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

• Liu, Hui & Rodríguez, Gabriel, 2005, "Human activities and global warming: a cointegration analysis," MPRA Paper, University Library of Munich, Germany, number 9939.
• Rangan Gupta, 2005, "Revisiting the Temporal Causality between Money and Income," Working Papers, University of Pretoria, Department of Economics, number 200501, Aug.
• Rangan Gupta & Basab Dasgupta, 2005, "The Macroeconomic Reform and the Demand for Money in India," Working Papers, University of Pretoria, Department of Economics, number 200502, Aug.
• Moses M. Sichei & Tewodros G. Gebreselasie & Olusegun A. Akanbi, 2005, "An Econometric Model of the Rand-US Dollar Nominal Exchange Rate," Working Papers, University of Pretoria, Department of Economics, number 200514, Dec.
• Joel Hinaunye Eita & André C. Jordaan, 2007, "A Causality Analysis between Financial Development and Economic Growth for Botswana," Working Papers, University of Pretoria, Department of Economics, number 200722, Oct.
• Josef Arlt & Miroslav Plašil, 2005, "Empirical Testing of New Keynesian Phillips Curve in Conditions of the Czech Republic in 1994 - 2003," Prague Economic Papers, Prague University of Economics and Business, volume 2005, issue 2, pages 117-129, DOI: 10.18267/j.pep.257.
• Josef Arlt & Miroslav Plašil & Richard Horský, 2005, "Nový Keynesovský model inflace a jeho empirické ověření
  [New-Keynesian model of inflation and its empirical verification]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 1, DOI: 10.18267/j.polek.497.
• Marián Rimarčík, 2005, "Porovnanie prístupov na výpočet hodnoty v riziku menových portfólií
  [Comparison of approaches for value-at-risk estimation of foreign exchange portfolios]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 323-336, DOI: 10.18267/j.polek.514.
• Josef Arlt & Markéta Arltová, 2005, "Vztah deficitu běžného účtu platební bilance a rozpočtového deficitu - analýza panelových dat
  [The relationship of budget deficit and current account balance - panel data analysis]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 6, pages 747-764, DOI: 10.18267/j.polek.535.
• Carlos Robalo Marques, 2005, "Inflation persistence: facts or artefacts?," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
• António Rua & Cláudia Duarte, 2005, "Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case," Working Papers, Banco de Portugal, Economics and Research Department, number w200502.
• Daniel Dias, 2005, "Using Mean Reversion as a Measure of Persistence," Working Papers, Banco de Portugal, Economics and Research Department, number w200503.
• Morten Ø. Nielsen & Per Houmann Frederiksen, 2005, "Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration," Working Paper, Economics Department, Queen's University, number 1189, Jul.
• Morten Ø. Nielsen & Per Houmann Frederiksen, 2005, "Finite Sample Accuracy Of Integrated Volatility Estimators," Working Paper, Economics Department, Queen's University, number 1225, Jan.
• Richard T. Baillie & George Kapetanios, 2005, "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 528, Apr.
• Stephen Pollock & Iolanda Lo Cascio, 2005, "Orthogonality Conditions for Non-Dyadic Wavelet Analysis," Working Papers, Queen Mary University of London, School of Economics and Finance, number 529, May.
• Stephen Pollock, 2005, "Econometric Methods of Signal Extraction," Working Papers, Queen Mary University of London, School of Economics and Finance, number 530, May.
• George Kapetanios & Elias Tzavalis, 2005, "Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset," Working Papers, Queen Mary University of London, School of Economics and Finance, number 537, May.
• Richard T. Baillie & Rehim Kilic, 2005, "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 543, Jul.
• Stefan De Wachter & Richard D.F. Harris & Elias Tzavalis, 2005, "Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension," Working Papers, Queen Mary University of London, School of Economics and Finance, number 550, Dec.
• Federico Ravenna, 2005, "Vector Autoregressions and Reduced Form Representations of DSGE Models," 2005 Meeting Papers, Society for Economic Dynamics, number 841.
• Mario García Molina & Ana Paola Gómez, 2005, "¿Han aumentado el recaudo las reformas tributarias en Colombia?," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, volume 7, issue 12, pages 43-61, January-J.
• Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005, "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 05-9, Dec.
• Sangho Kim & Hyunjoon Lim, 2005, "Dynamic Determinants of Korean Productivity Changes: with Emphasis on Trade," East Asian Economic Review, Korea Institute for International Economic Policy, volume 9, issue 2, pages 3-45, DOI: 10.11644/KIEP.JEAI.2005.9.2.143.
• Alejandro F. Mercado & Jorge G. M. Leitón-Quiroga & Marcelo F. Chacón, 2005, "El Crecimiento Económico en Bolivia 1952 – 2003," Documentos de trabajo, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana, number 2/2005, Feb.
• Scutaru, Cornelia & Stanica, Cristian Nicolae, 2005, "Output Gap And Shocks Dynamics. The Case Of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 4, pages 25-43.
• Dobrescu, Emilian, 2005, "Macromodel Estimations For The Updated 2004 Version Of The Romanian Pre-Accession Economic Programme - Working Paper," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 1, pages 5-29.
• Partachi, Ion & Grosu, Irina, 2005, "The Econometric Analysis Of Macroeconomic Policies Applied In The Republic Of Moldova Over The Period 1994-2004," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 4, pages 109-119.
• Roberto Cellini & Guido Cozzi, 2005, "Intellectual Property, Competition and Growth: An Introduction," Rivista di Politica Economica, SIPI Spa, volume 95, issue 5, pages 3-6, September.
• Donal Bredin & Stilianos Fountas, 2005, "Macroeconomic uncertainty and performance in the European Union and implications for the objectives of monetary policy," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1184.
• Tommaso Proietti, 2008, "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper, Tor Vergata University, CEIS, number 109, Jul, revised 10 Jul 2008.
• Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008, "The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913," CEIS Research Paper, Tor Vergata University, CEIS, number 133, Nov, revised 18 Nov 2008.
• Tommaso Proietti, 2006, "On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," CEIS Research Paper, Tor Vergata University, CEIS, number 84, May.
• M. Dossche & G. Everaert, 2005, "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/340, Nov.
• Vito Polito & Mike Wickens, 2005, "Measuring Fiscal Sustainability," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0503, Jun.
• Rault, Christophe, 2005, "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 25, issue 2, November.
• Riaz Riazuddin & Mahmood ul Hasan Khan, 2005, "Detection and Forecasting of Islamic Calendar Effects in Time series Data," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 1, pages 25-34.
• Jeremy Large, 2005, "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe05.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2005, "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre, number 2005fe08.
• Hiroyuki Kawakatsu, 2005, "Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 154, Nov.
• Daniel Leigh, 2005, "Estimating the Revealed Inflation Target: An Application to U.S. Monetary Policy," Computing in Economics and Finance 2005, Society for Computational Economics, number 177, Nov.
• Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005, "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005, Society for Computational Economics, number 186, Nov.
• Svetlana Makarova & Wojciech Charemza, 2005, "Stochastic and deterministic unit root models: problem of dominance," Computing in Economics and Finance 2005, Society for Computational Economics, number 190, Nov.
• Christoph Schleicher & Francisco Barillas, 2005, "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005, Society for Computational Economics, number 214, Nov.
• Vitaliy Vandrovych, 2005, "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005, Society for Computational Economics, number 234, Nov.
• J. Huston McCulloch, 2005, "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005, Society for Computational Economics, number 239, Nov.
• Tatsuma Wada & Pierre Perron, 2005, "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005, Society for Computational Economics, number 252, Nov.
• Shaun Vahey & Tony Garratt, 2005, "UK Real-time Macro Data Characteristics," Computing in Economics and Finance 2005, Society for Computational Economics, number 253, Nov.
• Riccardo Corradini, 2005, "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Computing in Economics and Finance 2005, Society for Computational Economics, number 28, Nov.
• Michael D. Bradley & Dennis W. Jansen, 2005, "A Threshold Model of Monetary Policy," Computing in Economics and Finance 2005, Society for Computational Economics, number 380, Nov.
• Peter Zadrozny & Ellis Tallman, 2005, "Information In Data Revision Processes: Payroll Employment And Real-Time Measurement Of Employment," Computing in Economics and Finance 2005, Society for Computational Economics, number 382, Nov.
• Aaron Smallwood; Alex Maynard; Mark Wohar, 2005, "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005, Society for Computational Economics, number 384, Nov.
• Marno Verbeek & Jeroen VK Rombouts, 2005, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 40, Nov.
• Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005, "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005, Society for Computational Economics, number 409, Nov.
• Christian Richter & Andrew Hughes Hallett, 2005, "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005, Society for Computational Economics, number 45, Nov.
• Maarten Dossche & Gerdie Everaert, 2005, "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 459, Nov.
• Jörg Breitung & M. Hashem Pesaran, 2005, "Unit Roots and Cointegration in Panels," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.32, Aug.
• Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005, "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.38, Oct.
• Lyubomir Ivanov, 2005, "Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 3, issue 1, pages 79-96.
• Enrique Llopis & Sonia Sotoca, 2005, "Antes, bastante antes: la primera fase de la integración del mercado español de trigo, 1725-1808," Historia Agraria. Revista de Agricultura e Historia Rural, Sociedad Española de Historia Agraria, issue 36, pages 225-262, august.
• Mark Meyer & Peter Winker*, 2005, "Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 3, pages 303-320, August, DOI: 10.1007/s10182-005-0206-9.
• Christian Dreger* & Hans-Eggert Reimers, 2005, "Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 3, pages 321-337, August, DOI: 10.1007/s10182-005-0207-8.
• Gebhard Flaig*, 2005, "Time Series Properties of the German Production Index," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 4, pages 419-434, November, DOI: 10.1007/s10182-005-0213-x.
• Dimitris K. Christopoulos & Efthymios G. Tsionas, 2005, "Productivity growth and inflation in Europe: Evidence from panel cointegration tests," Empirical Economics, Springer, volume 30, issue 1, pages 137-150, January, DOI: 10.1007/s00181-004-0227-3.
• Luis A. Gil-Alanaa, 2005, "Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate," Empirical Economics, Springer, volume 30, issue 1, pages 193-207, January, DOI: 10.1007/s00181-004-0228-2.
• Yannick Le Pen, 2005, "Convergence among five industrial countries (1870–1994): Results from a time varying cointegration approach," Empirical Economics, Springer, volume 30, issue 1, pages 23-35, January, DOI: 10.1007/s00181-004-0213-9.
• Edoardo Gaffeo & Marco Gallegati & Mauro Gallegati, 2005, "Requiem for the unit root in per capita real GDP? Additional evidence from historical data," Empirical Economics, Springer, volume 30, issue 1, pages 37-63, January, DOI: 10.1007/s00181-004-0211-y.
• Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2005, "Testing for PPP: Should we use panel methods?," Empirical Economics, Springer, volume 30, issue 1, pages 77-91, January, DOI: 10.1007/s00181-004-0222-8.
• Jonas Nordström, 2005, "Dynamic and stochastic structures in tourism demand modeling," Empirical Economics, Springer, volume 30, issue 2, pages 379-392, September, DOI: 10.1007/s00181-005-0238-8.
• Baotai Wang, 2005, "Effects of government expenditure on private investment: Canadian empirical evidence," Empirical Economics, Springer, volume 30, issue 2, pages 493-504, September, DOI: 10.1007/s00181-005-0245-9.
• Christian Murray & David Papell, 2005, "The purchasing power parity puzzle is worse than you think," Empirical Economics, Springer, volume 30, issue 3, pages 783-790, October, DOI: 10.1007/s00181-005-0261-9.
• Fabra, Natalia & Toro, Juan, 2005, "Price wars and collusion in the Spanish electricity market," International Journal of Industrial Organization, Elsevier, volume 23, issue 3-4, pages 155-181, April.
• Kaiser, Regina & Maravall, Agustin, 2005, "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 691-710.
• Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 755-774.
• Mitra, Kaushik, 2005, "Is more data better?," Journal of Economic Behavior & Organization, Elsevier, volume 56, issue 2, pages 263-272, February.
• Berben, Robert-Paul & Jansen, W. Jos, 2005, "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, volume 24, issue 5, pages 832-857, September.
• Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005, "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, volume 24, issue 6, pages 944-958, October.
• Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005, "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, volume 24, issue 7, pages 1108-1125, November.
• Peiris, Shelton & Allen, David & Yang, Wenling, 2005, "Some statistical models for durations and an application to News Corporation stock prices," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 68, issue 5, pages 545-552, DOI: 10.1016/j.matcom.2005.02.005.
• Linde, Jesper, 2005, "Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach," Journal of Monetary Economics, Elsevier, volume 52, issue 6, pages 1135-1149, September.
• Bystrom, Hans N. E., 2005, "Extreme value theory and extremely large electricity price changes," International Review of Economics & Finance, Elsevier, volume 14, issue 1, pages 41-55.
• Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2005, "Single source of error state space approach to the Beveridge Nelson decomposition," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-11, May.
• Graham Elliott & Ivana Komunjer & Allan Timmermann, 2005, "Biases In Macroeconomic Forecasts: Irrationality Or Asymmetric Loss?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-14, May.
• Robinson, Peter, 2005, "Modelling memory of economic and financial time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2069, Mar.
• Dalla, Violetta & Hidalgo, Javier, 2005, "A parametric bootstrap test for cycles," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6829, Feb.
• Patton, Andrew J. & Timmermann, Allan, 2005, "Testable implications of forecast optimality," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6834, Jan.
• Seo, Myung Hwan, 2005, "Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6836, Jan.
• Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos, 2005, "Distribution free goodness-of-fit tests for linear processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6840, Jan.
• Hidalgo, Javier, 2005, "Semiparametric estimation for stationary processes whose spectra have an unknown pole," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6842, Jan.
• Tusell Palmer, Fernando Jorge, 2005, "Multiple imputation of time series: an application to the construction of historical price indexes," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Arteche González, Jesús María, 2005, "Semiparametric estimation in perturbed long memory series," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, May.
• León, Angel & Nave, Juan & Rubio Irigoyen, Gonzalo, 2005, "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jan.
• Christos Kollias & Nikolaos Mylonidis & Suzanna-Maria Paleologou, 2005, "A note on the impact of EU accession on capital mobility in the case of Greece," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 8, issue 2, pages 185-193, Winter.
• Giordani, P. & Kohn, R. & van Dijk, D.J.C., 2005, "A unified approach to nonlinearity, structural change and outliers," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-09, Mar.
• Franses, Ph.H.B.F. & Paap, R., 2005, "Random-Coefficient periodic autoregression," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-34, Jan.
• Brinkhuis, J. & Luo, Z-Q. & Zhang, S., 2005, "Matrix convex functions with applications to weighted centers for semidefinite programming," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-38, Aug.
• de Jong, C.M., 2005, "The Nature of Power Spikes: a regime-switch approach," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-052-F&A, Oct.
• L.A. Gil-Alana, 2005, "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 99-126.
• Bas van der Klaauw & Limin Wang, 2005, "Child Mortality In Rural India," Working Papers, eSocialSciences, number id:136, Aug.
• Lant Pritchett, 2005, "Voice Lessons:Local Government Organizations, Social Organizations, and the Quality of Local Governance," Working Papers, eSocialSciences, number id:15.
• Abhay Pethe, 2005, "Infrastructure Finance In The Time Of Revenue Crunch: Exploring New Avenues for Urban Local Bodies," Working Papers, eSocialSciences, number id:31.
• Ajit Karnik, 2005, "Developing A Quantitiative Framework For Determining Devolution Of Funds From The State Government To Local Bodies," Working Papers, eSocialSciences, number id:37.
• Abhay Pethe, 2005, "Assessment Of Revenue And Expenditure Patterns In Urban Local Bodies Of Maharashtra," Working Papers, eSocialSciences, number id:40.
• Markku Lanne & Pentti Saikkonen, 2005, "Modeling Conditional Skewness in Stock Returns," Economics Working Papers, European University Institute, number ECO2005/14.
• Christophe Rault, 2005, "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-12.
• Maria Filomena Mendes & Gertrudes Guerreiro & António Caleiro, 2005, "Fertility in Portugal, How persistent is it?," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 12_2005.
• Eric Jondeau & Michael Rockinger, 2005, "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp132, Feb.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005, "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp135, Mar.
• Michael Rockinger & Maria Semenova, 2005, "Estimation of Jump-Diffusion Process vis Empirical Characteristic Function," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp150, Jun.
• Jiøí Špalek & Dalibor Moravanský, 2005, "Evaluation of Tax-Revenue Forecasts in the Czech Republic (in Czech)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 3-4, pages 162-187, March.
• Matteo Manera & Giliola Frey, 2005, "Econometric Models of Asymmetric Price Transmission," Working Papers, Fondazione Eni Enrico Mattei, number 2005.100, Sep.
• Mario Nosvelli & Antonio Musolesi, 2005, "Water Consumption and Long-Run Urban Development: The Case of Milan," Working Papers, Fondazione Eni Enrico Mattei, number 2005.109, Sep.
• Matteo Manera & Margherita Grasso, 2005, "Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship," Working Papers, Fondazione Eni Enrico Mattei, number 2005.75, May.
• Matteo Manera & Umberto Cherubini, 2005, "Hunting the Living Dead A “Peso Problem” in Corporate Liabilities Data," Working Papers, Fondazione Eni Enrico Mattei, number 2005.76, May.
• Salgado, Maria José S. & Garcia, Márcio G. P. & Medeiros, Marcelo C., 2005, "Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 59, issue 1, January.
• Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005, "Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models," Working Paper Series, Federal Reserve Bank of San Francisco, number 2005-15, Jul, DOI: 10.24148/wp2005-15.
• Todd E. Clark & Kenneth D. West, 2005, "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 05-05.
• Woon Gyu Choi & Yi Wen, 2005, "Measuring interest rates as determined by thrift and productivity," Working Papers, Federal Reserve Bank of St. Louis, number 2005-037, DOI: 10.20955/wp.2005.037.
• Timothy Cogley & Argia M. Sbordone, 2005, "A search for a structural Phillips curve," Staff Reports, Federal Reserve Bank of New York, number 203.
• Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2005, "The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty," Working Papers, Business School - Economics, University of Glasgow, number 2005_27, Dec.
• Dierk Herzer & Felicitas Nowak-Lehmann D., 2005, "Are exports and imports of Chile cointegrated?," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 111, Jul.
• Dierk Herzer, 2005, "Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 115, Jul.
• Dierk Herzer, 2005, "Trade composition and total factor productivity: Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 116, Sep.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005, "Spurious regression under broken trend stationarity," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200501, Jan.
• Daniel Ventosa-Santaularia & Alfonso Mendoza, 2005, "Non Linear Moving-Average Conditional Heteroskedasticity," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200502, Jan.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005, "Spurious regression under deterministic and stochastic trends," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200503, Jun.
• A. Durre & P. Giot, 2005, "An international analysis of earnings, stock prices and bond yields," Post-Print, HAL, number hal-00269291, Jun.
• Claude Diebolt & Olivier Darné, 2005, "Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945," Post-Print, HAL, number hal-00279246.
• Christian Bontemps & Nour Meddahi, 2005, "Testing normality: a GMM approach," Post-Print, HAL, number hal-02875105, Jan, DOI: 10.1016/j.jeconom.2004.02.014.
• Dominique Guegan & Stéphanie Rioublanc, 2005, "Regime switching model: real or spurious long memory?," Post-Print, HAL, number halshs-00189208, Dec.
• Dominique Guegan & Laurent Ferrara, 2005, "Detection of the Industrial Business Cycle using SETAR models," Post-Print, HAL, number halshs-00201309.

2004

• Baum, Christopher F., 2004, "A review of Stata 8.1 and its time series capabilities," International Journal of Forecasting, Elsevier, volume 20, issue 1, pages 151-161.
• Corradi, Valentina & Swanson, Norman R., 2004, "Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 185-199.
• Boero, Gianna & Marrocu, Emanuela, 2004, "The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 305-320.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 411-425.
• Bos, Charles S, 2004, "Time Series Modelling using TSMod 3.24," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 515-522.
• Chen, Jyh-Yaw Joseph & Giles, David E.A., 2004, "Gender convergence in crime: Evidence from Canadian adult offense charge data," Journal of Criminal Justice, Elsevier, volume 32, issue 6, pages 593-606.
• Christoffersen, Peter & Jacobs, Kris, 2004, "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, volume 72, issue 2, pages 291-318, May.
• Klaassen, Franc, 2004, "Why is it so difficult to find an effect of exchange rate risk on trade?," Journal of International Money and Finance, Elsevier, volume 23, issue 5, pages 817-839, September.
• Candelon, B. & Gil-Alana, L. A., 2004, "Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries," Journal of Policy Modeling, Elsevier, volume 26, issue 3, pages 301-313, April.
• Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004, "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 196-205, DOI: 10.1016/j.physa.2004.01.025.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, volume 13, issue 4, pages 327-340.
• Ørregaard Nielsen, Morten, 2004, "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, volume 109, issue 1, pages 145-166, January.
• Don Harding & Adrian Pagan, 2004, "Synchronization of cycles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2004-03, Jun.
• Linton, Oliver, 2004, "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2116, Apr.
• Robinson, Peter, 2004, "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2126, Nov.
• Robinson, Peter M., 2004, "Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2157, Mar.
• Iacone, Fabrizio & Robinson, Peter M., 2004, "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2232, May.
• Robinson, Peter M., 2004, "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2282, Mar.
• Kristensen, Dennis, 2004, "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24738, Jun.
• Mencia, Javier F. & Sentana, Enrique, 2004, "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24742, Jun.
• Kim, Woocheol & Linton, Oliver, 2004, "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24758, May.
• Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004, "LARCH, leverage, and long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 294.
• Díaz-Emparanza Herrero, Ignacio & López de Lacalle Beltrán de Heredia, Javier, 2004, "Estacionalidad determinista y estocástica en series temporales macroeconómicas," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Dec.
• Athanasios P. Papadopoulos & Moise G. Sidiropoulos, 2004, "Money Financed Deficits, Central Bank Reform and Inflation Persistence:Evidence from Selected European Countries," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 1-17, Summer.
• Dimitrios F. Kenourgios & Ioannis Petropoulos, 2004, "The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 121-138, Winter.
• Andros Gregoriou & Christos Ioannidis, 2004, "Asset Pricing Under the Presence of Transactions Cost:Evidence from the UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 139-151, Winter.
• Franco Bevilacqua & Adriaan van Zon, 2004, "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, Edward Elgar Publishing, chapter 3, in: John Foster & Werner Hölzl, "Applied Evolutionary Economics and Complex Systems".
• Prado Domínguez, Javier, 2004, "Una estimación de la economía informal en España, según un enfoque monetario, 1964-2001," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 417-452, abril-jun.
• William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004, "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Functional Structure and Approximation in Econometrics", DOI: 10.1108/S0573-8555(2004)0000261033.
• Hafner, C.M. & Herwartz, H., 2004, "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-20, May.
• Hafner, C.M. & Rombouts, J.V.K., 2004, "Semiparametric multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-21, May.
• Hafner, C.M., 2004, "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-29, Aug.
• Hafner, C.M. & Rombouts, J.V.K., 2004, "Estimation of temporally aggregated multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-30, Aug.
• de Pooter, M.D. & van Dijk, D.J.C., 2004, "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-38, Sep.
• van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2004, "Testing for causality in variance in the presence of breaks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-48, Nov.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Luis A. Gil-Alana, 2004, "Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 29-40.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "Validation of survey data on income and employment: the ISMIE experience," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-14, Aug.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "The effects of dependent interviewing on responses to questions on income sources," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-16, Sep.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "Linking household survey and administrative record data: what should the matching variables be?," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-23, Oct.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen & Cappellari, Lorenzo, 2004, "Patterns of consent: evidence from a general household survey," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-27, Dec.
• Ermisch, John & Gambetta, Diego, 2008, "Do strong family ties inhibit trust?," ISER Working Paper Series, Institute for Social and Economic Research, number 2008-37, Nov.
• Pilar Bengoechea & Gabriel Pérez Quirós, 2004, "A useful tool to identify recessions in the euro area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 215, Oct.
• Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004, "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers, European University Institute, number ECO2004/29.
• Paulo M. M. Rodrigues, 2004, "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers, European University Institute, number ECO2004/31.
• Anindya Banerjee & Bill Russell, 2004, "Competition, the Lisbon Strategy and the Euro," Economics Working Papers, European University Institute, number ECO2004/32.
• Jean-Guillaume Sahuc, 2004, "Partial Indexation and Inflation Dynamics: What Do the Data Say?," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 04-06.
• Renata Pašalièová & Vladimír Stiller, 2004, "Credit and Household Consumption," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 11-12, pages 520-540, November.
• Luboš Komárek, 2004, "The Nobel Prize Laureates, 2003," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 355-356, July.
• Guillaume Chevillon, 2004, ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-12.
• Guillaume Chevillon, 2004, "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-13.
• Siddhartha Chib & Michael J. Dueker, 2004, "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers, Federal Reserve Bank of St. Louis, number 2004-030, DOI: 10.20955/wp.2004.030.
• Gary Koop & Simon M. Potter, 2004, "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports, Federal Reserve Bank of New York, number 196.