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

2002

• Ang, Andrew & Bekaert, Geert, 2002, "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 2, pages 163-182, April.
• Eric Jondeau & Michael Rockinger, 2002, "Asset Allocation in Transition Economies," Working papers, Banque de France, number 90.
• Henri Pagès & Joao A.C. Santos, 2002, "Optimal Supervisory Policies and Depositor-Preferences Laws," Working papers, Banque de France, number 91.
• Ben S.C. Fung, 2002, "A VAR analysis of the effects of monetary policy in East Asia," BIS Working Papers, Bank for International Settlements, number 119, Sep.
• Daniel Levy, 2002, "Cointegration in Frequency Domain," Working Papers, Bar-Ilan University, Department of Economics, number 2002-12, May.
• Daniel Levy & Hashem Dezhbakhsh, 2002, "International Evidence on Output Fluctuation and Shock Persistence," Working Papers, Bar-Ilan University, Department of Economics, number 2002-17, Dec.
• Jan Marc Berk, 2002, "Consumers' Inflation Expectations And Monetary Policy In Europe," Contemporary Economic Policy, Western Economic Association International, volume 20, issue 2, pages 122-132, April, DOI: 10.1093/cep/20.2.122.
• Ole E. Barndorff‐Nielsen & Neil Shephard, 2002, "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 64, issue 2, pages 253-280, May, DOI: 10.1111/1467-9868.00336.
• D. Levy, 2002, "Cointegration in frequency domain," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 3, pages 333-339, May, DOI: 10.1111/1467-9892.00267.
• Jesús Gonzalo & Jean‐Yves Pitarakis, 2002, "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 4, pages 401-423, July, DOI: 10.1111/1467-9892.00270.
• Stephen Wright, 2002, "Monetary Policy, Nominal Interest Rates, and Long–Horizon Inflation Uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, volume 49, issue 1, pages 61-90, February, DOI: 10.1111/1467-9485.00221.
• Claudia Arguedas & Jorge Requena Blanco, 2002, "La dolarización en Bolivia: Una estimación de la elasticidad de sustitución entre monedas," Revista de Análisis del BCB, Banco Central de Bolivia, volume 5, issue 2, pages 7-42, December.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2002, "Sectoral Fluctuations in U.K. Firms' Investment Expenditures," Boston College Working Papers in Economics, Boston College Department of Economics, number 520, Jan, revised 15 Jun 2003.
• Matteo Iacoviello & Raoul Minetti, 2002, "Financial Liberalisation and the Sensitivity of House Prices to Monetary Policy: Theory and Evidence," Boston College Working Papers in Economics, Boston College Department of Economics, number 538, Oct.
• Matteo Iacoviello, 2002, "House Prices and Business Cycles in Europe: a VAR Analysis," Boston College Working Papers in Economics, Boston College Department of Economics, number 540, Oct.
• Ippei Fujiwara & Maiko Koga, 2002, "A Statistical Forecasting Method for Inflation Forecasting," Bank of Japan Working Paper Series, Bank of Japan, number Research and Statistics D, Jul.
• Jacobson Tor & Lindh Thomas & Warne Anders, 2002, "Growth, Saving, Financial Markets, and Markov Switching Regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 5, issue 4, pages 1-20, January, DOI: 10.2202/1558-3708.1081.
• Ana María Iregui & Costas Milas & Jesus Otero, 2002, "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-29, Nov.
• Ana María Iregui & Costas Milas & Jesus Otero, 2002, "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-29, Nov.
• Harvey, A. & Vasco Carvalho, 2002, "Models for Converging Economies," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0216, May.
• Vasco M.Carvalho & Andrew C.Harvey, 2002, "Growth, Cycles and Convergence in US Regional Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0221, Aug.
• Deepika Goel, 2002, "Impact of Infrastructure on Productivity: Case of Indian Registered Manufacturing," Working papers, Centre for Development Economics, Delhi School of Economics, number 106, Jul.
• Ruge-Murcia, Francisco J., 2002, "Methods to Estimate Dynamic Stochastic General Equilibrium Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4fc8x822, Oct.
• Consuelo Gámez Amián & Amalia Morales Zumaquero., 2002, "Complete or Partial Inflation Convergence in the EU?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2002/09.
• Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002, "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2002/19.
• Hans-Martin Krolzig & Juan Toro, 2002, "Classical and Modern Business Cycle Measurement: The European Case," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2002/20.
• Hyeon-Seung Huh & Hyun-Hoon Lee, 2002, "Asymmetric output cost of lowering inflation: empirical evidence for Canada," Canadian Journal of Economics, Canadian Economics Association, volume 35, issue 2, pages 218-238, May, DOI: 10.1111/1540-5982.00128.
• Zuccardi Igor Esteban, 2002, "Demanda por importaciones en Colombia: una estimación," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Jesus Otero & Manuel Ramirez, 2002, "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," Borradores de Investigación, Universidad del Rosario, number 3296, Jan.
• Luis Eduardo Arango & Yanneth R. Betancourt, 2002, "A Signal Of Imperfect Portfolio Capital Adjustments From The Relationschip Between Yields Of Domestic And Foreign Colombian Debt," Borradores de Economia, Banco de la Republica, number 1934, Aug.
• Alvaro J. Riascos, 2002, "Dynamic Response To Monetary Shocks In A Search Model Of The Labor Market," Borradores de Economia, Banco de la Republica, number 2385, Nov.
• Alvaro J. Riascos, 2002, "Monetary Policy Rules in a Search Model of the Labor Market," Borradores de Economia, Banco de la Republica, number 3250, Oct.
• Ana Mar�a Iregui & Jes�s Otero, 2002, "On The Dynamics Of Unemployment In A Developing Economy: Colombia," Borradores de Economia, Banco de la Republica, number 3298, May.
• Igor Esteban Zuccardi Huertas, 2002, "Los ciclos económicos regionales en Colombia, 1986-2000," Documentos de Trabajo Sobre Economía Regional y Urbana, Banco de la República, Economía Regional, number 3159, Jan, DOI: 10.32468/dtseru.25.
• Álvaro Riascos, 2002, "Dynamic response to monetary shocks in a search model of the labor market," Revista de Economía del Rosario, Universidad del Rosario.
• Guglielmo Maria Caporale & Nikitas Pittis, 2002, "Exogeneity and measurement of persistence," Revista de Economía del Rosario, Universidad del Rosario.
• BAUWENS, Luc & LAURENT, Sébastien, 2002, "A new class of multivariate skew densities, with application to GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002020, Apr.
• Yoosoon Chang & Wonho Song, 2002, "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number B5-2, Mar.
• Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2002, "A Principal Components Approach to Cross-Section Dependence in Panels," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number B5-3, Mar.
• Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2002, "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number D4-2, Mar.
• Uhlig, Harald & Mountford, Andrew, 2002, "What are the Effects of Fiscal Policy Shocks?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3338, Apr.
• Massimo Guidolin & Giovanna Nicodano, 2005, "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 41, Feb.
• Fabio Bagliano & Claudio Morana, 2009, "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 81, Feb.
• Bystrom, Hans N. E., 2002, "Using simulated currency rainbow options to evaluate covariance matrix forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 12, issue 3, pages 216-230, July.
• Lof, Marten & Lyhagen, Johan, 2002, "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, volume 18, issue 1, pages 31-44.
• Corvoisier, Sandrine & Gropp, Reint, 2002, "Bank concentration and retail interest rates," Journal of Banking & Finance, Elsevier, volume 26, issue 11, pages 2155-2189, November.
• Boileau, Martin & Normandin, Michel, 2002, "Aggregate employment, real business cycles, and superior information," Journal of Monetary Economics, Elsevier, volume 49, issue 3, pages 495-520, April.
• Joshua C C Chan & Gary Koop, 2012, "Modelling breaks and clusters in the steady states of macroeconomic variables," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-07, Feb.
• Joshua Chan & Rodney Strachan, 2012, "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-13, Mar.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013, "What do the Fama-French Factors Add to C-CAPM?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-23, May.
• Patton, Andrew J., 2002, "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24951, Dec.
• Vázquez Pérez, Jesús, 2002, "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Aug.
• Gerrit de Wit & Niels Bosma & Martin Carree, 2002, "Modelling Entrepreneurship: unifying the equilibrium and entry/exit approach," Scales Research Reports, EIM Business and Policy Research, number N200201, Feb.
• G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002, "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2002-29.
• Hafner, C.M. & Herwartz, H., 2002, "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2002-36, Oct.
• Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL, 2002, "Comparison of Model Reduction Methods for VAR Processes," Economics Working Papers, European University Institute, number ECO2002/19.
• Yannick L’Horty & Christophe Rault, 2002, "Inflation, salaires et SMIC : quelles relations ?," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 02-01.
• Jean-Guillaume Sahuc, 2002, "A "Hybrid" Monetary Policy Model: Evidence from the Euro Area," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 02-10.
• Tom A. FEARNLEY, 2002, "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp95, Jul.
• Tom A. FEARNLEY, 2002, "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp97, Jul.
• Mrtin Melecký, 2002, "Poptávka po penìzích v Èeské republice (M1)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 3, pages 76-89, March.
• Martin Fukaè & Osvald Vašíèek, 2002, "Makroekonomický model produktu neakcelerujícího inflaci," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 5, pages 258-274, May.
• Martin Melecký, 2002, "Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994-2000 (èást I: domácnosti)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 7-8, pages 428-449, July.
• Martin Melecký, 2002, "Analýza diskrepancí v poptávce po penìzích domácností a firem v ÈR 1994?2000 ? èást II: firmy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 52, issue 9, pages 478-501, September.
• Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002, "Unity and Plurality of the European Cycle," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2002-03.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002, "The equilibrium rate of unemployment : a theoretical discussion and an empirical evaluation for six OECD countries," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2002-04.
• Issler, João Victor & Vahid, Farshid, 2002, "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 445, May.
• Issler, João Victor & Vahid, Farshid, 2002, "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 450, Jun.
• Diego Valderrama, 2002, "The Impact of Financial Frictions on a Small Open Economy: When Current Account Borrowing Hits a Limit," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-15, Nov, DOI: 10.24148/wp2002-15.
• Jon Faust & John H. Rogers & Eric T. Swanson & Jonathan H. Wright, 2002, "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 739.

2001

• Krolzig, Hans-Martin, 2001, "Business cycle measurement in the presence of structural change: international evidence," International Journal of Forecasting, Elsevier, volume 17, issue 3, pages 349-368.
• Lof, Marten & Hans Franses, Philip, 2001, "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, volume 17, issue 4, pages 607-621.
• Funke, Michael, 2001, "Money demand in Euroland," Journal of International Money and Finance, Elsevier, volume 20, issue 5, pages 701-713, October.
• Guglielmo Maria Caporale & Nikitas Pttis, 2001, "Revisiting the Long-Run Relationship between Real Exchange Rates and Real Interest Differentials: A Productivity Differential Approach Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 5, issue 2, pages 155-177, Winter.
• Kleijn, R.H. & van Dijk, H.K., 2001, "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-35, Nov.
• Stamatopoulos T., 2001, "Trade Balance and Exchange-Rate for a Small Open Economy During the EMS: The Hellinic Case 1983:1-1995:12," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 121-140, July - De.
• Yannick L’Horty & Christophe Rault, 2001, "Why is French Equilibrium Unemployment so High : an Estimation of the WS-PS Model," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 01-18.
• Vahid, Farshid & Issler, João Victor, 2001, "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 417, Apr.
• Issler, João Victor & Vahid, Farshid, 2001, "The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 429, Jul.
• James H. Stock & Mark W. Watson, 2001, "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Richard Dennis, 2001, "The Policy Preferences of the U.S. Federal Reserve," Working Paper Series, Federal Reserve Bank of San Francisco, number 2001-08, Jul, DOI: 10.24148/wp2001-08.
• John M. Roberts, 2001, "Estimates of the productivity trend using time-varying parameter techniques," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-08.
• James B. Bullard & Eric Schaling, 2001, "New economy-new policy rules," Review, Federal Reserve Bank of St. Louis, volume 83, issue May, pages 57-66.
• Marcelle Chauvet & Chinhui Juhn & Simon M. Potter, 2001, "Markov switching in disaggregate unemployment rates," Staff Reports, Federal Reserve Bank of New York, number 132.
• Jean Boivin & Marc Giannoni, 2001, "Has monetary policy become less powerful?," Staff Reports, Federal Reserve Bank of New York, number 144, Mar.
• Podevin, M., 2001, "Are Consumers Forward-Looking?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.22.
• Karame, F., 2001, "Can the Mortensen & Pissarides Model Reproduce the Asymmetric Dynamics of US and French Aggregate Gross Job Flows?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.39.
• Fratzscher, M., 2001, "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers, Quebec a Montreal - Recherche en gestion, number 48.
• Ehrmann, M. & Worms, A., 2001, "Interbank Lending and Monetary Policy Transmission: Evidence for Germany," Papers, Quebec a Montreal - Recherche en gestion, number 73.
• Elisabet Berglund & Kurt Brännäs, 2001, "Plants' entry and exit in Swedish municipalities," The Annals of Regional Science, Springer;Western Regional Science Association, volume 35, issue 3, pages 431-448.
• Markku Lanne, 2001, "Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect," Empirical Economics, Springer, volume 26, issue 2, pages 357-366.
• Stefan Mittnik & Thorsten Neumann, 2001, "Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries," Empirical Economics, Springer, volume 26, issue 2, pages 429-446.
• Jörg Breitung, 2001, "A convenient representation for structural vector autoregressions," Empirical Economics, Springer, volume 26, issue 2, pages 447-459.
• Anders Warne & Henrik Hansen, 2001, "The cause of Danish unemployment: Demand or supply shocks?," Empirical Economics, Springer, volume 26, issue 3, pages 461-486.
• Bruno Larue & Jean-Philippe Gervais, 2001, "Do reductions in black market exchange rate premia cause inflation?," Empirical Economics, Springer, volume 26, issue 3, pages 525-551.
• Mariam Camarero & Javier Ordóñez, 2001, "Who is ruling Europe? Empirical evidence on the German Dominance Hypothesis," Empirical Economics, Springer, volume 26, issue 4, pages 623-650.
• Enrique Alberola & Humberto López, 2001, "Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta," Spanish Economic Review, Springer;Spanish Economic Association, volume 3, issue 1, pages 23-40.
• Juan Solé López-Pinto, 2001, "Fiscal policy and the Spanish business cycle," Spanish Economic Review, Springer;Spanish Economic Association, volume 3, issue 4, pages 295-311.
• F. Butter & S. Koopman, 2001, "Interaction between structural and cyclical shocks in production and employment," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 2, pages 273-296, June, DOI: 10.1007/BF02707266.
• Guglielmo Caporale & Nikitas Pittis, 2001, "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 3, pages 501-524, September, DOI: 10.1007/BF02707628.
• Håvard Hungnes, 2001, "Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand," Discussion Papers, Statistics Norway, Research Department, number 309, Oct.
• Anindya Banerjee, 2001, "Industry structure and the dynamics of price adjustment," Applied Economics, Taylor & Francis Journals, volume 33, issue 15, pages 1889-1901, DOI: 10.1080/00036840010021131.
• Gianluca Cubadda, 2001, "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 201-216, DOI: 10.1081/ETC-100103823.
• Gael Martin, 2001, "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 217-234, DOI: 10.1081/ETC-100103824.
• Oscar Bajo-Rubio & Sosvilla-Rivero Simon, 2001, "A Quantitative Analysis of the Effects of Capital Controls: Spain, 1986-1990," International Economic Journal, Taylor & Francis Journals, volume 15, issue 3, pages 129-146, DOI: 10.1080/10168730100000047.
• Judith Giles & Cara Williams, 2001, "Export-led growth: a survey of the empirical literature and some non-causality results. Part 1," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 9, issue 3, pages 261-337, DOI: 10.1080/09638190050086177.
• Judith Giles & Cara Williams, 2001, "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 9, issue 4, pages 445-470, DOI: 10.1080/096381900750056867.
• Craig A. Depken, 2001, "Good News, Bad News and Garch Effects in Stock Return Data," Journal of Applied Economics, Taylor & Francis Journals, volume 4, issue 2, pages 313-327, November, DOI: 10.1080/15140326.2001.12040567.
• Sandor Valkovszky & Janos Vincze, 2001, "Estimates of and Problems with Core Inflation in Hungary," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 1, issue 1, pages 69-99.
• Richard Kleijn & Herman K. van Dijk, 2001, "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-105/4, Nov.
• Uhlig, H.F.H.V.S., 2001, "Did the FED Surprise the Markets in 2001? A Case Study for Vars with Sign Restrictions," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-88.
• Jose Tavares & Rossen Valkanov, 2001, "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp413.
• Albert Marcet & Morten O. Ravn, 2001, "The HP-filter in cross-country comparisons," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 588, Nov, revised Dec 2003.
• Atsushi Inoue & Mototsugu Shintani, 2001, "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0129, Dec, revised Aug 2003.
• Carol Scotese Lehr, 2001, "Banks and Output Fluctuations," Working Papers, VCU School of Business, Department of Economics, number 0101, May.
• Jesus Gonzalo & Jean-Yves Pitarakis, 2001, "Lag Length Estimation in Large Dimensional Systems," Econometrics, University Library of Munich, Germany, number 0108003, Aug.
• Giancarlo Bruno & Claudio Lupi, 2001, "Forecasting Industrial Production and the Early Detection of Turning Points," Econometrics, University Library of Munich, Germany, number 0110004, Oct.
• Godwin Nwaobi, 2001, "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics, University Library of Munich, Germany, number 0111004, Nov.
• Selahattin Dibooglu & Aykut Kibritcioglu, 2001, "Inflation, Output, and Stabilization in a High Inflation Economy: Turkey, 1980-2000," Macroeconomics, University Library of Munich, Germany, number 0107003, Jul, revised 26 Jul 2001.
• Sugita, K., 2001, "Bayesian Cointegration Analysis," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 591.
• Pitt, M.K. & Walker, S.G., 2001, "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 595.
• Dick Wittink & Csilla Horvath & Peter S.H. Leeflang, 2001, "Dynamic Analysis of a Competitive Marketing System," Yale School of Management Working Papers, Yale School of Management, number ysm226, Oct.
• Guglielmo Maria Caporale & Geoffrey Williams, 2001, "Bond Markets and Macroeconomic Performance," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 4, issue 1, pages 27-44, May.
• Gottschalk, Jan & Höppner, Florian, 2001, "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 21/2001.
• Ehrmann, Michael & Worms, Andreas, 2001, "Interbank lending and monetary policy transmission: evidence for Germany," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2001,11.
• Kaltenhäuser, Bernd, 2001, "Explaining the Dollar-Euro rate: Do stock market returns mater?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2001/06.
• Bohl, Martin T. & Siklos, Pierre L., 2001, "Dectecting speculative bubbles in stock prices: A new approach and some evidence for the US," Research Notes, Deutsche Bank Research, number 01-3.
• Romano, Joseph P. & Wolf, Michael, 2001, "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010201, Jan.
• Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 2001, "Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems," Macroeconomic Dynamics, Cambridge University Press, volume 5, issue 1, pages 81-100, February.
• Oleg Kozlovski & Patrick Pintus & Sebastien van Strien & Robin de Vilder, 2001, "Business Cycle Models : closing the gap between the different approaches," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2001-02.
• Albert Marcet & Morten Ravn, 2001, "GAUSS code for the HP-filter reformulated as a constrained minimization problem," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 103, revised .
• Prakash G Apte, 2001, "The Dynamics of Short-term Interest Rates: An Econometric Analysis," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 36, issue 2, pages 341-357, July.
• ROCKINGER, Michael & JONDEAU, Eric, 2001, "Portfolio allocation in transition economies," HEC Research Papers Series, HEC Paris, number 740, Oct.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2001, "Testing the rank of the Hankel matrix: a statistical approach," Working Paper Series, European Central Bank, number 45, Mar.
• Fratzscher, Marcel, 2001, "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series, European Central Bank, number 48, Mar.
• Camba-Méndez, Gonzalo & Rodriguez-Palenzuela, Diego, 2001, "Assessment criteria for output gap estimates," Working Paper Series, European Central Bank, number 54, Apr.
• Calza, Alessandro & Gartner, Christine & Sousa, João, 2001, "Modelling the demand for loans to the private sector in the euro area," Working Paper Series, European Central Bank, number 55, Apr.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2001, "Spectral based methods to identify common trends and common cycles," Working Paper Series, European Central Bank, number 62, Apr.
• Nicoletti Altimari, Sergio, 2001, "Does money lead inflation in the euro area?," Working Paper Series, European Central Bank, number 63, May.
• Ehrmann, Michael & Worms, Andreas, 2001, "Interbank lending and monetary policy transmission - evidence for Germany," Working Paper Series, European Central Bank, number 73, Jul.
• Clements, Michael P. & Hendry, David F., 2001, "Economic forecasting: some lessons from recent research," Working Paper Series, European Central Bank, number 82, Nov.
• Michael P. Clements & David F.Hendry, 2001, "Forecasting with difference-stationary and trend-stationary models," Econometrics Journal, Royal Economic Society, volume 4, issue 1, pages 1-19.
• Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 1999, "A long run structural macroeconometric model of the UK," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 35, Jun, revised Dec 2001.
• Athony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001, "Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 64, Dec.
• Candelon, Bertrand & Lutkepohl, Helmut, 2001, "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, volume 73, issue 2, pages 155-160, November.
• Phillips, Peter C. B., 2001, "Trending time series and macroeconomic activity: Some present and future challenges," Journal of Econometrics, Elsevier, volume 100, issue 1, pages 21-27, January.
• Domowitz, Ian & El-Gamal, Mahmoud A., 2001, "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, volume 102, issue 2, pages 365-398, June.
• Shintani, Mototsugu, 2001, "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, volume 105, issue 2, pages 337-362, December.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2001, "Normal modified stable processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W6, Jun.
• David Hendry & Michael P. Clements, 2001, "Pooling of Forecasts," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W9, Oct.
• Adusei Jumah, 2001, "The effects of dollar-sterling exchange rate volatility on futures markets for coffee and cocoa," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, volume 28, issue 3, pages 307-328, October.
• Hans-Martin Krolzig & Juan Toro & European University Institute & Florence, 2001, "A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment," Economics Series Working Papers, University of Oxford, Department of Economics, number 59, Jan.
• Hans-Martin Krolzig & Juan Toro & European University Institute & Florence, 2001, "Classical and Modern Business Cycle Measurement: The European Case," Economics Series Working Papers, University of Oxford, Department of Economics, number 60, Jan.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Normal Modified Stable Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 72, Jul.
• Krolzig, H.-M. & Toro, J., 2001, "A New Approach To The Analysis Of Business Cycle Transitions In A Model Of Output And Employment," Economics Series Working Papers, University of Oxford, Department of Economics, number 9959.
• Krolzig, H.-M. & Toro, J., 2001, "Classical And Modern Business Cycle Measurement: The European Case," Economics Series Working Papers, University of Oxford, Department of Economics, number 9960.
• By Gunnar Jonsson, 2001, "Inflation, Money Demand, and Purchasing Power Parity in South Africa," IMF Staff Papers, Palgrave Macmillan, volume 48, issue 2, pages 1-2.
• Raghbendra Jha & Anurag Sharma, 2001, "Structural Breaks and Unit Roots: A Further Test of the Sustainability of the Indian Fiscal Deficit," ASARC Working Papers, The Australian National University, Australia South Asia Research Centre, number 2001-08, Sep.
• Renato E. Reside, Jr., 2001, "Two Decades of Vector Autoregression (VAR) Modeling," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 38, issue 2, pages 83-121, December.
• Abu-Qarn, Aamer & Abu-Bader, Suleiman, 2001, "The Validity of the ELG Hypothesis in the MENA Region: Cointegration and Error Correction Model Analysis," MPRA Paper, University Library of Munich, Germany, number 1116.
• Sinha, Dipendra & Macri, Joseph, 2001, "Financial development and economic growth: The case of eight Asian countries," MPRA Paper, University Library of Munich, Germany, number 18297.
• Laborde, David & Rey, Serge, 2001, "Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000
  [Volatility and cross correlation across asset markets: Evidence from the French and US markets over ," MPRA Paper, University Library of Munich, Germany, number 30284, Jun.
• Lord, Montague, 2001, "Macroeconomic Policies for Poverty Reduction in Cambodia," MPRA Paper, University Library of Munich, Germany, number 41174, May.
• Bilgili, Faik, 2001, "ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması
  [A comparison of VAR and ARIMA Models’ forecasting accuracies]," MPRA Paper, University Library of Munich, Germany, number 75609.
• Karim Abadir, 2001, "Aggregation, Persistence and Volatility in a Macromodel," Working Papers, Banco de Portugal, Economics and Research Department, number w200106.
• Carol Alexander & Ian Giblin & Wayne Weddington III, 2001, "Cointegration and Asset Allocation: A New Fund Strategy," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-03.
• Chris Brooks & Melvin J. Hinich, 2001, "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-04, Jul.
• Chris Brooks & Sotiris Tsolacos, 2001, "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-08, Oct.
• Kostantinos Drakos, 2001, "The Expectations Hypothesis of the Term Structure: The Greek Interbank Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 4, pages 477-489.
• Abdulnasser Hatemi-J & Manucherhr Irandoust, 2001, "Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 2, pages 177-185.
• Dipendra Sinha & Joseph Macri, 2001, "Development and Economic Growth: The Case of Eight Asian Countries," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 2, pages 219-234.
• Scutaru, Cornelia, 2001, "Answer Of An Inflationary Circuit To The Possible Shocks In Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 63-77, December.
• John Landon-Lane, 2001, "The Impact on Forecasts and Impulse Responses of Restricting Drift in a Vector Autoregression," Departmental Working Papers, Rutgers University, Department of Economics, number 200114, Nov.
• David F. Hendry & Katarina Juselius, 2001, "Explaining Cointegration Analysis: Part II," The Energy Journal, , volume 22, issue 1, pages 75-120, January, DOI: 10.5547/ISSN0195-6574-EJ-Vol22-No1-.
• Patrik Gustavsson & Jonas Nordström, 2001, "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , volume 7, issue 2, pages 117-133, June, DOI: 10.5367/000000001101297766.
• Thorsten Freihube & Erik Theissen, 2001, "An Index Is An Index Is An Index?," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 53, issue 4, pages 295-320, October.
• Hans-Martin Krolzig, 2001, "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001, Society for Computational Economics, number 164, Apr.
• Jerry Coakley, Ana-Maria Fuertes, Ron Smith, 2001, "Small sample properties of panel time-series estimators with I(1) errors," Computing in Economics and Finance 2001, Society for Computational Economics, number 191, Apr.
• Joerg Breitung and Uwe Hassler, 2001, "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001, Society for Computational Economics, number 233, Apr.
• Katsuhiro Sugita, 2001, "Bayes Analysis of Partially Cointegrated VAR Systems with Markov Regime Switching," Computing in Economics and Finance 2001, Society for Computational Economics, number 33, Apr.
• J. Durbin and S.J. Koopman, 2001, "An efficient and simple simulation smoother for state space time series analysis," Computing in Economics and Finance 2001, Society for Computational Economics, number 52, Apr.
• Eric Schaling, James Bullard, 2001, "New economy : new policy rules?," Computing in Economics and Finance 2001, Society for Computational Economics, number 53, Apr.
• N R Bhanumurthy & M Ramachandran & Purna Chandra Padhan, 2001, "Is the QTM Controversy Settled?," Working Papers, Institute for Social and Economic Change, Bangalore, number 81.
• Stefan Ambec & Michel Poitevin, 2001, "Organizational Design of R&D activities," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 60, Jun.
• James H. Stock & Mark W. Watson, 2001, "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 101-115, Fall.
• Francisco J. Climent & Vicente Meneu, 2001, "Has 1997 Asian Crisis increased Information Flows between International Markets?," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 01-01, Jan.
• Fernando Perez de Gracia & Juncal Cuñado, 2001, "Intertemporal Current Account And Productivity Shocks: Evidence For Some European Countries," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 01-05, Apr.