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

• Marc Hallin & Abdeljelil Farhat & Jean-Marie Dufour, 2006, "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/2143.
• Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006, "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/06, Jan.
• Luis Alberiko Gil-Alana & Antonio Moreno, 2006, "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/06, Feb.
• Javier Hualde & Peter Robinson, 2006, "Semiparametric Estimation of Fractional Cointegration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/06, Jun.
• Westerlund, J., 2006, "Testing for error correction in panel data," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 056, Jan, DOI: 10.26481/umamet.2006056.
• Arief Bustaman & Kankesu Jayanthakumaran, 2006, "The Impact of Exchange Rate Volatility on Indonesia’s Exports to the USA: An Application of ARDL Bounds Testing Procedure," Working Papers in Economics and Development Studies (WoPEDS), Department of Economics, Padjadjaran University, number 200610, Dec, revised Dec 2006.
• Jayanthakumaran, Kankesu & Pahlavani, Mosayeb, 2006, "Structural Breaks in Trade and Income Per Capita in ASEAN-5 Countries: An Application of Innovational Outlier Models," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-12.
• Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2006, "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Working Papers, VCU School of Business, Department of Economics, number 0602, Jun.
• Monica Billio & Silvestro Di Sanzo, 2006, "Granger-causality in Markov Switching Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_20.
• Silvestro Di Sanzo, 2006, "Output fluctuations persistence: Do cyclical shocks matter?," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_21.
• Monica Billio & Massimiliano Caporin, 2006, "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_53.
• Manolis Syllignakis & Georgios Kouretas, 2006, "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp832, Jul.
• Michael S. Hanson, 2006, "Varying Monetary Policy Regimes: A Vector Autoregressive Investigation," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2006-003, Jan.
• Alfredo Marvao Pereira & Maria De Fatima Pinho, 2006, "Impact of Public Investment Upon Economic Performance and Budgetary Consolidation Efforts in the European Union," ERSA conference papers, European Regional Science Association, number ersa06p122, Aug.
• Ramiro Gil-Serrate & Julio Lopez-Laborda, 2006, "Revenue Decentralisation and Economic Growth in the Spanish Autonomous Communities," ERSA conference papers, European Regional Science Association, number ersa06p214, Aug.
• Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2006, "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 39, issue 1, pages 320-347, February, DOI: 10.1111/j.0008-4085.2006.00349.x.
• Richard Dennis, 2006, "The policy preferences of the US Federal Reserve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 1, pages 55-77, January, DOI: 10.1002/jae.808.
• Fabio Busetti, 2006, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 419-438, May, DOI: 10.1002/jae.852.
• Anthony Garratt & Donald Robertson & Stephen Wright, 2006, "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 521-542, May, DOI: 10.1002/jae.850.
• Ralf Brüggemann & Helmut Lütkepohl, 2006, "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 6, pages 683-702, September, DOI: 10.1002/jae.864.
• Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2006, "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 6, pages 727-744, September, DOI: 10.1002/jae.889.
• Elena Pesavento & Barbara Rossi, 2006, "Small‐sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1135-1155, December, DOI: 10.1002/jae.894.
• Markku Lanne, 2006, "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1157-1168, December, DOI: 10.1002/jae.908.
• Anindya Banerjee & Paul Mizen, 2006, "A re‐interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1249-1264, December, DOI: 10.1002/jae.892.
• Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006, "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 777.
• Aleksander Welfe & Piotr Keblowski, 2006, "Price-Wage System with Taxation: Multivariate Cointegration Analysis," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 13, May.
• Trenton Smith & Young H. Lee, 2006, "Why are Americans Addicted to Baseball? An Empirical Analysis of Fandom in Korea and the U.S," Working Papers, School of Economic Sciences, Washington State University, number 2006-05, May.
• Mariam Camarero & Josep Lluis Carrion-i-Silvestre & Cecilio Tamarit, 2006, "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP), number CREAP2006-14, Dec, revised Dec 2006.
• P N Smith & S Sorensen & M R Wickens, 2006, "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers, Department of Economics, University of York, number 06/04, Jan.
• Curran, Declan & Funke, Michael, 2006, "Taking the temperature: forecasting GDP growth for mainland in China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 6/2006.
• Gluschenko, Konstantin, 2006, "Russia's common market takes shape: price convergence and market integration among Russian regions," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 7/2006.
• Hofmann, Boris, 2006, "Do monetary indicators (still) predict euro area inflation?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,18.
• Knetsch, Thomas A. & Reimers, Hans-Eggert, 2006, "How to treat benchmark revisions? The case of German production and orders statistics," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,38.
• Herwartz, Helmut & Reimers, Hans-Eggert, 2006, "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-04.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006, "Multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/09.
• Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006, "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/24.
• Rengifo, Erick W. & Trifan, Emanuela, 2006, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 180.
• Frömmel, Michael & Schmidt, Torsten, 2006, "Bank Lending and Asset Prices in the Euro Area," RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, number 42.
• Weber, Enzo, 2006, "British interest rate convergence between the US and Europe: A recursive cointegration analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-005.
• Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006, "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-011.
• Trenkler, Carsten, 2006, "Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-012.
• Brüggemann, Ralf, 2006, "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-021.
• Polzehl, Jörg & Spokoiny, Vladimir & Stărică, Cătălin, 2006, "When did the 2001 recession really start?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-032.
• Weber, Enzo, 2006, "Macroeconomic integration in Asia Pacific: Common stochastic trends and business cycle coherence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-039.
• Uhlig, Harald, 2006, "Discussion of "The source of historical economic fluctuations: An analysis using long-run restrictions" by Neville Francis and Valerie A. Ramey," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-042.
• Weber, Enzo, 2006, "The euro and the transatlantic capital market leadership: A recursive cointegration analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-056.
• Weber, Enzo, 2006, "Common and uncommon sources of growth in Asia Pacific," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-064.
• Trenkler, Carsten & Saikkonen, Pentti & Lütkepohl, Helmut, 2006, "Testing for the cointegrating rank of a VAR process with level shift and trend break," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-067.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2006, "GHICA: Risk analysis with GH distributions and independent components," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-078.
• Keck, Alexander & Raubold, Alexander, 2006, "Forecasting trade," WTO Staff Working Papers, World Trade Organization (WTO), Economic Research and Statistics Division, number ERSD-2006-05, DOI: 10.30875/09f15011-en.
• Joseph P. Romano & Michael Wolf, 2006, "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 273, Feb.

2005

• Pierdzioch, Christian & Schertler, Andrea, 2005, "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers, Kiel Institute for the World Economy, number 1265.
• Brüggemann, Ralf & Trenkler, Carsten, 2005, "Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-014.
• Blaskowitz, Oliver J. & Herwartz, Helmut & Cadenas Santiago, Gonzalo de, 2005, "Modeling the FIBOR/EURIBOR swap term structure: An empirical approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-024.
• Brüggemann, Ralf & Lütkepohl, Helmut, 2005, "Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-035.
• Scholl, Almuth & Uhlig, Harald, 2005, "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-037.
• Mountford, Andrew & Uhlig, Harald, 2005, "What are the effects of fiscal policy shocks?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-039.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2005, "Portfolio value at risk based on independent components analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-060.
• Clostermann, Jörg & Seitz, Franz, 2005, "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers, Technische Hochschule Ingolstadt (THI), number 11.
• Neumann, Anne & Siliverstovs, Boriss, 2005, "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 05/05.
• Kaiser, Ulrich & Kongsted, Hans Christian, 2005, "Do Magazines' "Companion Websites" Cannibalize the Demand for the Print Version?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-49.
• Kaiser, Ulrich, 2005, "Is a Newspaper's Companion Website a Competing Outlet Channel for the Print Version?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-78.
• Martin D. D. Evans(Georgetown University and NBER), 2005, "Where Are We Now? Real-time Estimates of the Macro Economy," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-02, May.
• Andros Gregoriou & Alexandros Kontonikas, 2005, "Inflation Targeting and the Stationarity of Inflation: New Results from an ESTAR Unit Root Test," Working Papers, Business School - Economics, University of Glasgow, number 2005_10, Oct.
• Boriss Siliverstovs & Dierk Herzer, 2005, "Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 104, Apr.
• Boriss Siliverstovs & Dierk Herzer, 2005, "Export-led growth hypothesis: Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 112, Jul.
• Ramón Cobo-Reyes & Gabriel Pérez Quirós, 2005, "The effect of oil price on industrial production and on stock returns," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 05/18, Sep.
• A. Durre & H. Beltran & P. Giot, 2005, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00268757, Sep.
• A. Durre & H. Beltran & P. Giot, 2005, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00268760, Jun.
• P. Bisciari & A. Durre, 2005, "La bulle "internet", un remake de la bulle de 1929 ?," Post-Print, HAL, number hal-00284708.
• Jérôme Creel & Francesco Saraceno & Paola Veroni, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Post-Print, HAL, number hal-00972896, Mar.
• Genevieve Nouyrigat & Francisca M Beer, 2005, "International Asset Pricing Model and Portfolio Diversification with Time Varying Risk: A Comparison of Developed and Emerging Markets," Post-Print, HAL, number hal-04537940, Feb.
• Dominique Guegan, 2005, "How can we define the concept of long memory ? An econometric survey," Post-Print, HAL, number halshs-00179343.
• Dominique Guegan & Stéphanie Rioublanc, 2005, "Regime switching model: real or spurious long memory?," Post-Print, HAL, number halshs-00189208, Dec.
• Mohamed El Hedi Arouri, 2005, "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with asymmetric Effects," Post-Print, HAL, number halshs-00207883, Sep.
• Mohamed El Hedi Arouri, 2005, "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with asymmetric Effects," Post-Print, HAL, number halshs-00207919, Apr.
• Jérôme Creel & Francesco Saraceno & Paola Veroni, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Sciences Po Economics Publications (main), HAL, number hal-00972896, Mar.
• Jérôme Creel & Paola Veroni & Francesco Saraceno, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Sciences Po Economics Publications (main), HAL, number hal-03597711, Jul.
• Hayette Gatfaoui, 2005, "How does systematic risk impact stocks ? A study on the French financial market," Working Papers, HAL, number hal-00605035.
• Jérôme Creel & Paola Veroni & Francesco Saraceno, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Working Papers, HAL, number hal-03597711, Jul.
• Michael Funke & Jörg Rahn, 2005, "Just how Undervalued is the Chinese Renminbi," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20504, Apr.
• Rothe, Christoph & Sibbertsen, Philipp, 2005, "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-315, Jun.
• Sibbertsen, Philipp & Krämer, Walter, 2005, "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-318, Jun.
• Christiansen, Charlotte, 2005, "Decomposing European bond and equity volatility," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2004-01, Sep.
• Christiansen, Charlotte, 2005, "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-03, Sep.
• Silvennoinen, Annastiina & Teräsvirta, Timo, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 577, Jan, revised 01 Oct 2005.
• Byström, Hans & Olofsdotter , Karin & Söderström, Lars, 2005, "Is China an Optimum Currency Area?," Working Papers, Lund University, Department of Economics, number 2005:6, Jan.
• Westerlund, Joakim, 2005, "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers, Lund University, Department of Economics, number 2005:10, Jan.
• Westerlund, Joakim, 2005, "Testing for Error Correction in Panel Data," Working Papers, Lund University, Department of Economics, number 2005:11, Jan.
• Westerlund, Joakim, 2005, "Testing for Panel Cointegration with Multiple Structural Breaks," Working Papers, Lund University, Department of Economics, number 2005:12, Jan.
• Jönsson, Kristian, 2005, "Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results," Working Papers, Lund University, Department of Economics, number 2005:16, Feb.
• Erlandsson, Ulf, 2005, "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers, Lund University, Department of Economics, number 2005:25, Mar.
• Westerlund, Joakim & Edgerton , David, 2005, "Panel Cointegration Tests with Deterministic Trends and Structural Breaks," Working Papers, Lund University, Department of Economics, number 2005:42, Oct.
• Eriksson, Åsa, 2005, "Wage Formation and the Relation between Real Wages and Unemployment in Sweden," Working Papers, Lund University, Department of Economics, number 2006:1, Dec.
• Nymoen, Ragnar, 2005, "Evaluating a Central Bank’s Recent Forecast Failure," Memorandum, Oslo University, Department of Economics, number 22/2005, Aug.
• Bjørnland, Hilde C., 2005, "Monetary Policy and the Illusionary Exchange Rate Puzzle," Memorandum, Oslo University, Department of Economics, number 26/2005, Nov.
• Bjørnland, Hilde C., 2005, "Monetary policy and exchange rate interactions in a small open economy," Memorandum, Oslo University, Department of Economics, number 31/2005, Dec.
• Bjørnland, Hilde C. & Hungnes, Håvard, 2005, "The commodity currency puzzle," Memorandum, Oslo University, Department of Economics, number 32/2005, Dec.
• Amilon, Henrik, 2005, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 177, Jan.
• Villani, Mattias, 2005, "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 181, Mar.
• Adolfson, Malin & Lindé, Jesper & Villani, Mattias, 2005, "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 190, Sep, revised 01 Jun 2006.
• Simonsen, Ola, 2005, "An Empirical Model for Durations in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 657, Apr.
• Hiroaki Chigira, 2005, "A Test of Cointegration Rank Based on Principal Component Analysis (revised, January 2006)," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d05-126, Nov.
• Andrea Beltratti & Claudio Morana, 2005, "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers, ICER - International Centre for Economic Research, number 23-2005, Jul.
• Dupaigne, Martial & Fève, Patrick, 2005, "Technology Shocks around the World," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 346, Apr.
• Andi Irawan, 2005, "ANALISIS PERILAKU INSTABILITAS, PERGERAKAN HARGA, EMPLOYMENT DAN INVESTASI DI DALAM SEKTOR PERTANIAN INDONESIA: Aplikasi Vector Error Correction Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 1, pages 79-115, June, DOI: https://doi.org/10.21098/bemp.v8i1..
• Solikin M. Juhro, 2005, "Analisis Kebijakan Moneter Dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 2, pages 199-237, September, DOI: https://doi.org/10.21098/bemp.v8i2..
• Michel Normandin & Bruno Powo Fosso, 2005, "Global versus Country-Specific Shocks and International Business Cycles," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 05-07, Dec.
• Rafael Doménech & Víctor Gómez, 2005, "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, volume 29, issue 2, pages 259-288, May.
• Massimiliano Marcellino & James Stock & Mark Watson, 2005, "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 285.
• Massimiliano Marcellino, 2005, "Pooling-based Data Interpolation and Backdating," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 299.
• Bauer, Dietmar & Wagner, Martin, 2005, "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series, Institute for Advanced Studies, number 174, Sep.
• Adnan KASMAN & Evrim TURGUTLU & Gonca KONYALI, 2005, "Cari Açık Büyümenin mi Aşırı Değerli TL’nin mi Sonucudur?," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 20, issue 233, pages 88-98.
• Ahmet ÇETİN, 2005, "Türkiye''deki Ekonomik Dalgalanmaların Belirleyicileri: Var Analiz Yaklaşımı," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 20, issue 236, pages 96-104.
• Mehmet ORHAN & Sami KEŞKEK, 2005, "Türkiye''de Döviz Kuru Dinamikleri: 1987-2004," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 20, issue 237, pages 92-111.
• Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005, "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp069, Apr.
• Hany Guirguis & Martin B. Schmidt, 2005, "Output Variability and the Money-Output Relationship," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 4, issue 1, pages 53-66, April.
• Martin D. D. Evans, 2005, "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, volume 1, issue 2, September.
• Neville R. Francis & Michael T. Owyang & Athena T. Theodorou, 2005, "What Explains the Varying Monetary Response to Technology Shocks in G-7 Countries?," International Journal of Central Banking, International Journal of Central Banking, volume 1, issue 3, December.
• Woon Gyu Choi & Michael B. Devereux, 2005, "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," IMF Working Papers, International Monetary Fund, number 2005/007, Jan.
• Camille Logeay & Sven Schreiber, 2005, "Testing the effectiveness of the French work-sharing reform: a forecasting approach," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 03-2005.
• Camille Logeay & Silke Tober, 2005, "Hysteresis and Nairu in the Euro Area," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 04-2005, Jul.
• Jesús Téllez Gaytán & Pablo López Sarabia, 2005, "A Comparative Analysis Of Volatility Models In Some Emerging Stock Exchanges," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 2, pages 127-147, Junio 200.
• Jorge Ludlow Wiechers & Beatríz Mota Aragón, 2005, "La Dinámica De La Volatilidad Del Ipc Y Sus Componentes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 2, pages 149-173, Junio 200.
• Jorge Ludlow Wiechers & M. Beatríz Mota Aragón, 2005, "Curvas De Apalancamiento Y Elección De Carteras En La Bmv," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 4, issue 4, pages 313-346, Diciembre.
• Dilip M. Nachane & Prasad P. Ranade, 2005, "Relationship banking and the credit market in India: An empirical analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2005-10.
• Daniele Antonucci & Alessandro Girardi, 2005, "Structural changes and deviations from the PPP within the Euro Area," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 57, Sep.
• Melisso Boschi & Alessandro Girardi, 2005, "Euro Area inflation: long-run determinants and short-run dynamics," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 60, Dec.
• Álvaro Manuel Pina & Miguel St. Aubyn, 2005, "How should we measure the return on public investment in a VAR," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2005/04.
• Alicia Pérez Alon & Silvestro Di Sanzo, 2005, "Unemployment And Hysteresis: A Nonlinear Unobserved Components Approach," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-34, Dec.
• Pedro José Pérez & José Ramón García & Luisa Escriche, 2005, "Importancia De Las Perturbaciones Externas En La Economía Española Tras La Integración: ¿Tamaño Del Shock O Grado De Respuesta?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-07, Mar.
• Berument, Hakan & Dogan, Nukhet & Tansel, Aysit, 2005, "Economic Performance and Unemployment: Evidence from an Emerging Economy - Turkey," IZA Discussion Papers, IZA Network @ LISER, number 1614, May.
• Jaeger, David A. & Paserman, M. Daniele, 2005, "The Cycle of Violence? An Empirical Analysis of Fatalities in the Palestinian-Israeli Conflict," IZA Discussion Papers, IZA Network @ LISER, number 1808, Oct.
• Gert Peersman, 2005, "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 2, pages 185-207, DOI: 10.1002/jae.832.
• Morten O. Ravn & Zacharias Psaradakis & Martin Sola, 2005, "Markov switching causality and the money-output relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 5, pages 665-683, DOI: 10.1002/jae.819.
• Tsangyao Chang & Yuan-Hong Ho & Chiung-Ju Huang, 2005, "A Reexamination Of South Korea¡¯S Aggregate Import Demand Function: The Bounds Test Analysis," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 30, issue 1, pages 119-128, June.
• Abdulnasser Hatemi-J & Manuchehr Irandoust, 2005, "Foreign Aid And Economic Growth: New Evidence From Panel Cointegration," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 30, issue 1, pages 71-80, June.
• Lila J. Truett & Dale B. Truett, 2005, "Nafta¡¯S Impact On The Mexican Automotive Sector," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 30, issue 2, pages 155-176, December.
• George Kapetanios & Gonzalo Camba-Mendez, 2005, "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Journal of Forecasting, John Wiley & Sons, Ltd., volume 24, issue 7, pages 491-503, DOI: 10.1002/for.964.
• William Barnett, 2005, "Consumer Demand and Labor Supply (scanned out-of-print 1981 Elsevier book)," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200521, Nov.
• Tomoaki Shouda, 2005, "Dynamical analysis of corporate bonds based on the yield spread term-quality surface," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 4, pages 307-332, December, DOI: 10.1007/s10690-006-9028-3.
• Farrokh Nourzad, 2005, "Macroeconomic and Sectoral Effects of International Trade: A Vector Error-Correction Study," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 33, issue 1, pages 43-54, March, DOI: 10.1007/s11293-005-1644-1.
• Khurshid Kiani, 2005, "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Springer;Society for Computational Economics, volume 26, issue 1, pages 65-89, August, DOI: 10.1007/s10614-005-7366-2.
• José Cancelo & Estefanía Mourelle, 2005, "Modeling Cyclical Asymmetries in European Imports," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 11, issue 2, pages 135-147, May, DOI: 10.1007/s11294-005-3011-z.
• Konstantin Gluschenko, 2005, "Inter-Regional Price Convergence and Market Integration in Russia," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 11, issue 4, pages 483-483, November, DOI: 10.1007/s11294-005-2281-9.
• Oliver Holtemöller, 2005, "Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries," International Economics and Economic Policy, Springer, volume 2, issue 1, pages 33-63, June, DOI: 10.1007/s10368-005-0026-0.
• Christophe Kamps, 2005, "The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 12, issue 4, pages 533-558, August, DOI: 10.1007/s10797-005-1780-1.
• Ralf Dewenter & Michael Westermann, 2005, "Cinema Demand In Germany," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, volume 29, issue 3, pages 213-231, August, DOI: 10.1007/s10824-005-6421-0.
• Niels Bosma & Gerrit Wit & Martin Carree, 2005, "Modelling Entrepreneurship: Unifying The Equilibrium and Entry/Exit Approach," Small Business Economics, Springer, volume 25, issue 1, pages 35-48, August, DOI: 10.1007/s11187-005-4256-x.
• Doo Bong Han & Soyoung Kim, 2005, "Monetary Policy Shocks and Real Farm Price: Evidence from Identification Scheme Using Federal Funds," Korean Economic Review, Korean Economic Association, volume 21, pages 163-178.
• Gabriella Legrenzi, 2005, "Asymmetries in the Growth of Governments," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/03, Mar.
• Gabriella Legrenzi & Costas Milas, 2005, "Non-linear adjustments in fiscal policy," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/04, Feb.
• Gabriella Legrenzi & Costas Milas, 2005, "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/08, Jul.
• Jakob B Madsen & Costas Milas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/09, Jul.
• Erdal Atukeren, 2005, "R&D Races and Spillovers between the EU and the US: Some Causal Evidence," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 05-105, Aug, DOI: 10.3929/ethz-a-005104832.
• Ulrich Kaiser & Hans Christian Kongsted, 2005, "Do Magazines' "Companion Websites" Cannibalize the Demand for the Print Version?," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2005-07, Apr.
• Katarina Juselius & Søren Johansen, 2005, "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers, University of Copenhagen. Department of Economics, number 05-05, Apr.
• Katarina Juselius & Javier Ordóñez, 2005, "The Balassa-Samuelson Effect and the Wage, Price and Unemployment Dynamics in Spain," Discussion Papers, University of Copenhagen. Department of Economics, number 05-29, Nov.
• Anders Møller Christensen & Heino Bohn Nielsen, 2005, "US Monetary Police 1988-2004: An Empirical Analysis," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/01, Feb.
• Nikolaus Hautsch, 2005, "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/03, Mar.
• Rodney W. Strachan & Herman K. van Dijk, 2005, "Improper priors with well defined Bayes Factors," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 05/4, Mar.
• Ludsteck, Johannes, 2005, "VC Packages for Estimating Time-Varying Coefficients with Mathematica 8 - 11," Discussion Papers in Economics, University of Munich, Department of Economics, number 59479.
• Hillinger, Claude, 2005, "Evidence and Ideology in Macroeconomics: The Case of Investment Cycles," Discussion Papers in Economics, University of Munich, Department of Economics, number 694, Oct.
• E.Panopoulou & T. Pantelidis, 2005, "Integration at a cost: Evidence from volatility impulse response functions," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1540305, Mar.
• Alexander Ludwig, 2005, "Moment estimation in Auerbach-Kotlikoff models: How well do they match the data?," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 05093, Aug.
• Henryk Gurgul & Pawel Majdosz & Roland Mestel, 2005, "Joint Dynamics of Prices and Trading Volume on the Polish Stock Market," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 3, issue 2, pages 139-156.
• Rodney W Strachan & Herman K van Dijik, 2005, "Valuing Structure, Model Uncertainty and Model Averaging in Vector Autoregressive Process," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 30, Sep.
• Mattias Villani & Malin Adolfson & Jesper Linde, 2005, "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 32, Sep.
• Manuel M F Martins & Alvaro Aguiar, 2005, "Testing for Asymmetries in the Preferences of the Euro-Area Monetary Policymaker," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 41, Sep.
• Peter N Smith & S Sorensen & M R Wickens, 2005, "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 47, Sep.
• Maarten Dossche & Gerdie Everaert, 2005, "Measuring inflation persistence: A structural time series approach," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 85, Sep.
• Szilárd Benk & Zoltán M. Jakab & Gábor Vadas, 2005, "Potential Output Estimations for Hungary: A Survey of Different Approaches," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/43.
• Balázs Vonnák, 2005, "Estimating the Effect of Hungarian Monetary Policy within a Structural VAR Framework," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/01.
• Cerqueti, Roy & Costantini, Mauro, 2005, "Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp05026, Jul.
• Cerqueti, Roy & Costantini, Mauro, 2005, "Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp05027, Sep.
• Dominique Guegan & St phanie Rioublanc, 2005, "Regime switching models: real or spurious long memory?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number b05100, Dec.
• Jan G. De Gooijer & Rob J. Hyndman, 2005, "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/05, May.
• Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005, "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/05, May.
• D. S. Poskitt, 2005, "Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/05, Jun.
• Rob J. Hyndman & Md. Shahid Ullah, 2005, "Robust forecasting of mortality and fertility rates: a functional data approach," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/05, Feb.
• Jae H. Kim & Hristos Doucouliagos, 2005, "Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/05, Sep.
• DUFOUR, Jean-Marie & FARHAT, Abdekjelik & HALLIN, Marc, 2005, "Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-05.
• DUFOUR, Jean-Marie & TAREK, Jouini, 2005, "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-09.
• DUFOUR, Jean-Marie & JOUINI, Tarek, 2005, "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-12.