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

2004

• Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers, Financial Markets Group, number dp502, Jun.
• Woocheol Kim & Oliver Linton, 2004, "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers, Financial Markets Group, number dp509, Sep.
• Gerhard Reitschuler & Ludger J. Löning, 2004, "Modeling the Defense-Growth Nexus in a Post-Conflict Country - A Piecewise Linear Approach," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 097, Feb.
• Dierk Herzer, 2004, "Exportdiversifizierung und Wirtschaftswachstum in Chile: eine ökonometrische Analyse," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 098, May.
• Dierk Herzer & Felicitas Nowak-Lehmann D., 2004, "Export Diversification, Externalities and Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 099, Sep.
• Dierk Herzer & Felicitas Nowak-Lehmann D. & Boriss Siliverstovs, 2004, "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 103, Dec.
• Athanasios P. Papadopoulos & Moise Sidiropoulos, 2004, "Money Financed Deficits, Central Bank Reform and Inflation Persistence : Evidence from Selected European Countries," Post-Print, HAL, number hal-00278622.
• Jean-Guillaume Sahuc, 2004, "Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve," Post-Print, HAL, number hal-01612716.
• Jamal Bouoiyour & Velayoudom Marimoutou & Serge Rey, 2004, "Taux de change réel d’équilibre et politique de change au Maroc: une approche non paramétrique," Post-Print, HAL, number hal-01879696, DOI: 10.3917/ecoi.097.0081.
• Jean-Guillaume Sahuc, 2004, "Partial indexation and inflation dynamics: what do the data say?," Post-Print, HAL, number hal-02878001, DOI: 10.1080/1350485042000261306.
• Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004, "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL, number halshs-00201220, Oct.
• Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Peguin-Feissolle, 2004, "Cointégration entre les taux de change et les fondamentaux : changement de régime ou mémoire longue ?," Post-Print, HAL, number halshs-00390151, DOI: 10.3917/reco.553.0449.
• Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2004, "Kernel-based nonlinear canonical analysis and time reversibility," Post-Print, HAL, number halshs-00678062, Jun, DOI: 10.1016/S0304-4076(03)00199-4.
• Javier Biscarri & Fernando Gracia, 2004, "Stock market cycles and stock market development in Spain," Spanish Economic Review, Springer;Spanish Economic Association, volume 6, issue 2, pages 127-151, July, DOI: 10.1007/s10108-003-0078-7.
• Anna Larsson, 2004, "The Swedish real exchange rate under different currency regimes," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 140, issue 4, pages 706-727, December, DOI: 10.1007/BF02659621.
• Guro Børnes Ringlund & Knut Einar Rosendahl & Terje Skjerpen, 2004, "Does oilrig activity react to oil price changes? An empirical investigation," Discussion Papers, Statistics Norway, Research Department, number 372, Mar.
• Erling Røed Larsen, 2004, "Escaping the Resource Curse and the Dutch Disease? When and Why Norway Caught up with and Forged ahead of Its Neighbors," Discussion Papers, Statistics Norway, Research Department, number 377, May.
• Nico Keilman & Dinh Quang Pham, 2004, "Empirical errors and predicted errors in fertility, mortality and migration forecasts in the European Economic Area," Discussion Papers, Statistics Norway, Research Department, number 386, Aug.
• Paul Temple & Robert Witt & Chris Spencer, 2004, "Institutions and Long-Run Growth in the UK: the Role of Standards," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1004, Oct.
• Jean-Guillaume Sahuc, 2004, "Partial indexation and inflation dynamics: what do the data say?," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 13, pages 827-832, DOI: 10.1080/1350485042000261306.
• Claudio Morana, 2004, "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 13, pages 837-842, DOI: 10.1080/1350485042000261298.
• Syed Abul Basher & Mohammed Mohsin, 2004, "PPP tests in cointegrated panels: evidence from Asian developing countries," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 3, pages 163-166, DOI: 10.1080/1350485042000203788.
• Nasri Harb, 2004, "Money demand function: a heterogeneous panel application," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 9, pages 551-555, DOI: 10.1080/1350485042000225739.
• Luis Gil-Alana, 2004, "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, volume 36, issue 14, pages 1583-1589, DOI: 10.1080/0003684042000269475.
• Andrew Worthington & Abbas Valadkhani, 2004, "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, volume 36, issue 19, pages 2177-2186, DOI: 10.1080/0003684042000282489.
• Karen Cabos & Nikolaus Siegfried, 2004, "Controlling inflation in Euroland," Applied Economics, Taylor & Francis Journals, volume 36, issue 6, pages 549-558, DOI: 10.1080/0003684042000217599.
• Jesús Crespo Cuaresma & Gerhard Reitschuler, 2004, "A non-linear defence-growth nexus? evidence from the US economy," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 1, pages 71-82, February, DOI: 10.1080/1024269042000164504.
• M. Dolores Gadea & Eva Pardos & Claudia Perez-Fornies, 2004, "A Long-Run Analysis Of Defence Spending In The Nato Countries (1960-99)," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 3, pages 231-249, DOI: 10.1080/1024269042000189273.
• Erdal Karagol & Serap Palaz, 2004, "Does defence expenditure deter economic growth in Turkey? A cointegration analysis," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 3, pages 289-298, DOI: 10.1080/10242690320001608908.
• Christer Ljungwall, 2004, "Guangdong: A catalyst for economic growth and exports in hunan province," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 2, issue 3, pages 249-265, DOI: 10.1080/147658042000276114.
• Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004, "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, volume 7, issue 1, pages 325-353, May, DOI: 10.1080/15140326.2004.12040608.
• Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004, "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-016/4, Feb.
• Martin Martens & Dick van Dijk & Michiel de Pooter, 2004, "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-067/4, Jun.
• Siem Jan Koopman & Marius Ooms, 2004, "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-135/4, Dec.
• Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-105.
• Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Other publications TiSEM, Tilburg University, School of Economics and Management, number 10722abe-f848-4bfa-a82d-6.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-303, Oct.
• Robert Aebi & Klaus Neusser & Peter Steiner, 2004, "Equilibrium Mobility," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0408, May.
• Gustavo A. Marrero, 2004, "Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0410.
• Francis W. Ahking, 2004, "The Power of the "Objective" Bayesian Unit-Root Test," Working papers, University of Connecticut, Department of Economics, number 2004-14, Jul.
• Francis W. Ahking, 2004, "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers, University of Connecticut, Department of Economics, number 2004-05, Feb.
• Penelope Pacheco-López, 2004, "Does The Impact of Trade Liberalisation on Exports, Imports, the Balance of Payments and Growth: the Case of Mexico," Studies in Economics, School of Economics, University of Kent, number 0401, Jan.
• Penelope Pacheco-López & A.P. Thirlwall, 2004, "Trade Liberalisation in Mexico: Rhetoric and Reality," Studies in Economics, School of Economics, University of Kent, number 0403, Jan.
• Dimitris K. Christopoulos & Miguel León-Ledesma, 2004, "Current Account Sustainability in the US: What Do We Really Know About It?," Studies in Economics, School of Economics, University of Kent, number 0412, Oct.
• Luis A. Gil-Alana, 2004, "Deterministic Seasonality versus Seasonal Fractional Integration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/04, Apr.
• Luis A. Gil-Alana & Bertrand Candelon, 2004, "Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 08/04, Apr.
• Luis A. Gil-Alana & Bertrand Candelon, 2004, "Fractional Integration and Business Cycles Features," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 09/04, Apr.
• Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2004, "Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-05, Sep.
• Daal, Elton & Naka, Atsuyuki & Sanchez, Benito, 2004, "Re-examining inflation and inflation uncertainty in developed and emerging countries," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-06.
• Martin T. Bohl & Pierre Siklos, 2004, "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 137, Oct.
• Carl Chiarella & Shenhuai Gao, 2004, "Continuous Time Model Estimation," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 138, Dec.
• David E. Giles & Chad N. Stroomer, 2004, "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers, Department of Economics, University of Victoria, number 0406, Dec.
• Van der Klaauw, Bas & Limin Wang, 2004, "Child mortality in rural India," Policy Research Working Paper Series, The World Bank, number 3281, Apr.
• Ravallion, Martin, 2004, "Looking beyond averages in the trade and poverty debate," Policy Research Working Paper Series, The World Bank, number 3461, Nov.
• Martin Raiser & Alan Rousso & Franklin Steves, 2004, "Trust In Transition: Cross Country And Firm Evidence," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-640, Jan.
• Jes??s Crespo-Cuaresma & Bal??zs ??gert & Thomas Reininger, 2004, "Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-671, May.
• Viv. B Hall & McDermott C. John, 2004, "Regional Business Cycles in New Zealand: Do they exist? What might drive them?," ERSA conference papers, European Regional Science Association, number ersa04p200, Aug.
• Paramsothy Silvapulle & Imad A. Moosa & Mervyn J. Silvapulle, 2004, "Asymmetry in Okun's law," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 37, issue 2, pages 353-374, May, DOI: 10.1111/j.0008-4085.2004.00006.x.
• Adrian Wood, 2004, "Making globalization work for the poor: the 2000 White Paper reconsidered," Journal of International Development, John Wiley & Sons, Ltd., volume 16, issue 7, pages 933-937, DOI: 10.1002/jid.1154.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, volume 13, issue 3, pages 245-258, DOI: 10.1016/j.rfe.2003.09.009.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, volume 13, issue 4, pages 327-340, DOI: 10.1016/j.rfe.2003.12.001.
• Venus Khim-Sen Liew, 2004, "On Autoregressive Order Selection Criteria," Computational Economics, University Library of Munich, Germany, number 0404001, Apr.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price," Development and Comp Systems, University Library of Munich, Germany, number 0409054, Sep.
• Janine Aron & John Muellbauer & Benjamin Smit, 2004, "A Structural Model of the Inflation Process in South Africa," Development and Comp Systems, University Library of Munich, Germany, number 0409055, Sep.
• Jonathan B. Hill, 2004, "Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes," Econometrics, University Library of Munich, Germany, number 0401001, Jan, revised 16 Dec 2005.
• Tommaso Proietti, 2004, "Forecasting and Signal Extraction with Misspecified Models," Econometrics, University Library of Munich, Germany, number 0401002, Jan.
• Jesus Clemente & Antonio Montañes & Marcelo Reyes, 2004, "Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries," Econometrics, University Library of Munich, Germany, number 0401005, Jan.
• Alfred A. Haug & Syed A. Basher, 2004, "Unit Roots, Nonlinear Cointegration and Purchasing Power Parity," Econometrics, University Library of Munich, Germany, number 0401006, Jan, revised 16 Nov 2005.
• Jonathan B. Hill, 2004, "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics, University Library of Munich, Germany, number 0402002, Feb, revised 23 Mar 2005.
• Jonathan B. Hill, 2004, "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics, University Library of Munich, Germany, number 0402004, Feb, revised 05 Aug 2005.
• José María Casado García & F.Javier Trívez, 2004, "Asimetría, Persistencia Y No Linealidad De La Tasa De Desempleo Español," Econometrics, University Library of Munich, Germany, number 0402006, Feb.
• Artur C. B. da Silva Lopes, 2004, "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics, University Library of Munich, Germany, number 0402007, Feb, revised 18 Mar 2004.
• Giancarlo bruno & Edoardo Otranto, 2004, "The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach," Econometrics, University Library of Munich, Germany, number 0402008, Feb.
• Edoardo Otranto, 2004, "Classifying the Markets Volatility with ARMA Distance Measures," Econometrics, University Library of Munich, Germany, number 0402009, Feb, revised 05 Mar 2004.
• Tommaso Proietti, 2004, "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics, University Library of Munich, Germany, number 0403007, Mar.
• Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004, "The long memory story of ex post real interest rates. Can it be supported?," Econometrics, University Library of Munich, Germany, number 0404004, Apr.
• Ricardo Gonçalves Silva, 2004, "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics, University Library of Munich, Germany, number 0405002, May.
• William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004, "The Nonlinear Skeletons in the Closet," Econometrics, University Library of Munich, Germany, number 0405003, May.
• Evens SALIES, 2004, "The consumption of ordinary wines in France : the effect of administered prices," Econometrics, University Library of Munich, Germany, number 0406003, Jun.
• Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho, 2004, "Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach," Econometrics, University Library of Munich, Germany, number 0408003, Aug, revised 13 Aug 2004.
• Tommaso Proietti, 2004, "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics, University Library of Munich, Germany, number 0411011, Nov.
• Catalin Starica & Clive Granger, 2004, "Non-stationarities in stock returns," Econometrics, University Library of Munich, Germany, number 0411016, Nov.
• Thomas Mikosch, 2004, "Is it really long memory we see in financial returns?," Econometrics, University Library of Munich, Germany, number 0412002, Dec.
• Thomas Mikosch & Catalin Starica, 2004, "Changes of structure in financial time series and the GARCH model," Econometrics, University Library of Munich, Germany, number 0412003, Dec.
• Thomas Mikosch & Catalin Starica, 2004, "Long range dependence effects and ARCH modelling," Econometrics, University Library of Munich, Germany, number 0412004, Dec.
• Thomas Mikosch & Catalin Starica, 2004, "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics, University Library of Munich, Germany, number 0412005, Dec.
• Thomas Alderweireld & Jean Nuyts, 2004, "A Theory for the Term Structure of Interest Rates," Finance, University Library of Munich, Germany, number 0405029, May.
• José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004, "Efficiency tests in the Iberian stock markets," Finance, University Library of Munich, Germany, number 0406001, Jun.
• Cornelis A. Los & Jeyanthi Karuppiah, 2004, "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance, University Library of Munich, Germany, number 0409037, Sep.
• Cornelis A. Los & Joanna M. Lipka, 2004, "Long-Term Dependence Characteristics of European Stock Indices," Finance, University Library of Munich, Germany, number 0409044, Sep.
• Jose Maria Casado Garcia & Javier Trivez Bielsa, 2004, "Asymmetry, Persistence And Non-Linearity Of Spanish Unemployment Rates," General Economics and Teaching, University Library of Munich, Germany, number 0406001, Jun.
• Guneratne Banda Wickremasinghe, 2004, "Purchasing Power Parity Hypothesis in Developing Economies:Some Empirical Evidence from Sri Lanka," International Finance, University Library of Munich, Germany, number 0406005, Jun.
• Guneratne Banda Wickremasinghe, 2004, "The Sri Lankan Rupee and Purchasing Power Parity during the Current Floating Period," International Trade, University Library of Munich, Germany, number 0406005, Jun.
• Daniel Levy & Hashem Dezhbakhsh, 2004, "On the Typical Spectral Shape of an Economic Variable," Macroeconomics, University Library of Munich, Germany, number 0402017, Feb.
• Aykut Kibritcioglu & Bengi Kibritcioglu, 2004, "Real Exchange Rate Misalignment in Turkey, 1987-2003 (in Turkish)," Macroeconomics, University Library of Munich, Germany, number 0403006, Mar, revised 22 Apr 2004.
• Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2004, "Money Demand in theEuroArea: Do National Differences Matter?," Macroeconomics, University Library of Munich, Germany, number 0404019, Apr, revised 24 Apr 2004.
• Dimitris Christopoulos, 2004, "Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests," Macroeconomics, University Library of Munich, Germany, number 0406002, Jun.
• William A. Barnett & Shu Wu, 2004, "On User Costs of Risky Monetary Assets," Macroeconomics, University Library of Munich, Germany, number 0406009, Jun.
• William A. Barnett & Shu Wu, 2004, "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Macroeconomics, University Library of Munich, Germany, number 0406010, Jun.
• Greg Hannsgen, 2004, "Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles," Macroeconomics, University Library of Munich, Germany, number 0407029, Jul.
• Maurizio Bovi, 2004, "Consumer Surveys and Reality," Macroeconomics, University Library of Munich, Germany, number 0408012, Aug.
• Yijun He & William A. Barnett, 2004, "Singularity Bifurcation," Macroeconomics, University Library of Munich, Germany, number 0409024, Sep, revised 13 Oct 2004.
• William A. Barnett, 2004, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," Macroeconomics, University Library of Munich, Germany, number 0412009, Dec.
• Philip Kostov & John Lingard, 2004, "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics, University Library of Munich, Germany, number 0409003, Sep.
• John Bower, 2004, "Seeking the Single European Electricity Market: Evidence from an Empirical Analysis of Wholesale Market Prices," Others, University Library of Munich, Germany, number 0401005, Jan.
• John Bower, 2004, "Why Did Electricity Prices Fall in England and Wales? Market Mechanism or Market Structure?," Others, University Library of Munich, Germany, number 0401008, Jan.
• Roberto Martinez Espineira, 2004, "An Estimation of Residential Water Demand Using Co-integration and Error Correction Techniques," Others, University Library of Munich, Germany, number 0410002, Oct.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2004, "Testing for Seasonal Unit Roots in Heterogeneous Panels," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 695.
• Agnieszka Wylomanska, 2004, "Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/06.
• Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004, "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers, Yale School of Management, number ysm30, Mar.
• Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Yale School of Management Working Papers, Yale School of Management, number ysm347, Jul.
• Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron, 2004, "Incidental Trends and the Power of Panel Unit Root Tests," Yale School of Management Working Papers, Yale School of Management, number ysm414, Jul.
• Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004, "Long Run Variance Estimation Using Steep Origin Kernels Without Truncation," Yale School of Management Working Papers, Yale School of Management, number ysm427, Jul.
• Laakkonen, Helinä, 2004, "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers, Bank of Finland, number 24/2004.
• Lazarov, Zdravetz, 2004, "Modeling and Forecasting DAX Index Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 5/2004.
• Knüppel, Malte, 2004, "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,41.
• Rombouts, Jeroen V. K. & Hafner, Christian M., 2004, "Semiparametric multivariate volatility models," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,14.
• Trenkler, Carsten & Wolf, Nikolaus, 2004, "Economic integration across borders : the Polish interwar economy 1921-1937," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,38.
• Hafner, Christian M. & Herwartz, Helmut, 2004, "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-03.
• Lux, Thomas & Kaizoji, Taisei, 2004, "Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-05.
• Liesenfeld, Roman & Richard, Jean-François, 2004, "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-12.
• Winker, Peter & Meyer, Mark, 2004, "Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations," Discussion Papers, University of Erfurt, Faculty of Economics, Law and Social Sciences, number 2004,001E.
• Tullio, Guiseppe & Wolters, Jürgen, 2004, "Monetary policy in Austria-Hungary, 1876 - 1913: An econometric analysis of the determinants of the Central Bank's discount rate and the liquidity ratio," Discussion Papers, Free University Berlin, School of Business & Economics, number 2004/24.
• Parikh, Ashok, 2004, "Relationship between Trade Liberalisation, Growth and Balance of Payments in Developing Countries: An Econometric Study," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 286.
• Wilfling, Bernd & Trede, Mark, 2004, "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 267.
• Reimers, Hans-Eggert & Dreger, Christian, 2004, "Panel Seasonal Unit Root Test With An Application for Unemployment Data," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 191/2004.
• Middendorf, Torge & Schmidt, Torsten, 2004, "Characterizing Movements of the U.S. Current Account Deficit," RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, number 24.
• Kleiber, Christian & Krämer, Walter, 2004, "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,15.
• Kleiber, Christian & Zeileis, Achim, 2004, "Validating multiple structural change models : A case study," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,34.
• Herzberg, Markus & Sibbertsen, Philipp, 2004, "Pricing of options under different volatility models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,62.
• Lüders, Erik & Schröder, Michael, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19.
• Schröder, Michael & Lüders, Erik, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19 [rev.].
• Oliver Linton & Yoon-Jae Whang, 2004, "A Quantilogram Approach to Evaluating Directional Predictability," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1454, Mar.
• Peter C.B. Phillips, 2004, "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1470, Jul.
• Peter C.B. Phillips & Tassos Magdalinos, 2004, "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1471, Jul.
• Offer Lieberman & Peter C.B. Phillips, 2004, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1474, Jul.
• Liudas Giraitis & Peter C.B. Phillips, 2004, "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1475, Jul.
• Rainer Klump & Peter McAdam & Alpo Willman, 2004, "Factor Substitution and Factor Augmenting Technical Progress in the US: A Normalized Supply-Side System Approach," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c009_030, Jun.
• Tatiana Fic & Chetan Ghate, 2004, "The Welfare State, Thresholds, and Economic Growth," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 424.
• Jiri Slacalek, 2004, "Productivity and the Natural Rate of Unemployment," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 461.
• Loening, J.L., 2004, "Human Capital, Technology diffusion and Economic Growth in Low-to-Middle Income Country: a time series perspective of Guatemala, 1950-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 3.
• Aka, B.F., 2004, "Do WAEMU Countries Exhibit a Regional Business Cycle?. A Simulated Markov Switching Model for a Western Africa area," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 4.
• Konya, Laszlo, 2004, "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 67-94.
• Bildirici, M., 2004, "Real Cost of Employment and Turkish Labour Market: A Panel Cointegration Tests Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 95-120.
• Brauer, J & Gomez-Sorzano, A.G., 2004, "Homicide Cycles in Colombia," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 1, pages 29-50.
• Strauch, Rolf & Afonso, António, 2004, "Fiscal policy events and interest rate swap spreads: evidence from the EU," Working Paper Series, European Central Bank, number 303, Feb.
• Morana, Claudio, 2004, "A structural common factor approach to core inflation estimation and forecasting," Working Paper Series, European Central Bank, number 305, Feb.
• Bowdler, Christopher & Jansen, Eilev S., 2004, "A markup model of inflation for the euro area," Working Paper Series, European Central Bank, number 306, Feb.
• Morana, Claudio, 2004, "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series, European Central Bank, number 321, Mar.
• Jansen, Eilev S., 2004, "Modelling inflation in the euro area," Working Paper Series, European Central Bank, number 322, Mar.
• Levin, Andrew T. & Piger, Jeremy M., 2004, "Is inflation persistence intrinsic in industrial economies?," Working Paper Series, European Central Bank, number 334, Apr.
• Matas Mir, Antonio & Osborn, Denise R, 2004, "Seasonal adjustment and the detection of business cycle phases," Working Paper Series, European Central Bank, number 357, May.
• Christoffersen, Peter & Mazzotta, Stefano, 2004, "The informational content of over-the-counter currency options," Working Paper Series, European Central Bank, number 366, Jun.
• Klump, Rainer & McAdam, Peter & Willman, Alpo, 2004, "Factor substitution and factor augmenting technical progress in the US: a normalized supply-side system approach," Working Paper Series, European Central Bank, number 367, Jun.
• Robalo Marques, Carlos, 2004, "Inflation persistence: facts or artefacts?," Working Paper Series, European Central Bank, number 371, Jun.
• Van Landschoot, Astrid, 2004, "Determinants of euro term structure of credit spreads," Working Paper Series, European Central Bank, number 397, Oct.
• Gadzinski, Gregory & Orlandi, Fabrice, 2004, "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series, European Central Bank, number 414, Nov.
• Lünnemann, Patrick & Mathä, Thomas Y., 2004, "How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices," Working Paper Series, European Central Bank, number 415, Nov.
• Stephen Pollock & Nikoletta Lekka, 2004, "Deconstructing The Consumption Function: New Tools And Old Problems," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 104, Sep.
• Artur Da Silva Lopes, 2004, "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 75, Sep.
• Park, Joon Y. & Whang, Yoon-Jae, 2004, "A Test of the Martingale Hypothesis," Working Papers, Rice University, Department of Economics, number 2004-11, Sep.
• Dick van Dijk, 2004, "Forecasting US Inflation Using Model Averaging," Econometric Society 2004 Australasian Meetings, Econometric Society, number 143, Aug.
• Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004, "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings, Econometric Society, number 158, Aug.
• Anurag Banerjee, 2004, "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings, Econometric Society, number 159, Aug.
• Stephen E. Satchell & Shaun A. Bond, 2004, "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings, Econometric Society, number 160, Aug.
• Richard Heaney, 2004, "Pricing LME Commodity Futures Contracts," Econometric Society 2004 Australasian Meetings, Econometric Society, number 172, Aug.
• Minxian Yang, 2004, "Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications," Econometric Society 2004 Australasian Meetings, Econometric Society, number 186, Aug.
• Luis C. Nunes, 2004, "LM-Type tests for a Unit Root Allowing for a Break in Trend," Econometric Society 2004 Australasian Meetings, Econometric Society, number 190, Aug.
• Shahidur Rahman, 2004, "An Alternative Estimation of Spurious Regression Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 194, Aug.
• Ilias Tsiakas, 2004, "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings, Econometric Society, number 208, Aug.
• E. Ruiz & M.A. Carnero & D. Pereira, 2004, "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings, Econometric Society, number 21, Aug.
• Jan M. Podivinsky & Chongcheul Cheong & Maozu Lu, 2004, "The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 212, Aug.
• Don Harding, 2004, "Using turning point information to study economic dynamics," Econometric Society 2004 Australasian Meetings, Econometric Society, number 214, Aug.
• Scott I White & Ralf Becker & Adam E Clements, 2004, "Forward looking information in S&P 500 options," Econometric Society 2004 Australasian Meetings, Econometric Society, number 233, Aug.
• Guneratne B Wickremasinghe, 2004, "Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka," Econometric Society 2004 Australasian Meetings, Econometric Society, number 236, Aug.
• Chin Nam Low & Heather Anderson & Ralph Snyder, 2004, "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Econometric Society 2004 Australasian Meetings, Econometric Society, number 242, Aug.
• Mickael Salabasis & Sune Karlsson, 2004, "Seasonality, Cycles and Unit Roots," Econometric Society 2004 Australasian Meetings, Econometric Society, number 268, Aug.
• Wing Lon NG, 2004, "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings, Econometric Society, number 272, Aug.
• Walter Distaso & Basel Awartani & Valentina Corradi, 2004, "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings, Econometric Society, number 273, Aug.
• A. Pagan & J. Engel & D. Haugh, 2004, "Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting," Econometric Society 2004 Australasian Meetings, Econometric Society, number 284, Aug.
• Keith Freeland & Brendan McCabe & Gael Martin, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 313, Aug.
• Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004, "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings, Econometric Society, number 316, Aug.
• Lars Forsberg & Anders Eriksson, 2004, "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 323, Aug.
• Thomas Walker & David Norman, 2004, "Co-movement of Australian State Business Cycles," Econometric Society 2004 Australasian Meetings, Econometric Society, number 334, Aug.
• Andrew Harvey, 2004, "Trend estimation, signal-noise ratios and the frequency of observations," Econometric Society 2004 Australasian Meetings, Econometric Society, number 343, Aug.
• Stan Hurn, 2004, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings, Econometric Society, number 348, Aug.
• Rodney C Wolff & Adrian G Barnett, 2004, "Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series," Econometric Society 2004 Australasian Meetings, Econometric Society, number 350, Aug.
• Jerome J Collet & Dominique Guegan, 2004, "Another Characterization of Long Memory Behavior," Econometric Society 2004 Australasian Meetings, Econometric Society, number 359, Aug.
• Dominique Guegan, 2004, "How Can We Define the Long Memory Concept? An Econometric Survey," Econometric Society 2004 Australasian Meetings, Econometric Society, number 361, Aug.