralph, 2006, "Single source of error state space approach to the Beveridge Nelson decomposition," Economics Letters, Elsevier, volume 91, issue 1, pages 104-109, April.
• Belorgey, Nicolas & Lecat, Remy & Maury, Tristan-Pierre, 2006, "Determinants of productivity per employee: An empirical estimation using panel data," Economics Letters, Elsevier, volume 91, issue 2, pages 153-157, May.
• Jin, Sainan & Phillips, Peter C.B. & Sun, Yixiao, 2006, "A new approach to robust inference in cointegration," Economics Letters, Elsevier, volume 91, issue 2, pages 300-306, May.
• Rodrigues, Paulo M.M., 2006, "Properties of recursive trend-adjusted unit root tests," Economics Letters, Elsevier, volume 91, issue 3, pages 413-419, June.
• Holmes, Mark J. & Silverstone, Brian, 2006, "Okun's law, asymmetries and jobless recoveries in the United States: A Markov-switching approach," Economics Letters, Elsevier, volume 92, issue 2, pages 293-299, August.
• Fernandes, Marcelo & Grammig, Joachim, 2006, "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, volume 130, issue 1, pages 1-23, January.
• Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc, 2006, "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," Journal of Econometrics, Elsevier, volume 130, issue 1, pages 123-142, January.
• Hassler, U. & Marmol, F. & Velasco, C., 2006, "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, volume 130, issue 1, pages 165-207, January.
• Inoue, Atsushi & Kilian, Lutz, 2006, "On the selection of forecasting models," Journal of Econometrics, Elsevier, volume 130, issue 2, pages 273-306, February.
• Chen, Xiaohong & Fan, Yanqin, 2006, "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, volume 130, issue 2, pages 307-335, February.
• Engle, Robert F. & Gallo, Giampiero M., 2006, "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 3-27.
• Bhardwaj, Geetesh & Swanson, Norman R., 2006, "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 539-578.
• Lundbergh, Stefan & Terasvirta, Timo, 2006, "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 579-609.
• Corradi, Valentina & Swanson, Norman R., 2006, "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 195-229, May.
• Harding, Don & Pagan, Adrian, 2006, "Synchronization of cycles," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 59-79, May.
• Deschamps, Philippe J., 2006, "A flexible prior distribution for Markov switching autoregressions with Student-t errors," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 153-190, July.
• Dufour, Jean-Marie, 2006, "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 443-477, August.
• Inoue, Atsushi & Shintani, Mototsugu, 2006, "Bootstrapping GMM estimators for time series," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 531-555, August.
• Hong, H. & Scaillet, O., 2006, "A fast subsampling method for nonlinear dynamic models," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 557-578, August.
• Corradi, Valentina & Swanson, Norman R., 2006, "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 779-806, August.
• Chen, Willa W. & Deo, Rohit S., 2006, "Estimation of mis-specified long memory models," Journal of Econometrics, Elsevier, volume 134, issue 1, pages 257-281, September.
• Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006, "Modified tests for a change in persistence," Journal of Econometrics, Elsevier, volume 134, issue 2, pages 441-469, October.
• Corradi, Valentina & Swanson, Norman R., 2006, "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 187-228.
• Haldrup, Niels & Nielsen, Morten Orregaard, 2006, "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 349-376.
• Rossi, Alessandro & Gallo, Giampiero M., 2006, "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, volume 13, issue 2, pages 203-230, March.

2005

• Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005, "Improved HAR Inference," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1513, Jun.
• Chirok Han & Peter C.B. Phillips, 2005, "GMM with Many Moment Conditions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1515, Jun.
• Peter C.B. Phillips & Tassos Magadalinos, 2005, "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1517, Jun.
• Federico M. Bandi & Peter C.B. Phillips, 2005, "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1522, Jun.
• Peter C.B. Phillips & Jun Yu, 2005, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1523, Jun.
• Taisuke Otsu & Yoon-Jae Whang, 2005, "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1533, Sep.
• Sainan Jin & Peter C.B. Phillips & Yixiao Sun, 2005, "A New Approach to Robust Inference in Cointegration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1538, Oct.
• Seung Hyun Hong & Peter C. B. Phillips, 2005, "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1541, Dec.
• Tobias Heinrich, 2005, "A Critical Note on Growth Regressions," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c010_020, Jun.
• Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu, 2005, "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis," Discussion Paper Series, Dokuz Eylül University, Faculty of Business, Department of Economics, number 05/04, Nov, revised 23 Nov 2005.
• Surajit Deb, 2005, "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 1, pages 65-92, January.
• Rossi, Barbara & Giacomini, Raffaella, 2005, "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers, Duke University, Department of Economics, number 05-08.
• Wilson, E.J, 2005, "Foodgrain Price Policies in India: The Effects on Foodgrain Production and Rural Poverty 1951-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 3.
• Shotar M.M, 2005, "The Attractiveness of Qatar to Foreign Direct Investment, 1980-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 3.
• Pahlavani, M., 2005, "Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 4.
• VALADKHANI, A. & LAYTON, Allan P. & PAHLAVANI, M., 2005, "Multiple Structural Breaks In Australia’S Macroeconomic Data: An Application Of The Lumsdaine And Papell Test," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 3, pages 31-44.
• Pahlavani, M., 2005, "Cointegration and Structural Change in the Exports-Gdp Nexus: The Case of Iran, 1960-2003," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 37-56.
• Tsvetan Manchev, 2005, "Есе За Финансовата Криза," Working paper series, Agency for Economic Analysis and Forecasting, number 12005bg, Mar.
• Llaudes, Ricardo, 2005, "The Phillips curve and long-term unemployment," Working Paper Series, European Central Bank, number 441, Feb.
• Robalo Marques, Carlos & Dias, Daniel, 2005, "Using mean reversion as a measure of persistence," Working Paper Series, European Central Bank, number 450, Mar.
• Bilke, Laurent, 2005, "Break in the mean and persistence of inflation: a sectoral analysis of French CPI," Working Paper Series, European Central Bank, number 463, Mar.
• Lünnemann, Patrick & Mathä, Thomas Y., 2005, "Regulated and services' prices and inflation persistence," Working Paper Series, European Central Bank, number 466, Apr.
• Dossche, Maarten & Everaert, Gerdie, 2005, "Measuring inflation persistence: a structural time series approach," Working Paper Series, European Central Bank, number 495, Jun.
• Rumler, Fabio, 2005, "Estimates of the open economy New Keynesian Phillips curve for euro area countries," Working Paper Series, European Central Bank, number 496, Jun.
• Mohr, Matthias, 2005, "A trend-cycle(-season) filter," Working Paper Series, European Central Bank, number 499, Jul.
• Cappiello, Lorenzo & Manganelli, Simone & Gérard, Bruno, 2005, "Measuring comovements by regression quantiles," Working Paper Series, European Central Bank, number 501, Jul.
• Durré, Alain & Giot, Pierre, 2005, "An international analysis of earnings, stock prices and bond yields," Working Paper Series, European Central Bank, number 515, Aug.
• David F. Hendry & Hans-Martin Krolzig, 2005, "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, volume 115, issue 502, pages 32-61, March.
• Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005, "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2005-4, Feb.
• Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2005, "Breaking the panels: An application to the GDP per capita," Econometrics Journal, Royal Economic Society, volume 8, issue 2, pages 159-175, July.
• Offer Lieberman & Peter C. B. Phillips, 2005, "Expansions for approximate maximum likelihood estimators of the fractional difference parameter," Econometrics Journal, Royal Economic Society, volume 8, issue 3, pages 367-379, December.
• Jo Thori Lind, 2005, "Repeated surveys and the Kalman filter," Econometrics Journal, Royal Economic Society, volume 8, issue 3, pages 418-427, December.
• Viviana Fernández, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 203.
• Marit Hinnosaar & Hannes Kaadu & Lenno Uuskula, 2005, "Estimating the equilibrium exchange rate of the Estonian kroon," Bank of Estonia Working Papers, Bank of Estonia, number 2005-2, Oct, revised 10 Oct 2005.
• Bask, Mikael & de Luna, Xavier, 2005, "EMU and the stability and volatility of foreign exchange: Some empirical evidence," Chaos, Solitons & Fractals, Elsevier, volume 25, issue 3, pages 737-750, DOI: 10.1016/j.chaos.2004.12.009.
• Eklund, Bruno, 2005, "Estimating confidence regions over bounded domains," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 349-360, April.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 611-629, April.
• Charemza, Wojciech W. & Lifshits, Mikhail & Makarova, Svetlana, 2005, "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 1-2, pages 63-96, January.
• Fic, Tatiana & Ghate, Chetan, 2005, "The welfare state, thresholds, and economic growth," Economic Modelling, Elsevier, volume 22, issue 3, pages 571-598, May.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2005, "Testing for seasonal unit roots in heterogeneous panels," Economics Letters, Elsevier, volume 86, issue 2, pages 229-235, February.
• van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne, 2005, "Testing for causality in variance in the presence of breaks," Economics Letters, Elsevier, volume 89, issue 2, pages 193-199, November.
• Corradi, Valentina & Swanson, Norman R., 2005, "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, volume 124, issue 1, pages 117-148, January.
• Bontemps, Christian & Meddahi, Nour, 2005, "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, volume 124, issue 1, pages 149-186, January.
• Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005, "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, volume 126, issue 1, pages 53-77, May.
• Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005, "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, volume 127, issue 1, pages 103-128, July.
• Gonzalo, Jesus & Wolf, Michael, 2005, "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, volume 127, issue 2, pages 201-224, August.
• Pesaran, M. Hashem & Timmermann, Allan, 2005, "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 183-217.
• Dalla, Violetta & Hidalgo, Javier, 2005, "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 219-261.
• Robinson, P.M. & Iacone, F., 2005, "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 263-298.
• Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005, "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, volume 12, issue 3, pages 445-475, June.
• Karuppiah, Jeyanthi & Los, Cornelis A., 2005, "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, volume 14, issue 2, pages 211-246.
• Niels Haldrup & Michael Jansson, 2005, "Improving Size and Power in Unit Root Testing," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-02, Mar.
• Niels Haldrup & Svend Hylleberg & Gabriel Pons & Jaume Rosselló & Andreu Sansó, 2005, "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-03, Mar.
• Haldrup; Niels & Morten Oerregaard Nielsen, 2005, "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-18, Oct.
• Jamal Bouoiyour & Serge Rey, 2005, "Exchange Rate Regime, Real Exchange Rate, Trade Flows and Foreign Direct Investments: The Case of Morocco," African Development Review, African Development Bank, volume 17, issue 2, pages 302-334.
• Alain Guay & Pierre Saint-Amant, 2005, "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Annals of Economics and Statistics, GENES, issue 77, pages 133-155.
• Claude Diebolt & Olivier Darné, 2005, "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des Etats-Unis," Working Papers, Association Française de Cliométrie (AFC), number 05-06.
• Jean-Pascal Guironnet, 2005, "Analyse cliométrique des cycles de croissance de l’éducation en France (1815-2003) : Vers un modèle à seuil autorégressif," Working Papers, Association Française de Cliométrie (AFC), number 05-11.
• Jin, Hyun Joung & Miljkovic, Dragan, 2005, "Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003," 2005 Annual meeting, July 24-27, Providence, RI, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 19118, DOI: 10.22004/ag.econ.19118.
• Rodriguez, Gloria Martin & Hernandez, Jose Juan Caceres, 2005, "Evolving Seasonal Pattern of Tenerife Tomato Exports," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24501, DOI: 10.22004/ag.econ.24501.
• Niemi, Jyrki S. & Huan-Niemi, Ellen & Ledebur, Oliver von & Salamon, Petra, 2005, "Expansion of Mercosur's Agricultural Exports to the EU: An Empirical Assessment of the Trade Flows," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24606, DOI: 10.22004/ag.econ.24606.
• Brümmer, Bernhard & Zorya, Sergiy, 2005, "Wheat / Flour Price Transmission and Agricultural Policies in Ukraine: A Markov-Switching Vector Error Correction Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24624, DOI: 10.22004/ag.econ.24624.
• Gutierrez, Luciano & Erickson, Kenneth W. & Westerlund, Joakim, 2005, "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24702, DOI: 10.22004/ag.econ.24702.
• Dhehibi, Boubaker & Lachaal, Lassaad & Chebil, Ali, 2005, "Demand Analysis for Fish in Tunisia: An Empirical Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24715, DOI: 10.22004/ag.econ.24715.
• Frey, Giliola & Manera, Matteo, 2005, "Econometric Models of Asymmetric Price Transmission," International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 12122, DOI: 10.22004/ag.econ.12122.
• Brosig, Stephan & Yakhshilikov, Yorbol, 2005, "Interregional Integration Of Wheat Markets In Kazakhstan," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 14921, DOI: 10.22004/ag.econ.14921.
• Orregaard Nielsen, Morten & Frederiksen, Per, 2005, "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273666, Jul, DOI: 10.22004/ag.econ.273666.
• Orregaard Nielsen, Morten & Frederiksen, Per, 2005, "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273667, Jul, DOI: 10.22004/ag.econ.273667.
• Orregaard Nielsen, Morten & Houmann Frederiksen, Per, 2005, "Finite Sample Accuracy of Integrated Volatility Estimators," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273721, Jan, DOI: 10.22004/ag.econ.273721.
• Silva, Washington Santos da & Sáfadi, Thelma & Castro Junior, Luiz Gonzaga de, None, "Uma análise empírica da volatilidade do retorno de commodities agrícolas utilizando modelos ARCH: os casos do café e da soja," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 43, issue 01, pages 1-16, DOI: 10.22004/ag.econ.156123.
• SOUZA, Nali de Jesus de & STULP, Valter José, None, "Relações de trocas e causalidade de Granger entre preços pagos e recebidos pela agricultura brasileira, 1986/2004," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 43, issue 2, pages 1-19, DOI: 10.22004/ag.econ.156203.
• Eurilton Araújo & Luciane Carpena & Alexandre Cunha, 2005, "Brazilian Business Cycles And Growth From 1850 To 2000," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 030.
• Márcio Holland, 2005, "Monetary And Exchange Rate Policy In Brazil After Inflation Targeting," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 032.
• Antonio Tiago Loureiro Araújo dos Santos & Gilberto Tadeu Lima & Veridiana Ramos da Silva Carvalho, 2005, "A Restrição Externa Como Fator Limitante Do Crescimento Econômico Brasileiro: Um Teste Empírico," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 066.
• Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2005, "Unemployment dynamics and NAIRU estimates for CEECs : A univariate approach," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 131.
• Maria Neycheva, 2005, "The Impact of the Fisc on Macroeconomic Fluctuations in Bulgarian Economy," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 42-59.
• Oberhofer, Walter & Haupt, Harry, 2005, "Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 406.
• Anthony Garratt & Shaun P Vahey, 2005, "UK Real-Time Macro Data Characteristics," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0502, Jan.
• Patrick Lünnemann & Thomas Y. Mathä, 2005, "Nominal rigidities and inflation persistence in Luxembourg: a comparison with EU 15 member countries with particular focus on services and regulated prices," BCL working papers, Central Bank of Luxembourg, number 14, Apr.
• Máximo Camacho & Gabriel Pérez-Quirós, 2005, "Jump-and-rest effect of U.S. business cycles," Working Papers, Banco de España, number 0507, Mar.
• Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005, "Do european business cycles look like one?," Working Papers, Banco de España, number 0518, Aug.
• Martha Misas & María Teresa Ramírez, 2005, "Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model," Borradores de Economia, Banco de la Republica de Colombia, number 340, Jun, DOI: 10.32468/be.340.
• Juan Manuel Julio & Norberto Rodríguez & Hector Zárate, 2005, "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia, Banco de la Republica de Colombia, number 347, Aug, DOI: 10.32468/be.347.