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

2005

• 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.
• Luz Adriana Flórez & Carlos Esteban Posada & José Fernando Escobar, 2005, "Crédito y depósitos bancarios en Colombia (1990-2004): una relación de largo plazo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 23, issue 48, pages 12-63, Junio, DOI: 10.32468/Espe.4801.
• Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005, "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 628-641, June.
• Giacomini, Raffaella & Komunjer, Ivana, 2005, "Evaluation and Combination of Conditional Quantile Forecasts," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 416-431, October.
• Jushan Bai & Serena Ng, 2005, "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 49-60, January.
• Laurent Bilke, 2005, "Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI," Working papers, Banque de France, number 122.
• Drumetz, F. & Avouyi-Dovi, S. & Brun, M. & Dreyfus, A. & Oung, V. & Sahuc, J-G., 2005, "La fonction de demande de monnaie pour la zone euro : un réexamen," Bulletin de la Banque de France, Banque de France, issue 142, pages 23-39.
• Suleiman Abu-Bader & Aamer S. Abu-Qarn, 2005, "A Versus K Revisited:Evidence From Selected Mena Countries," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0513.
• David Harvey & Stephen Leybourne & A M Robert Taylor, 2005, "On Robust Trend Function Hypothesis Testing," Discussion Papers, Department of Economics, University of Birmingham, number 05-07, Feb.
• Giuseppe Cavaliere & A M Robert Taylor, 2005, "Testing the Null of Co-integration in the Presence of Variance Breaks," Discussion Papers, Department of Economics, University of Birmingham, number 05-10, Apr.
• Wolfgang Franz, 2005, "Will the (German) NAIRU Please Stand Up?," German Economic Review, Verein für Socialpolitik, volume 6, issue 2, pages 131-153, May, DOI: 10.1111/j.1465-6485.2005.00124.x.
• Morten Ørregaard Nielsen, 2005, "Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 2, pages 279-304, March, DOI: 10.1111/j.1467-9892.2005.00401.x.
• Debashish Bhattacherjee, 2005, "The Effects of Group Incentives in an Indian Firm: Evidence from Payroll Data," LABOUR, CEIS, volume 19, issue 1, pages 147-173, March, DOI: 10.1111/j.1467-9914.2005.00288.x.
• Don Bredin & Stilianos Fountas, 2005, "Macroeconomic Uncertainty And Macroeconomic Performance: Are They Related?," Manchester School, University of Manchester, volume 73, issue s1, pages 58-76, September, DOI: 10.1111/j.1467-9957.2005.00461.x.
• David F. Hendry & Carlos Santos, 2005, "Regression Models with Data‐based Indicator Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 67, issue 5, pages 571-595, October, DOI: 10.1111/j.1468-0084.2005.00132.x.
• Heather M. Anderson & Farshid Vahid, 2005, "Nonlinear Correlograms and Partial Autocorrelograms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 67, issue s1, pages 957-982, December, DOI: 10.1111/j.1468-0084.2005.00147.x.
• Niels Haldrup & Peter Lildholdt, 2005, "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 59, issue 2, pages 159-179, May, DOI: 10.1111/j.1467-9574.2005.00285.x.
• Christopher F. Baum, 2005, "A little bit of Stata programming goes a long way..," Boston College Working Papers in Economics, Boston College Department of Economics, number 612, Jun.
• Christopher F. Baum, 2005, "A little bit of Stata programming goes a long way..," United Kingdom Stata Users' Group Meetings 2005, Stata Users Group, number 16, Mar, revised 08 Jun 2005.
• Pierre Perron & Tomoyoshi Yabu, 2005, "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-026, Jul.
• Pierre Perron† & Tatsuma Wada, 2005, "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-031, Jan, revised Oct 2005.
• Pierre Perron & Tomoyoshi Yabu, 2005, "Estimating Deterministric Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-037, Jul.
• Tatsuma Wada & Pierre Perron, 2005, "An Alternative Trend-Cycle Decomposition using a 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 WP2005-43, Oct.
• Tatsuma Wada & Pierre Perron, 2005, "An Alternative Trend-Cycle Decomposition using a 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 WP2005-44, Oct.
• Pierre Perron & Tatsuma Wada, 2005, "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2009-006, Jan, revised Feb 2009.
• Raul Crespo, 2005, "Total Factor Productivity: An Unobserved Components Approach," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 05/579, Dec.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005, "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 05-09, Jun.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005, "Testing For Deterministic And Stochastic Cycles In Macroeconomic Time Series," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 05-11, Jun.
• Tung Liu & Kui-Wai Li, 2005, "Disparity in Factor Contributions between Coastal and Inner Provinces in Post-reform China," Working Papers, Ball State University, Department of Economics, number 200502, Jun, revised Apr 2006.
• Breitung, J. & Pesaran, M.H., 2005, "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0535, Aug.
• Pami Dua & Lokendra Kumawat, 2005, "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers, Centre for Development Economics, Delhi School of Economics, number 136, Jul.
• Minford, Patrick & Peel, David, 2005, "On the equality of Real Interest Rates across borders in Integrated Capital Markets," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2005/3, Nov.
• José Ignacio Castillo Manzano & Lourdes López Valpuesta & Javier J. Pérez, 2005, "Análisis del impacto de las leyes de 1992 y 1997 sobre el sistema portuario español," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2005/13.
• Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005, "Distribution Free Goodness-of-Fit Tests for Linear Processes," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 482, Jan.
• Myunghwan Seo, 2005, "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 484, Jan.
• Andrew J. Patton & Allan Timmermann, 2005, "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 485, Jan.
• Violetta Dalla & Javier Hidalgo, 2005, "A Parametric Bootstrap Test for Cycles," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 486, Feb.
• Peter M Robinson, 2005, "Modelling Memory of Economic and Financial Time Series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 487, Mar.
• Roberta Colavecchio & Declan Curran & Michael Funke, 2005, "Drifting Together or Falling Apart? The Empirics of Regional Economic Growth in Post-Unification Germany," CESifo Working Paper Series, CESifo, number 1533.
• Joerg Breitung & M. Hashem Pesaran, 2005, "Unit Roots and Cointegration in Panels," CESifo Working Paper Series, CESifo, number 1565.
• Agnès Bénassy-Quéré & Valérie Mignon & Alexis Penot, 2005, "China and the Relationship Between the Oil Price and the Dollar," Working Papers, CEPII research center, number 2005-16, Oct.
• Jean-Marie Dufour, 2005, "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers, CIRANO, number 2005s-02, Feb.
• Jean-Marie Dufour & Abdeljelil Farhat & Marc Hallin, 2005, "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," CIRANO Working Papers, CIRANO, number 2005s-04, Feb.
• Jean-Marie Dufour & Abdeljelil Farhat & Lynda Khalaf, 2005, "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," CIRANO Working Papers, CIRANO, number 2005s-05, Feb.
• Nikolay Gospodinov & Ian Irvine, 2005, "A `long march' perspective on tobacco use in Canada," Canadian Journal of Economics, Canadian Economics Association, volume 38, issue 2, pages 366-393, May, DOI: 10.1111/j.0008-4085.2005.00284.x.
• Raffella Giacomini & Barbara Rossi, 2005, "Detecting and Predicting Forecast Breakdowns," UCLA Economics Working Papers, UCLA Department of Economics, number 845, Dec.
• Ana Maria Ib√°nez & Carlos Eduardo VÔøΩlez, 2005, "Civil Conflict And Forced Migration: The Micro Determinantes And The Welfare Losses Of Displacement In Colombia," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 2127, May.
• Martha Misas & Mar�a Teresa Ram�rez, 2005, "Depressions In The Colombian Economic Growth During The Xx Century:A Markov Switching Regime Model," Borradores de Economia, Banco de la Republica, number 2274, Jun.
• Luz Adriana Flórez & Carlos Esteban Posada & Jos� Fernando Escobar, 2005, "Crédito y depósitos bancarios en Colombia (1990-2004): una relación de largo plazo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 23, issue 48, pages 12-63, DOI: 10.32468/Espe.4801.
• Julio César Alonso & Carlos Patino, 2005, "¿Crecer para exportar o exportar para crecer?," Borradores de Economía y Finanzas, Universidad Icesi, number 3793, Mar.
• Jairo Guillermo Isaza Castro & Carlos Arturo Meza Carvajalino, 2005, "Vectores autoregresivos, cointegración y cambios estructurales: Un análisis formal para la demanda de trabajo en Colombia," Serie de Documentos en Economía y Violencia, Centro de Investigaciones en Violencia, Instituciones y Desarrollo Económico (VIDE), number 3753, Oct.
• SILVESTRINI, Andrea & VEREDAS, David, 2005, "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005059, Sep.
• PREMINGER, Arie & SAKATA, Shinichi, 2005, "A model selection method for S-estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005073, Nov.
• Pérez-Quirós, Gabriel & Camacho, Máximo & ,, 2005, "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4824, Jan.
• Gillman, Max & Nakov, Anton, 2005, "Granger Causality of the Inflation-Growth Mirror in Accession Countries," CEPR Discussion Papers, Centre for Economic Policy Research, number 4845, Jan.
• Pérez-Quirós, Gabriel & Camacho, Máximo, 2005, "Jump-and-Rest Effects of US Business Cycles," CEPR Discussion Papers, Centre for Economic Policy Research, number 4975, Mar.
• Aruoba, Boragan, 2005, "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers, Centre for Economic Policy Research, number 5271, Oct.
• Parigi, Giuseppe & Golinelli, Roberto, 2005, "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 5302, Oct.
• Kilian, Lutz & Inoue, Atsushi, 2005, "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers, Centre for Economic Policy Research, number 5304, Oct.
• Wickens, Michael R. & Polito, Vito, 2005, "Measuring Fiscal Sustainability," CEPR Discussion Papers, Centre for Economic Policy Research, number 5312, Oct.
• Lettau, Martin & Van Nieuwerburgh, Stijn, 2005, "Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability," CEPR Discussion Papers, Centre for Economic Policy Research, number 5355, Nov.
• Timmermann, Allan, 2005, "Forecast Combinations," CEPR Discussion Papers, Centre for Economic Policy Research, number 5361, Nov.
• Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers, University of Crete, Department of Economics, number 0501, Jan.
• Andrea, SILVESTRINI, 2005, "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005044, Aug.
• Amaresh DAS, 2005, "Do stock prices and interest rates possess a common trend?," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2005042, Dec.
• Lei Gao & Gerhard Kling, 2005, "Calendar Effects in Chinese Stock Market," Annals of Economics and Finance, Society for AEF, volume 6, issue 1, pages 75-88, May.
• Trenkler, Carsten & Wolf, Nikolaus, 2005, "Economic integration across borders: The Polish interwar economy 1921–1937," European Review of Economic History, Cambridge University Press, volume 9, issue 2, pages 199-231, August.
• Phillips, Peter C.B., 2005, "Hac Estimation By Automated Regression," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 116-142, February.
• Linton, Oliver, 2005, "Nonparametric Inference For Unbalanced Time Series Data," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 143-157, February.
• Busetti, Fabio & Taylor, A.M. Robert, 2005, "Stationarity Tests For Irregularly Spaced Observations And The Effects Of Sampling Frequency On Power," Econometric Theory, Cambridge University Press, volume 21, issue 4, pages 757-794, August.
• Juhl, Ted & Xiao, Zhijie, 2005, "Partially Linear Models With Unit Roots," Econometric Theory, Cambridge University Press, volume 21, issue 5, pages 877-906, October.
• Luis Ayala & César Pérez, 2005, "Macroeconomic conditions, institutional factors and demographic structure: What causes welfare caseloads?," Journal of Population Economics, Springer;European Society for Population Economics, volume 18, issue 3, pages 563-581, September, DOI: 10.1007/s00148-005-0225-6.
• Steven J. Monahan, 2005, "Conservatism, Growth and the Role of Accounting Numbers in the Fundamental Analysis Process," Review of Accounting Studies, Springer, volume 10, issue 2, pages 227-260, September, DOI: 10.1007/s11142-005-1530-8.
• Peter L. Rousseau & Paul Wachtel, 2005, "Economic Growth and Financial Depth: Is the Relationship Extinct Already?," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 05-15.
• Ossama Mikhail & Curtis Eberwein & Jagdish Handa, 2005, "On the evidence of non-linear structure in Canadian unemployment," Applied Economics Letters, Taylor & Francis Journals, volume 12, issue 2, pages 101-104, DOI: 10.1080/1350485042000314325.
• Nasri Harb, 2005, "Import demand in heterogeneous panel setting," Applied Economics, Taylor & Francis Journals, volume 37, issue 20, pages 2407-2415, DOI: 10.1080/000368405002000345550.
• Ivan Paya & David Peel, 2005, "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor & Francis Journals, volume 37, issue 21, pages 2515-2522, DOI: 10.1080/00036840500390189.
• Hilde Bjørnland, 2005, "A stable demand for money despite financial crisis: the case of Venezuela," Applied Economics, Taylor & Francis Journals, volume 37, issue 4, pages 375-385, DOI: 10.1080/00036840412331315015.
• Francisco Andre & Javier Perez, 2005, "Robust stylized facts on comovement for the Spanish economy," Applied Economics, Taylor & Francis Journals, volume 37, issue 4, pages 453-462, DOI: 10.1080/09603100412331297018.
• Francisco Gallego & Christian Johnson, 2005, "Building confidence intervals for band-pass and Hodrick-Prescott filters: an application using bootstrapping," Applied Economics, Taylor & Francis Journals, volume 37, issue 7, pages 741-749, DOI: 10.1080/00036840500048985.
• Atsushi Inoue & Lutz Kilian, 2005, "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, volume 23, issue 4, pages 371-402, DOI: 10.1081/ETC-200040785.
• Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005, "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 4, pages 405-443, DOI: 10.1080/07474930500405790.
• David McMillan, 2005, "Time variation in the cointegrating relationship between stock prices and economic activity," International Review of Applied Economics, Taylor & Francis Journals, volume 19, issue 3, pages 359-368, DOI: 10.1080/02692170500119862.
• David EA Giles, 2005, "Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and her Trading Partners, 1950 - 1992," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 14, issue 1, pages 93-114, DOI: 10.1080/0963819042000333261.
• Peter Hans Matthews, 2005, "Paradise lost and found? The econometric contributions of Clive W. J. Granger and Robert F. Engle," Review of Political Economy, Taylor & Francis Journals, volume 17, issue 1, pages 1-28, DOI: 10.1080/0953825042000313780.
• Aslihan Atabek Demirhan, 2005, "Persistency of Output Fluctuations : The Case of Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 5, issue 1, pages 9-21.
• Ozge Akinci & Olcay Yucel Culha & Umit Ozlale & Gulbin Sahinbeyoglu, 2005, "Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0505.
• Ozge Akinci & Olcay Yucel Culha & Umit Ozlale & Gulbin Sahinbeyoglu, 2005, "The Effectiveness of Foreign Exchange Interventions for the Turkish Economy : A Post-Crisis Period Analysis," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0506.
• Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005, "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep20021, Oct.
• H. Peter Boswijk & Franc Klaassen, 2005, "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-119/4, Nov.
• B. Jungbacker & S.J. Koopman, 2005, "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-002/4, Jan.
• Jan G. de Gooijer & Rob J. Hyndman, 2005, "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-068/4, Jun.
• Siem Jan Koopman & Kai Ming Lee, 2005, "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-081/4, Aug.
• Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005, "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-091/4, Oct.
• Jurgen A. Doornik & Marius Ooms, 2005, "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-092/4, Oct.
• Cătălin Stărică & Clive Granger, 2005, "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, volume 87, issue 3, pages 503-522, August.
• Christopher F Baum, 2005, "Stata: The language of choice for time-series analysis?," Stata Journal, StataCorp LLC, volume 5, issue 1, pages 46-63, March.
• Robert Aebi & Klaus Neusser & Peter Steiner, 2005, "A Large Deviation Approach to the Measurement of Mobility," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0518, Dec.
• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005, "Testing the Null of Cointegration with Structural Breaks," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 10, Nov.
• Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005, "The KPSS Test with Two Structural Breaks," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 13, Jul.
• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005, "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 15, Jan.
• Juan-Ángel Jiménez-Martín & M. Dolores Robles Fernández, 2005, "Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0508.
• David (David Patrick) Madden, 2005, "Doctors’ fees in Ireland following the change in reimbursement : did they jump?," Working Papers, School of Economics, University College Dublin, number 200520, Nov.
• Luca Grilli & Angelo Sfrecola, 2005, "Neural Networks to Predict Financial Time Series in a Minority Game Context," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 14-2005, Jun.
• Giuseppina Testa, 2005, "Economic Growth and Finance. A cointegration analysis in US and Japan," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 22-2005, Nov.
• Stefania Villa, 2005, "Determinants of growth in Italy. A time series analysis," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 24-2005, Dec.
• Penelope Pacheco-Lopez & A.P. Thirlwall, 2005, "Trade Liberalisation, the Balance of Payments and Growth in Latin America," Studies in Economics, School of Economics, University of Kent, number 0505, Aug.
• Penelope Pacheco-Lopez & A.P. Thirlwall, 2005, "Trade Liberalisation, the Balance of Payments and Growth in Latin America," Studies in Economics, School of Economics, University of Kent, number 0506, Sep.
• David Veredas, 2005, "Macro surprises and short-term behavior in bond futures," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136194.
• Javier Hualde, 2005, "Unbalanced Cointegration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/05, May.
• Christian Fischer & Luis Alberiko Gil-Alana, 2005, "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 15/05, Oct.
• Luis Alberiko Gil-Alana & Guglielmo M.Caporale, 2005, "Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 18/05, Nov.
• Luis Alberiko Gil-Alana, 2005, "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 19/05, Nov.
• Luis Alberiko Gil-Alana, 2005, "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 20/05, Nov.
• Al-Zoubi, Haitham A. & Daal, Elton, 2005, "A Note on the Foreign Exchange Market Efficiency Hypothesis: Does Small Sample Bias affect Inference?," Working Papers, University of New Orleans, Department of Economics and Finance, number 2005-06, Aug.
• D'Mello, Ranjan & Krishnaswami, Sudha & Larkin, Patrick J., 2005, "Asset Restructuring and the Cost of Capital," Working Papers, University of New Orleans, Department of Economics and Finance, number 2005-14.
• Peter L. Rousseau & Paul Wachtel, 2005, "Economic Growth and Financial Depth: Is the Relationship Extinct Already?," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number DP2005-10.
• Martin Ravallion, 2005, "Looking Beyond Averages in the Trade and Poverty Debate," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number RP2005-29.
• Pahlavani, Mosayeb & Wilson, Ed & Valadkhani, Abbas, 2005, "Structural Changes in the Iranian Economy: An Empirical Analysis with Endogenously Determined Breaks," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp05-05.
• Valadkhani, Abbas, 2005, "Pre- and Post-Dynamic GST Effects on Goods and Services Included in the CPI Basket," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp05-08.
• Valadkhani, Abbas & Layton, Allan P. & Pahlavani, Mosayeb, 2005, "Multiple Structural Breaks in Australia's Macroeconomic Data: An Application of the Lumsdaine and Papell Test," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp05-17.