Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2008

• Nikolas A. Müller-Plantenberg, 2008, "Current Account Reversals Triggered by Large Exchange Rate Movements," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 31, issue 86, pages 059-082, Mayo-Agos.
• Bauer, Dietmar, 2008, "Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations," Econometric Theory, Cambridge University Press, volume 24, issue 4, pages 1063-1092, August.
• Ibragimov, Rustam & Phillips, Peter C.B., 2008, "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, volume 24, issue 4, pages 888-947, August.
• Zheng, Yuqing & Kaiser, Harry M., 2008, "Estimating Asymmetric Advertising Response: An Application to U.S. Nonalcoholic Beverage Demand," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 40, issue 3, pages 837-849, December.
• Assenmacher-Wesche, Katrin & Pesaran, M. Hashem, 2008, "Forecasting the Swiss economy using VECX models: An exercise in forecast combination across models and observation windows," National Institute Economic Review, National Institute of Economic and Social Research, volume 203, issue , pages 91-108, January.
• Peter C.B. Phillips, 2008, "Long Memory and Long Run Variation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1656, May.
• Xu Cheng & Peter C.B. Phillips, 2008, "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1658, May.
• Alfredo M. Pereira & Jorge M. Andraz, 2008, "On the Regional Incidence of Public Investment in Highways in the USA," Working Papers, Economics Department, William & Mary, number 70, Jan, revised 15 Sep 2010.
• Alfredo M. Pereira & Rui Manuel Marvão Pereira, 2008, "On the Potential Economic Costs of Cutting Carbon Dioxide Emissions in Portugal," Working Papers, Economics Department, William & Mary, number 79, Oct, revised 15 Sep 2010.
• Röthig, Andreas, 2008, "Currency futures and currency crises," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77377.
• Christian Dreger, 2008, "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 1.1c.
• Georg Erber & Ulrich Fritsche, 2008, "Produktivitätswachstum in Deutschland: kein nachhaltiger Aufschwung in Sicht," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 75, issue 36, pages 512-519.
• Jonas Dovern & Ulrich Fritsche, 2008, "Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 787.
• Christian Dreger, 2008, "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 819.
• Sushil Mohan & Bill Russell, 2008, "Modelling Thirty Five Years Of Coffee Prices In Brazil, Guatemala And India," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 221, Dec.
• Catherine Kyrtsou & Costas Vorlow, 2008, "Modelling non-linear comovements between time series," Department of Economics Working Papers, Durham University, Department of Economics, number 2008_01, Jan.
• KONYA, Laszlo & SINGH, Jai Pal, 2008, "Are Indian Exports And Imports Cointegrated?," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 177-186.
• Shigeyuki HAMORI, 2008, "Trade Balances and the Terms of Trade in G-7 Countries: Penal Cointegration Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 13-22.
• Aka, Bédia F. & Dumont, J.C., 2008, "HEALTH, EDUCATION AND ECONOMIC GROWTH: TESTING FOR LONG-RUN RELATIONSHIPS AND CAUSAL LINKS in the United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 101-110.
• Ramon A. CASTILLO PONCE & Ramon de Jesus RAMIREZ ACOSTA, 2008, "Economic Integration In North America," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 111-122.
• Bildirici, Melike & Alp, Aykaç, 2008, "The Relationship Between Wages and Productivity: TAR Unit Root and TAR Cointegration Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 1, pages 93-110.
• LEE, Jae-Hyung & RHEE, Young-Hoon, 2008, "Competition And Growth: A Time Series Analysis For South Korea," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 2.
• Jamal HUSEIN, 2008, "Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 2.
• Subir Sen, 2008, "An Analysis of Life Insurance Demand Determinants for Selected Asian Economies and India," Finance Working Papers, East Asian Bureau of Economic Research, number 22512, Jan.
• D. M. Nachane & Amlendu Kumar Dubey, 2008, "The Vanishing Role of Money in the Macroeconomy - An Empirical Investigation Based On Spectral and Wavelet Analysis," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22369, Jan.
• Philippe Lambert & Sébastien Laurent, 2008, "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008_009.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008, "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008_034.
• Cecilia Frale & David Veredas, 2008, "A Monthly Volatility Index for the US Economy," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008-008, Mar.
• De Santis, Roberto A. & Cappiello, Lorenzo & Baltzer, Markus & Manganelli, Simone, 2008, "Measuring financial integration in new EU Member States," Occasional Paper Series, European Central Bank, number 81, Mar.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2008, "Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling," Working Paper Series, European Central Bank, number 850, Jan.
• Afonso, António & St. Aubyn, Miguel, 2008, "Macroeconomic rates of return of public and private investment: crowding-in and crowding-out effects," Working Paper Series, European Central Bank, number 864, Feb.
• Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008, "Explaining the Great Moderation: it is not the shocks," Working Paper Series, European Central Bank, number 865, Feb.
• Benati, Luca & Surico, Paolo, 2008, "VAR analysis and the Great Moderation," Working Paper Series, European Central Bank, number 866, Feb.
• Hofmann, Boris, 2008, "Do monetary indicators lead euro area inflation?," Working Paper Series, European Central Bank, number 867, Feb.
• Caldara, Dario & Kamps, Christophe, 2008, "What are the effects of fiscal policy shocks? A VAR-based comparative analysis," Working Paper Series, European Central Bank, number 877, Mar.
• Dées, Stéphane & Burgert, Matthias, 2008, "Forecasting world trade: direct versus "bottom-up" approaches," Working Paper Series, European Central Bank, number 882, Mar.
• Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Smith, Ron P., 2008, "Identification of new Keynesian Phillips Curves from a global perspective," Working Paper Series, European Central Bank, number 892, Apr.
• Cappiello, Lorenzo & Maddaloni, Angela & Lo Duca, Marco, 2008, "Country and industry equity risk premia in the euro area: an intertemporal approach," Working Paper Series, European Central Bank, number 913, Jun.
• Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008, "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series, European Central Bank, number 922, Jul.
• Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008, "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series, European Central Bank, number 944, Oct.
• Robalo Marques, Carlos, 2008, "Wage and price dynamics in Portugal," Working Paper Series, European Central Bank, number 945, Oct.
• Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2008, "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series, European Central Bank, number 957, Nov.
• Lamo, Ana & Schuknecht, Ludger & Pérez, Javier J., 2008, "Public and private sector wages: co-movement and causality," Working Paper Series, European Central Bank, number 963, Nov.
• Jarociński, Marek, 2008, "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Working Paper Series, European Central Bank, number 970, Nov.
• Cassola, Nuno & Morana, Claudio, 2008, "Modelling short-term interest rate spreads in the euro money market," Working Paper Series, European Central Bank, number 982, Dec.
• Durré, Alain & Beaupain, Renaud, 2008, "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series, European Central Bank, number 988, Dec.
• Anthony Garratt & Gary Koop & ShaunP. Vahey, 2008, "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, volume 118, issue 530, pages 1128-1144, July.
• Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2008, "Inflation, exchange rates and PPP in a multivariate panel cointegration model," Econometrics Journal, Royal Economic Society, volume 11, issue 1, pages 58-79, March.
• G. Kapetanios, 2008, "A bootstrap procedure for panel data sets with many cross-sectional units," Econometrics Journal, Royal Economic Society, volume 11, issue 2, pages 377-395, July.
• Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2008, "Bayesian Inference in the Time Varying Cointegration Model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2008-60.
• Lenno Uuskula, 2008, "Liquidity and productivity shocks: A look at sectoral firm creation," Bank of Estonia Working Papers, Bank of Estonia, number 2008-05, Oct, revised 30 Oct 2008.
• Lenno Uuskula, 2008, "Limited participation or sticky prices? New evidence from firm entry and failures," Bank of Estonia Working Papers, Bank of Estonia, number 2008-07, Dec, revised 02 Dec 2008.
• Christian Schulz, 2008, "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers, Bank of Estonia, number 2008-02, Oct, revised 30 Oct 2008.
• Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008, "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, volume 37, issue 1, pages 43-48, DOI: 10.1016/j.chaos.2006.11.024.
• Gallo, Giampiero M. & Otranto, Edoardo, 2008, "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 3011-3026, February.
• Givens, Gregory E. & Salemi, Michael K., 2008, "Generalized method of moments and inverse control," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 10, pages 3113-3147, October.
• Pagan, A.R. & Pesaran, M. Hashem, 2008, "Econometric analysis of structural systems with permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 10, pages 3376-3395, October.
• Hautsch, Nikolaus, 2008, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 12, pages 3978-4015, December.
• Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008, "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 9, pages 2939-2970, September.
• Westerlund, Joakim & Basher, Syed A., 2008, "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, volume 25, issue 1, pages 128-136, January.
• Noriega, Antonio E. & Soria, Luis M. & Velázquez, Ramón, 2008, "International evidence on stochastic and deterministic monetary neutrality," Economic Modelling, Elsevier, volume 25, issue 6, pages 1261-1275, November.
• Cipollini, A. & Kapetanios, G., 2008, "A stochastic variance factor model for large datasets and an application to S&P data," Economics Letters, Elsevier, volume 100, issue 1, pages 130-134, July.
• Carriero, Andrea, 2008, "A simple test of the New Keynesian Phillips Curve," Economics Letters, Elsevier, volume 100, issue 2, pages 241-244, August.
• Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2008, "Technology shocks, structural breaks and the effects on the business cycle," Economics Letters, Elsevier, volume 100, issue 3, pages 392-395, September.
• Ahmad, Yamin S., 2008, "The effects of small sample bias in Threshold Autoregressive models," Economics Letters, Elsevier, volume 101, issue 1, pages 6-8, October.
• Issler, Joao Victor & de Mello Franco-Neto, Afonso Arinos & de Carvalho Guillen, Osmani Teixeira, 2008, "The welfare cost of macroeconomic uncertainty in the post-war period," Economics Letters, Elsevier, volume 98, issue 2, pages 167-175, February.
• Lütkepohl, Helmut, 2008, "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, volume 99, issue 3, pages 512-515, June.
• Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008, "Macro-panels and reality," Economics Letters, Elsevier, volume 99, issue 3, pages 537-540, June.
• Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008, "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, volume 144, issue 1, pages 234-256, May.
• Kristensen, Dennis, 2008, "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, volume 144, issue 2, pages 392-408, June.
• Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008, "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 10-25, September.
• Moench, Emanuel, 2008, "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 26-43, September.
• Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008, "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, volume 9, issue 4, pages 280-301, December.
• Amilon, Henrik, 2008, "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 342-362, March.
• Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008, "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, volume 15, issue 4, pages 729-750, September.
• Jalal, Amine & Rockinger, Michael, 2008, "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, volume 15, issue 5, pages 868-877, December.
• Michael Sørensen, 2008, "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-46, Jan.
• Peter Reinhard Hansen, 2008, "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-02, Jan.
• Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008, "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-03, Jan.
• Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-05, Jan.
• Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Multivariate GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-06, Jan.
• Søren Johansen & Bent Nielsen, 2008, "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-09, Feb.
• Jie Zhu, 2008, "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-15, Mar.
• Michael Sørensen, 2008, "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-18, Apr.
• Tom Engsted & Thomas Q. Pedersen, 2008, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-27, May.
• Ingmar Nolte & Valeri Voev, 2008, "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-31, Jun.
• Dennis Kristensen, 2008, "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-37, Jul.
• Roxana Chiriac & Valeri Voev, 2008, "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-39, Sep.
• Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008, "Measuring downside risk — realised semivariance," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-42, Sep.
• Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008, "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-50, Sep.
• Bent Jesper Christensen & Michael Sørensen, 2008, "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-51, Sep.
• Katarzyna Lasak, 2008, "Likelihood based testing for no fractional cointegration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-52, Sep.
• Katarzyna Lasak, 2008, "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-53, Sep.
• Dennis Kristensen & Yongseok Shin, 2008, "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-58, Nov.
• Thomas Q. Pedersen, 2008, "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-60, Dec.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-63, Dec.
• Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008, "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," American Economic Review, American Economic Association, volume 98, issue 2, pages 251-255, May, DOI: 10.1257/aer.98.2.251.
• Isabell Koske, 2008, "A Semi-Structural Method to Estimate the NATREX for a Small Open Economy. The Case of Finland," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 54, issue 2, pages 73-93.
• Park, Moon-Soo & Jin, Yanhong H. & Bessler, David A., 2008, "The Impacts of Animal Disease Crises on the Korean Meat Market," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 6365, DOI: 10.22004/ag.econ.6365.
• Stephens, Emma C. & Mabaya, Edward T., 2008, "Spatial Price Adjustment with and without Trade," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 6538, DOI: 10.22004/ag.econ.6538.
• Roldan Casas, Jose Angel & Dios-Palomares, Rafaela, 2008, "Ley de precio único en el mercado español del aceite de oliva," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 8, issue 01, pages 1-18, DOI: 10.22004/ag.econ.37188.
• Ben Kaabia, Monia & Gil Roig, Jose Maria, 2008, "Asimetrías en la transmisión de precios en el sector del tomate en España," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 8, issue 01, pages 1-25, DOI: 10.22004/ag.econ.37189.
• Hernandez-Villafuerte, Karla Vanessa, 2008, "The Role Of Asymmetric Price Transmission And Structural Breaks In The Relationship Between Costa Rican Markets Of Livestock Cattle, Beef And Milk," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51697, DOI: 10.22004/ag.econ.51697.
• Jones, Keithly G. & Harvey, David J. & Hahn, William F. & Muhammad, Andrew, 2008, "U.S. Demand for Source–Differentiated Shrimp: A Differential Approach," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 40, issue 2, pages 1-13, August, DOI: 10.22004/ag.econ.47202.
• Zheng, Yuqing & Kaiser, Harry M., 2008, "Estimating Asymmetric Advertising Response: An Application to U.S. Nonalcoholic Beverage Demand," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 40, issue 3, pages 1-13, December, DOI: 10.22004/ag.econ.47262.
• Shaik, Saleem & Miljkovic, Dragan, 2008, "Nature of Dynamic Relationships Between Farm Real Estate Values and Federal Farm Program Payments," Agribusiness & Applied Economics Report, North Dakota State University, Department of Agribusiness and Applied Economics, number 44823, Oct, DOI: 10.22004/ag.econ.44823.
• Orregaard Nielsen, Morten, 2008, "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273650, Jul, DOI: 10.22004/ag.econ.273650.
• Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2008, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273658, Oct, DOI: 10.22004/ag.econ.273658.
• Abitante, Kleber Giovelli, undated, "Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 46, issue 01, pages 1-22, DOI: 10.22004/ag.econ.61272.
• Diego Bastourre, 2008, "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," IIE, Working Papers, IIE, Universidad Nacional de La Plata, number 072, May.
• Ioan TalpoÅŸ & Cosmin Enache, 2008, "Fiscal Policy Sustainability In Romania," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-23.
• Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-10.
• Milton Biage & Vanessa Petrelli Correa & Henrique Dandas Neder, 2008, "Risco País, Fluxos de Capitais e Determinação da Taxa de Juros no Brasil: Uma Analise de Impactos por Meio da Metodologia VEC," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 9, issue 1, pages 63-113.
• Jose Nilo de Oliveira Junior & Ivan Castelar & Nicolino Trompieri Neto & Roberto Tatiwa Ferreira, 2008, "Setor Agrícola Brasileiro: Uma Aplicação do Modelo de Tendências e Ciclos Comuns no Período de 1990 a 2005," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 9, issue 2, pages 385-409.
• Rogério Mori & Márcio Holland, 2008, "Dinâmica da inflação no Brasil e os efeitos globais," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807171116330.
• Bruno Ferreira Frascaroli & Francisco de Sousa Ramos & Nelson Leitão Paes, 2008, "A indústria brasileira e o racionamento de crédito: Uma análise do comportamento dos bancos sob informações assimétricas," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807202106310.
• Rossitsa Rangelova, 2008, "A Criticism of the Concept and Measure for Total Factor Productivity," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 30-49.
• Schotman, Peter & Tschernig, Rolf & Budek, Jan, 2008, "Long Memory and the Term Structure of Risk," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 427.
• Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2008, "Commodity Prices in Argentina: What Moves the Wind?," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 51, pages 43-81, April - S.
• Pedro Elosegui & Lorena Garegnani & Luis Lanteri & Emilio Blanco, 2008, "Aggregate Indicators of Economic Activity for the Argentine Case: The Principal Components Methodology," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 51, pages 7-41, April - S.
• Guillermo J. Escudé (ed.), 2008, "ARGEM: A Dynamic Stochastic General Equilibrium Model for Argentina," BCRA Paper Series, Central Bank of Argentina, Economic Research Department, number 05, ISBN: ARRAY(0xa9c1fa18).
• Pedro Elosegui & Lorena Garegnani & Emilio Blanco, 2008, "Aggregate Indicators of Economic Activity for Argentina: The Principal Components Method," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200832, Feb.
• Laura D'Amato & Lorena Garegnani & Emilio Blanco, 2008, "Forecasting Inflation in Argentina: Individual Models or Forecast Pooling?," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200835, Jul.
• K. Batu Tunay, 2008, "The Effects of Turkish Central Bank's Interventions Over Currency Rate Volatility," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 2, pages 77-112.
• Ramón María-Dolores & Jesús Vázquez, 2008, "Term structure and the estimated monetary policy rule in the eurozone," Working Papers, Banco de España, number 0827, Dec.
• Andrea Silvestrini & David Veredas, 2008, "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 685, Aug.
• Noriega Antonio E. & Soria Luis M. & Velázquez Ramón, 2008, "International Evidence on Stochastic and Deterministic Monetary Neutrality," Working Papers, Banco de México, number 2008-04, Apr.
• Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango, 2008, "La tasa de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 26, issue 57, pages 282-319, December, DOI: 10.32468/Espe.5706.
• Serkan Erkam & Tarkan Cavusoglu, 2008, "Modelling Inflation Uncertainty In Transition Economies:The Case Of Russia And The Former Soviet Republics," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 53, issue 178-179, pages 44-71, July - De.
• Athanasopoulos, George & Vahid, Farshid, 2008, "VARMA versus VAR for Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 237-252, April.
• Koopman, Siem Jan & Lucas, André, 2008, "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 510-525.
• Julien Idier, 2008, "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers, Banque de France, number 218.
• Laurent Ferrara, 2008, "L’apport des indicateurs de retournement cyclique à l’analyse conjoncturelle," Bulletin de la Banque de France, Banque de France, issue 171, pages 43-51.
• Ferrara, L., 2008, "The contribution of cyclical turning point indicators to business cycle analysis," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 49-61, Autumn.
• Boriss Siliverstovs, 2008, "Dynamic modelling of the demand for money in Latvia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 8, issue 1, pages 53-74, October.
• Verónica España, 2008, "La tasa natural de interés: estimación para la economía uruguaya," Documentos de trabajo, Banco Central del Uruguay, number 2008001, Apr.
• Moonsoo Park & Yanhong H. Jin & David A. Bessler, 2008, "The impacts of animal disease crises on the Korean meat market," Agricultural Economics, International Association of Agricultural Economists, volume 39, issue 2, pages 183-195, September, DOI: 10.1111/j.1574-0862.2008.00325.x.
• Dong He & Laurent L. Pauwels, 2008, "What Prompts the People's Bank of China to Change Its Monetary Policy Stance? Evidence from a Discrete Choice Model," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, volume 16, issue 6, pages 1-21, November, DOI: 10.1111/j.1749-124X.2008.00134.x.
• Kyongwook Choi & Chulho Jung, 2008, "The Sources Of The Decline In U.S. Output Volatility," Contemporary Economic Policy, Western Economic Association International, volume 26, issue 1, pages 132-144, January, DOI: 10.1111/j.1465-7287.2007.00053.x.
• Young H. Lee & Trenton G. Smith, 2008, "Why Are Americans Addicted To Baseball? An Empirical Analysis Of Fandom In Korea And The United States," Contemporary Economic Policy, Western Economic Association International, volume 26, issue 1, pages 32-48, January, DOI: 10.1111/j.1465-7287.2007.00052.x.
• Sylvia Kaufmann & Peter Kugler, 2008, "Does Money Matter For Inflation In The Euro Area?," Contemporary Economic Policy, Western Economic Association International, volume 26, issue 4, pages 590-606, October, DOI: 10.1111/j.1465-7287.2008.00113.x.
• Sei‐Wan Kim & Bong‐Soo Lee, 2008, "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, volume 46, issue 2, pages 131-148, April, DOI: 10.1111/j.1465-7295.2007.00066.x.
• Lance Bachmeier & Qi Li & Dandan Liu, 2008, "Should Oil Prices Receive So Much Attention? An Evaluation Of The Predictive Power Of Oil Prices For The U.S. Economy," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 528-539, October, DOI: 10.1111/j.1465-7295.2007.00095.x.
• Don Bredin & John Cotter, 2008, "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 540-560, October, DOI: 10.1111/j.1465-7295.2007.00101.x.
• David Shepherd & Robert Dixon, 2008, "The Cyclical Dynamics and Volatility of Australian Output and Employment," The Economic Record, The Economic Society of Australia, volume 84, issue 264, pages 34-49, March, DOI: 10.1111/j.1475-4932.2008.00445.x.
• Kiyotaka Nakashima, 2008, "Ideal And Real Japanese Monetary Policy: A Comparative Analysis Of Actual And Optimal Policy Measures," The Japanese Economic Review, Japanese Economic Association, volume 59, issue 3, pages 345-369, September, DOI: 10.1111/j.1468-5876.2008.00415.x.
• Andrea Silvestrini & David Veredas, 2008, "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, volume 22, issue 3, pages 458-497, July, DOI: 10.1111/j.1467-6419.2007.00538.x.
• Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2008, "Model‐based measurement of latent risk in time series with applications," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 171, issue 1, pages 265-277, January, DOI: 10.1111/j.1467-985X.2007.00496.x.
• Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008, "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 2, pages 331-358, March, DOI: 10.1111/j.1467-9892.2007.00558.x.
• George Athanasopoulos & Farshid Vahid, 2008, "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 3, pages 533-554, May, DOI: 10.1111/j.1467-9892.2007.00568.x.
• Luca Fanelli, 2008, "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 53-66, February, DOI: 10.1111/j.1468-0084.2007.00490.x.
• Selva Demiralp & Kevin D. Hoover & Stephen J. Perez, 2008, "A Bootstrap Method for Identifying and Evaluating a Structural Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 4, pages 509-533, August, DOI: 10.1111/j.1468-0084.2007.00496.x.
• Joakim Westerlund & David L. Edgerton, 2008, "A Simple Test for Cointegration in Dependent Panels with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 5, pages 665-704, October, DOI: 10.1111/j.1468-0084.2008.00513.x.
• Hilde C. Bjørnland, 2008, "Monetary Policy and Exchange Rate Interactions in a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, volume 110, issue 1, pages 197-221, March, DOI: 10.1111/j.1467-9442.2008.00532.x.
• WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008, "Cross‐Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, volume 55, issue 4, pages 509-541, September, DOI: 10.1111/j.1467-9485.2008.00464.x.
• Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008, "Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 62, issue 1, pages 104-130, February, DOI: 10.1111/j.1467-9574.2007.00375.x.
• Ida Wolden Bache, 2008, "Assessing estimates of the exchange rate pass-through," Working Paper, Norges Bank, number 2007/12, Jan.
• Ida Wolden Bache & Bjørn E. Naug, 2008, "Estimating New Keynesian import price models," Working Paper, Norges Bank, number 2007/15, Jan.
• Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008, "Combining forecast densities from VARs with uncertain instabilities," Working Paper, Norges Bank, number 2008/01, Jan.
• Hilde C. Bjørnland & Jørn I. Halvorsen, 2008, "How does monetary policy respond to exchange rate movements? New international evidence," Working Paper, Norges Bank, number 2008/15, Oct.
• Hilde C. Bjørnland, 2008, "Oil Price Shocks and Stock Market Booms in an Oil Exporting Country," Working Paper, Norges Bank, number 2008/16, Oct.
• Hilde C. Bjørnland & Dag Henning Jacobsen, 2008, "The role of house prices in the monetary policy transmission mechanism in the U.S," Working Paper, Norges Bank, number 2008/24, Dec.
• Iryna Kaminska, 2008, "A no-arbitrage structural vector autoregressive model of the UK yield curve," Bank of England Staff Working Paper series, Bank of England, number 357, Dec.
• Michael Joyce & Iryna Kaminska & Peter Lildholdt, 2008, "Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve," Bank of England Staff Working Paper series, Bank of England, number 358, Dec.
• Dimitrios Sideris, 2008, "Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939," Working Papers, Bank of Greece, number 66, Jan.
• Else Monteiro Nogueira & Wagner Moura Lamounier, 2008, ""Contagion" between the emerging and developed capital markets: empirical evidence and reflections on the international portfolio diversification," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 267-286.
• Marilyne Huchet-Bourdon & Jean-Sébastien Pentecôte, 2008, "Élargissement de la zone euro et mesure des asymétries. Un bilan empirique," Revue économique, Presses de Sciences-Po, volume 59, issue 2, pages 341-358.
• Dees, S. & Pesaran, M.H. & Smith, L.V. & Smith, R.P., 2008, "Identification of New Keynesian Phillips Curves from a Global Perspective," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0803, Jan.
• Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008, "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0807, Jan.
• Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008, "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0808, Jan.
• Assenmacher-Wesche, K. & Pesaran, M.H., 2008, "A VECX* Model of the Swiss Economy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0809, Feb.
• Pesaran, M.H. & Zaffaroni, P., 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0813, Mar.
• Addison-Smyth, Diarmaid & McQuinn, Kieran & O' Reilly, Gerard, 2008, "Estimating the Structural Demand for Irish Housing," Research Technical Papers, Central Bank of Ireland, number 1/RT/08, Mar.
• Les Oxley & Marco Reale & Granville Tunnicliffe Wilson, 2008, "Constructing Structural VAR Models with Conditional Independence Graphs," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 08/19, Nov.
• Oscar Jorda & Massimiliano Marcellino, 2008, "Path Forecast Evaluation," Working Papers, University of California, Davis, Department of Economics, number 131, Jul.
• Meenagh, David & Minford, Patrick & Wickens, Michael, 2008, "Testing a DSGE model of the EU using indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/11, May, revised Dec 2008.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2008, "How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/32, Dec, revised Jul 2011.
• Ana Lamo & Javier J. Pérez & Ludger Schuknecht, 2008, "Public and private sector wages:comovement and casuality," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2008/14.
• Luigi Landolfo, 2008, "Assessing the sustainability of fiscal policies: Empirical evidence from the Euro Area and the United States," Journal of Applied Economics, Universidad del CEMA, volume 11, pages 305-326, November.