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

2004

• Cubadda, Gianluca, 2004, "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp04022, Sep.
• Guillaume Guerrero & Nicolas Million, 2004, "Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number v04048, Jun.
• D.S. Poskitt, 2004, "Some Results on the Identification and Estimation of Vector ARMAX Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/04, May.
• D. S. Poskitt, 2004, "On The Identification and Estimation of Partially Nonstationary ARMAX Systems," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/04, Oct.
• Helena Beltran & Alain Durré & Pierre Giot, 2004, "How does liquidity react to stress periods in a limit order market?," Working Paper Research, National Bank of Belgium, number 49, May.
• Stefaan Ide & Philippe Moës, 2004, "Asymetric growth and inflation developments in the acceding countries: a new assessment," Working Paper Research, National Bank of Belgium, number 63, Nov.
• Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004, "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0300, Aug.
• Michael Jansson & Marcelo J. Moreira, 2004, "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0303, Nov.
• José Alberto Fuinhas, 2004, "Taxas de juro nominais e endividamento: perspectivas para a economia portuguesa," Working Papers de Gestão, Economia e Marketing (Management, Economics and Marketing Working Papers), Universidade da Beira Interior, Departamento de Gestão e Economia (Portugal), number e01/2004.
• Malika, HAMADI & Erick, RENGIFO & Diego SALZMAN, 2004, "Illusionary Finance and Trading Behavior," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005012, Sep, revised 15 Jan 2005.
• Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004, "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005015, Dec.
• Martin, C. & Milas, C., 2004, "Uncertainty and UK Monetary Policy," Working Papers, Department of Economics, City St George's, University of London, number 04/05.
• Legrenzi, G. & Milas, C., 2004, "Non-linear adjustments in fiscal policy," Working Papers, Department of Economics, City St George's, University of London, number 04/06.
• Pedroni, Peter, 2004, "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, volume 20, issue 3, pages 597-625, June.
• Kinnucan, Henry W., 2004, "Effects of Japanese Import Demand on U.S. Livestock Prices: Comment," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 36, issue 1, pages 251-255, April.
• Miljkovic, Dragan & Marsh, John M. & Brester, Gary W., 2004, "Effects of Japanese Import Demand on U.S. Livestock Prices: Reply," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 36, issue 1, pages 257-260, April.
• Ramirez, Octavio A. & Mohanty, Samarendu & Carpio, Carlos E. & Denning, Megan, 2004, "Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 36, issue 2, pages 351-367, August.
• Dietmar Bauer, 2004, "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1452, Feb.
• Peter C.B. Phillips, 2004, "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1469, Jul.
• Rustam Ibragimov & Peter C.B. Phillips, 2004, "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1473, Jul.
• Vladimir Kuzin & Silke Tober, 2004, "Asymmetric Monetary Policy Effects in Germany," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 397.
• Bildirici, M., 2004, "Political Instability and Growth: An Econometric Analysis of Turkey, Mexico, Argentina and Brazil, 1985-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 4, issue 4.
• Konya, Laszlo, 2004, "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 2, pages 67-94.
• Katos, A. & Pallis, D. & Katsouli, E., 2004, "System Estimates of Cyclical Unemployment and Cyclical Output in the 15 European Union Member-States, 1961-1999," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 4, pages 5-26.
• Buono, D., 2004, "Outlier Detection, Seasonal Adjustment and Cycle Extraction in New Member States of European Union," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 1, pages 51-80.
• Warmedinger, Thomas, 2004, "Import prices and pricing-to-market effects in the euro area," Working Paper Series, European Central Bank, number 299, Jan.
• Bowdler, Christopher & Jansen, Eilev S., 2004, "A markup model of inflation for the euro area," Working Paper Series, European Central Bank, number 306, Feb.
• Jansen, Eilev S., 2004, "Modelling inflation in the euro area," Working Paper Series, European Central Bank, number 322, Mar.
• Straub, Roland & Tchakarov, Ivan, 2004, "Non-fundamental exchange rate volatility and welfare," Working Paper Series, European Central Bank, number 328, Apr.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2004, "Estimating the rank of the spectral density matrix," Working Paper Series, European Central Bank, number 349, Apr.
• Roma, Moreno & Skudelny, Frauke & Benalal, Nicholai & Diaz del Hoyo, Juan Luis & Landau, Bettina, 2004, "To aggregate or not to aggregate? Euro area inflation forecasting," Working Paper Series, European Central Bank, number 374, Jul.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2004, "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Working Paper Series, European Central Bank, number 402, Nov.
• Darbha, Gangadhar & Patel, Urjit R., 2004, "Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 04-1, Mar.
• Herman K. van Dijk & Andrew Harvey & Thomas Trimbur, 2004, "Cyclical components in economic time series: A Bayesian approach," Econometric Society 2004 Australasian Meetings, Econometric Society, number 105, Aug.
• Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004, "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings, Econometric Society, number 158, Aug.
• Nagaratnam J Sreedharan, 2004, "A VECM Model of Stockmarket Returns," Econometric Society 2004 Australasian Meetings, Econometric Society, number 166, Aug.
• L. Christopher Plantier & Ozer Karagedikli, 2004, "Estimating the Output Gap : A Kalman Filter Approach," Econometric Society 2004 Australasian Meetings, Econometric Society, number 210, Aug.
• Sophocles Mavroeidis & Kees Jan van Garderen, 2004, "Conditional Inference in Cointegrating Vector Autoregressive Models," Econometric Society 2004 Australasian Meetings, Econometric Society, number 211, Aug.
• Keen Meng Choy & Hwee Kwan Chow, 2004, "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Econometric Society 2004 Australasian Meetings, Econometric Society, number 223, Aug.
• Farshid Vahid & George Athanasopoulos, 2004, "Are VAR Models Good Enough?," Econometric Society 2004 Australasian Meetings, Econometric Society, number 244, Aug.
• Tilak Abeysinghe & Gulasekaran Rajaguru, 2004, "The Consequences of Systematic Sampling on Granger Causality," Econometric Society 2004 Australasian Meetings, Econometric Society, number 250, Aug.
• Leanne Neo & John Clark & Yeon Kim, 2004, "The Aggregate Production Function in the Treasury Macroeconomic (TRYM) Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 261, Aug.
• Wing Lon NG, 2004, "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings, Econometric Society, number 272, Aug.
• Arielle Beyaert, 2004, "Fractional Output Convergence, with an Application to Nine Developed Countries," Econometric Society 2004 Australasian Meetings, Econometric Society, number 280, Aug.
• Dimitrios D. Thomakos & Prasad S. Bhattacharya, 2004, "Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?," Econometric Society 2004 Australasian Meetings, Econometric Society, number 293, Aug.
• Daniel R. Smith & Christophe Parignon, 2004, "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 307, Aug.
• Param Silvapulle & Gunky Kim & Mervyn J. Silvapulle, 2004, "Robustness of a semiparametric estimator of a copula," Econometric Society 2004 Australasian Meetings, Econometric Society, number 317, Aug.
• Gael Martin & Chris Strickland & Catherine Forbes, 2004, "Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 324, Aug.
• Russell Smyth & Paresh Kumar Narayan, 2004, "Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration," Econometric Society 2004 Australasian Meetings, Econometric Society, number 332, Aug.
• George Milunovich, 2004, "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 55, Aug.
• Chor-yiu SIN, 2004, "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 Australasian Meetings, Econometric Society, number 92, Aug.
• Bryan W. Brown; Douglas J. Hodgson, 2004, "Models of foreign exchange intervention: Estimation and testing," Econometric Society 2004 Australasian Meetings, Econometric Society, number 96, Aug.
• Eduardo D. Roca & Abdulnasser Hatemi-J, 2004, "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings, Econometric Society, number 99, Aug.
• Gamini Premaratne & Lakshmi Bala, 2004, "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 479, Aug.
• Hsiao Chiying & Chen Pu, 2004, "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 537, Aug.
• Nicolas Million & Guillaume Guerrero, 2004, "The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 542, Aug.
• Kyungho Jang, 2004, "Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 569, Aug.
• Michael B. Devereux & Woon Gyu Choi, 2004, "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 666, Aug.
• Yuko Hashimoto, 2004, "The Impact of the Japanese Banking Crisis on the Intraday FX Market," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 679, Aug.
• Chew Lian Chua & Peter Summers, 2004, "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 702, Aug.
• Yasutomo Murasawa & Roberto S. Mariano, 2004, "Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 710, Aug.
• Wing Lon NG, 2004, "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 730, Aug.
• Ruey Yau, 2004, "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 741, Aug.
• Byeongseon Seo, 2004, "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 749, Aug.
• Erick Rengifo & Andresas Heinen, 2004, "Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 755, Aug.
• Hyunjoon Lim & Sangho Kim, 2004, "Does the Solow Residual for Korea Reflect Pure Technology Shocks?," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 777, Aug.
• Yoosoon Chang, 2004, "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 796, Aug.
• Alejandro Justiniano, 2004, "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings, Econometric Society, number 148, Aug.
• Marcelo Savino Portugal & Igor Alexandre Clemente de Morais, 2004, "Business Cycle In The Industrial Production Of Brazilian States," Econometric Society 2004 Latin American Meetings, Econometric Society, number 23, Aug.
• Humberto Carlos Faria Teixeira & Joao Victor Issler, 2004, "Are there restrictions to consumption smoothing in Latin American countries? Differences between OLS and GLS estimation," Econometric Society 2004 Latin American Meetings, Econometric Society, number 246, Aug.
• Martin Gonzalez-Rozada & Jose Maria Fanelli, 2004, "Business Cycles and Macroeconomic Policy Coordination in Mercosur," Econometric Society 2004 Latin American Meetings, Econometric Society, number 328, Aug.
• R. Velazquez & A.E. Noriega & L.M. Soria, 2004, "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings, Econometric Society, number 57, Aug.
• Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004, "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 153, Aug.
• Denis Pelletier, 2004, "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 230, Aug.
• Antonio Moreno, 2004, "Reaching Inflation Stability," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 269, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "Smooth Test Of Density Forecast Evaluation With Independent And Serially Dependent Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 319, Aug.
• Athena T. Theodorou & Neville R. Francis & Michael T. Owyang, 2004, "What Explains the Varying Monetary Response to Technology SHocks in G7-Countries," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 444, Aug.
• Rodney W. Strachan & Herman K. van Dijk, 2004, "The Value of Structural Information in the VAR Model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 45, Aug.
• Chor-yiu SIN, 2004, "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 476, Aug.
• Thomas A. Lubik, 2004, "How Large Are Returns to Scale in the U.S.? A View Across the Boundary," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 512, Aug.
• John Keating, 2004, "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 608, Aug.
• Barbara Rossi & Elena Pesavento, 2004, "Do Technology Shocks Drive Hours Up or Down?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 96, Aug.
• Robert de Jong, 2004, "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 324, Aug.
• Barbara Rossi (Duke) & Elena Pesavento (Emory), 2004, "Small sample confidence intervals for multivariate impulse response functions at long horizons," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 364, Aug.
• Luc Bauwens & Jeroen Rombouts, 2004, "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 370, Aug.
• Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004, "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 432, Aug.
• Werner Ploberger, 2004, "On the inadmissibility of classical tests in unit-root-type situations," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 461, Aug.
• Byeongseon Seo, 2004, "Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 463, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Daniel Garces-Diaz, 2004, "How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 60, Aug.
• Harald Uhlig, 2004, "What moves GNP?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 636, Aug.
• Roel C.A. Oomen, 2004, "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 77, Aug.
• David F. Hendry & Michael P. Clements, 2004, "Pooling of forecasts," Econometrics Journal, Royal Economic Society, volume 7, issue 1, pages 1-31, June.
• Morten Orregaard Nielsen, 2004, "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, volume 7, issue 1, pages 63-97, June.
• Nielsen, Morten Orregaard, 2004, "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, volume 83, issue 2, pages 225-231, May.
• Rajaguru, Gulasekaran, 2004, "Impact of systematic sampling on causality in the presence of unit roots," Economics Letters, Elsevier, volume 84, issue 1, pages 127-132, July.
• Chang, Yoosoon, 2004, "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, volume 120, issue 2, pages 263-293, June.
• Vlaar, Peter J. G., 2004, "Shocking the eurozone," European Economic Review, Elsevier, volume 48, issue 1, pages 109-131, February.
• Bystrom, Hans N. E., 2004, "The market's view on the probability of banking sector failure: cross-country comparisons," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 14, issue 5, pages 419-438, December.
• Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004, "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, volume 28, issue 7, pages 1745-1773, July.
• Dibooglu, Sel & Kibritcioglu, Aykut, 2004, "Inflation, output growth, and stabilization in Turkey, 1980-2002," Journal of Economics and Business, Elsevier, volume 56, issue 1, pages 43-61.
• Williams, Noah, 2004, "Small noise asymptotics for a stochastic growth model," Journal of Economic Theory, Elsevier, volume 119, issue 2, pages 271-298, December.
• Cassola, Nuno & Morana, Claudio, 2004, "Monetary policy and the stock market in the euro area," Journal of Policy Modeling, Elsevier, volume 26, issue 3, pages 387-399, April.
• Normandin, Michel & Phaneuf, Louis, 2004, "Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility," Journal of Monetary Economics, Elsevier, volume 51, issue 6, pages 1217-1243, September.
• Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004, "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 196-205, DOI: 10.1016/j.physa.2004.01.025.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, volume 13, issue 4, pages 327-340.
• Ørregaard Nielsen, Morten, 2004, "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, volume 109, issue 1, pages 145-166, January.
• Gevorgyan Ruben & Melikyan Narine, 2004, "Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 04-03e, Feb.
• Glushchenko Konstantin, 2004, "Integration of the Russian Market. Empirical Analysis," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 04-06e, Mar.
• Altissimo, Filippo & Mele, Antonio, 2004, "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24674, Jan.
• Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004, "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24681, Feb.
• Muñoz, Sònia, 2004, "Real effects of regional house prices: dynamic panel estimation with heterogeneity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24704, Apr.
• Kristensen, Dennis, 2004, "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24738, Jun.
• Mencia, Javier F. & Sentana, Enrique, 2004, "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24742, Jun.
• Díaz-Emparanza Herrero, Ignacio & López de Lacalle Beltrán de Heredia, Javier, 2004, "Estacionalidad determinista y estocástica en series temporales macroeconómicas," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Dec.
• Vázquez Pérez, Jesús, 2004, "Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Johnson, Christian A. & Soriano, Fabián A., 2004, "Volatilidad del mercado accionario y la crisis asiática. Evidencia internacional de asimetrías," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 355-388, abril-jun.
• Katarina Juselius, 2004, "Inflation, Money Growth, and 1(2) Analysis," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69004-3.
• Helmut Lutkepohl, 2004, "Recent Advances in Cointegration Analysis," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69005-5.
• Peter Winker & Dietmar Maringer, 2004, "Optimal Lag Structure Selection in VEC-Models," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69009-2.
• Strachan, R.W. & van Dijk, H.K., 2004, "Improper priors with well defined Bayes Factors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-18, May.
• Strachan, R.W. & van Dijk, H.K., 2004, "Valuing structure, model uncertainty and model averaging in vector autoregressive processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-23, May.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Hakan Berument & Nukhet Dogan & Aysit Tansel, 2004, "Economic Performance and Unemployment: Evidence from an Emerging Economy - Turkey," Working Papers, Economic Research Forum, number 0409, Aug, revised 01 Aug 2004.
• Anna Saiti, 2004, "Cointegration and Granger Causality tests on Spanish and German Consumer Prices," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 93-110.
• Pilar Bengoechea & Gabriel Pérez Quirós, 2004, "A useful tool to identify recessions in the euro area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 215, Oct.
• Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004, "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers, European University Institute, number ECO2004/08.
• Helmut LÜTKEPOHL, 2004, "Recent Advances in Cointegration Analysis," Economics Working Papers, European University Institute, number ECO2004/12.
• Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004, "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers, European University Institute, number ECO2004/16.
• Ralf BRUEGGEMANN & Helmut LUETKEPOHL, 2004, "Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative," Economics Working Papers, European University Institute, number ECO2004/20.
• Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004, "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers, European University Institute, number ECO2004/21.
• Ralf Brueggemann & Helmut Luetkepohl, 2004, "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers, European University Institute, number ECO2004/24.
• Helmut Luetkepohl, 2004, "Forecasting with VARMA Models," Economics Working Papers, European University Institute, number ECO2004/25.
• Anindya Banerjee & Bill Russell, 2004, "Competition, the Lisbon Strategy and the Euro," Economics Working Papers, European University Institute, number ECO2004/32.
• Agostinho S. Rosa, 2004, "Uma Estimação da Curva de Phillips para Portugal," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 8_2004.
• Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.
• Luboš Komárek, 2004, "The Nobel Prize Laureates, 2003," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 355-356, July.
• Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004, "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers, Fondazione Eni Enrico Mattei, number 2004.71, Apr.
• Matteo Manera & Alessandro Lanza & Michael McAleer, 2004, "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers, Fondazione Eni Enrico Mattei, number 2004.72, Apr.
• Hannu Koskinen, 2004, "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, volume 17, issue 2, pages 63-72, Autumn.
• Camarero, Mariam & Flôres Junior, Renato Galvão & Tamarit, Cecilio R., 2004, "Monetary union and productivity differences in mercosur countries," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 542, Apr.
• Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004, "On the fit and forecasting performance of New Keynesian models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-37.
• Marco Del Negro & Frank Schorfheide, 2004, "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-38.
• James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004, "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-5.
• Jean-Paul Lam & Greg Tkacz, 2004, "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General Equilibrium Framework," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue I, pages 89-126, March.
• Jamie Gascoigne, 2004, "Estimating threshold vector error-correction models with multiple cointegrating relationships," Working Papers, The University of Sheffield, Department of Economics, number 2004013, Nov, revised Nov 2004.
• Byron Gangnes & Craig Parsons, 2004, "Have U.S.-Japan Trade Agreements Made a Difference?," Working Papers, Singapore Management University, School of Economics, number 08-2004, Mar.
• Hwee Kwan Chow & Keen Meng Choy, 2004, "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Working Papers, Singapore Management University, School of Economics, number 16-2004, Aug.
• Roberto S. Mariano & Yasutomo Murasawa, 2004, "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers, Singapore Management University, School of Economics, number 22-2004, Mar, revised Oct 2004.
• Takuji Kinkyo, 2004, "Transmission channels of capital flow shocks: why Korean crisis was so severe," Working Papers, Department of Economics, SOAS University of London, UK, number 139, Aug.
• Takuji Kinkyo, 2004, "Disorderly adjustments to exchange rate misalignments: The experience of Korea," Working Papers, Department of Economics, SOAS University of London, UK, number 140, Aug.
• Dennis Gaertner & Daniel Halbheer, 2004, "Are There Waves in Merger Activity After All?," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0414, Sep, revised Feb 2006.
• Bengt Assarsson & Claes Berg & Per Jansson, 2004, "Investment in Swedish manufacturing: Analysis and forecasts," Empirical Economics, Springer, volume 29, issue 2, pages 261-280, May, DOI: 10.1007/s00181-003-0165-5.
• Tor Jacobson & Marianne Nessén, 2004, "Examining world-wide purchasing power parity," Empirical Economics, Springer, volume 29, issue 3, pages 463-476, September, DOI: 10.1007/s00181-003-0176-2.
• Oliver Holtemöller, 2004, "A monetary vector error correction model of the Euro area and implications for monetary policy," Empirical Economics, Springer, volume 29, issue 3, pages 553-574, September, DOI: 10.1007/s00181-004-0198-4.
• Adusei Jumah, 2004, "The long run, market power and retail pricing," Empirical Economics, Springer, volume 29, issue 3, pages 605-620, September, DOI: 10.1007/s00181-004-0201-0.
• Giancarlo Bruno & Claudio Lupi, 2004, "Forecasting industrial production and the early detection of turning points," Empirical Economics, Springer, volume 29, issue 3, pages 647-671, September, DOI: 10.1007/s00181-004-0203-y.
• Jesús Crespo Cuaresma & Jaroslava Hlouskova, 2004, "Forecasting exchange rates in transition economies: A comparison of multivariate time series models," Empirical Economics, Springer, volume 29, issue 4, pages 787-801, December, DOI: 10.1007/s00181-004-0212-x.
• Hans-Martin Krolzig & Juan Toro, 2004, "Classical and modern business cycle measurement: The European case," Spanish Economic Review, Springer;Spanish Economic Association, volume 7, issue 1, pages 1-21, January, DOI: 10.1007/s10108-004-0088-0.
• Terje Skjerpen, 2004, "The dynamic factor model revisited: the identification problem remains," Discussion Papers, Statistics Norway, Research Department, number 369, Mar.
• Petter Vegard Hansen & Lars Lindholt, 2004, "The market power of OPEC 1973-2001," Discussion Papers, Statistics Norway, Research Department, number 385, Aug.
• Stavros Degiannakis, 2004, "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 18, pages 1333-1342, DOI: 10.1080/0960310042000285794.
• Dimitris Georgoutsos & Georgios Kouretas, 2004, "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 1, pages 29-41, DOI: 10.1080/0960310042000164202.
• Aamer Abu-Qarn & Suleiman Abu-Bader, 2004, "The validity of the ELG hypothesis in the MENA region: cointegration and error correction model analysis," Applied Economics, Taylor & Francis Journals, volume 36, issue 15, pages 1685-1695, DOI: 10.1080/0003684042000266865.
• John Leeming & Paul Turner, 2004, "The BSE crisis and the price of red meat in the UK," Applied Economics, Taylor & Francis Journals, volume 36, issue 16, pages 1825-1829, DOI: 10.1080/0003684042000227868.
• Yannick L'horty & Christophe Rault, 2004, "Inflation, minimum wage and other wages: an econometric study on French macroeconomic data," Applied Economics, Taylor & Francis Journals, volume 36, issue 4, pages 277-290, DOI: 10.1080/00036840410001674213.
• Claus Brand & Nuno Cassola, 2004, "A money demand system for euro area M3," Applied Economics, Taylor & Francis Journals, volume 36, issue 8, pages 817-838, DOI: 10.1080/0003684042000229541.
• Erdal Karagol & Serap Palaz, 2004, "Does defence expenditure deter economic growth in Turkey? A cointegration analysis," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 3, pages 289-298, DOI: 10.1080/10242690320001608908.
• Huayu Sun & Yue Ma, 2004, "Money and price relationship in China," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 2, issue 3, pages 225-247, DOI: 10.1080/1476528042000276123.
• Cagri Sarikaya, 2004, "Export Dynamics in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 4, issue 2, pages 41-64.
• Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-015/4, Jan.
• Agnes S. Joseph & Jan F. Kiviet, 2004, "Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-056/4, May.
• McCrorie, J.R. & Chambers, M.J., 2004, "Granger Causality and the Sampling of Economic Processes," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-39.
• Chambers, M.J. & McCrorie, J.R., 2004, "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-40.
• Andreou, E. & Werker, B.J.M., 2004, "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-56.
• Chambers, M.J. & McCrorie, J.R., 2004, "Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-38.
• McCrorie, J.R. & Chambers, M.J., 2004, "Granger Causality and the Sampling of Economic Processes," Other publications TiSEM, Tilburg University, School of Economics and Management, number 02e79e30-1761-4800-8824-7.
• Chambers, M.J. & McCrorie, J.R., 2004, "Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," Other publications TiSEM, Tilburg University, School of Economics and Management, number d4a7b8fe-e36b-49e2-afb2-c.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-303, Oct.
• Harald Uhlig, 2004, "Do Technology Shocks Lead to a Fall in Total Hours Worked?," Journal of the European Economic Association, MIT Press, volume 2, issue 2-3, pages 361-371, 04/05.
• Michael Ehrmann & Andreas Worms, 2004, "Bank Networks and Monetary Policy Transmission," Journal of the European Economic Association, MIT Press, volume 2, issue 6, pages 1148-1171, December.
• Manfred Deistler & Klaus Neusser, 2004, "Prognose uni- und multivariater Zeitreihen," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0401, Jan.
• Arabinda Basistha & Richard Startz, 2004, "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Working Papers, University of Washington, Department of Economics, number UWEC-2004-22, Sep.
• Jorge Rivera & Patricia Toledo, 2004, "Efectos de la infraestructura pública sobre el crecimiento de la economía, evidencia para Chile," Estudios de Economia, University of Chile, Department of Economics, volume 31, issue 1 Year 20, pages 21-38, June.
• Antonio Moreno, 2004, "The Feds Monetary Policy Rule: Past, Present and Future," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/04, Jan.