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

• Norman Swanson & Geetesh Bhardwaj, 2006, "A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects," Departmental Working Papers, Rutgers University, Department of Economics, number 200613, Sep.
• Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006, "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers, Rutgers University, Department of Economics, number 200614, Sep.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 200616, Sep.
• Norman Swanson & Valentina Corradi, 2006, "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers, Rutgers University, Department of Economics, number 200618, Sep.
• Norman Swanson & Nii Ayi Armah, 2006, "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers, Rutgers University, Department of Economics, number 200619, Sep.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006, "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers, Rutgers University, Department of Economics, number 200620, Oct.
• Valentina Corradi & Norman Swanson, 2006, "Predictive Density Evaluation. Revised," Departmental Working Papers, Rutgers University, Department of Economics, number 200621, Oct.
• Kurt Brännäs & Jonas Nordström, 2006, "Tourist Accommodation Effects of Festivals," Tourism Economics, , volume 12, issue 2, pages 291-302, June, DOI: 10.5367/000000006777637458.
• Asif Idrees Agha & Muhammad Saleem Khan, 2006, "An Empirical Analysis of Fiscal Imbalances and Inflation in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 2, pages 343-362..
• Sadia Bader, 2006, "Determining Import Intensity of Exports for Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 2, pages 363-381..
• Zulfiqar Hyder & Muhammad Mazhar Khan, 2006, "Monetary Conditions Index for Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 11, May.
• Sadia Bader, 2006, "Determining Import Intensity of Exports for Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 15, Sep.
• Alexander Kempf & Christoph Memmel, 2006, "Estimating the global Minimum Variance Portfolio," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 4, pages 332-348, October.
• Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006, "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe05.
• Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006, "Subsampling realised kernels," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe06.
• Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006, "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006, Society for Computational Economics, number 131, Jul.
• Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-Santaulà ria & School of Economics, University of Guanajuato, 2006, "Spurious regression and econometric trends," Computing in Economics and Finance 2006, Society for Computational Economics, number 151, Jul.
• Simon van Norden, 2006, "Testing for Recent Trends in US Productivity Growth," Computing in Economics and Finance 2006, Society for Computational Economics, number 177, Jul.
• Periklis Kougoulis & John C. Nankervis & Jerry Coakley, 2006, "Generalized variance ratio tests in the presence of statistical dependence," Computing in Economics and Finance 2006, Society for Computational Economics, number 180, Jul.
• John Stachurski & University of Melbourne, 2006, "Computing the Distributions of Economic Models via Simulation," Computing in Economics and Finance 2006, Society for Computational Economics, number 185, Jul.
• Esben Hoeg & Per Frederiksen, 2006, "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006, Society for Computational Economics, number 194, Jul.
• Josu Arteche, 2006, "Semiparametric estimation in perturbed long memory series," Computing in Economics and Finance 2006, Society for Computational Economics, number 22, Jul.
• David Colliings & Nicola Baxter, 2006, "Computational Finance Techniques for Valuing Customers," Computing in Economics and Finance 2006, Society for Computational Economics, number 220, Jul.
• Tino Berger & Gerdie Everaert, 2006, "Re-examining the Structural and the Persistence Approach," Computing in Economics and Finance 2006, Society for Computational Economics, number 226, Jul.
• Kostas Giannopoulos, 2006, "Pricing Basket spread options," Computing in Economics and Finance 2006, Society for Computational Economics, number 252, Jul.
• Y. Kahiri & A. Shmilovici & S. Hauser, 2006, "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006, Society for Computational Economics, number 256, Jul.
• Riccardo Corradini, 2006, "Advanced estimates of regional accounts: an alternative approach by spatial panels," Computing in Economics and Finance 2006, Society for Computational Economics, number 287, Jul.
• Alfonso Gutierrez & Jerry Coakley & Neil Kellard, 2006, "Threshold Autoregressive Models of the Commodities Futures Basis," Computing in Economics and Finance 2006, Society for Computational Economics, number 323, Jul.
• Meryem Duygun Fethi & Salih Turan Katirciglu & Sami Fethi, 2006, "Testing the impact of disaggregated investment on Economic growth," Computing in Economics and Finance 2006, Society for Computational Economics, number 370, Jul.
• Isabella Procidano & Margherita Gerolimetto & Silio Rigatti Luchini, 2006, "Dynamic cointegration and relevant vector machine: the relationship between gold and silver," Computing in Economics and Finance 2006, Society for Computational Economics, number 380, Jul.
• Giuseppe Storti & Luc Bauwens, 2006, "A component GARCH model with time varying weights," Computing in Economics and Finance 2006, Society for Computational Economics, number 388, Jul.
• George Monokroussos, 2006, "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006, Society for Computational Economics, number 390, Jul.
• Elena Andreou, 2006, "Monotonic Power in tests for structural change in the mean based on orthonormal series filtering," Computing in Economics and Finance 2006, Society for Computational Economics, number 394, Jul.
• Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006, "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006, Society for Computational Economics, number 407, Jul.
• Serge Hayward, 2006, "Genetically Optimised Artificial Neural Network for Financial Time Series Data Mining," Computing in Economics and Finance 2006, Society for Computational Economics, number 417, Jul.
• Jiri Slacalek, 2006, "International Wealth Effects," Computing in Economics and Finance 2006, Society for Computational Economics, number 425, Jul.
• Dietmar Maringer & Mark Meyer, 2006, "Smooth Transition Autoregressive (STAR) Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 456, Jul.
• M. Karanasos & S. Schurer, 2006, "Is the relationship between ination and its uncertainty linear?," Computing in Economics and Finance 2006, Society for Computational Economics, number 463, Jul.
• Alessandra Amendola & Giuseppe Storti, 2006, "The combination of volatility forecasts," Computing in Economics and Finance 2006, Society for Computational Economics, number 496, Jul.
• William A. Barnett & Unja Chae & John W. Keating, 2006, "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006, Society for Computational Economics, number 51, Jul.
• William A. Barnett & Evgeniya A. Duzhak, 2006, "Bifurcation analysis of New Keynesian models," Computing in Economics and Finance 2006, Society for Computational Economics, number 55, Jul.
• Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan, 2006, "Stochastic unit-root bilinear processes," Computing in Economics and Finance 2006, Society for Computational Economics, number 63, Jul.
• Christian Francq & Jean-Michel Zakoïan, 2006, "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006, Society for Computational Economics, number 64, Jul.
• Robert Aebi & Klaus Neusser & Peter Steiner, 2006, "A Large Deviation Approach to the Measurement of Mobility," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue 2, pages 195-222, June.
• Catherine Bruneau & Amine Lahiani, 2006, "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue 4, pages 479-500, December.
• Yu-Chin Hsu & Chung-Ming Kuan, 2006, "Change-Point Estimation of Nonstationary I(d) Processes," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A007, Sep.
• Chung-Ming Kuan & Yu-Wei Hsieh, 2006, "Improved HAC Covariance Matrix Estimation Based on Forecast Errors," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A008, Sep.
• Wei-Ming Lee & Chung-Ming Kuan, 2006, "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A009, Sep.
• Katrin Assenmacher & Stefan Gerlach, 2006, "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," Working Papers, Swiss National Bank, number 2006-05.
• Marie Briere & Aurélie Cohen, 2006, "A quoi réagit le marchés des obligations privées?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-003.RS.
• André Farber & Van Nam Nguyen & Quan-Hoang Vuong, 2006, "Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-005.RS, Apr.
• Patrick Eugster & Peter Zweifel, 2006, "Correlated Risks: A Conflict of Interest Between Insurers and Consumers and Its Resolution," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0604, Apr.
• Jürgen Wolters & Uwe Hassler, 2006, "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 43-58, March, DOI: 10.1007/s10182-006-0220-6.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 59-74, March, DOI: 10.1007/s10182-006-0221-5.
• Helmut Herwartz, 2006, "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 89-104, March, DOI: 10.1007/s10182-006-0223-3.
• Stephan Boes & Peter Pflaumer, 2006, "University student enrollment forecasts by analysis structural ratios using ARIMA-methods," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 2, pages 253-271, June, DOI: 10.1007/s10182-006-0233-1.
• George Hammond, 2006, "A time series analysis of U.S. metropolitan and non-metropolitan income divergence," The Annals of Regional Science, Springer;Western Regional Science Association, volume 40, issue 1, pages 81-94, March, DOI: 10.1007/s00168-005-0029-3.
• Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006, "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, volume 30, issue 4, pages 795-825, January, DOI: 10.1007/s00181-005-0001-1.
• David Veredas, 2006, "Macroeconomic surprises and short-term behaviour in bond futures," Empirical Economics, Springer, volume 30, issue 4, pages 843-866, January, DOI: 10.1007/s00181-005-0002-y.
• Artur Silva Lopes, 2006, "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, volume 31, issue 1, pages 165-182, March, DOI: 10.1007/s00181-005-0029-2.
• Guglielmo Caporale & Luis Gil-Alana, 2006, "Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994," Empirical Economics, Springer, volume 31, issue 1, pages 83-93, March, DOI: 10.1007/s00181-005-0017-6.
• Kari Heimonen, 2006, "Nonlinear adjustment in PPP—evidence from threshold cointegration," Empirical Economics, Springer, volume 31, issue 2, pages 479-495, June, DOI: 10.1007/s00181-005-0026-5.
• Dimitris Christopoulos, 2006, "Does a non-linear mean reverting process characterize real GDP movements?," Empirical Economics, Springer, volume 31, issue 3, pages 601-611, September, DOI: 10.1007/s00181-005-0034-5.
• Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2006, "Empirical size and power of some diagnostic tests applied to a distributed lag model," Empirical Economics, Springer, volume 31, issue 3, pages 631-643, September, DOI: 10.1007/s00181-005-0039-0.
• Emanuela Marrocu, 2006, "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, volume 31, issue 4, pages 801-820, November, DOI: 10.1007/s00181-006-0055-8.
• Sabine Stephan, 2006, "German Exports to the Euro Area," Empirical Economics, Springer, volume 31, issue 4, pages 871-882, November, DOI: 10.1007/s00181-006-0059-4.
• David Giles & Chad Stroomer, 2006, "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence," Empirical Economics, Springer, volume 31, issue 4, pages 883-903, November, DOI: 10.1007/s00181-006-0060-y.
• 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.