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

• Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2004, "The Impact of the Introduction of Index Securities on the Underlying Stocks: The Case of the Diamonds and the Dow 30," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2004, "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bing-Huei Lin & Jerry M. C. Wang, 2004, "Asset Pricing with Higher Moments: Empirical Evidence from the Taiwan Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Asli Ascioglu & Thomas H. McInish, 2004, "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".
• Karyl B. Leggio & Donald Lien, 2004, "Is Covered Call Investing Wise? Evaluating the Strategy using Risk-Adjusted Performance Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Ping Hsiao & Wayne Y. Lee, 2004, "CFA Designation, Geographical Location and Analyst Performance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Peter C.B. Phillips & Donggyu Sul, 2004, "The Elusive Empirical Shadow of Growth Convergence," Yale School of Management Working Papers, Yale School of Management, number ysm342, Jul.
• Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul, 2004, "Prewhitening Bias in HAC Estimation," Yale School of Management Working Papers, Yale School of Management, number ysm426, Jul.
• Funke, Michael & Rahn, Jörg, 2004, "Just how undervalued is the Chinese renminbi," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 14/2004.
• Lazarov, Zdravetz, 2004, "Distribution of Trading Activity across Strike Prices in the DAX Index Options Market," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 7/2004.
• Knetsch, Thomas A., 2004, "The Inventory Cycle of the German Economy," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,09.
• Knetsch, Thomas A., 2004, "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,10.
• Eickmeier, Sandra, 2004, "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,12.
• Cayen, Jean-Philippe & van Norden, Simon, 2004, "The reliability of Canadian output gap estimates," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,29.
• Härdle, Wolfgang Karl & Chen, Ying & Schulz, Rainer, 2004, "Prognose mit nichtparametrischen Verfahren," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,07.
• Trenkler, Carsten & Wolf, Nikolaus, 2004, "Economic integration across borders : the Polish interwar economy 1921-1937," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,38.
• Norden, Lars & Weber, Martin, 2004, "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/20.
• Röthig, Andreas, 2004, "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 136.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Non-linearities and fractional integration in the US unemployment rate," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 259.
• Kamps, Christophe, 2004, "The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries," Kiel Working Papers, Kiel Institute for the World Economy, number 1224.
• Sibbertsen, Philipp & Krämer, Walter, 2004, "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,31.
• Kappler, Marcus, 2004, "Determination of Potential Growth Using Panel Techniques," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-69.
• Marcet, Albert & Ravn, Morten, 2004, "The HP-Filter in Cross-Country Comparisons," CEPR Discussion Papers, Centre for Economic Policy Research, number 4244, Feb.
• de Jong, Frank & Rindi, Barbara & Cheung, Yiu Chung, 2004, "Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms," CEPR Discussion Papers, Centre for Economic Policy Research, number 4285, Mar.
• Schotman, Peter C & Frijns, Bart, 2004, "Price Discovery in Tick Time," CEPR Discussion Papers, Centre for Economic Policy Research, number 4456, Jun.
• Henry, Jérôme & Marcellino, Massimiliano & Angelini, Elena, 2004, "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers, Centre for Economic Policy Research, number 4533, Oct.
• Rossi, Barbara & Pesavento, Elena, 2004, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," CEPR Discussion Papers, Centre for Economic Policy Research, number 4536, Sep.
• Weber, Martin & Norden, Lars, 2004, "The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 4674, Oct.
• Harvey, Andrew & Carvalho, Vasco, 2004, "Convergence and Cycles in the Euro Zone," CEPR Discussion Papers, Centre for Economic Policy Research, number 4726, Nov.
• Attfield, Clifford & Temple, Jonathan, 2004, "Measuring Trend Output: How Useful Are the Great Ratios?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4796, Dec.
• Hirukawa Masayuki, 2004, "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers, Concordia University, Department of Economics, number 04005, Sep.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-07.
• Janine Aron & John Muellbauer & B. Smit, 2004, "A Structural Model of the Inflation Process in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-08.
• 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.
• Röthig, Andreas, 2004, "Currency futures and currency crises," 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 4022, May.
• 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.
• Niels Haldrup & Morten O. Nielsen, 2004, "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-2, Apr.
• Robert Engle, 2004, "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, volume 94, issue 3, pages 405-420, June, DOI: 10.1257/0002828041464597.
• Clive W.J. Granger, 2004, "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, volume 94, issue 3, pages 421-425, June, DOI: 10.1257/0002828041464669.
• Francisco Ledesma-Rodríguez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, 2004, "An empirical examination of exchange-rate credibility determinants in the EMS," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 04-01, Mar.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Non-Linearities and Fractional Integration in the US Unemployment Rate," Discussion Paper Series, Hamburg Institute of International Economics, number 26232, DOI: 10.22004/ag.econ.26232.
• 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, Southern Agricultural Economics Association, volume 36, issue 01, pages 1-4, April, DOI: 10.22004/ag.econ.42940.
• 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, Southern Agricultural Economics Association, volume 36, issue 2, pages 1-17, August, DOI: 10.22004/ag.econ.43420.
• Kinnucan, Henry W., 2004, "Effects of Japanese Import Demand on U.S. Livestock Prices: Comment," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 36, issue 01, pages 1-5, April, DOI: 10.22004/ag.econ.43432.
• Manuela CROCI, 2004, "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 201, Jan.
• Cleomar Gomes & Otávio Aidar, 2004, "Metas Inflacionárias, Preços Livres E Administrados No Brasil: Uma Análise Econométrica," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 031.
• Carlos Hamilton Vasconcelos Araujo & Marta Baltar Moreira Areosa & Osmani Teixera de Carvalho Guillén, 2004, "Estimating Potential Output And The Output Gap For Brazil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 041.
• Fábio Augusto Reis Gomes & Leandro Gonçalves do Nascimento, 2004, "A Welfare Analysis Of Economic Fluctuations In South America," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 045.
• Luciana Cavalcante de Assis & Joilson Dias, 2004, "Política Fiscal, Nível Tecnológico E Crescimento Econômico No Brasil: Teoria E Evidência Empírica," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 050.
• Fernando de Aquino Fonseca Neto & Joanílio Rodolpho Teixeira, 2004, "Crescimento Com Restrições De Balanço De Pagamentos E Déficits Gêmeos No Brasil A Partir Dos Anos Noventa," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 073.
• Sinézio Fernandes Maia & Hilton Martins de Brito Ramalho, 2004, "Efeitos Reais E Nominais Sobre As Flutuações Da Taxa Real De Câmbio Brasil/Estados Unidos: Um Estudo Empírico Usando Var (1999-2003)," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 102.
• Vamerson Schwingel Ribeiro & Joilson Dias, 2004, "Índice De Atividade Econômica: Os Modelos De Filtro De Kalman E Box-Jenkins Comparados," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 103.
• Mario A. Margarido & Frederico A. Turolla & Carlos R. F. Bueno, 2004, "The World Market For Soybeans: Price Transmission Into Brazil And Effects From The Timing Of Crop And Trade," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 110.
• Nigohos Kanaryan, 2004, "Modelling the Risk at the Central European Stock Exchange at times of Crisis," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 70-83.
• Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004, "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0403, May.
• Walter Beckert, 2004, "Dynamic Monopolies with Stochastic Demand," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0404, Nov.
• Lise Pichette, 2004, "Are Wealth Effects Important for Canada," Bank of Canada Review, Bank of Canada, volume 2004, issue Spring, pages 29-35.
• Marc-André Gosselin & René Lalonde, 2004, "Modélisation « PAC » du secteur extérieur de l'économie américaine," Staff Working Papers, Bank of Canada, number 04-3, DOI: 10.34989/swp-2004-3.
• Charles St-Arnaud, 2004, "Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni," Staff Working Papers, Bank of Canada, number 04-46, DOI: 10.34989/swp-2004-46.
• Jean-Paul Lam, 2004, "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework," Staff Working Papers, Bank of Canada, number 04-9, DOI: 10.34989/swp-2004-9.
• Pilar Bengoechea & Gabriel Pérez-Quirós, 2004, "A useful tool to identify recessions in the euro-area," Working Papers, Banco de España, number 0419, Nov.
• Stefano Neri, 2004, "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 513, Jul.
• Luis Fernando Melo-Velandia & Alvaro J. Riascos, 2004, "Sobre los efectos de la política monetaria en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 281, Mar, DOI: 10.32468/be.281.
• Mario Nigrinis Ospina, 2004, "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia, Banco de la Republica de Colombia, number 282, Mar, DOI: 10.32468/be.282.
• Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2004, "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 10-57, June, DOI: 10.32468/Espe.4501.
• Luis F. Melo & Álvaro Riascos, 2004, "Sobre los efectos de la política monetaria en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 172-221, June, DOI: 10.32468/Espe.4505.
• Juan Carlos Vargas Berdugo, 2004, "Cuenta corriente y restricción presupuestaria intertemporal: un contraste de la viabilidad del financiamiento externo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 58-78, June, DOI: 10.32468/Espe.4502.
• Martha López P., 2004, "Efficient Policy Rule for Inflation Targeting in Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 80-115, June, DOI: 10.32468/Espe.4503.
• Pesaran M.H. & Schuermann T. & Weiner S.M., 2004, "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 129-162, April.
• Nielsen M.O., 2004, "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 331-345, July.
• Jean-Stéphane Mésonnier & Jean-Paul Renne, 2004, "A Time-Varying Natural Rate for the Euro Area," Working papers, Banque de France, number 115.
• Jean-Stéphane Mésonnier & Jean-Paul Renne, 2004, "règle de Taylor et politique mon taire dans la zone euro," Working papers, Banque de France, number 117.
• Kostas Tsatsaronis & Haibin Zhu, 2004, "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.
• Efthymios G. Tsionas & Dimitris K. Christopoulos, 2004, "Inflation, Shadow Prices and the EMU: Evidence From Greece," Bulletin of Economic Research, Wiley Blackwell, volume 56, issue 3, pages 251-269, July, DOI: 10.1111/j.1467-8586.2004.00201.x.
• Pierre L. Siklos, 2004, "Central Bank Behavior, the Institutional Framework, and Policy Regimes: Inflation Versus Noninflation Targeting Countries," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 3, pages 331-343, July, DOI: 10.1093/cep/byh024.
• Jim Lee, 2004, "The Inflation‐Output Variability Trade‐off: OECD Evidence," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 3, pages 344-356, July, DOI: 10.1093/cep/byh025.
• Ingolf Dittmann, 2004, "Error Correction Models for Fractionally Cointegrated Time Series," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 1, pages 27-32, January, DOI: 10.1111/j.1467-9892.2004.00335.x.
• S. Fountas & A. Ioannidis & M. Karanasos, 2004, "Inflation, Inflation Uncertainty and a Common European Monetary Policy," Manchester School, University of Manchester, volume 72, issue 2, pages 221-242, March, DOI: 10.1111/j.1467-9957.2004.00390.x.
• Khurshid M. Kiani & Prasad V. Bidarkota, 2004, "On Business Cycle Asymmetries in G7 Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 66, issue 3, pages 333-351, July, DOI: 10.1111/j.1468-0084.2004.00082.x.
• Martin Wagner, 2004, "A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 66, issue 3, pages 399-424, July, DOI: 10.1111/j.1468-0084.2004.00085.x.
• Richard Dennis, 2004, "Inferring Policy Objectives from Economic Outcomes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 66, issue s1, pages 735-764, September, DOI: 10.1111/j.1468-0084.2004.100_1.x.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inlation process," Working Paper, Norges Bank, number 2004/9, May.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper, Norges Bank, number 2004/10, Jun.
• Roger Hammersland, 2004, "Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension," Working Paper, Norges Bank, number 2004/15, Nov.
• Q. Farooq Akram, 2004, "Oil wealth and real exchange rates: The FEER for Norway," Working Paper, Norges Bank, number 2004/16, Nov.
• Roger Hammersland, 2004, "The degree of independence in European goods markets : An I(2) analysis of German and Norwegian trade data," Working Paper, Norges Bank, number 2004/19, Dec.
• Roger Hammersland, 2004, "Who was in the driving seat in Europe during the nineties, International financial markets or the BUBA?," Working Paper, Norges Bank, number 2004/20, Dec.
• Richard Harrison & George Kapetanios & Tony Yates, 2004, "Forecasting with measurement errors in dynamic models," Bank of England Staff Working Paper series, Bank of England, number 237, Nov.
• George Kapetanios & Tony Yates, 2004, "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England Staff Working Paper series, Bank of England, number 238, Nov.
• Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004, "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers, Bank of Greece, number 15, Jul.
• George Hondroyiannis & Sarantis Lolos & Evangelia Papapetrou, 2004, "Financial Markets and Economic Growth in Greece," Working Papers, Bank of Greece, number 17, Sep.
• Dimitrios Sideris, 2004, "Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan," Working Papers, Bank of Greece, number 19, Nov.
• Ami Barnea & Joseph Djivre, 2004, "Changes in Monetary and Exchange Rate Policies and the Transmission Mechanism in Israel, 1989.IV – 2002.I," Bank of Israel Working Papers, Bank of Israel, number 2004.13, Oct.
• L. Fanelli & M. Mazzocchi, 2004, "Back to the future? Habits and rational addiction in UK tobacco and alcohol demand," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• L. Fanelli & M. Mazzocchi, 2004, "Back to the future? Habits and rational addiction in UK tobacco and alcohol demand," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.