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

2007

• Kromphardt, Jürgen & Logeay, Camille, 2007, "Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU," Kiel Working Papers, Kiel Institute for the World Economy, number 1354.
• Reis, Ricardo & Watson, Mark W., 2007, "Measuring changes in the value of the numeraire," Kiel Working Papers, Kiel Institute for the World Economy, number 1364.
• Smith, Ron P. & Pesaran, Mohammad Hashem, 2007, "Monetary Policy Transmission and the Phillips Curve in a Global Context," Kiel Working Papers, Kiel Institute for the World Economy, number 1366.
• Weber, Enzo, 2007, "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-004.
• Fischer, Matthias J., 2007, "Are correlations constant over time? Application of the CC-TRIGt-test to return series from different asset classes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-012.
• Weber, Enzo, 2007, "What happened to the transatlantic capital market relations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-014.
• Weber, Enzo, 2007, "Who leads financial markets?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-015.
• Weber, Enzo, 2007, "Simultaneous causality in international trade," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-018.
• Weber, Enzo, 2007, "Regional and outward economic integration in South-East Asia," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-019.
• Tsay, Wen-Jen & Härdle, Wolfgang Karl, 2007, "A generalized ARFIMA process with Markov-switching fractional differencing parameter," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-022.
• Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007, "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-023.
• Härdle, Wolfgang Karl & Mungo, Julius, 2007, "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-027.
• Weber, Enzo, 2007, "Economic integration and the foreign exchange," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-038.
• Sarferaz, Samad & Uebele, Martin, 2007, "Tracking down the business cycle: A dynamic factor model for Germany 1820-1913," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-039.
• Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-052.
• Weber, Enzo, 2007, "Correlation vs. causality in stock market comovement," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-064.
• Bauwens, Luc & Hautsch, Nikolaus, 2007, "Modelling financial high frequency data using point processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-066.
• Meyer-Gohde, Alexander, 2007, "Solving linear rational expectations models with lagged expectations quickly and easily," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-069.
• Wölfle, Marco, 2007, "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 07-067.
• Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2007, "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers, Centre for Economic Policy Research, number 6043, Jan.
• Del Negro, Marco & Schorfheide, Frank, 2007, "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers, Centre for Economic Policy Research, number 6119, Feb.
• Ravn, Morten & Simonelli, Saverio, 2007, "Labour Market Dynamics and the Business Cycle: Structural Evidence for the United States," CEPR Discussion Papers, Centre for Economic Policy Research, number 6409, Aug.
• Giannone, Domenico & Matheson, Troy, 2007, "A New Core Inflation Indicator for New Zealand," CEPR Discussion Papers, Centre for Economic Policy Research, number 6469, Sep.
• Watson, Mark, 2007, "Relative Goods? Prices and Pure Inflation," CEPR Discussion Papers, Centre for Economic Policy Research, number 6593, Dec.
• Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2007, "Explaining The Great Moderation: It Is Not The Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 6600, Dec.
• Massimo Guidolin & Giovanna Nicodano, 2007, "Small Caps in International Diversified Portfolios," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 68, Nov.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Purchasing Power Parity Among Developing Countries and Their Trade-Partners: Evidence from Selected CEECs and Implications for Their Membership of EU," Working Papers, University of Crete, Department of Economics, number 0716, Oct.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Estimating the Equilibrium Effective Exchange Rate for Potential EMU members," Working Papers, University of Crete, Department of Economics, number 0719, Mar.
• Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2007, "Modelling and measuring price discovery in commodity markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb074510, May.
• Gonzalo, Jesús & Lee, Tae-Hwy & Yang, Weiping, 2007, "Permanent and transitory components of GDP and stock prices: further analysis," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20070525, May.
• García-Hiernaux, Alfredo & Casals, José & Jerez, Miguel, 2007, "Estimating the system order by subspace methods," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws070301, Jan.
• Andrea, SILVESTRINI, 2007, "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2007040, Dec.
• J. Cunado & L.A. Gil-Alana & F. Perez De Gracia, 2007, "Real convergence in some emerging countries : a fractionally integrated approach," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2007034, Sep.
• Bailey, Ralph W., 2007, "The Real Part Of A Complex Arma Process," Econometric Theory, Cambridge University Press, volume 23, issue 3, pages 537-545, June.
• Franchi, Massimo, 2007, "The Integration Order Of Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, volume 23, issue 3, pages 546-553, June.
• Cavaliere, Giuseppe & Georgiev, Iliyan, 2007, "Testing For Unit Roots In Autoregressions With Multiple Level Shifts," Econometric Theory, Cambridge University Press, volume 23, issue 6, pages 1162-1215, December.
• Baek, Jungho & Koo, Won W., 2007, "Dynamic Interrelationships between the U.S. Agricultural Trade Balance and the Macroeconomy," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 39, issue 3, pages 457-470, December.
• Peter C.B. Phillips & Jun Yu, 2007, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1597, Jan.
• David A. Jaeger & M. Daniele Paserman, 2007, "The Shape of Things to Come? Assessing the Effectiveness of Suicide Attacks and Targeted Killings," Working Papers, Economics Department, William & Mary, number 54, Jul.
• Alfredo M. Pereira & Martin B. Schmidt, 2007, "Structural Breaks in Public Infrastructure Investment in the U.S," Working Papers, Economics Department, William & Mary, number 55, Aug.
• Matthew A. Hanson & Martin B. Schmidt, 2007, "The Impact of Coalition Offensive Operations on the Iraqi Insurgency," Working Papers, Economics Department, William & Mary, number 56, Sep.
• Martin B. Schmidt, 2007, "Voting with the Crowd: Do Single Issues Drive Partisanship?," Working Papers, Economics Department, William & Mary, number 57, Sep.
• Matthew A. Hanson, 2007, "The Economics of Roadside Bombs," Working Papers, Economics Department, William & Mary, number 68, Dec.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments," 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 28002, Feb.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," 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 28063, Feb.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," 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 77379, Feb.
• Rengifo, Erick W. & Trifan, Emanuela, 2008, "Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments," 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 77387.
• Jinzhao Chen, 2007, "Behavior Equilibrium Exchange Rate and Misalignment of Renminbi: A Recent Empirical Study," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c012_013, Jun.
• Alexander Meyer-Gohde, 2007, "Matlab Code for Solving Linear Rational Expectation Models with Lagged Expectations Quickly and Easily," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 171, revised Apr 2010.
• Christian Dreger & Konstantin A. Kholodilin, 2007, "Prognosen der regionalen Konjunkturentwicklung," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 76, issue 4, pages 47-55, DOI: 10.3790/vjh.76.4.47.
• Sebastian Dullien & Ulrich Fritsche, 2007, "Anhaltende Divergenz bei Inflations- und Lohnentwicklung in der Eurozone: Gefahr für die Währungsunion?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 76, issue 4, pages 56-76, DOI: 10.3790/vjh.76.4.56.
• Sebastian Dullien & Ulrich Fritsche, 2007, "Anhaltende Divergenz der Lohnstückkostenentwicklung im Euroraum problematisch," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 74, issue 22, pages 349-357.
• Ulrich Fritsche & Vladimir Kuzin, 2007, "Unit Labor Cost Growth Differentials in the Euro Area, Germany, and the US: Lessons from PANIC and Cluster Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 667.
• Sebastian Dullien & Ulrich Fritsche, 2007, "Does the Dispersion of Unit Labor Cost Dynamics in the EMU Imply Long-Run Divergence?: Results from a Comparison with the United States of America and Germany," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 674.
• Boriss Siliverstovs, 2007, "Money Demand in Estonia," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 675.
• Sule Akkoyunlu & Boriss Siliverstovs, 2007, "The Role of Remittances in Migration Decision: Evidence from Turkish Migration," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 691.
• Boriss Siliverstovs, 2007, "Dynamic Modelling of the Demand for Money in Latvia," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 703.
• Burton A. Abrams & Siyan Wang, 2007, "Government Outlays, Economic Growth and Unemployment: A VAR Model," Working Papers, University of Delaware, Department of Economics, number 07-13, Jul.
• R. Krishnan, 2007, "Seasonal Characteristics of Indian Time Series," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 42, issue 2, pages 191-210, December.
• Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007, "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers, Duke University, Department of Economics, number 07-04.
• MUHD-ZULKHIBRI, Abdul Majid, 2007, "Causality Link Between Money, Output And Prices In Malaysia: An Empirical Re-Examination," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 1.
• Razzak, W.A., 2007, "Explaining The Gaps In Labour Productivity In Some Developed Countries: New Zealand, Australia, The United States And Canada, 1988-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 2.
• JAYANTHAKUMARAN, Kankesu & PAHLAVANI, Mosayeb, 2007, "Structural Breaks In Trade And Income Per Capita In Asean-5 Countries: An Application Of Innovational Outlier Models," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 2.
• Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto, 2007, "Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 2, pages 57-70.
• Rosmy, Jean Louis & Daniel, Simons, 2007, "Is There A North American Business Cycle?. An Analysis Of The Period 1963-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 2, pages 109-120.
• KIANI, Khurshid M., 2007, "Business Cycle Asymmetries In Stock Returns: Robust Evidence," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 4, issue 2, pages 99-120.
• Nadeem Ul Haque, 2007, "Impact of Export Subsidies on Pakistan’s Exports," Trade Working Papers, East Asian Bureau of Economic Research, number 22191, Jan.
• Chevillon, Guillaume, 2007, "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 07021, Aug.
• Lorenzo Cappiello & Simone Manganelli, 2007, "Financial integration and capital flows in the new EU Member States," Research Bulletin, European Central Bank, volume 6, pages 5-7.
• Vansteenkiste, Isabel, 2007, "Regional housing market spillovers in the US: lessons from regional divergences in a common monetary policy setting," Working Paper Series, European Central Bank, number 708, Jan.
• Sánchez, Marcelo, 2007, "What drives business cycles and international trade in emerging market economies?," Working Paper Series, European Central Bank, number 730, Feb.
• Ca' Zorzi, Michele & Hahn, Elke & Sánchez, Marcelo, 2007, "Exchange rate pass-through in emerging markets," Working Paper Series, European Central Bank, number 739, Mar.
• von Landesberger, Julian, 2007, "Sectoral money demand models for the euro area based on a common set of determinants," Working Paper Series, European Central Bank, number 741, Mar.
• Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Holly, Sean, 2007, "Long run macroeconomic relations in the global economy," Working Paper Series, European Central Bank, number 750, May.
• Angelini, Elena & Marcellino, Massimiliano, 2007, "Econometric analyses with backdated data: unified Germany and the euro area," Working Paper Series, European Central Bank, number 752, May.
• Landolfo, Luigi, 2007, "Modeling the impact of external factors on the euro area's HICP and real economy: a focus on pass-through and the trade balance," Working Paper Series, European Central Bank, number 789, Jul.
• Hahn, Elke, 2007, "The impact of exchange rate shocks on sectoral activity and prices in the euro area," Working Paper Series, European Central Bank, number 796, Aug.
• Llaudes, Ricardo, 2007, "Monetary policy shocks in a two-sector open economy: an empirical study," Working Paper Series, European Central Bank, number 799, Aug.
• Musso, Alberto & Proietti, Tommaso, 2007, "Growth accounting for the euro area: a structural approach," Working Paper Series, European Central Bank, number 804, Aug.
• Franta, Michal & Saxa, Branislav & Šmídková, Kateřina, 2007, "Inflation persistence: euro area and new EU Member States," Working Paper Series, European Central Bank, number 810, Sep.
• Cappiello, Lorenzo & De Santis, Roberto A., 2007, "The uncovered return parity condition," Working Paper Series, European Central Bank, number 812, Sep.
• Kaufmann, Sylvia & Valderrama, Maria Teresa, 2007, "The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US," Working Paper Series, European Central Bank, number 816, Sep.
• Ciccarelli, Matteo & Altavilla, Carlo, 2007, "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series, European Central Bank, number 846, Dec.
• L. Bauwens & J.V.K. Rombouts, 2007, "Bayesian inference for the mixed conditional heteroskedasticity model," Econometrics Journal, Royal Economic Society, volume 10, issue 2, pages 408-425, July.
• Rasmus Kattai, 2007, "Constants do not stay constant because variables are varying," Bank of Estonia Working Papers, Bank of Estonia, number 2007-01, Jan, revised 02 Jan 2007.
• Lenno Uuskula, 2007, "Firm entry and liquidity," Bank of Estonia Working Papers, Bank of Estonia, number 2007-06, Aug, revised 26 Aug 2007.
• Christian Schulz, 2007, "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers, Bank of Estonia, number 2007-09, Sep, revised 04 Sep 2007.
• Hyndman, Rob J. & Shahid Ullah, Md., 2007, "Robust forecasting of mortality and fertility rates: A functional data approach," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 10, pages 4942-4956, June.
• Staszewska, Anna, 2007, "Representing uncertainty about response paths: The use of heuristic optimisation methods," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 1, pages 121-132, September.
• Cubadda, Gianluca, 2007, "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 2, pages 896-906, October.
• Morana, Claudio, 2007, "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 2, pages 919-934, October.
• Ruge-Murcia, Francisco J., 2007, "Methods to estimate dynamic stochastic general equilibrium models," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 8, pages 2599-2636, August.
• Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007, "Common shocks, common dynamics, and the international business cycle," Economic Modelling, Elsevier, volume 24, issue 1, pages 149-166, January.
• Baghli, Mustapha & Cahn, Christophe & Fraisse, Henri, 2007, "Is the inflation-output Nexus asymmetric in the Euro area?," Economics Letters, Elsevier, volume 94, issue 1, pages 1-6, January.
• Hashem Pesaran, M., 2007, "A pair-wise approach to testing for output and growth convergence," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 312-355, May.
• Hualde, J. & Robinson, P.M., 2007, "Root-n-consistent estimation of weak fractional cointegration," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 450-484, October.
• Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007, "Trends and cycles in economic time series: A Bayesian approach," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 618-649, October.
• Eklund, Bruno & Terasvirta, Timo, 2007, "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 753-780, October.
• Hall, Alastair R. & Inoue, Atsushi, 2007, "Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 1417-1418, December.
• Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007, "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 574-596, December.
• Bowsher, Clive G., 2007, "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 876-912, December.
• Eickmeier, Sandra, 2007, "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, volume 51, issue 3, pages 521-551, April.
• Coutts, Ken & Norman, Neville R., 2007, "Global influences on UK manufacturing prices: 1970-2000," European Economic Review, Elsevier, volume 51, issue 5, pages 1205-1221, July.

2006

• Giannoni, Marc & Boivin, Jean, 2006, "Has Monetary Policy Become More Effective?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5463, Jan.
• Jaeger, David & Paserman, Daniele, 2006, "Israel, the Palestinian Factions and the Cycle of Violence," CEPR Discussion Papers, Centre for Economic Policy Research, number 5498, Feb.
• Schorfheide, Frank & Moon, Hyungsik Roger, 2006, "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers, Centre for Economic Policy Research, number 5605, Mar.
• Marcellino, Massimiliano & Kapetanios, George, 2006, "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers, Centre for Economic Policy Research, number 5620, Apr.
• Marcellino, Massimiliano & Kapetanios, George, 2006, "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers, Centre for Economic Policy Research, number 5621, Apr.
• Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006, "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 5724, Jun.
• Reichlin, Lucrezia & Giannone, Domenico, 2006, "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5725, Jun.
• Steen, Frode & Asche, Frank, 2006, "When Anti-Dumping Measures Lead to Increased Market Power: A Case Study of the European Salmon Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 5781, Aug.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2006, "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach," Working Papers, University of Crete, Department of Economics, number 0717, Oct.
• George Xanthos & Dikaios Tserkezos, 2006, "Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds Through Optimisation Techniques: Some Empirical and Monte Carlo Results," Working Papers, University of Crete, Department of Economics, number 0812, Nov.
• José Alberto Fuinhas, 2006, "Monetary Transmission and Bank Lending in Portugal: A Sectoral Approach," Working Papers de Gestão, Economia e Marketing (Management, Economics and Marketing Working Papers), Universidade da Beira Interior, Departamento de Gestão e Economia (Portugal), number e01/2006.
• Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006, "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006005, Feb.
• Luc, BAUWENS & Michel, LUBRANO, 2006, "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006027, May.
• Luc, BAUWENS & Nikolaus, HAUTSCH, 2006, "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006039, Sep.
• Alfredo M. Pereira & Jorge M. Andraz, 2006, "On the Economic and Fiscal Effects of Investment in Road Infrastructure in Portugal," Working Papers, Economics Department, William & Mary, number 33, Jul, revised 15 Sep 2010.
• Alfredo M. Pereira & Jorge M. Andraz, 2006, "On The Economic And Budgetary Effects Of Investments In Scuts -The Portuguese Toll-Free Highways," Working Papers, Economics Department, William & Mary, number 37, Aug, revised 15 Sep 2010.
• Alfredo M. Pereira & Maria de Fátima Pinho, 2006, "Public Investment, Economic Performance and Budgetary Consolidation: VAR Evidence for the 12 Euro Countries," Working Papers, Economics Department, William & Mary, number 40, Aug.
• Alfredo M. Pereira & Maria de Fátima Pinho, 2006, "Public Investment and Budgetary Consolidation in Portugal," Working Papers, Economics Department, William & Mary, number 41, Aug.
• Alfredo M. Pereira & Jorge M. Andraz, 2006, "Public Investment in Transportation Infrastructures and Industry Performance in Portugal," Working Papers, Economics Department, William & Mary, number 45, Oct, revised 30 Apr 2007.
• Alfredo M. Pereira & Oriol Roca Sagales, 2006, "Public Infrastructures and Regional Asymmetries in Spain," Working Papers, Economics Department, William & Mary, number 46, Oct, revised 30 Mar 2007.
• Avni Onder Hanedar & Elmas Yaldiz & Ozgul Bilici & Onur Akkaya, 2006, "Long Run Profit Maximization in the Turkish Manufacturing Sector," Discussion Paper Series, Dokuz Eylül University, Faculty of Business, Department of Economics, number 06/02, Nov, revised 30 Nov 2006.
• Christian Dreger & Konstantin A. Kholodilin, 2006, "Prognosen der regionalen Konjunkturentwicklung," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 73, issue 34, pages 469-474.
• Sule Akkoyunlu & Boriss Siliverstovs, 2006, "Modelling Turkish Migration to Germany," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 595.
• Bhattacharya, Prasad S. & Thomakos, Dimitrios D., 2006, "Forecasting industry-level CPI and PPI inflation: does exchange rate pass-through matter?," Working Papers, Deakin University, Department of Economics, number eco_2006_10, Jan, DOI: 10.1016/j.ijforecast.2007.06.002.
• Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006, "Sector diversification during crises: a European perspective," DULBEA Working Papers, ULB -- Universite Libre de Bruxelles, number 06-07.RS.
• Bill Russell, 2006, "Non-Stationary Inflation and the Markup: an Overview of the Research and some Implications for Policy," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 191, Aug.
• NANDWA, Boaz, 2006, "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 1.
• Bildirici, E. & Cosar, N., 2006, "Inflation and Disinflation Policy in Turkey Between 1974-2002: LSTVAR Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Helmut Herwartz & Hans-Eggert Reimers, 2006, "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Khurshid M. KIANI & Terry L. KASTENS, 2006, "Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Aka, B.F., 2006, "Openness, Globalization and Economic Growth: Empirical Evidence from Cote d´Ivoire, 1969-2002," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 3, issue 2, pages 67-86.
• Peter C. B. Phillips & Jun Yu, 2006, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Development Economics Working Papers, East Asian Bureau of Economic Research, number 22471, Jan.
• Arief Ramayandi, 2006, "Reliability of Structural Shocks Estimates from a Bivariate SVAR Model - The Case of Southeast Asian Countries," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22305, Jan.
• Ashima Goyal & Arjun Singh, 2006, "Through a Glass Darkly - Deciphering the Impact of Oil Price Shocks," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22374, Jan.
• Busetti, Fabio & Forni, Lorenzo & Harvey, Andrew & Venditti, Fabrizio, 2006, "Inflation convergence and divergence within the European Monetary Union," Working Paper Series, European Central Bank, number 574, Jan.
• Giannone, Domenico & Reichlin, Lucrezia, 2006, "Does information help recovering structural shocks from past observations?," Working Paper Series, European Central Bank, number 632, May.
• Bernadell, Carlos & Coche, Joachim & Nyholm, Ken, 2006, "A factor risk model with reference returns for the US dollar and Japanese yen bond markets," Working Paper Series, European Central Bank, number 641, Jun.
• Schnabl, Gunther & Hillebrand, Eric, 2006, "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series, European Central Bank, number 650, Jun.
• Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006, "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series, European Central Bank, number 674, Sep.
• Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006, "Financial integration of new EU Member States," Working Paper Series, European Central Bank, number 683, Oct.
• Warne, Anders, 2006, "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series, European Central Bank, number 692, Nov.
• Cassola, Nuno & Morana, Claudio, 2006, "Comovements in volatility in the euro money market," Working Paper Series, European Central Bank, number 703, Dec.
• Lewis, Karen K., 2006, "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 06-6, Nov.
• Michael Jansson & Marcelo J. Moreira, 2006, "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, volume 74, issue 3, pages 681-714, May.
• George Kapetanios & Yongcheol Shin, 2006, "Unit root tests in three-regime SETAR models," Econometrics Journal, Royal Economic Society, volume 9, issue 2, pages 252-278, July.
• P. M. Robinson & M. Gerolimetto, 2006, "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, volume 9, issue 2, pages 291-306, July.
• Agostino Consolo, 2006, "Forecasting measures of inflation for the Estonian economy," Bank of Estonia Working Papers, Bank of Estonia, number 2006-03, Oct, revised 12 Nov 2006.
• Coakley, Jerry & Fuertes, Ana-Maria & Smith, Ron, 2006, "Unobserved heterogeneity in panel time series models," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 9, pages 2361-2380, May.
• Angelini, Elena & Henry, Jerome & Marcellino, Massimiliano, 2006, "Interpolation and backdating with a large information set," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 12, pages 2693-2724, December.
• Tripier, Fabien, 2006, "Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 12, pages 2749-2774, December.
• 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.
• Jerome Creel & Gwenaëlle Poilon, 2006, "Is public capital productive in Europe?," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2006-10.
• Jean-Pierre Allegret & Alain Sand-Zantman, 2006, "Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2006-15.
• Isabel Cortés_Jiménez & Manuela Pulina, 2006, "A further step into the ELGH and TLGH for Spain and Italy," Working Papers, Fondazione Eni Enrico Mattei, number 2006.118, Sep.
• Hway-Boon Ong, Chin-Hong Puah, Muzafar Shah Habibullah, 2006, "Interdependence of ASEAN Business Cycles," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 1, pages 69-78, June.
• Mohamed El Hedi Arouri, 2006, "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 2, pages 70-94, December.
• Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2006, "The welfare cost of macroeconomic uncertainty in the post-war period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 624, Sep.
• Marco Del Negro & Frank Schorfheide, 2006, "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2006-16.