Research classified by Journal of Economic Literature (JEL) codes

---

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

---

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

• 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," Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia, Departamento de Economia da Universidade de Brasilia, number 318, Aug.
• Fernando de Aquino Fonseca Neto & Joanílio Rodolpho Teixeira, 2004, "Globalização Econômica e Investimentos no Brasil," Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia, Departamento de Economia da Universidade de Brasilia, number 322, Nov.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-17, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-17, Oct.
• Édouard Challe, 2004, "Une décomposition du cycle boursier," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 395-405.
• Claude Diebolt & Magali Jaoul, 2004, "Les dépenses militaires, moteur de la croissance économique japonaise ?. Une analyse cliométrique : 1868-1940," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 439-447.
• Pesaran, M.H., 2004, "A Pair-wise Approach to Testing for Output and Growth Convergence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0453, Oct.
• Oscar Jorda, 2004, "Model-Free Impulse Responses," Working Papers, University of California, Davis, Department of Economics, number 87, Jun.
• Jesús Vázquez, 2004, "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/11.
• Julio López Laborda & Jorge Onrubia Fernández, 2004, "Personal Income Tax Decentralization, Inequality and Social Welfare," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/17.
• Carlos Castellar & Jose Ignacio Uribe, 2004, "Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis?," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Universidad Externado de Colombia, Universidad Nacional de Colombia, volume 2, issue 1, pages 121-155, November.
• Jorge Herrera Hernández, 2004, "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, volume 7, pages 303-323, November.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp237, Sep.
• Yin-Wong Cheung & Antonio I. Garcia Pascual, 2000, "Testing for Output Convergence: A Re-Examination," CESifo Working Paper Series, CESifo, number 319.
• M. Hashem Pesaran, 2000, "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series, CESifo, number 345.
• Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001, "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series, CESifo, number 451.
• Morten O. Ravn & Harald Uhlig, 2001, "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series, CESifo, number 479.
• Helmut Luetkepohl & Jürgen Wolters, 2001, "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series, CESifo, number 604.
• Harald Uhlig, 2001, "Did the Fed Surprise the Markets in 2001? A Case Study for VARs with Sign Restrictions," CESifo Working Paper Series, CESifo, number 629.
• Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003, "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series, CESifo, number 995.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I (1) processes," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-014, Oct.
• Matías Tapia & Andrea Tokman, 2004, "Effects of Foreign Exchange Intervention Under Public Information: the Chilean Case," Working Papers Central Bank of Chile, Central Bank of Chile, number 255, Jan.
• Michel Normandin, 2004, "Canadian and U.S. financial markets: testing the international integration hypothesis under time-varying conditional volatility," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 4, pages 1021-1041, November.
• Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004, "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers, CEMFI, number wp2004_0409.
• F. Javier Mencía & Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers, CEMFI, number wp2004_0411.
• Jaromir Benes & David Vavra, 2004, "Eigenvalue Decomposition of Time Series with Application to the Czech Business Cycle," Working Papers, Czech National Bank, Research and Statistics Department, number 2004/08, Dec.
• Clemente Forero & Carlos Eduardo Sep√∫lveda, 2004, "Forms of Participatory Democracy: An Analytical Framework Based on the Experiences of Bolivia, Brazil and Colombia," Borradores de Investigación, Universidad del Rosario, number 2742, Nov.
• Luis Fernando Melo Velandia & Alvaro Jos� Riascos Villegas, 2004, "Sobre los Efectos de la Pol�tica Monetaria en Colombia," Borradores de Economia, Banco de la Republica, number 3511, Feb.
• 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 República, volume 22, issue 45, pages 58-78, DOI: 10.32468/Espe.4502.
• Luis F. Melo & �lvaro Riascos, 2004, "Sobre los efectos de la política monetaria en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 22, issue 45, pages 172-221, DOI: 10.32468/Espe.4505.
• Matías Tapia & Andrea Tokman, 2004, "Effects of Foreign Exchange Intervention under Public Information: The Chilean Case," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 215-256.
• Pablo E. Guidotti & Federico Sturzenegger & Agust�n Villar, 2004, "On the Consequences of Sudden Stops," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 171-214.
• Laura Alfaro & Andr�s Rodriguez-Clare, 2004, "Multinationals and Linkages: An Empirical Investigation," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 113-169.
• Albert Chong & Florencio L�pez-de-Silanes, 2004, "Privatization in Latin America: What Does the Evidence Say?," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 37-111.
• RENGIFO, Erick & ROMBOUTS, Jeroen, 2004, "Dynamic optimal portfolio selection in a VaR framework," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004057, Jul.
• GRAMMIG, Joachim & HEINEN, Andréas & RENGIFO, Erick, 2004, "Trading activity and liquidity supply in a pure limit order book market," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004058, Sep.
• Guillaume L'Hegaret & Boriss Siliverstovs & Christian von Hirschhausen, 2004, "International Market Integration for Natural Gas? A Cointegration Analysis of Prices in Europe, North America and Japan," Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research, number 0402, Jan.
• Hsiao-chuan Chang, 2004, "Budget Balance And Trade Balance:Kin Or Strangers. A Case Study Of Taiwan," Department of Economics - Working Papers Series, The University of Melbourne, number 893.
• Jonathan Temple & Cliff Attfield, 2004, "Measuring trend growth: how useful are the great ratios?," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 101, Sep.
• Colin Ellis & Simon Price, 2004, "UK business investment: long-run elasticities and short-run dynamics," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 27, Sep.
• Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos, 2004, "Inflation, inflation uncertainty, and a common European Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 30, Sep.
• Kevin Lee & Kalvinder Shields, 2004, "Business survey forecasts and measurement of output trends in five European economies," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 52, Sep.
• Alfonso Mendoza, 2004, "Modelling long memory and risk premia in Latin American sovereign bond markets," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 65, Sep, revised 13 Oct 2004.
• John Muellbauer & Emilio Fernandez-Corugedo, 2004, "Consumer credit conditions in the UK," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 70, Sep.
• Roberto Ricciuti, 2004, "Nonlinearity in testing for fiscal sustainability," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 80, Sep.
• Sofiane Sekioua, 2004, "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 85, Sep.
• Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004, "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 101, Sep.
• Q. Farooq Akram, 2004, "Oil wealth and real exchange rates: The FEER for Norway," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 33, Sep.
• Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 7, Sep.
• Costanza Torricelli & Chiara Pederzoli, 2004, "A forward-looking model for time-varying capital requirements and the New Basel Capital Accord," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0453, Feb.
• 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.
• Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004, "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10614, Jul.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4004, Feb, revised 11 May 2004.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4104, Mar, revised 01 Jun 2004.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W10, Apr.
• Guillaume Chevillon & David F. Hendry, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W12, May.
• Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W02, Feb.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W21, Sep.
• Dominick Stephens, 2004, "The equilibrium exchange rate according to PPP and UIP," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP 2004/03, Apr.
• Sylvia Kaufmann & Maria Teresa Valderrama, 2004, "Modeling Credit Aggregates," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 90, Sep.
• Arturo Vásquez, 2004, "Los Vínculos entre el Crecimiento Económico y la Infraestructura Eléctrica en el Perú, 1940-2000," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 17, Dec.
• Philip Arestis & Andrea Cipollini & Bassam Fattouh, 2004, "Threshold Effects in the U.S. Budget Deficit," Economic Inquiry, Western Economic Association International, volume 42, issue 2, pages 214-222, April.
• Jian Yang & David A. Bessler, 2004, "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, volume 42, issue 3, pages 370-386, July.
• Martin B. Schmidt, 2004, "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, volume 42, issue 4, pages 634-646, October.
• Andrew J. Patton, 2004, "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 1, pages 130-168.
• Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004, "The European business cycle," Oxford Economic Papers, Oxford University Press, volume 56, issue 1, pages 1-44, January.
• Yin-Wong Cheung & Antonio Garcia Pascual, 2004, "Testing for output convergence: a re-examination," Oxford Economic Papers, Oxford University Press, volume 56, issue 1, pages 45-63, January.
• David Hendry & Guillaume Chevillon, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 196, Jul.
• Clive Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-19, Sep.
• Renzo Jiménez Sotelo, 2004, "Riesgo crediticio derivado del riesgo cambiario: perspectiva de una economía latinoamericana parcialmente dolarizada," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, volume 31, issue 54, pages 92-134.
• Annetta Maria Binotti & Enrico Ghiani, 2004, "Interpreting reduced form cointegrating vectors of incomplete systems. A labour market application," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy, number 2004/28, Jan.
• Lorenzo Corsini & Marco Guerrazzi, 2004, "Searching for Long Run Equilibrium Relationships in the Italian Labour Market: a Cointegrated VAR Approach," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy, number 2004/43, Jan.
• Eruygur, Aysegul, 2004, "The impact of foreign interest rate on the macroeconomic performance of Turkey," MPRA Paper, University Library of Munich, Germany, number 12493.
• Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio, 2004, "Consumption risk sharing and adjustment costs," MPRA Paper, University Library of Munich, Germany, number 1641, Oct, revised Nov 2006.
• Mapa, Dennis S., 2004, "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper, University Library of Munich, Germany, number 21028.
• Gradzewicz, Michal & Kolasa, Marcin, 2004, "Estimating the output gap in the Polish economy: the VECM approach," MPRA Paper, University Library of Munich, Germany, number 28227, Feb.
• Boschi, Melisso, 2004, "International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002," MPRA Paper, University Library of Munich, Germany, number 28546.
• Goyal, Ashima & Paul, Manas, 2004, "Interest groups or incentives: the political economy of fiscal decay," MPRA Paper, University Library of Munich, Germany, number 29198.
• Kulaksizoglu, Tamer, 2004, "Measuring the Effectiveness of Competition Policy: Evidence from the Turkish Cement Industry," MPRA Paper, University Library of Munich, Germany, number 357, Jul.
• Rodríguez, Carlos A., 2004, "A P* Model of Inflation in Puerto Rico," MPRA Paper, University Library of Munich, Germany, number 41278, Sep.
• Stavarek, Daniel, 2004, "Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions," MPRA Paper, University Library of Munich, Germany, number 7297.
• Degiannakis, Stavros, 2004, "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 80488.
• Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004, "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper, University Library of Munich, Germany, number 8115, Aug.
• Iiboshi, Hirokuni & Wakita, Shigeru, 2004, "Do Structural Breaks exist in Okun’s Law? Evidence from the Lost Decade in Japan," MPRA Paper, University Library of Munich, Germany, number 87392, Dec.
• Degiannakis, Stavros, 2004, "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 96330.
• Miloslav Vošvrda & Filip Žikeš, 2004, "An Application of the Garch-t Model on Central European Stock Returns," Prague Economic Papers, Prague University of Economics and Business, volume 2004, issue 1, pages 26-39, DOI: 10.18267/j.pep.229.
• Josef Arlt & Milan Guba & Štěpán Radkovský, 2004, "Využití metody peněžního převisu/deficitu k indikaci inflačních rizik (přístup Evropské centrální banky)
  [Implementation of monetary overhang/shortfall measure for indication of inflation risks (the approach of the European Central Bank)]," Politická ekonomie, Prague University of Economics and Business, volume 2004, issue 2, DOI: 10.18267/j.polek.456.
• Andrea Cipollini & George Kapetanios, 2004, "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 506, Feb.
• Andrew P. Blake & George Kapetanios, 2004, "Testing for Neglected Nonlinearity in Cointegrating Relationships," Working Papers, Queen Mary University of London, School of Economics and Finance, number 508, Feb.
• George Kapetanios, 2004, "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests," Working Papers, Queen Mary University of London, School of Economics and Finance, number 509, Feb.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• George Kapetanios, 2004, "Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 520, Oct.
• Richard Harrison & George Kapetanios, 2004, "Forecasting with Measurement Errors in Dynamic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 521, Oct.
• George Kapetanios, 2004, "A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units," Working Papers, Queen Mary University of London, School of Economics and Finance, number 523, Oct.
• Carol Alexander & Anca Dimitriu, 2004, "A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-03, Mar.
• Carol Alexandra & Emese Lazar, 2004, "The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-13, Oct.
• Marco Del Negro & Frank Schorfheide, 2004, "A DSGE-VAR for the Euro Area," 2004 Meeting Papers, Society for Economic Dynamics, number 43.
• Antje Berndt & Rohan Douglas, 2004, "Estimating Default Risk Premia from Default Swap Rates and EDFs," 2004 Meeting Papers, Society for Economic Dynamics, number 821.
• Abdulnasser Hatemi-J, 2004, "Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 4, pages 461-473.
• Panagiotis Konstantinou, 2004, "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 3, pages 315-331.
• José Brandão de Brito, 2004, "Monetary Integration in East Asia: An Empirical Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 19, pages 536-567.
• Robert F. Engle III, 2004, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-3.
• Clive W. J. Granger, 2004, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-6.
• Pavelescu, Florin Marius, 2004, "Features Of The Ordinary Least Square (Ols) Method. Implications For The Estimation Methodology," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 2, pages 85-101, May.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae, 2004, "Quarterly Gdp Data Correction Using Principal Components Analysis. The Case Of The Romanian Economy – Gdp Expenditures Side," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 5-34.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae & Nicolae, Mariana & Chilian, Mihaela Nona, 2004, "Principal Components Model Of The Romanian Economy. Gdp – Production Side," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 52-66.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Nicolae, Mariana, 2004, "Principal Components Model Of The Romanian Economy. Study Of The Oil Price Impact Upon Gdp," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 67-80.
• Federico Perali & Luca Pieroni, 2004, "Analisi fondamentale di mercato con aspettative razionali: un modello per il mercato delle materie prime," Rivista di Politica Economica, SIPI Spa, volume 94, issue 2, pages 187-224, March-Apr.
• Romina Gambacorta, 2004, "Il dibattito sulla legge di Verdoorn: alcuni risultati empirici usando l’analisi di cointegrazione," Rivista di Politica Economica, SIPI Spa, volume 94, issue 3, pages 251-251, May-June.
• G. Peersman, 2004, "What caused the early millennium slowdown? Evidence based on vector autoregressions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 04/235, Mar.
• Francesco Carlucci & Alessandro Girardi, 2004, "National Specifities and Monetary-Policy Trasmission in Europe," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 73, May.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe19.
• F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004, "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004, Society for Computational Economics, number 124, Aug.
• Guillaume Guerrero & Nicolas Million, 2004, "The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model," Computing in Economics and Finance 2004, Society for Computational Economics, number 133, Aug.
• William A. Barnett & Yijun He, 2004, "New Phenomena Identified in a Stochastic Dynamic Macroeconometric Model: A Bifurcation Perspective," Computing in Economics and Finance 2004, Society for Computational Economics, number 145, Aug.
• Peter Vlaar & Ard den Reijer, 2004, "Forecasting inflation: An art as well as a science!," Computing in Economics and Finance 2004, Society for Computational Economics, number 148, Aug.
• Dietmar Maringer & Peter Winker, 2004, "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 155, Aug.
• Ana-Maria Fuertes & Elena Kalotychou, 2004, "Forecasting sovereign default using panel models: A comparative analysis," Computing in Economics and Finance 2004, Society for Computational Economics, number 228, Aug.
• Aaron Smallwood, 2004, "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004, Society for Computational Economics, number 23, Aug.
• Kirstin Hubrich, 2004, "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004, Society for Computational Economics, number 230, Aug.
• Valderio A. Reisen, DEST-UFES, Brazil & Luz A. M. Santander & GET-UFF, 2004, "Semi-parametric procedures for Unit root and fractional cointegration tests," Computing in Economics and Finance 2004, Society for Computational Economics, number 250, Aug.
• Valderio A. Reisen, UFES, Brazil. & Carlos Feitosa Luna & Manoel R. Sena Jr., 2004, "Estimation of the fractionally integrated process with Missing Values: Simulation and Application," Computing in Economics and Finance 2004, Society for Computational Economics, number 251, Aug.
• Baoline Chen & Peter A. Zadrozny, 2004, "Perturbed Polynomial Path Method For Accurately Computing And Empirically Evaluating Total Factor Productivity," Computing in Economics and Finance 2004, Society for Computational Economics, number 268, Aug.
• Stuart Snaith & Jerry Coakley, 2004, "The overvaluation of PPP in Europe?," Computing in Economics and Finance 2004, Society for Computational Economics, number 285, Aug.
• Simon van Norden, 2004, "How Precise are Our Estimates of the Current Output Gap? New Evidence from Multivariate Estimates for the Euro-Zone," Computing in Economics and Finance 2004, Society for Computational Economics, number 299, Aug.
• Roy van der Weide, 2004, "Wake me up before you GO-GARCH," Computing in Economics and Finance 2004, Society for Computational Economics, number 316, Aug.
• Jerzy Mycielski & Michal Kurcewicz, 2004, "A Specification Search Algorithm for Cointegrated Systems," Computing in Economics and Finance 2004, Society for Computational Economics, number 321, Aug.
• Jesus Vazquez, 2004, "Does the Term Spread Play a Role in the Fed's Reaction Function? An Empirical Investigation," Computing in Economics and Finance 2004, Society for Computational Economics, number 52, Aug.
• Marco Del Negro & Frank Schorfheide, 2004, "A DSGE-VAR for the Euro Area," Computing in Economics and Finance 2004, Society for Computational Economics, number 79, Aug.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 04.3, Oct.
• Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004, "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 04.6, Dec.
• 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 1, 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.