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

2006

• Sibbertsen, Philipp & Kramer, Walter, 2006, "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, volume 91, issue 3, pages 321-324, June.
• Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc, 2006, "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," Journal of Econometrics, Elsevier, volume 130, issue 1, pages 123-142, January.
• Beltratti, A. & Morana, C., 2006, "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 151-177.
• Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006, "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 179-215.
• Engle, Robert F. & Gallo, Giampiero M., 2006, "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 3-27.
• Pelletier, Denis, 2006, "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 445-473.
• Issler, Joao Victor & Vahid, Farshid, 2006, "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 281-303, May.
• Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006, "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 43-57, May.
• McCrorie, J. Roderick & Chambers, Marcus J., 2006, "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 311-336, June.
• Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006, "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 337-362, June.
• Breitung, Jorg & Candelon, Bertrand, 2006, "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 363-378, June.
• Radchenko, Stanislav & Tsurumi, Hiroki, 2006, "Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 31-49, July.
• Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006, "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 343-371, July.
• Inoue, Atsushi & Shintani, Mototsugu, 2006, "Bootstrapping GMM estimators for time series," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 531-555, August.
• Seo, Myunghwan, 2006, "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, volume 134, issue 1, pages 129-150, September.
• Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006, "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, volume 134, issue 2, pages 579-604, October.
• Haldrup, Niels & Nielsen, Morten Orregaard, 2006, "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 349-376.
• Hsiao, Cheng & Wang, Siyan, 2006, "Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 427-463.
• Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006, "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 499-526.
• Chakraborty, Lekha S., 2006, "Fiscal deficit, capital formation, and crowding out: Evidence from India," Working Papers, National Institute of Public Finance and Policy, number 06/43, Dec.
• Clive G. Bowsher & Roland Meeks, 2006, "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W05, Jun.
• Roland Meeks, 2006, "Credit Shocks and Cycles: a Bayesian Calibration Approach," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W11, Aug.
• Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006, "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2006/02, Feb.
• Domenico Giannone & Troy Matheson, 2006, "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2006/02, Oct.
• Iris Claus & Aaron Gill & Boram Lee & Nathan McLellan, 2006, "An empirical investigation of fiscal policy in New Zealand," Treasury Working Paper Series, New Zealand Treasury, number 06/08, Jul.
• Martin Meurers, 2006, "Identifying Determinants of Germany's International Price Competitiveness: A Structural VAR Approach," OECD Economics Department Working Papers, OECD Publishing, number 523, Nov, DOI: 10.1787/407563327012.
• Gerhard Fenz & Martin Schneider, 2006, "Is Germany’s Influence on Austria Waning?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 24-45.
• Sylvia Kaufmann & Peter Kugler, 2006, "Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 131, Sep.
• Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006, "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 06-20, Jul.
• Norman H. Sedgley, 2006, "A Time Series Test of Innovation-Driven Endogenous Growth," Economic Inquiry, Western Economic Association International, volume 44, issue 2, pages 318-332, April.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2006, "Downside Risk," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1191-1239.
• Guillaume Chevillon, 2006, "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers, University of Oxford, Department of Economics, number 257, Feb.
• Woon Gyu Choi & Michael B. Devereux, 2006, "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," IMF Staff Papers, Palgrave Macmillan, volume 53, issue si, pages 1-8.
• F. Laurini & J. A. Tawn, 2006, "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2006-SE01.
• Lorna E. Amrinto & Hector O. Zapata, 2006, "A semiparametric assessment of export-led growth in the Philippines," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 43, issue 2, pages 1-22, December.
• Abdul Qayyum, 2006, "Money, Inflation, and Growth in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 45, issue 2, pages 203-212.
• Dumitru, Ionut, 2006, "Estimarea cursului de schimb real de echilibru in România
  [The equilibrium exchange rate in Romania]," MPRA Paper, University Library of Munich, Germany, number 10631.
• Gomez-Sorzano, Gustavo, 2006, "A structural model for corporate profit in the U.S. industry," MPRA Paper, University Library of Munich, Germany, number 1144, May, revised 11 Dec 2006.
• Westerlund, Joakim & Basher, Syed A., 2006, "Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?," MPRA Paper, University Library of Munich, Germany, number 1229, Dec.
• Pop-Silaghi, Monica Ioana, 2006, "Testing Trade-led-Growth Hypothesis for Romania," MPRA Paper, University Library of Munich, Germany, number 1321, Mar.
• Basher, Syed A. & Westerlund, Joakim, 2006, "Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models," MPRA Paper, University Library of Munich, Germany, number 136.
• Mendoza Lugo, Omar & Pedauga, Luis Enrique, 2006, "Efecto transferencia (pass-through) del tipo de cambio en los precios de bienes y servicios en Venezuela
  [Exchange rate pass-through on prices of goods and services in Venezuela]," MPRA Paper, University Library of Munich, Germany, number 14874, Dec.
• Matesanz Gómez, David & Fugarolas Álvarez-Ude, Guadalupe, 2006, "Exchange rate policy and trade balance. A cointegration analysis of the argentine experience since 1962," MPRA Paper, University Library of Munich, Germany, number 151, revised 2006.
• Hirota, Keiko, 2006, "Passenger Car Ownership Estimation toward 2030 in Japan: BAU Scenario with Socio-economic Factors," MPRA Paper, University Library of Munich, Germany, number 15139, Mar, revised 17 Mar 2007.
• Feng, Yuanhua, 2006, "A local dynamic conditional correlation model," MPRA Paper, University Library of Munich, Germany, number 1592.
• Feng, Yuanhua & Yu, Keming, 2006, "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper, University Library of Munich, Germany, number 1597.
• Vargas, Gregorio A., 2006, "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper, University Library of Munich, Germany, number 189, Jan, revised Aug 2006.
• Demir, Firat, 2006, "Volatility of short term capital flows and socio-political instability in Argentina, Mexico and Turkey," MPRA Paper, University Library of Munich, Germany, number 1943, May.
• Levent, Korap, 2006, "An empirical analysis of Turkish inflation (1988-2004): some non-monetarist estimations," MPRA Paper, University Library of Munich, Germany, number 19630.
• Levent, Korap, 2006, "Seigniorage revenue and Turkish economy," MPRA Paper, University Library of Munich, Germany, number 20106.
• Omay, Tolga Omay & Hasanov, Mubariz, 2006, "Türkiye için reaksiyon fonksiyonunun doğrusal olmayan modelle tahmin edilmesi
  [A nonlinear estimation of monetary policy reaction function for Turkey]," MPRA Paper, University Library of Munich, Germany, number 20154, Jul.
• Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006, "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper, University Library of Munich, Germany, number 2075.
• Li, Hong & Mueller, Ulrich, 2006, "Valid Inference in Partially Unstable GMM Models," MPRA Paper, University Library of Munich, Germany, number 2261, Aug.
• Bilgili, Faik, 2006, "Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy," MPRA Paper, University Library of Munich, Germany, number 24086, Jun, revised 14 Jul 2010.
• Erdogdu, Oya Safinaz, 2006, "Political Decisions, Defence and Growth," MPRA Paper, University Library of Munich, Germany, number 2520, revised Feb 2007.
• Iqbal, Javed & Nadeem, Khurram, 2006, "Exploring the causal relationship among social, real, monetary and infrastructure development in Pakistan," MPRA Paper, University Library of Munich, Germany, number 3267, Jun.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Bivariate causality analysis between FDI inflows and economic growth in Ghana," MPRA Paper, University Library of Munich, Germany, number 351, Aug, revised 09 Oct 2006.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Bounds testing approach: an examination of foreign direct investment, trade, and growth relationships," MPRA Paper, University Library of Munich, Germany, number 352, Aug, revised 09 Oct 2006.
• Weber, Enzo, 2006, "Common and uncommon sources of growth in Asia Pacific," MPRA Paper, University Library of Munich, Germany, number 3715, Sep, revised Jun 2007.
• Lin, William & Sun, David, 2006, "Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels," MPRA Paper, University Library of Munich, Germany, number 37288, Sep, revised Jun 2007.
• Puah, Chin-Hong & Habibullah, Muzafar Shah & Lim, Kian-Ping, 2006, "Testing long-run neutrality of money: evidence from Malaysian stock market," MPRA Paper, University Library of Munich, Germany, number 37676.
• Puah, Chin-Hong & Lau, Evan & Tan, Kim Lee, 2006, "Budget-current account deficits nexus in Malaysia," MPRA Paper, University Library of Munich, Germany, number 37677.
• Ferrara, Laurent, 2006, "A real-time recession indicator for the Euro area," MPRA Paper, University Library of Munich, Germany, number 4042, Jun.
• Barnett, William A. & Seck, Ousmane, 2006, "Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?," MPRA Paper, University Library of Munich, Germany, number 417, Feb.
• Liew, Venus Khim-Sen & Ahmad, Yusuf, 2006, "Income convergence? Evidence of non-linearity in the East Asian Economies: A comment," MPRA Paper, University Library of Munich, Germany, number 519, Mar.
• Razzak, Weshah, 2006, "Explaining the gaps in labour productivity for some developed countries," MPRA Paper, University Library of Munich, Germany, number 53.
• erdogdu, oya, 2006, "Tüketim ve Kamu Harcamaları: VECM modeli
  [Searching for Fiscal Effects: A VECM model of Household Consumption Expenditures]," MPRA Paper, University Library of Munich, Germany, number 5333, revised May 2007.
• Gomez-Sorzano, Gustavo, 2006, "The econometrics of violence, terrorism and scenarios for peace in Colombia from 1950 to 2019," MPRA Paper, University Library of Munich, Germany, number 539, Oct.
• Ardic, Oya Pinar, 2006, "Output, the Real Exchange Rate, and the Crises in Turkey," MPRA Paper, University Library of Munich, Germany, number 6099, Jan.
• Goncharuk, Anatoliy G., 2006, "Прогнозирование Эффективности Экономики Украины
  [Forecasting efficiency of the economy of Ukraine]," MPRA Paper, University Library of Munich, Germany, number 6562, Sep.
• Barhoumi, Karim, 2006, "Exchange Rate Pass-Through and Structural Macroeconomic Shocks in Developing Countries: An Empirical Investigation," MPRA Paper, University Library of Munich, Germany, number 6573, Oct, revised 13 Oct 2007.
• Nakashima, Kiyotaka, 2006, "Ideal and Real Japanese Monetary Policy: A Comparative Analysis of Actual and Optimal Policy Measures," MPRA Paper, University Library of Munich, Germany, number 70688, May.
• Stavarek, Daniel, 2006, "Estimation of the Exchange Market Pressure in the EU4 Countries: A Model-Dependent Approach," MPRA Paper, University Library of Munich, Germany, number 7256, Sep.
• He, Yijun & Barnett, William A., 2006, "Existence of bifurcation in macroeconomic dynamics: Grandmont was right," MPRA Paper, University Library of Munich, Germany, number 756, Nov.
• Chakraborty, Pinaki & Chakraborty, Lekha S, 2006, "Is Fiscal Policy Contracyclical in India: An Empirical Analysis," MPRA Paper, University Library of Munich, Germany, number 7604.
• Vitek, Francis, 2006, "Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper, University Library of Munich, Germany, number 797, Mar.
• Vitek, Francis, 2006, "Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper, University Library of Munich, Germany, number 800, Mar.
• Vitek, Francis, 2006, "Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper, University Library of Munich, Germany, number 801, Jun.
• Vitek, Francis, 2006, "Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper, University Library of Munich, Germany, number 802, Jun.
• Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006, "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper, University Library of Munich, Germany, number 85702, Feb.
• Aktas, Erkan, 2006, "Çukurova Bölgesi’nde Pamuk Arz Duyarlılığının Tahmini Üzerine Bir Çalışma
  [A Study on the Estimation of Supply Response of Cotton in Cukurova Region]," MPRA Paper, University Library of Munich, Germany, number 8648.
• C. B. Du Toit & Renee� Van Eyden & Marc Ground, 2006, "Does South Africa Have the Potential and Capacity to Grow at 7 Per Cent?: A Labour Market Perspective," Working Papers, University of Pretoria, Department of Economics, number 200603, Feb.
• Kirsten L. Ludi & Marc Ground, 2006, "Investigating the Bank-Lending Channel in South Africa: A VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 200604, Feb.
• J. H. Eita & Moses M. Sichei, 2006, "Estimating the Equilibrium Real Exchange Rate for Namibia," Working Papers, University of Pretoria, Department of Economics, number 200608, Feb.
• Mete Feridun, 2006, "An Investigation of the German Dominance Hypothesis in the Context of Eastern Enlargement of the EU," Prague Economic Papers, Prague University of Economics and Business, volume 2006, issue 2, pages 172-182, DOI: 10.18267/j.pep.283.
• Josef Arlt & Petr Pokorný, 2006, "Model nepozorovaných komponent a jeho využití při identifikaci společných trendů časových řad
  [The model of unobservable components and its use for identification of time series common trends]," Politická ekonomie, Prague University of Economics and Business, volume 2006, issue 1, pages 48-55, DOI: 10.18267/j.polek.545.
• Mikuláš Luptáčik & Viliam Páleník & Vladimír Kvetan & Ján Ďuraš & Jana Hrivnáková & Peter Ondko, 2006, "Formalizovaný model tranzitívnej ekonomiky - prípad SR
  [Formal model of economy in transition - case of Slovak republic]," Politická ekonomie, Prague University of Economics and Business, volume 2006, issue 2, pages 227-246, DOI: 10.18267/j.polek.555.
• Josef Arlt & Jan Kodera & Martin Mandel & Vladimír Tomšík, 2006, "Monetární přístup k inflaci - střednědobý strukturální model v otevřené ekonomice (příklad České Republiky v letech 1996-2004)
  [Monetary approach to inflation: A medium-term structural model in a small open economy (the case of the Czech Republic ," Politická ekonomie, Prague University of Economics and Business, volume 2006, issue 3, pages 326-338, DOI: 10.18267/j.polek.561.
• Benoît Bellone, 2006, "Une lecture probabiliste du cycle d’affaires américain," Économie et Prévision, Programme National Persée, volume 172, issue 1, pages 63-81, DOI: 10.3406/ecop.2006.7480.
• Sébastien Le Coent & Erwan Gautier & Benoît Bellone, 2006, "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Économie et Prévision, Programme National Persée, volume 172, issue 1, pages 83-99, DOI: 10.3406/ecop.2006.7481.
• Carlo Altavilla, 2006, "The (Un-) Stable Relationship between The Exchange rate and its Fundamentals," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 6_2006, Mar.
• Morten Ø. Nielsen & Katsumi Shimotsu, 2006, "Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach," Working Paper, Economics Department, Queen's University, number 1029, Jan.
• Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006, "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper, Economics Department, Queen's University, number 1188, Feb.
• George Kapetanios & Massimiliano Marcellino, 2006, "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," Working Papers, Queen Mary University of London, School of Economics and Finance, number 577, Oct.
• Silvia S.W. Lui, 2006, "An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting," Working Papers, Queen Mary University of London, School of Economics and Finance, number 581, Dec.
• Boriss Siliverstovs, 2006, "Modelling Demand for Money in Latvia (in Russian)," Quantile, Quantile, issue 1, pages 67-79, September.
• Saki Bigio & Jorge Salas, 2006, "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers, Banco Central de Reserva del Perú, number 2006-008, Aug.
• Carol Alexander & Andreza Barbosa, 2006, "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-04, Jul, revised Sep 2006.
• Giorgio Primiceri & Alejandro Justiniano, 2006, "The Time Varying Volatility of Macroeconomic Fluctuations," 2006 Meeting Papers, Society for Economic Dynamics, number 353.
• Khalid H.A. Alqudair, 2006, "Endogenous and Exogenous Money Concepts: An Empirical Investigation from the Kingdom of Saudi Arabia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 2, pages 143-159.
• Tiru K. Jayaraman & Bert D. Ward, 2006, "A Single Currency for Pacific Island Countries: An SVAR Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 1, pages 83-111.
• Josep Mateu Sbert & Antoni Riera Font, 2006, "Optimization models and their applicability in the analysis of regional economic cycles analysis," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 9, pages 97-111.
• Hong Li & Ewa Majerowska, 2006, "Stock market integration: a multivariate GARCH analysis on Poland and Hungary," Economics Discussion Papers, School of Economics, Kingston University London, number 2006-2, Jan.
• Scutaru, Cornelia & Iordan, Mioara & Stanica, Cristian & Pauna, Bianca, 2006, "Analysis of Foreign Imbalances and Exchange Rate Policy in the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 3, issue 4, pages 38-54, December.
• Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2006, "Dynamics of equity market integration in Europe : impact of political-economy events," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1154, Jun.
• Donal Bredin & Stuart Hyde & Gerard O'Reilly, 2006, "Monetary policy surprises and international bond markets," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1160, Oct.
• Donal Bredin & John Cotter, 2006, "Real & nominal foreign exchange volatility effects on exports – the importance of timing," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1177.
• Bertrand Candelon & Gianluca Cubadda, 2006, "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper, Tor Vergata University, CEIS, number 82, May.
• G. Peersman & R. Straub, 2006, "Putting the New Keynesian Model to a Test," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/375, Mar.
• T. Berger & G. Everaert, 2006, "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/383, May.
• L. Baele & K. Inghelbrecht, 2006, "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 06/413, Sep.
• Norman Swanson & Oleg Korenok, 2006, "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version," Departmental Working Papers, Rutgers University, Department of Economics, number 200612, Sep.
• Norman Swanson & Oleg Korenok, 2006, "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers, Rutgers University, Department of Economics, number 200615, Sep.
• Norman Swanson & Oleg Korenok & Stanislav Radchenko, 2006, "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Departmental Working Papers, Rutgers University, Department of Economics, number 200617, Sep.
• Krishan K. Kaushik & Kurt K. Klein & Lawrence Arbenser, 2006, "An Econometric Analysis of Export-led Growth in A Multivariate Var Framework," Foreign Trade Review, , volume 41, issue 3, pages 3-24, October, DOI: 10.1177/0015732515060301.
• Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2006, "Nominal Rigidities in an Estimated Two Country," Computing in Economics and Finance 2006, Society for Computational Economics, number 162, Jul.
• J. Huston McCulloch & Ohio State University, 2006, "Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations," Computing in Economics and Finance 2006, Society for Computational Economics, number 173, Jul.
• Alejandro Justiniano & Northwestern University, 2006, "The Time Varying Volatility of Macroeconomic Fluctuations," Computing in Economics and Finance 2006, Society for Computational Economics, number 219, Jul.
• Dario Caldara & Christophe Kamps, 2006, "What Do We Know About the Effects of Fiscal Policy Shocks? A Comparative Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 257, Jul.
• Segismundo Izquierdo & Cesareo Hernandez & Juan del Hoyo, 2006, "Forecasting VARMA processes: VAR models vs. subspace-based state space models," Computing in Economics and Finance 2006, Society for Computational Economics, number 271, Jul.
• Andi Kabili & Jaya Krishnakumar, 2006, "ML Estimators for SEM-GARCH Models: Relative Performance of Different Computational Algorithms," Computing in Economics and Finance 2006, Society for Computational Economics, number 294, Jul.
• Mohamad Khaled, 2006, "Multivariate Generalizations of the Markov-Switching Model," Computing in Economics and Finance 2006, Society for Computational Economics, number 297, Jul.
• Anna Staszewska, 2006, "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006, Society for Computational Economics, number 379, Jul.
• Jan Bulla & Ingo Bulla, 2006, "Structured Hidden Markov Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 437, Jul.
• Ingo Bulla, 2006, "Semi-Markov Regime Switching Regression Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 438, Jul.
• Hilde C. Bjørnland, 2006, "Monetary Policy and the Illusionary Exchange Rate Puzzle," Computing in Economics and Finance 2006, Society for Computational Economics, number 45, Jul.
• Pizzi Claudio & Procidano Isabella & Parpinel Francesca, 2006, "Analisys of Hidden Cointegration in Financial Time Series," Computing in Economics and Finance 2006, Society for Computational Economics, number 462, Jul.
• Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006, "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 47, Jul.
• Andrea Cipollini & George Kapetanios, 2006, "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 477, Jul.
• Almuth Scholl & Harald Uhlig, 2006, "New Evidence on the Puzzles: Monetary Policy and Exchange Rates," Computing in Economics and Finance 2006, Society for Computational Economics, number 5, Jul.
• Dean Fantazzini & Alessandro Carta & Elena Maria DeGiuli, 2006, "A Unified Copula Framework for VaR forecasting," Computing in Economics and Finance 2006, Society for Computational Economics, number 57, Jul.
• Ramón Maria-Dolores & Jesus Vazquez, 2006, "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006, Society for Computational Economics, number 6, Jul.
• M. Hashem Pesaran & Ron Smith, 2006, "Macroeconometric Modelling with a Global Perspective," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 06.43, Jan.
• Hyungsik Roger Moon & Frank Schorfheide, 2006, "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 06.56, Oct.
• Natalie Hegwood & David H. Papell, 2006, "Are Real GDP Levels Trend, Difference, or Regime-Wise Trend Stationary? Evidence from Panel Data Tests Incorporating Structural Change," Working Papers, Sam Houston State University, Department of Economics and International Business, number 0601, Sep.
• Caesar Lack, 2006, "Forecasting Swiss inflation using VAR models," Economic Studies, Swiss National Bank, number 2006-02.
• Sami Taban, 2006, "Türkiye’de Sağlık ve Ekonomik Büyüme Arasındaki Nedensellik İlişkisi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2006-2.
• Boris Krey & Peter Zweifel, 2006, "Efficient Electricity Portfolios for Switzerland and the United States," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0602, Feb.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 59-74, March, DOI: 10.1007/s10182-006-0221-5.
• Helmut Lütkepohl, 2006, "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 75-88, March, DOI: 10.1007/s10182-006-0222-4.
• Christoph Rothe & Philipp Sibbertsen, 2006, "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 3, pages 439-456, September, DOI: 10.1007/s10182-006-0244-y.
• Alfredo Pereira & Jorge Andraz, 2006, "Public investment in transportation infrastructures and regional asymmetries in Portugal," The Annals of Regional Science, Springer;Western Regional Science Association, volume 40, issue 4, pages 803-817, December, DOI: 10.1007/s00168-006-0066-6.
• Tun-Hsiang Yu & David Bessler & Stephen Fuller, 2006, "Effect of lock delay on grain barge rates: examination of upper Mississippi and Illinois Rivers," The Annals of Regional Science, Springer;Western Regional Science Association, volume 40, issue 4, pages 887-908, December, DOI: 10.1007/s00168-005-0057-z.
• Stefan Frey & Joachim Grammig, 2006, "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, volume 30, issue 4, pages 1007-1033, January, DOI: 10.1007/s00181-005-0009-6.
• Anthony Hall & Nikolaus Hautsch, 2006, "Order aggressiveness and order book dynamics," Empirical Economics, Springer, volume 30, issue 4, pages 973-1005, January, DOI: 10.1007/s00181-005-0008-7.
• Mohammad Hasan, 2006, "The prices of silver and exchange rates in a metallic monetary system—the cases of India and Iran," Empirical Economics, Springer, volume 31, issue 1, pages 195-206, March, DOI: 10.1007/s00181-005-0037-2.
• Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006, "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, volume 31, issue 1, pages 207-216, March, DOI: 10.1007/s00181-005-0038-1.
• Stuart Wilson, 2006, "Factor accumulation in Canada before the Great Depression: investment and immigration dynamics," Empirical Economics, Springer, volume 31, issue 1, pages 261-275, March, DOI: 10.1007/s00181-005-0048-z.
• K. Balcombe, 2006, "Bayesian estimation of cointegrating thresholds in the term structure of interest rates," Empirical Economics, Springer, volume 31, issue 2, pages 277-289, June, DOI: 10.1007/s00181-005-0011-z.
• Andre Jungmittag, 2006, "Innovation dynamics in the EU: convergence or divergence? A cross-country panel data analysis," Empirical Economics, Springer, volume 31, issue 2, pages 313-331, June, DOI: 10.1007/s00181-005-0018-5.
• Ralf Brüggemann, 2006, "Sources of German unemployment: a structural vector error correction analysis," Empirical Economics, Springer, volume 31, issue 2, pages 409-431, June, DOI: 10.1007/s00181-005-0021-x.
• Antonio Ribba, 2006, "The joint dynamics of inflation, unemployment and interest rate in the United States since 1980," Empirical Economics, Springer, volume 31, issue 2, pages 497-511, June, DOI: 10.1007/s00181-005-0031-8.
• Heino Nielsen & Christopher Bowdler, 2006, "Inflation adjustment in the open economy: an I(2) analysis of UK prices," Empirical Economics, Springer, volume 31, issue 3, pages 569-586, September, DOI: 10.1007/s00181-005-0030-9.
• Marc-André Gosselin & René Lalonde, 2006, "An Eclectic Approach to Estimating U.S. Potential GDP," Empirical Economics, Springer, volume 31, issue 4, pages 951-975, November, DOI: 10.1007/s00181-006-0063-8.
• Thomas A. Knetsch, 2006, "Short-Run and Long-Run Comovement of GDP and Some Expenditure Aggregates in Germany, France and Italy," Springer Books, Springer, "Convergence or Divergence in Europe?", DOI: 10.1007/3-540-32611-1_11.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive Distributed Lag Models and Cointegration," Springer Books, Springer, chapter 5, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_5.
• Helmut Lütkepohl, 2006, "Structural Vector Autoregressive Analysis for Cointegrated Variables," Springer Books, Springer, chapter 6, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_6.
• Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2006, "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 142, issue 1, pages 67-91, April, DOI: 10.1007/s10290-006-0057-9.
• Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle, 2006, "Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve," Discussion Papers, Statistics Norway, Research Department, number 443, Jan.
• Gang Liu, 2006, "A causality analysis on GDP and air emissions in Norway," Discussion Papers, Statistics Norway, Research Department, number 447, Feb.
• Anne Neumann & Boriss Siliverstovs & Christian von Hirschhausen, 2006, "Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 11, pages 727-732, DOI: 10.1080/13504850500404258.
• Francisco Ledesma-Rodriguez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2006, "An empirical examination of exchange-rate credibility determinants in the EMS," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 13, pages 847-850, DOI: 10.1080/13504850500425311.
• Boriss Siliverstovs & Dierk Herzer, 2006, "Export-led growth hypothesis: evidence for Chile," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 5, pages 319-324, DOI: 10.1080/13504850500407293.
• Claudio Morana & Andrea Beltratti, 2006, "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 14, pages 1059-1073, DOI: 10.1080/09603100500426598.
• Thomas Flavin, 2006, "How risk averse are fund managers? Evidence from Irish mutual funds," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 18, pages 1355-1363, DOI: 10.1080/09603100600592760.
• J. Lindquist & Roger Vilhelmsson, 2006, "Is the Swedish central government a wage leader?," Applied Economics, Taylor & Francis Journals, volume 38, issue 14, pages 1617-1625, DOI: 10.1080/00036840500407124.
• Paresh Kumar Narayan & Russell Smyth, 2006, "Dead man walking: an empirical reassessment of the deterrent effect of capital punishment using the bounds testing approach to cointegration," Applied Economics, Taylor & Francis Journals, volume 38, issue 17, pages 1975-1989, DOI: 10.1080/00036840500427288.
• Camille Logeay & Sven Schreiber, 2006, "Testing the effectiveness of the French work-sharing reform: a forecasting approach," Applied Economics, Taylor & Francis Journals, volume 38, issue 17, pages 2053-2068, DOI: 10.1080/00036840500427031.
• Gilles Dufrenot & Laurent Mathieu & Valerie Mignon & Anne Peguin-Feissolle, 2006, "Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration," Applied Economics, Taylor & Francis Journals, volume 38, issue 2, pages 203-229, DOI: 10.1080/00036840500390262.
• Boriss Siliverstovs, 2006, "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, volume 38, issue 7, pages 819-833, DOI: 10.1080/00036840500398760.
• Charles Bos & Neil Shephard, 2006, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 219-244, DOI: 10.1080/07474930600713275.
• Nuno Cassola & Claudio Morana, 2006, "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 513-528, DOI: 10.1080/13518470500162758.
• Christer Ljungwall, 2006, "Export-led Growth: Application to China's Provinces, 1978-2001," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 4, issue 2, pages 109-126, DOI: 10.1080/14765280600736866.
• Ali Askin Culha, 2006, "A Structural VAR Analysis of the Determinants of Capital Flows into Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 6, issue 2, pages 11-35.
• Ali Askin Culha, 2006, "A Structural VAR Analysis of the Determinants of Capital Flows Into Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0605.
• Cees Diks & Florian Wagener, 2006, "A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-043/1, May.
• H. Peter Boswijk & Roy van der Weide, 2006, "Wake me up before you GO-GARCH," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-079/4, Sep, revised 21 Sep 2006.
• Domenico Giannone & Lucrezia Reichlin, 2006, "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 455-465, 04-05.
• Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2006, "Economic and VAR Shocks: What Can Go Wrong?," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 466-474, 04-05.
• Jean Boivin & Marc P. Giannoni, 2006, "Has Monetary Policy Become More Effective?," The Review of Economics and Statistics, MIT Press, volume 88, issue 3, pages 445-462, August.
• László Kónya & Jai Pal Singh, 2006, "Exports, Imports and Economic Growth in India," Working Papers, School of Economics, La Trobe University, number 2006.06, Dec.
• Giuliana Passamani & Roberto Tamborini, 2006, "Monetary policy through the �credit-cost channel�. Italy and Germany," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0609.
• Shushanik Papanyan, 2006, "The Transmission of Shocks between Europe, Japan and the United States," Working Papers, University of Texas at Arlington, Department of Economics, number 0605.
• Antonia López Villavicencio & Josep Lluís Raymond Bara, 2006, "The short and long-run determinants of the real exchange rate in Mexico," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea0606, Oct.
• José Casals Carro & Miguel Jerez Méndez & Sonia Sotoca López, 2006, "Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0602.
• Rómulo A.Chumacero & J.Rodrigo Fuentes, 2006, "Economic growth in Latin America: structural breaks or fundamentals," Estudios de Economia, University of Chile, Department of Economics, volume 33, issue 2 Year 20, pages 141-154, December.
• Marianela Luzardo Briceño, 2006, "An EWMA model application for quality control analysis in the production of primary aluminium: CVG-Venalum case," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 31, issue 22, pages 41-55, january-d.
• Domenico Giannone & Lucrezia Reichlin, 2006, "Does information help recovering structural shocks from past observations?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/166169, Apr.