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

2005

• WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005, "Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence," Working papers, University of Connecticut, Department of Economics, number 2005-09, Mar.
• J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005, "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers, Department of Economics, University of Missouri, number 0507, Oct, revised 18 Aug 2005.
• Seonghoon Cho & Antonio Moreno, 2005, "A Small-Sample Study of the New-Keynesian Macro Model," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/05, Feb.
• Candelon, B. & Cubadda, G., 2005, "Testing for parameter stability in dynamic models across frequencies," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 021, Jan, DOI: 10.26481/umamet.2005021.
• Bruinshoofd, W.A. & Candelon, B. & Raabe, K., 2005, "Banking sector strength and the transmission of currency crises," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 022, Jan, DOI: 10.26481/umamet.2005022.
• Surbhi Jain & N.R. Bhanumurthy, 2005, "Financial markets integration in India," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), volume 12, issue 2, pages 15-32, December.
• Pierpaolo Pierani & Silvia Tiezzi, 2005, "Addiction and the Interaction between Alcohol and Tobacco Consumption," Department of Economics University of Siena, Department of Economics, University of Siena, number 470, Nov.
• Annastiina Silvennoinen & Timo Teräsvirta, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 168, Oct.
• Oleg Korenok, 2005, "Empirical Comparison of Sticky Price and Sticky Information Models," Working Papers, VCU School of Business, Department of Economics, number 0501, Aug.
• Wing Yuk, 2005, "Government Size and Economic Growth: Time-Series Evidence for the United Kingdom, 1830-1993," Econometrics Working Papers, Department of Economics, University of Victoria, number 0501, Jan.
• Judith A. Clarke & Mukesh Ralhan, 2005, "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers, Department of Economics, University of Victoria, number 0512, Jul.
• 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.
• Gultekin Isiklar, 2005, "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics, University Library of Munich, Germany, number 0501001, Jan, revised 02 Jan 2005.
• Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005, "On detecting and modeling periodic correlation in financial data," Econometrics, University Library of Munich, Germany, number 0502006, Feb.
• Matteo M. Pelagatti, 2005, "Business cycle and sector cycles," Econometrics, University Library of Munich, Germany, number 0503006, Mar.
• Marie Bessec & Othman Bouabdallah, 2005, "What causes the forecasting failure of Markov-Switching models? A Monte Carlo study," Econometrics, University Library of Munich, Germany, number 0503018, Mar.
• Alastair R. Hall & Atsushi Inoue, 2005, "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics, University Library of Munich, Germany, number 0505002, May.
• Zacharias Bragoudakis, 2005, "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics, University Library of Munich, Germany, number 0507013, Jul.
• Catalin Starica & Stefano Herzel & Tomas Nord, 2005, "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics, University Library of Munich, Germany, number 0508003, Aug.
• Benoit Bellone, 2005, "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics, University Library of Munich, Germany, number 0508017, Aug.
• Riccardo Corradini, 2005, "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics, University Library of Munich, Germany, number 0509009, Sep.
• Segismundo Izquierdo & Ces�reo Hern�ndez & Javier Pajares, 2005, "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics, University Library of Munich, Germany, number 0509010, Sep, revised 07 Feb 2006.
• rea cipollini & giuseppe missaglia, 2005, "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance, University Library of Munich, Germany, number 0502010, Feb.
• Colm Kearney & Valerio Poti, 2005, "Correlation Dynamics in European Equity Markets," Finance, University Library of Munich, Germany, number 0507008, Jul.
• Lakshmi Balasubramanyan, 2005, "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance, University Library of Munich, Germany, number 0509002, Sep.
• Sascha Mergner, 2005, "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0509024, Sep.
• Joao Leitao & Cristovao Oliveira, 2005, "The Contagion Effect of the Terrorist Attacks of the 11th of September," Finance, University Library of Munich, Germany, number 0510006, Oct.
• Sascha Mergner & Jan Bulla, 2005, "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0510029, Oct.
• Dimitris Kenourgios & Aristeidis Samitas, 2005, "Testing Efficiency Of The Copper Futures Market: New Evidence From London Metal Exchange," Finance, University Library of Munich, Germany, number 0512010, Dec.
• Tony Guida & Olivier Matringe, 2005, "Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities," Finance, University Library of Munich, Germany, number 0512021, Dec.
• Viktor Winschel, 2005, "Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality," GE, Growth, Math methods, University Library of Munich, Germany, number 0507014, Jul.
• Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005, "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance, University Library of Munich, Germany, number 0501003, Jan.
• António Portugal Duarte, 2005, "The Portuguese Disinflation Process: Analysis of Some Costs and Benefits," International Finance, University Library of Munich, Germany, number 0504005, Apr.
• António Portugal Duarte, 2005, "Purchasing power parity: an empirical study of three EMU countries," International Finance, University Library of Munich, Germany, number 0505010, May.
• Stamatopoulos Theodoros, 2005, "Trade Balance and Exchange-Rate for a Small Open Economy during the EMS: The Hellenic Case 1983:1-1995:12," International Finance, University Library of Munich, Germany, number 0505012, May.
• Lieven Baele & Koen Inghelbrecht, 2005, "Structural versus Temporary Drivers of Country and Industry Risk," International Finance, University Library of Munich, Germany, number 0511005, Nov.
• Ferda Halicioglu, 2005, "An Econometric Analysis of Foreign Direct Investment Flows into Turkey from Major Global Regions: 1975-1999," International Trade, University Library of Munich, Germany, number 0503004, Mar.
• António Portugal Duarte, 2005, "Purchasing power parity: an empirical study of three EMU countries," International Trade, University Library of Munich, Germany, number 0505005, May.
• Ben Shepherd, 2005, "The Impact of US Subsidies on the World Cotton Market: A Reassessment," International Trade, University Library of Munich, Germany, number 0511012, Nov.
• Ben Shepherd, 2005, "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade, University Library of Munich, Germany, number 0511013, Nov.
• Jose Mendez & Ricardo Mora & Carlos San Juan Mesonada, 2005, "A Cointegration Analysis of the Long-Run Supply Response of Spanish Agriculture to the Common Agricultural Policy," International Trade, University Library of Munich, Germany, number 0512014, Dec.
• Maurizio Bovi, 2005, "The Cyclical Behaviour of Shadow and Regular Employment," Labor and Demography, University Library of Munich, Germany, number 0507011, Jul.
• Dufourt, 2005, "Demand and productivity components of business cycles: Estimates and implications," Macroeconomics, University Library of Munich, Germany, number 0501013, Jan, revised 09 Nov 2005.
• Francesco Belviso & Fabio Milani, 2005, "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics, University Library of Munich, Germany, number 0503023, Mar.
• Valery Chernookiy, 2005, "Model Of Inflation Processes In The Republic Of Belarus," Macroeconomics, University Library of Munich, Germany, number 0505002, May.
• Oleg Korenok, 2005, "Empirical Comparison of Sticky Price and Sticky Information Models," Macroeconomics, University Library of Munich, Germany, number 0510004, Oct.
• Fabien Tripier, 2005, "Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth," Macroeconomics, University Library of Munich, Germany, number 0510015, Oct.
• Domenico Giannone & Lucrezia Reichlin, 2005, "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics, University Library of Munich, Germany, number 0511017, Nov.
• Yuriy Gorodnichenko, 2005, "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics, University Library of Munich, Germany, number 0512011, Dec.
• Marco Gallegati, 2005, "Stock market returns and economic activity: evidence from wavelet analysis," Macroeconomics, University Library of Munich, Germany, number 0512016, Dec.
• António Portugal Duarte & João Sousa Andrade, 2005, "How the gold standard functioned in Portugal: an analysis of some macroeconomic aspects," Method and Hist of Econ Thought, University Library of Munich, Germany, number 0505002, May.
• Konstantin Gluschenko, 2005, "Inter-Regional Price Convergence and Market Integration in Russia," Urban/Regional, University Library of Munich, Germany, number 0504002, Apr.
• Jacek Kotlowski, 2005, "Money and prices in the Polish economy. Seasonal cointegration approach," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 20, May.
• George M. Jabbour & Marat V. Kramin & Timur V. Kramin & Stephen D. Young, 2005, "Multinomial Lattices and Derivatives Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Asli Ascioglu & Thomas H. McInish, 2005, "Listing Switches from NASDAQ to the NYSE or AMEX: Is New Stock Issuance a Motive?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Eickmeier, Sandra, 2005, "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,02.
• Eickmeier, Sandra & Breitung, Jörg, 2005, "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,20.
• Knetsch, Thomas A., 2005, "Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,39.
• Xu, Fang, 2005, "Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-02.
• Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005, "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-04.
• Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005, "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-02.
• Frey, Stefan & Grammig, Joachim, 2005, "Liquidity supply and adverse selection in a pure limit order book market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-01.
• Hassler, Uwe & Wolters, Jürgen, 2005, "Autoregressive distributed lag models and cointegration," Discussion Papers, Free University Berlin, School of Business & Economics, number 2005/22.
• Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005, "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005014, Jan.
• André, NYEMBWE & Konstantin, KHOLODILIN, 2005, "North-South Asymmetric Relationships : Does the EMU Business Affect Small African Economies ?," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005032, Aug.
• Luc, Bauwens & J.V.K., ROMBOUTS, 2005, "Bayesian inference for the mixed conditional heteroskedasticity model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005058, Dec.
• Jui-Chuan (Della) Chang & Dennis W. Jansen, 2005, "The Effect of Monetary Policy on Bank Lending and Aggregate Output: Asymmetries from Nonlinearities in the Lending Channel," Annals of Economics and Finance, Society for AEF, volume 6, issue 1, pages 129-153, May.
• Trenkler, Carsten & Wolf, Nikolaus, 2005, "Economic integration across borders: The Polish interwar economy 1921–1937," European Review of Economic History, Cambridge University Press, volume 9, issue 2, pages 199-231, August.
• Phillips, Peter C.B., 2005, "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 3-20, February.
• Baele, Lieven, 2005, "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 2, pages 373-401, June.
• Pesavento, Elena & Rossi, Barbara, 2005, "Do Technology Shocks Drive Hours Up Or Down? A Little Evidence From An Agnostic Procedure," Macroeconomic Dynamics, Cambridge University Press, volume 9, issue 4, pages 478-488, September.
• Anat Bracha & Jeremy Gray & Rustam Ibragimov & Boaz Nadler & Dmitry Shapiro & Glena Ames & Donald J. Brown, 2005, "Randomized Sign Test for Dependent Observations on Discrete Choice under Risk," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1526, Jun.
• David A. Jaeger & M. Daniele Paserman, 2005, "The Cycle of Violence? An Empirical Analysis of Fatalities in the Palestinian-Israeli Conflict," Working Papers, Economics Department, William & Mary, number 22, Oct.
• David A. Jaeger & M. Daniele Paserman, 2005, "Israel, the Palestinian Factions, and the Cycle of Violence," Working Papers, Economics Department, William & Mary, number 23, Dec.
• Boriss Siliverstovs & Olena Bilan, 2005, "Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 476.
• Boriss Siliverstovs & Dierk Herzer, 2005, "Manufacturing Exports, Mining Exports and Growth: Cointegration and Causality Analysis for Chile (1960 - 2001)," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 497.
• Jan Gottschalk & Ulrich Fritsche, 2005, "The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 521.
• Surajit Deb, 2005, "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 1, pages 65-92, January.
• Dimitrios D. Thomakos & Prasad S. Bhattacharya, 2005, "Firm's R & D Behavior Under Rational Expectations," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 2, pages 145-165, December.
• Cosar, N. & Bildirici, M, 2005, "Some Comparisons Between Turkey and OECD Countries: Productivity, Education and Taxation, 1960-2000," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 3.
• West, L.k. & Agbola, W.F., 2005, "Causality Links Between Asset Prices And Cash Rate In Australia," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 3, pages 69-86.
• Hatemi, A. & Irandoust, M., 2005, "Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 87-98.
• Dilip M. Nachane & Prasad P. Ranade, 2005, ""Relationship Banking" And The Credit Market In India : An Empirical Analysis," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22371, Jan.
• Tilak Abeysinghe & Keen Meng Choy, 2005, "Modelling Small Economy Exports : The Case of Singapore," Trade Working Papers, East Asian Bureau of Economic Research, number 21980, Jan.
• Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2005, "Trading European sovereign bonds: the microstructure of the MTS trading platforms," Working Paper Series, European Central Bank, number 432, Jan.
• Cappiello, Lorenzo & Guéné, Stéphane, 2005, "Measuring market and inflation risk premia in France and in Germany," Working Paper Series, European Central Bank, number 436, Feb.
• Corvoisier, Sandrine & Mojon, Benoît, 2005, "Breaks in the mean of inflation: how they happen and what to do with them," Working Paper Series, European Central Bank, number 451, Mar.
• Bruggeman, Annick & Camba-Méndez, Gonzalo & Fischer, Björn & Sousa, João, 2005, "Structural filters for monetary analysis: the inflationary movements of money in the euro area," Working Paper Series, European Central Bank, number 470, Apr.
• Del Negro, Marco & Schorfheide, Frank, 2005, "Monetary policy analysis with potentially misspecified models," Working Paper Series, European Central Bank, number 475, Apr.
• Calza, Alessandro & Sousa, João, 2005, "Output and inflation responses to credit shocks: are there threshold effects in the euro area?," Working Paper Series, European Central Bank, number 481, Apr.
• Marcellino, Massimiliano & Banerjee, Anindya & Masten, Igor, 2005, "Forecasting macroeconomic variables for the new member states of the European Union," Working Paper Series, European Central Bank, number 482, May.
• Smets, Frank & Wouters, Raf & Del Negro, Marco & Schorfheide, Frank, 2005, "On the fit and forecasting performance of New-Keynesian models," Working Paper Series, European Central Bank, number 491, Jun.
• Dossche, Maarten & Everaert, Gerdie, 2005, "Measuring inflation persistence: a structural time series approach," Working Paper Series, European Central Bank, number 495, Jun.
• Anderton, Robert & Skudelny, Frauke & Baltagi, Badi H. & Sousa, Nuno, 2005, "Intra- and extra-euro area import demand for manufactures," Working Paper Series, European Central Bank, number 532, Oct.
• Mönch, Emanuel, 2005, "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series, European Central Bank, number 544, Nov.
• Garnier, Julien & Wilhelmsen, Björn-Roger, 2005, "The natural real interest rate and the output gap in the euro area: a joint estimation," Working Paper Series, European Central Bank, number 546, Nov.
• Beneš, Jaromí­r & Vávra, David, 2005, "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series, European Central Bank, number 549, Nov.
• Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005, "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series, European Central Bank, number 568, Dec.
• Bystrom, Hans N.E. & Olofsdotter, Karin & Soderstrom, Lars, 2005, "Is China an optimum currency area?," Journal of Asian Economics, Elsevier, volume 16, issue 4, pages 612-634, August.
• Cubadda, Gianluca & Omtzigt, Pieter, 2005, "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 333-348, April.
• Joseph, Agnes S. & Kiviet, Jan F., 2005, "Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 417-444, April.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 611-629, April.
• Aslanidis, Nektarios & Kouretas, Georgios P., 2005, "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Economic Modelling, Elsevier, volume 22, issue 4, pages 665-682, July.
• Brissimis, Sophocles N. & Magginas, Nicholas S., 2005, "Changes in financial structure and asset price substitutability: A test of the bank lending channel," Economic Modelling, Elsevier, volume 22, issue 5, pages 879-904, September.
• Cayen, Jean-Philippe & van Norden, Simon, 2005, "The reliability of Canadian output-gap estimates," The North American Journal of Economics and Finance, Elsevier, volume 16, issue 3, pages 373-393, December.
• Lumenga-Neso, Olivier & Olarreaga, Marcelo & Schiff, Maurice, 2005, "On `indirect' trade-related R&D spillovers," European Economic Review, Elsevier, volume 49, issue 7, pages 1785-1798, October.
• Siliverstovs, Boriss & L'Hegaret, Guillaume & Neumann, Anne & von Hirschhausen, Christian, 2005, "International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan," Energy Economics, Elsevier, volume 27, issue 4, pages 603-615, July.
• Miguel Lebre de Freitas, 2005, "Portugal-EU convergence revisited: evidence for the period 1960-2003," NIPE Working Papers, NIPE - Universidade do Minho, number 10/2005.
• Leonardo Bornacki de Mattos & João Eustáquio de Lima, 2005, "Demanda residencial de energia elétrica em Minas Gerais: 1970-2002 [Residential demand for electrical energy in Minas Gerais: 1970-2002]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 15, issue 3, pages 31-52, September.
• Clive G. Bowsher, 2005, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W26, Oct.
• Troy Matheson, 2005, "Factor model forecasts for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2005/01, May.
• Ernest Gnan & Doris Ritzberger-Grünwald, 2005, "The Natural Rate of Interest — Concepts and Appraisal for the Euro Area," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 19-47.
• Bernhard Grossmann & Eva Hauth & Silvia Pop, 2005, "Fiscal Spending Rules in Europe," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 82-88.
• Sylvia Kaufmann & Peter Kugler, 2005, "Does Money Matter for Inflation in the Euro Area?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 103, Sep.
• José Gallardo & Arturo Vásquez & Luis Bendezú, 2005, "La Problemática de los Precios de los Combustibles," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 11, Jun.
• Arturo Vásquez, 2005, "La Demanda Agregada de Combustibles Líquidos en el Perú," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 12, Feb.
• Young Hoon Lee & Rodney Fort, 2005, "Structural Change in MLB Competitive Balance: The Depression, Team Location, and Integration," Economic Inquiry, Western Economic Association International, volume 43, issue 1, pages 158-169, January.
• Lance J. Bachmeier & Norman R. Swanson, 2005, "Predicting Inflation: Does The Quantity Theory Help?," Economic Inquiry, Western Economic Association International, volume 43, issue 3, pages 570-585, July.
• Morten Ørregaard Nielsen, 2005, "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 3, pages 372-398.
• Valerie Cerra & Sweta Chaman Saxena, 2005, "Did Output Recover from the Asian Crisis?," IMF Staff Papers, Palgrave Macmillan, volume 52, issue 1, pages 1-23, April.
• Annetta Maria Binotti & Enrico Ghiani, 2005, "Changes of the aggregate supply conditions in Italy: a small econometric model of wages and prices dynamics," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy, number 2005/55, Jan.
• Alvaro Aguiar & Manuel M. F. Martins, 2005, "Testing for Asymmetries in the Preferences of the Euro-Area Monetary Policymaker," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 182, Jul.
• Paolo, Foschi, 2005, "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper, University Library of Munich, Germany, number 1424, Feb, revised 07 Sep 2006.
• Fanelli, Luca, 2005, "Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area," MPRA Paper, University Library of Munich, Germany, number 1617, Jan, revised Jan 2007.
• Razzak, Weshah, 2005, "Explaining the gaps in labour productivity in some developed countries," MPRA Paper, University Library of Munich, Germany, number 1888, Feb, revised May 2006.
• Caiado, Jorge & Crato, Nuno, 2005, "Discrimination between deterministic trend and stochastic trend processes," MPRA Paper, University Library of Munich, Germany, number 2076.
• Fugarolas Álvarez-Ude, Guadalupe & Matesanz Gómez, David, 2005, "Restricción de balanza de pagos y vulnerabilidad externa en la argentina de los noventa. Un análisis de caso," MPRA Paper, University Library of Munich, Germany, number 210, revised 2005.
• Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca, 2005, "Indirect estimation of Markov switching models with endogenous switching," MPRA Paper, University Library of Munich, Germany, number 22983, revised 2005.
• Lanne, Markku & Saikkonen, Pentti, 2005, "A Multivariate Generalized Orthogonal Factor GARCH Model," MPRA Paper, University Library of Munich, Germany, number 23714, May.
• Goyal, Ashima & Pujari, Ayan Kumar, 2005, "Identifying long run supply curve of India," MPRA Paper, University Library of Munich, Germany, number 24021, Jul.
• Boschi, Melisso & Girardi, Alessandro, 2005, "Does one monetary policy fit all? the determinants of inflation in EMU countries," MPRA Paper, University Library of Munich, Germany, number 28554.
• Lord, Montague, 2005, "A Macroeconomic Simulation Model for Uzbekistan: Technical Guide to Macroeconomic Applications," MPRA Paper, University Library of Munich, Germany, number 41161, Feb.
• Shumilov, Andrei & Sosunov, Kirill, 2005, "Оценивание Равновесного Реального Обменного Курса Российского Рубля
  [Estimation of the Equilibrium Real Exchange Rate for Russia]," MPRA Paper, University Library of Munich, Germany, number 42978.
• Majumder, Rajarshi & Mukherjee, Dipa, 2005, "Infrastructure and Development Interlinkage in West Bengal: A VAR Analysis," MPRA Paper, University Library of Munich, Germany, number 4820.
• Rzigui, Lotfi, 2005, "External shocks and economic fluctuations: evidence from Tunisia," MPRA Paper, University Library of Munich, Germany, number 630, Jun, revised Dec 2005.
• Rzigui, Lotfi, 2005, "Source of Output dynamics in USA vs. Great Britain: supply, demand or nominal shocks," MPRA Paper, University Library of Munich, Germany, number 631, Dec, revised 20 Oct 2006.
• Goyal, Ashima & Pujari, Ayan Kumar, 2005, "Analysing Core Inflation in India: A Structural VAR Approach," MPRA Paper, University Library of Munich, Germany, number 67105.
• Nakashima, Kiyotaka, 2005, "The Bank of Japan's Operating Procedures and the Identification of Monetary Policy Shocks: A Reexamination using the Bernanke-Mihov Approach," MPRA Paper, University Library of Munich, Germany, number 70687, Jan.
• Angelidis, Timotheos & Degiannakis, Stavros, 2005, "Modeling Risk for Long and Short Trading Positions," MPRA Paper, University Library of Munich, Germany, number 80467.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper, University Library of Munich, Germany, number 80468.
• Ngwa Edielle, T. H. Jackson, 2005, "Education, innovation and economic growth in Cameroon," MPRA Paper, University Library of Munich, Germany, number 9360, Feb.
• Roman Hušek & Tomáš Formánek, 2005, "Estimation of the Czech Republic Sacrifice Ratio for the Transition Period," Prague Economic Papers, Prague University of Economics and Business, volume 2005, issue 1, pages 51-63, DOI: 10.18267/j.pep.252.
• Michal Slavík, 2005, "Úvod do moderních přístupů analýzy časových řad: Stavově prostorové modely a Kalmanův filtr
  [Introduction to time series modeling: State space models and Kalman filter]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 1, DOI: 10.18267/j.polek.499.
• Karel Vít, 2005, "Vliv rozpočtového deficitu na devizový kurz
  [The impact of budget deficit onto the exchange rate]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 305-322, DOI: 10.18267/j.polek.507.
• James H. James & Mark W. Watson, 2005, "Implications of Dynamic Factor Models for VAR Analysis," Working Papers, Princeton University. Economics Department., number 2005-2, Jun.
• Patrick Bisciari & Alain Durré, 2005, "La bulle « Internet », un remake de la bulle de 1929 ?," Revue d'Économie Financière, Programme National Persée, volume 81, issue 4, pages 157-169, DOI: 10.3406/ecofi.2005.4017.
• António Rua & Cláudia Duarte, 2005, "Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case," Working Papers, Banco de Portugal, Economics and Research Department, number w200502.
• James M. Nason & Gregor W. Smith, 2005, "Identifying The New Keynesian Phillips Curve," Working Paper, Economics Department, Queen's University, number 1026, Jan.
• Bent Jesper Christensen & Morten Ø. Nielsen, 2005, "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper, Economics Department, Queen's University, number 1186, Nov.
• Andrea Cipollini & George Kapetanios, 2005, "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers, Queen Mary University of London, School of Economics and Finance, number 538, May.
• Gonzalo Camba-Mendez & George Kapetanios, 2005, "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers, Queen Mary University of London, School of Economics and Finance, number 541, May.
• Carol Alexandra & Emese Lazar, 2005, "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-09, Feb, revised Jul 2004.
• Carol Alexandra & Emese Lazar, 2005, "On The Continuous Limit of GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-13, Nov.
• Carol Alexandra & Emese Lazar, 2005, "Asymmetries and Volatility Regimes in the European Equity Markets," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-14, Nov.
• Carol Alexander & Andreza Barbosa, 2005, "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-16, Dec.
• Frank Schorfheide, 2005, "Learning and Monetary Policy Shifts," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 8, issue 2, pages 392-419, April, DOI: 10.1016/j.red.2005.01.001.
• Abdulnasser Hatemi-J & Eduardo Roca & Fang Tang, 2005, "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 4, pages 449-470.
• R. Scott Hacker & Abdulnasser Hatemi-J, 2005, "Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 3, pages 327-336.
• Konstantinos Drakos, 2005, "The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 20, pages 727-745.
• Cipu, Elena Corina & Panzar, Laura, 2005, "Stochastic Modelling And Prognosis Of An Underlying Asset Pricing," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 3, pages 22-36.
• Stanica, Cristian Nicolae, 2005, "Unobserved Components Methods To Estimate Potential Gdp (The Case Of Romania)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 4, pages 44-63.
• Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2005, "Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Rivista di Politica Economica, SIPI Spa, volume 95, issue 3, pages 219-266, May-June.
• Marisa Faggini, 2005, "Un approccio di teoria del caos all'analisi delle serie storiche economiche," Rivista di Politica Economica, SIPI Spa, volume 95, issue 4, pages 199-234, July-Augu.
• Leif Brandes & Egon Franck, 2005, "Who made Who? An Empirical Analysis of Competitive Balance in European Soccer Leagues," Working Papers, University of Zurich, Center for Research in Sports Administration (CRSA), number 0004, revised 2006.
• Tommaso Proietti, 2008, "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper, Tor Vergata University, CEIS, number 109, Jul, revised 10 Jul 2008.
• K. Farrant & G. Peersman, 2005, "Is the exchange rate a shock absorber or a source of shocks? New empirical evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/285, Jan.
• G. Peersman, 2005, "The relative importance of symmetric and asymmetric shocks and the determination of the exchange rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/286, Jan.
• M. Dossche & G. Everaert, 2005, "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/340, Nov.
• Julio López-Laborda & Jorge Onrubia, 2005, "Personal Income Tax Decentralization, Inequality, and Social Welfare," Public Finance Review, , volume 33, issue 2, pages 213-235, March, DOI: 10.1177/1091142104272710.
• Carlo Altavilla & Antonio Garofalo & Concetto Paolo Vinci, 2005, "Designing the Optimal Length of Working Time," CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy, number 91, Jan.
• Carlo Altavilla & Antonio Garofalo & Concetto Paolo Vinci, 2005, "Is the Discouraged Worker Effect Time-Varying?," CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy, number 97, Sep.
• Alessandro Girardi & Paolo Paesani, 2005, "Net Foreign Assets in the Euro Area: A Cointegration Analysis," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 76, Jan.
• Fabio Araujo & Joao Victor Issler, 2005, "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005, Society for Computational Economics, number 202, Nov.
• Christoph Schleicher & Francisco Barillas, 2005, "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005, Society for Computational Economics, number 214, Nov.
• L Christopher Plantier & Ozer Karagedikli, 2005, "Do so-called multivariate filters have better revision properties? An empirical analysis," Computing in Economics and Finance 2005, Society for Computational Economics, number 250, Nov.
• Baoline Chen & Peter A. Zadrozny, 2005, "Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 254, Nov.
• Alain W. HECQ, 2005, "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 258, Nov.
• Kevin Lee & Anthony Garratt, 2005, "Investment Decisions Under Model Uncertainty: An Application Using Exchanger Rate and Interest Rate Forecasts," Computing in Economics and Finance 2005, Society for Computational Economics, number 259, Nov.
• Kirstin Hubrich & David F. Hendry, 2005, "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005, Society for Computational Economics, number 270, Nov.
• Riccardo Corradini, 2005, "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Computing in Economics and Finance 2005, Society for Computational Economics, number 28, Nov.
• Argia M. Sbordone, 2005, "A Limited Information Approach to the Simultaneous Estimation of Wage and Price Dynamics," Computing in Economics and Finance 2005, Society for Computational Economics, number 321, Nov.
• Mark E. Wohar & David E. Rapach, 2005, "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005, Society for Computational Economics, number 329, Nov.
• Wolfgang Lemke, 2005, "Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations," Computing in Economics and Finance 2005, Society for Computational Economics, number 341, Nov.
• Matthieu LEMOINE & Odile CHAGNY, 2005, "Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter," Computing in Economics and Finance 2005, Society for Computational Economics, number 344, Nov.