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

• Müller, Christian, 2002, "On the effects of aggregating cointegrated variables over time," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,9.
• Hafner, Christian M. & Herwartz, Helmut, 2002, "Testing for vector autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,4.
• Baur, Dirk, 2002, "The persistence and asymmetry of time-varying correlations," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 232.
• Byron Gangnes & Craig Parsons, 2002, "Using Structural Break Tests to Evaluate Policy Change: The Impact of U.S.-Japan Trade Agreements," Working Papers, University of Hawaii at Manoa, Department of Economics, number 200217.
• Jean-Guillaume Sahuc, 2002, "A ‘Hybrid’ Monetary Policy Model: Evidence from the Euro Area," Post-Print, HAL, number hal-01612717.
• Daniel Levy, 2002, "Cointegration in frequency domain," Post-Print, HAL, number hal-02385599, May, DOI: 10.1111/1467-9892.00267.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002, "The equilibrium rate of unemployment : a theoretical discussion and an empirical evaluation for six OECD countries," Sciences Po Economics Publications (main), HAL, number hal-01027421, Apr.
• Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002, "Unity and Plurality of the European Cycle," Sciences Po Economics Publications (main), HAL, number hal-03458584, Feb.
• Michael Rockinger & Eric Jondeau, 2002, "Asset Allocation in Transition Economies," Working Papers, HAL, number hal-00597773, Oct.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002, "The equilibrium rate of unemployment : a theoretical discussion and an empirical evaluation for six OECD countries," Working Papers, HAL, number hal-01027421, Apr.
• Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002, "Unity and Plurality of the European Cycle," Working Papers, HAL, number hal-03458584, Feb.
• Nikolaus A. Siegfried, 2002, "An information-theoretic extension to structural VAR modelling," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20203, Mar.
• Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002, "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-14, May.
• He, Changli & Teräsvirta, Timo & González, Andres, 2002, "Testing parameter constancy in stationary vector autoregressive models against continuous change," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 507, Aug, revised 11 Jul 2005.
• Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002, "Common factors in conditional distributions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 515, Nov.
• He, Changli & Teräsvirta, Timo, 2002, "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 516, Nov.
• Hjelm, Göran & Johansson, Martin W, 2002, "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers, Lund University, Department of Economics, number 2002:3, Feb.
• Graflund, Andreas & Nilsson, Birger, 2002, "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers, Lund University, Department of Economics, number 2002:8, Mar.
• Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 2002, "Identifying the Effects of Monetary Policy Shocks in an Open Economy," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 134, May.
• Jacobson, Tor & Lyhagen, Johan & Larsson, Rolf & Nessén, Marianne, 2002, "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 145, Dec.
• Nordström, Jonas, 2002, "Dynamic and Stochastic Structures in Tourism Demand Modelling," Umeå Economic Studies, Umeå University, Department of Economics, number 596, Nov.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002, "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 597, Dec.
• Alexius, Annika & Carlsson, Mikael, 2002, "Measures of Technology and the Business Cycle," Working Paper Series, Uppsala University, Department of Economics, number 2002:10, May, revised 02 Mar 2006.
• Jumah, Adusei & Kunst, Robert M., 2002, "On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation," Economics Series, Institute for Advanced Studies, number 109, Jan.
• Kunst, Robert M., 2002, "Testing for Stationarity in a Cointegrated System," Economics Series, Institute for Advanced Studies, number 117, Jul.
• Kunst, Robert M., 2002, "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series, Institute for Advanced Studies, number 121, Sep.
• Fortin, Ines & Kuzmics, Christoph, 2002, "Tail-Dependence in Stock-Return Pairs," Economics Series, Institute for Advanced Studies, number 126, Nov.
• Shigeyuki Hamori & Akira Tokihisa, 2002, "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 79-86, April.
• Tsangyao Chang & Yuan-Hong Ho, 2002, "Tax or Spend, What Causes What: Taiwan's Experience," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 2, pages 157-165, August.
• Fratzscher, Marcel, 2002, "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 7, issue 3, pages 165-193, July.
• Víctor M. Guerrero, 2002, "Pronósticos Con Restricciones En Series De Tiempo Univariadas: Aplicación Al Seguimiento Del Pib De Mexico En 2001," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 1, pages 15-38, Marzo 200.
• Bertocco Giancarlo & Fanelli Luca & Paruolo Paolo, 2002, "On the determinants of inflation in Italy: evidence of cost-push effects before the European Monetary Union," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0223, Dec.
• Ángel León & Antonio Rubia, 2002, "Forecasting Time-Varying Covariance Matrices In Intradaily Electricity Spot Prices," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-10, Jul.
• Maximo Camacho & Gabriel Perez-Quiros, 2002, "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 1, pages 61-80.
• Chien-Hui Lee & Bwo-Nung Huang, 2002, "The Relationship Between Exports And Economic Growth In East Asian Countries: A Multivariate Threshold Autoregressive Approach," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 27, issue 2, pages 45-68, December.
• Johann Burgstaller, 2002, "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2002-07, Jul.
• Fritsche Ulrich & Stephan Sabine, 2002, "Leading Indicators of German Business Cycles. An Assessment of Properties / Frühindikatoren der deutschen Konjunktur. Eine Beurteilung ihrer Eigenschaften," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 3, pages 289-315, June, DOI: 10.1515/jbnst-2002-0302.
• Hans Christian Kongsted, 2002, "Testing the Nominal-to-Real Transformation," Discussion Papers, University of Copenhagen. Department of Economics, number 02-06, Mar.
• Hans Christian Kongsted & Heino Bohn Nielsen, 2002, "Analyzing I(2) Systems by Transformed Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 02-20, Nov.
• Philip Arestis & Andrea Cipollini & Bassam Fattouh, 2002, "Threshold Effects in the U.S. Budget Deficit," Economics Working Paper Archive, Levy Economics Institute, number wp_358, Oct.
• Mustafa Caglayan & Neslihan Ozkan & Christopher F Baum, 2002, "Sectoral Fluctuations in U.K. Firms' Investment Expenditures," Working Papers, University of Liverpool, Department of Economics, number 2002_01.
• Lux, Thomas & Sornette, Didier, 2002, "On Rational Bubbles and Fat Tails," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 3, pages 589-610, August.
• Alessandro Cigno & Luca Casolaro & Furio C. Rosati, 2002, "The Impact of Social Security on Saving and Fertility in Germany," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, volume 59, issue 2, pages 189-211, May.
• Xibin Zhang & Maxwell L. King, 2002, "Influence Diagnostics in GARCH Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/02, Dec.
• Yacine Ait-Sahalia & Per A. Mykland, 2002, "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0276, Apr.
• Gunther Capelle-Blancard & Séverine Vandelanoite, 2002, "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.
• Gunnar Bardsen & Eilev Jansen & Ragnar Nymoen, 2002, "Model Specification and Inflation Forecast Uncertainty," Annals of Economics and Statistics, GENES, issue 67-68, pages 495-517.
• Ramón María-Dolores, 2002, "Asymmetries in the Cyclical Effects of Monetary Policy on Output: Some European Evidence," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 02-04, May.
• Maynard, Leigh J. & Narayanan, V. Venkat, 2002, "Price Sensitivities For U.S. Frozen Dairy Products," 2002 Annual meeting, July 28-31, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 19781, DOI: 10.22004/ag.econ.19781.
• Kuiper, W. Erno & Lutz, Clemens & van Tilburg, Aad, 2002, "Vertical Price Leadership on Local Maize Markets in Benin," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain, European Association of Agricultural Economists, number 24886, DOI: 10.22004/ag.econ.24886.
• 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, Southern Agricultural Economics Association, volume 34, issue 3, pages 1-12, December, DOI: 10.22004/ag.econ.15072.
• Awokuse, Titus O., 2002, "Is The Export-Lead Growth Hypothesis Valid For Canada?," Staff Papers, University of Delaware, Department of Food and Resource Economics, number 15823, DOI: 10.22004/ag.econ.15823.
• Haigh, Michael S. & Nomikos, Nikos K. & Bessler, David A., 2002, "Integration And Causality In International Freight Markets--Modeling With Error Correction And Directed Acyclic Graphs," Working Papers, University of Maryland, Department of Agricultural and Resource Economics, number 28558, DOI: 10.22004/ag.econ.28558.
• Massimo GIULIODORI, 2002, "Monetary Policy Shocks and the Role of House Prices Across European Countries," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 164, May.
• Carlos Henrique Rocha & José Angelo C. A. Divino, 2002, "The determinants of unemployment in Brazil and Mexico," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 3, issue 2, pages 303-315, July-Dece.
• Adrian A. Dragulescu & Victor M. Yakovenko, 2002, "Probability distribution of returns in the Heston model with stochastic volatility," Papers, arXiv.org, number cond-mat/0203046, Mar, revised Nov 2002.
• Phillips, Peter & Sul, Donggyu, 2002, "Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence," Working Papers, Department of Economics, The University of Auckland, number 194.
• Céline Gauthier & David Tessier, 2002, "Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence," Staff Working Papers, Bank of Canada, number 02-31, DOI: 10.34989/swp-2002-31.
• Marc-André Gosselin & René Lalonde, 2002, "Une approche éclectique d'estimation du PIB potentiel américain," Staff Working Papers, Bank of Canada, number 02-36, DOI: 10.34989/swp-2002-36.
• Dominique Tremblay, 2002, "Salaire réel, chocs technologiques et fluctuations économiques," Staff Working Papers, Bank of Canada, number 02-42, DOI: 10.34989/swp-2002-42.
• Paolo Zaffaroni, 2002, "Contemporaneous aggregation of GARCH processes," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 449, Jul.
• Ana María Iregui & Jesús Otero, 2002, "On the Dynamics of Unemployment in a Developing Economy: Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 208, May, DOI: 10.32468/be.208.
• Luis Eduardo Arango & Yanneth R.Betancourth, 2002, "A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt," Borradores de Economia, Banco de la Republica de Colombia, number 216, Aug, DOI: 10.32468/be.216.
• Alvaro Riascos, 2002, "Monetary Policy Rules in a Search Model of the Labor Market," Borradores de Economia, Banco de la Republica de Colombia, number 221, Oct, DOI: 10.32468/be.221.
• Alvaro Riascos, 2002, "Dyanmic Response to Monetary Shocks in a Search Model of the Labor Market," Borradores de Economia, Banco de la Republica de Colombia, number 222, Oct, DOI: 10.32468/be.222.
• Igor Esteban Zuccardi Huertas, 2002, "Los ciclos económicos regionales en Colombia, 1986-2000," Documentos de trabajo sobre Economía Regional y Urbana, Banco de la Republica de Colombia, number 25, Jan, DOI: 10.32468/dtseru.25.
• Igor Esteban Zuccardi Huertas, 2002, "Efectos regionales de la política monetaria en Colombia," Documentos de trabajo sobre Economía Regional y Urbana, Banco de la Republica de Colombia, number 32, Jul, DOI: 10.32468/dtseru.32.
• 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.
• 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.
• 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 .