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

2003

• Bruno, Giancarlo & Lupi, Claudio, 2003, "Forecasting Industrial Production and the Early Detection of Turning Points," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp03004, Apr.
• Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003, "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp03007, Jul.
• Cubadda, Gianluca & Omtzigt, Pieter, 2003, "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp03012, Oct.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short run and long run causality in time series: Inference," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-16.
• RUGE-MURCIA, Francisco J., 2003, "Methods to Estimate Dynamic Stochastic General Equilibrium Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-23.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 14-2003.
• RUGE-MURCIA, Francisco J., 2003, "Methods to Estimate Dynamic Stochastic General Equilibrium Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2003.
• Patrick Bisciari & Alain Durré & Alain Nyssens, 2003, "Stock market valuation in the United States," Working Paper Document, National Bank of Belgium, number 41, Nov.
• Lars Svensson & James Stock, 2003, "International Seminar on Macroeconomics (ISOM) 2002," NBER Books, National Bureau of Economic Research, Inc, number isom03-1, August.
• Moffatt, P. G. & Salies, E., 2003, "A note on the modelling of hyper-inflations," Working Papers, Department of Economics, City St George's, University of London, number 03/02.
• Madsen, J. B. & Milas, C., 2003, "The price-dividend relationship in inflationary and deflationary regimes," Working Papers, Department of Economics, City St George's, University of London, number 03/05.
• Milas, C., 2003, "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers, Department of Economics, City St George's, University of London, number 03/08.
• Gregory C. Chow & Caroline C. Lawler, 2003, "A Time Series Analysis of the Shanghai and New York Stock Price Indices," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 17-35, May.
• Jian Yang & Jin Zhang & David J. Leatham, 2003, "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 37-50, May.
• Maynard, Leigh J. & Veeramani, Venkat N., 2003, "Price Sensitivities for U.S. Frozen Dairy Products," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 35, issue 3, pages 599-609, December.
• Desgranges, Gabriel & Gauthier, Stéphane, 2003, "Uniqueness Of Bubble-Free Solution In Linear Rational Expectations Models," Macroeconomic Dynamics, Cambridge University Press, volume 7, issue 2, pages 171-191, April.
• Lütkepohl, Helmut & Wolters, Jürgen, 2003, "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, volume 7, issue 5, pages 711-733, November.
• Lütkepohl, Helmut & Wolters, Jürgen, 2003, "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, volume 7, issue 5, pages 711-733, November.
• Victoria Zinde-Walsh & Peter C.B. Phillips, 2003, "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1391, Jan.
• Peter C.B. Phillips & Donggyu Sul, 2003, "The Elusive Empirical Shadow of Growth Convergence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1398, Feb.
• Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young, 2003, "Prewhitening Bias in HAC Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1436, Sep.
• Camille Logeay & Silke Tober, 2003, "Time-varying Nairu and Real Interest Rates in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 351.
• Camille Logeay & Sven Schreiber, 2003, "Effekte einer Arbeitszeitverkürzung: empirische Evidenz für Frankreich," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 362.
• Boriss Siliverstovs & Tom Engsted & Niels Haldrup, 2003, "Long-Run Forecasting in Multicointegrated Systems," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 381.
• Boriss Siliverstovs, 2003, "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 382.
• Guillaume L¿Hégaret & Boriss Siliverstovs & Anne Neumann & Christian von Hirschhausen, 2003, "International Market Integration for Natural Gas?: A Cointegration Analysis of Prices in Europe, North America and Japan," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 393.
• Deepika Goel, 2003, "Impact of Infrastructure on Productivity: Case of Indian Registered Manufacturing," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 38, issue 1, pages 95-113, January.
• Rossi, Barbara & Pesavento, Elena, 2003, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," Working Papers, Duke University, Department of Economics, number 03-19.
• Rossi, Barbara & Pesavento, Elena, 2003, "Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure," Working Papers, Duke University, Department of Economics, number 03-23.
• Harry Haupt & Walter Oberhofer, 2005, "On autoregressive errors in singular systems of equations," Economics Bulletin, AccessEcon, volume 3, issue 54, pages 1-3.
• Calza, Alessandro & Sousa, João & Manrique, Marta, 2003, "Aggregate loans to the euro area private sector," Working Paper Series, European Central Bank, number 202, Jan.
• Würtz, Flemming Reinhardt, 2003, "A comprehensive model on the euro overnight rate," Working Paper Series, European Central Bank, number 207, Jan.
• Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003, "Estimating risk premia in money market rates," Working Paper Series, European Central Bank, number 221, Apr.
• Osbat, Chiara & Rüffer, Rasmus & Schnatz, Bernd, 2003, "The rise of the yen vis-a-vis the "synthetic" euro: is it supported by economic fundamentals?," Working Paper Series, European Central Bank, number 224, Apr.
• Osbat, Chiara & Schnatz, Bernd & Vijselaar, Focco, 2003, "Productivity and the ('synthetic') euro-dollar exchange rate," Working Paper Series, European Central Bank, number 225, Apr.
• Cassola, Nuno & Morana, Claudio, 2003, "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series, European Central Bank, number 235, Jun.
• Hahn, Elke, 2003, "Pass-through of external shocks to euro area inflation," Working Paper Series, European Central Bank, number 243, Jul.
• Hubrich, Kirstin, 2003, "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series, European Central Bank, number 247, Aug.
• Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2003, "Interpolation and backdating with a large information set," Working Paper Series, European Central Bank, number 252, Aug.
• Bruggeman, Annick & Donati, Paola & Warne, Anders, 2003, "Is the demand for euro area M3 stable?," Working Paper Series, European Central Bank, number 255, Sep.
• Calza, Alessandro & Sousa, João, 2003, "Why has broad money demand been more stable in the euro area than in other economies? A literature review," Working Paper Series, European Central Bank, number 261, Sep.
• Bruggeman, Annick & Donnay, Marie, 2003, "A monthly monetary model with banking intermediation for the euro area," Working Paper Series, European Central Bank, number 264, Sep.
• McAdam, Peter, 2003, "US, Japan and the euro area: comparing business-cycle features," Working Paper Series, European Central Bank, number 283, Nov.
• Monti, Francesca V., 2003, "Implementing optimal control in cointegrated I(1) structural VAR models," Working Paper Series, European Central Bank, number 288, Nov.
• Warne, Anders & Villani, Mattias, 2003, "Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs," Working Paper Series, European Central Bank, number 296, Dec.
• Strachan, Rodney & Brett Inder, 2003, "Bayesian Analysis of Stochastic and Deterministic Processes in The Error Correction Model," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 197, Jun.
• Wallis, Gavin, 2003, "The Effect of Skill shortages on Unemployment and Real Wage Growth: A Simultaneous Equation Approach," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 217, Jun.
• Ellis, Colin & Simon Price, 2003, "UK Business Investment: Long-Run Elasticities and Short-Run Dynamics," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 73, Jun.
• Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003, "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, volume 113, issue 487, pages 412-455, April.
• Yacine Ait--Sahalia & Per A. Mykland, 2003, "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, volume 71, issue 2, pages 483-549, March.
• George Kapetanios & Yongcheol Shin, 2003, "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 104, Nov.
• Seo, Byeongseon, 2003, "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11, pages 2243-2265, DOI: 10.1016/S0165-1889(02)00124-0.
• Bessec, Marie, 2003, "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, volume 20, issue 1, pages 141-164, January.
• Milas, Costas & Otero, Jesus, 2003, "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach," Economic Modelling, Elsevier, volume 20, issue 1, pages 165-179, January.
• Camba-Mendez, Gonzalo & Rodriguez-Palenzuela, Diego, 2003, "Assessment criteria for output gap estimates," Economic Modelling, Elsevier, volume 20, issue 3, pages 529-562, May.
• Hall, Alastair R. & Inoue, Atsushi, 2003, "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, volume 114, issue 2, pages 361-394, June.
• Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003, "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 113-146.

2002

• Faliva, Mario & Zoia, Maria Grazia, 2002, "On A Partitioned Inversion Formula Having Useful Applications In Econometrics," Econometric Theory, Cambridge University Press, volume 18, issue 2, pages 525-530, April.
• Miljkovic, Dragan & Marsh, John M. & Brester, Gary W., 2002, "Japanese Import Demand for U.S. Beef and Pork: Effects on U.S. Red Meat Exports and Livestock Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 34, issue 3, pages 501-512, December.
• Kilian, Lutz & Ohanian, Lee E., 2002, "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 5, pages 614-632, November.
• Peter C.B.Phillips & Donggyu Sul, 2002, "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1362, May.
• Sainan Jin & Peter C.B. Phillips, 2002, "The KPSS Test with Seasonal Dummies," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1373, May.
• Breitung, Jörg & Hassler, Uwe, 2002, "Inference on the cointegration rank in fractionally integrated processes," 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 9323.
• Tatiana Fic, 2002, "The Polish Zloty and Currency Speculation," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 279.
• Ulrich Fritsche & Camille Logeay, 2002, "Structural Unemployment and the Output Gap in Germany: Evidence from an SVAR Analysis within a Hysteresis Framework," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 312.
• Jonas Andersson, 2005, "Testing for Granger causality in the presence of measurement errors," Economics Bulletin, AccessEcon, volume 3, issue 47, pages 1-13.
• Cassola, Nuno & Morana, Claudio, 2002, "Monetary policy and the stock market in the euro area," Working Paper Series, European Central Bank, number 119, Jan.
• Beyer, Andreas & Farmer, Roger E. A., 2002, "Natural rate doubts," Working Paper Series, European Central Bank, number 121, Feb.
• Manganelli, Simone, 2002, "Duration, volume and volatility impact of trades," Working Paper Series, European Central Bank, number 125, Feb.
• Camba-Méndez, Gonzalo & Lamo, Ana, 2002, "Short-term monitoring of fiscal policy discipline," Working Paper Series, European Central Bank, number 152, Jun.
• Faust, Jon & Rogers, John H. & Swanson, Eric & Wright, Jonathan H., 2002, "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," Working Paper Series, European Central Bank, number 167, Aug.
• Onatski, Alexei & Williams, Noah, 2002, "Modeling model uncertainty," Working Paper Series, European Central Bank, number 169, Aug.
• Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002, "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series, European Central Bank, number 194, Nov.
• Garratt, Anthony & Kevin Lee & M Hashem Pesaran & Yongcheol Shin, 2002, "Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 82, Aug.
• Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002, "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, volume 70, issue 3, pages 1067-1109, May.
• Belén Fernández-Castro & Juan Carlos Moreno-Brid, 2002, "Un modelo intertemporal de la balanza por cuenta corriente de la economía española: La relevancia del proceso de formación de expectativas considerado," Documentos de trabajo - Analise Economica, IDEGA - Instituto Universitario de Estudios e Desenvolvemento de Galicia, number 0022.
• Maharaj, Elizabeth Ann, 2002, "Comparison of non-stationary time series in the frequency domain," Computational Statistics & Data Analysis, Elsevier, volume 40, issue 1, pages 131-141, July.
• Rigobon, Roberto, 2002, "The curse of non-investment grade countries," Journal of Development Economics, Elsevier, volume 69, issue 2, pages 423-449, December.
• Anderson, Heather M. & Ramsey, James B., 2002, "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 1, pages 33-67, January.
• Hatemi-J, Abdulnasser, 2002, "Fiscal policy in Sweden: effects of EMU criteria convergence," Economic Modelling, Elsevier, volume 19, issue 1, pages 121-136, January.
• Algan, Yann, 2002, "How well does the aggregate demand-aggregate supply framework explain unemployment fluctuations? A France-United States comparison," Economic Modelling, Elsevier, volume 19, issue 1, pages 153-177, January.
• Phillips, Peter C. B. & Jin, Sainan, 2002, "The KPSS test with seasonal dummies," Economics Letters, Elsevier, volume 77, issue 2, pages 239-243, October.
• Vahid, Farshid & Issler, Joao Victor, 2002, "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, volume 109, issue 2, pages 341-363, August.
• Breitung, Jorg & Hassler, Uwe, 2002, "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 167-185, October.
• Yacine Ait-Sahalia, 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8956, May.
• Bennett T. McCallum, 2002, "Consistent Expectations, Rational Expectations, Multiple-Solution Indeterminacies, and Least-Squares Learnability," NBER Working Papers, National Bureau of Economic Research, Inc, number 9218, Sep.
• Aureliano Angel Bressan & João Eustáquio de Lima, 2002, "Modelos de previsão de preços aplicados aos contratos futuros de boi gordo na BM&F [Models of price forecasting applied to futures contracts of live cattle at the Brazilian Futures Market - BM&F]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 12, issue 1, pages 117-140, January-J.
• Marisa Zeferino Barbosa & Mário A. Margarido & Sebastião Nogueira Junior, 2002, "Análise da elasticidade de transmissão de preços no mercado brasileiro de algodão [Analysis of price transmission elasticity in the Brazilian cotton market]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 12, issue 2, pages 79-108, July-Dece.
• F. Hild, 2002, "Do balances of opinion summarize at the best firms answers to business surveys?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2002-09.
• Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002, "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 2102, Jun.
• Clive Bowsher, 2002, "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W22, Oct.
• Karim Abadir & Gabriel Talmain, 2002, "Aggregation, Persistence and Volatility in a Macro Model," The Review of Economic Studies, Review of Economic Studies Ltd, volume 69, issue 4, pages 749-779.
• Raghbendra Jha & Hari K. Nagarajan, 2002, "Noisy Vertical Markets," ASARC Working Papers, The Australian National University, Australia South Asia Research Centre, number 2002-04.
• Chin-Hong PUAH,* & Muzafar Shah HABIBULLAH** & Shazali Abu MANSOR*, 2002, "Some Empirical Evidence On The Quantity Theoretic Proposition Of Money In Asean-5," Pakistan Journal of Applied Economics, Applied Economics Research Centre, volume 18, pages 31-47.
• Chan, Tze-Haw, 2002, "Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition," MPRA Paper, University Library of Munich, Germany, number 34642.
• Harding, Don, 2002, "The Australian Business Cycle: A New View," MPRA Paper, University Library of Munich, Germany, number 3698, Apr.
• Anas, Jacques & Ferrara, Laurent, 2002, "Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
  [A start-end recession index: Application for United-States]," MPRA Paper, University Library of Munich, Germany, number 4043, Jul.
• Lord, Montague, 2002, "Modeling the Macro-Economy of Bangladesh," MPRA Paper, University Library of Munich, Germany, number 41171, Jan.
• Josef Arlt & Milan Guba & Štěpán Radkovský & Vladimír Stiller & Milan Sojka, 2002, "Selected factors influencing the money demand development in the czech republic in 1994 - 2000," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 39-56, DOI: 10.18267/j.pep.187.
• Vincenzo Di Maro, 2002, "The Estimation Of The Nairu And The Effect Of Permanent Sectoral Employment Reallocation. The Italian Evidence," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 7_2002, Jun.
• João Valle e Azevedo, 2002, "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers, Banco de Portugal, Economics and Research Department, number w200205.
• Joaquim Pina, 2002, "Does Money Granger Cause Inflation in the Euro Area?," Working Papers, Banco de Portugal, Economics and Research Department, number w200212.
• George Kapetanios & Yongcheol Shin, 2002, "Unit Root Tests in Three-Regime SETAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 465, Nov.
• George Kapetanios, 2002, "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers, Queen Mary University of London, School of Economics and Finance, number 466, Nov.
• Gonzalo Camba-Mendez & George Kapetanios, 2002, "Bootstrap Statistical Tests of Rank Determination for System Identification," Working Papers, Queen Mary University of London, School of Economics and Finance, number 468, Nov.
• George Kapetanios, 2002, "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 469, Nov.
• George Kapetanios, 2002, "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers, Queen Mary University of London, School of Economics and Finance, number 471, Nov.
• Carol Alexandra & Anca Dimitriu, 2002, "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-08, Apr.
• Per-Åke Andersson & Boo Sjöö, 2002, "Inflation, Monetary Policy and Structural Adjustment in Zambia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 55, issue 4, pages 425-449.
• Abdulnasser Hatemi-J & Manucherhr Irandoust, 2002, "Investigating Causal Relations between Fixed Investment and Economic Growth," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 55, issue 1, pages 25-35.
• Hyun-Jae Rhee, 2002, "Empirical Analysis of the Psychological Hypothesis on Exchange Rate Determination and Testing Its Forecastability: The Korean Experience," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 449-473.
• Abdulnasser Hatemi-J, 2002, "Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 517-526.
• Manuchehr Irandoust & Boo Sjöö, 2002, "Productivity and Real Exchange Rates:Some Empirical Examples," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 527-553.
• Roberto Cellini & Antonello E. Scorcu, 2002, "Ripartizione del rischio nelle aree territoriali italiane: un’indagine nel lungo e nel breve periodo," Rivista di Politica Economica, SIPI Spa, volume 92, issue 3, pages 171-200, May-June.
• Carmine Pappalardo & Paolo Piselli, 2002, "Stime ed analisi del ciclo economico territoriale 1987-2000," Rivista di Politica Economica, SIPI Spa, volume 92, issue 3, pages 201-248, May-June.
• Vincenzo Di Maro, 2002, "Il NAIRU: la stima e l’effetto della riallocazione settoriale permanente dell’occupazione," Rivista di Politica Economica, SIPI Spa, volume 92, issue 6, pages 69-110, November-.
• A. Dragulescu & V. M. Yakovenko, 2002, "Probability distribution of returns in the Heston model with stochastic volatility," Computing in Economics and Finance 2002, Society for Computational Economics, number 127, Jul.
• A. Sfetsos & C. Siriopoulos, 2002, "A hybrid clustering scheme for time series forecasting," Computing in Economics and Finance 2002, Society for Computational Economics, number 17, Jul.
• B. Frijns & P. Schotman, 2002, "The Dynamics of Dealer Quoting Behavior," Computing in Economics and Finance 2002, Society for Computational Economics, number 235, Jul.
• Alvaro Veiga & Leonardo Souza, 2002, "A Multi-Factor Model with Irregular Returns for missing values imputation in emergent markets: Application to Brazilian Equity Data," Computing in Economics and Finance 2002, Society for Computational Economics, number 280, Jul.
• Gerhard Rünstler, 2002, "Are real-time estimates of the output gap reliable?," Computing in Economics and Finance 2002, Society for Computational Economics, number 300, Jul.
• Vladimiro Ceci, & Simone Manganelli & Walter Vecchiato, 2002, "Sensitivity Analysis of GARCH Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 31, Jul.
• Noriega, A., & L.M. Soria, 2002, "Structural Breaks, Orders of Integration, and the Neutrality Hypothesis: Further Evidence," Computing in Economics and Finance 2002, Society for Computational Economics, number 353, Jul.
• Luc Bauwens & Sébastien Laurent, 2002, "A New Class of Multivariate skew Densities, with Application to GARCH Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 5, Jul.
• Toni Gravelle & Maral Kichian & James Morley, 2002, "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 58, Jul.
• Angelini, Henry, Marcellino, 2002, "interpolation with a large information set," Computing in Economics and Finance 2002, Society for Computational Economics, number 72, Jul.
• Richard C. Bishop & Matthew T. Holt, 2002, "A semiflexible normalized quadratic inverse demand system: an application to the price formation of fish," Empirical Economics, Springer, volume 27, issue 1, pages 23-47.
• Timothy J. Vogelsang & Marc Tomljanovich, 2002, "Are U.S. regions converging? Using new econometric methods to examine old issues," Empirical Economics, Springer, volume 27, issue 1, pages 49-62.
• James D. Hamilton & Baldev Raj, 2002, "New directions in business cycle research and financial analysis," Empirical Economics, Springer, volume 27, issue 2, pages 149-162.
• Hans-Martin Krolzig & Michael P. Clements, 2002, "Can oil shocks explain asymmetries in the US Business Cycle?," Empirical Economics, Springer, volume 27, issue 2, pages 185-204.
• Chinhui Juhn & Simon Potter & Marcelle Chauvet, 2002, "Markov switching in disaggregate unemployment rates," Empirical Economics, Springer, volume 27, issue 2, pages 205-232.
• Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002, "A Markov-switching vector equilibrium correction model of the UK labour market," Empirical Economics, Springer, volume 27, issue 2, pages 233-254.
• Maria Elvira Mancino & Paul Malliavin, 2002, "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, volume 6, issue 1, pages 49-61.
• Carmine Trecroci & Juan Vega, 2002, "The information content of M3 for future inflation in the Euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 138, issue 1, pages 22-53, March, DOI: 10.1007/BF02707322.
• Hilde Christiane Bjørnland & Håvard Hungnes, 2002, "Fundamental determinants of the long run real exchange rate: The case of Norway," Discussion Papers, Statistics Norway, Research Department, number 326, Aug.
• Jean-Guillaume Sahuc, 2002, "A 'hybrid' monetary policy model: evidence from the Euro area," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 14, pages 949-955, DOI: 10.1080/13504850210146686.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2002, "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 6, pages 347-351, DOI: 10.1080/13504850110086044.
• Eiji Kurozumi, 2002, "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 2, pages 243-270, DOI: 10.1081/ETC-120014351.
• Ionel Birgean & Lutz Kilian, 2002, "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 4, pages 449-476, DOI: 10.1081/ETC-120015386.
• Adrian Dragulescu & Victor Yakovenko, 2002, "Probability distribution of returns in the Heston model with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 6, pages 443-453, DOI: 10.1080/14697688.2002.0000011.
• Siem Jan Koopman & Charles S. Bos, 2002, "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-113/4, Nov.
• Mountford, A.W. & Uhlig, H.F.H.V.S., 2002, "What are the Effects of Fiscal Policy Shocks?," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-31.
• Mountford, A.W. & Uhlig, H.F.H.V.S., 2002, "What are the Effects of Fiscal Policy Shocks?," Other publications TiSEM, Tilburg University, School of Economics and Management, number af6a2f09-0045-471e-bba4-b.
• Alfredo Marvao Pereira & Oriol Roca Sagalés, 2002, "Spillover effects of public capital formation : evidence from the spanish regions," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea0210, Sep.
• Dietmar Bauer & Martin Wagner, 2002, "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0204, May.
• Dietmar Bauer & Martin Wagner, 2002, "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0205, Jun.
• Martin Wagner, 2002, "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0210, Oct.
• Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002, "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0212, Nov.
• Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2002, "Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/02, May.
• Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002, "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/02, Jun.
• Piotr Kokoszka & Michael Wolf, 2002, "Subsampling the mean of heavy-tailed dependent observations," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 600, Feb.
• Joseph P. Romano & Michael Wolf, 2002, "Improved nonparametric confidence intervals in time series regressions," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 635, Jul.
• Hyeon‐Seung Huh & Hyun‐Hoon Lee, 2002, "Asymmetric output cost of lowering inflation: empirical evidence for Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 35, issue 2, pages 218-238, May, DOI: 10.1111/1540-5982.00128.
• Ines Fortin & Christoph Kuzmics, 2002, "Tail‐dependence in stock‐return pairs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 11, issue 2, pages 89-107, April, DOI: 10.1002/isaf.216.
• M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2002, "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-38, Dec.
• Nikolaus A. Siegfried, 2002, "An information-theoretic extension to structural VAR modelling," Econometrics, University Library of Munich, Germany, number 0203005, Mar.
• Vincenzo Di Maro, 2002, "The Estimation of the NAIRU and the Effect of Permanent Sectoral Employment Reallocation. The Italian Evidence," Econometrics, University Library of Munich, Germany, number 0207001, Jul.
• Wolfgang Koehling, 2002, "The Economic Consequences Of A Weak Judiciary: Insights From India," Law and Economics, University Library of Munich, Germany, number 0212001, Dec.
• Sugita, Katsuhiro, 2002, "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 654.
• Lanne, Markku, 2002, "Nonlinear dynamics of interest rate and inflation," Bank of Finland Research Discussion Papers, Bank of Finland, number 21/2002.
• Reitz, Stefan, 2002, "Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,17.
• Upper, Christian & Werner, Thomas, 2002, "Tail Wags Dog? Time-Varying Information Shares in the Bund Market," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,24.
• Hahn, Elke, 2002, "Core inflation in the Euro area: Evidence from the structural VAR approach," CFS Working Paper Series, Center for Financial Studies (CFS), number 2001/09.
• Levy, Daniel, 2002, "Cointegration in Frequency Domain," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 23, issue 3, pages 333-339.
• Vasilev, Aleksandar & Pavlov, Plamen & Rainov, Stefan & Kovatchev, Tsvetoslav, 2002, "Testing three models in international economics: The Purchasing Power Parity Model, the Interest Rate Parity Model and the Monetary Model: The case of the Turkish Lira and the US Dollar (1975-1999)," EconStor Research Reports, ZBW - Leibniz Information Centre for Economics, number 126129, Dec.
• Gottschalk, Jan, 2002, "Keynesian and monetarist views on the German unemployment problem: theory and evidence," Kiel Working Papers, Kiel Institute for the World Economy, number 1096.
• Holtemöller, Oliver, 2002, "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,12.
• Holtemöller, Oliver, 2002, "Money and banks: Some theory and empirical evidence for Germany," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,17.
• Brüggemann, Ralf, 2002, "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,2.
• Holtemöller, Oliver, 2002, "Further VAR evidence for the effectiveness of a credit channel in Germany," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,66.
• Trenkler, Carsten, 2002, "The effects of ignoring level shifts on systems cointegration tests," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,68.
• Holtemöller, Oliver, 2002, "Structural vector autoregressive models and monetary policy analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,7.
• Brüggemann, Ralf & Krolzig, Hans-Martin & Lütkepohl, Helmut, 2002, "Comparison of model reduction methods for VAR processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,80.