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

1997

• Etsuro Shioji, 1997, "Spanish monetary policy: A structural VAR analysis," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 215, May.
• Etsuro Shioji, 1997, "Identifying monetary policy shocks in Japan," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 216, Apr.
• Morten O. Ravn & Martín Solà, 1997, "Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 247, Oct, revised Dec 1997.
• Siklos, P.L. & Anusiewicz, J., 1997, "The Effect of Canadian and U.S. M1 Announcements on Canadian Financial Markets: The Crow Years," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-3.
• Siklos, P.L. & Granger, C.W.J., 1997, "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-5.
• William J. Crowder, 1997, "The Liquidity Effect: Identifying Permanent and Transitory Components of Money Growth," Macroeconomics, University Library of Munich, Germany, number 9702001, Feb, revised 25 Feb 1997.

1996

• Quah, Danny T, 1996, "Aggregate and Regional Disaggregate Fluctuations," Empirical Economics, Springer, volume 21, issue 1, pages 137-159.
• Hilde Christiane Bjørnland, 1996, "The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks," Discussion Papers, Statistics Norway, Research Department, number 174, Jun.
• Hilde Christiane Bjørnland, 1996, "Sources of Business Cycles in Energy Producing Economies - The case of Norway and United Kingdom," Discussion Papers, Statistics Norway, Research Department, number 179, Aug.
• Jan Jacobs & Albert van der Horst,, 1996, "VAR-ing the economy of the Netherlands," Working Papers, Centre for Economic Research, University of Groningen and University of Twente, number 24, Jan.
• Francisco F. R. Ramos, 1996, "VAR Priors: Success or lack of a decent macroeconomic theory?," Econometrics, University Library of Munich, Germany, number 9601002, Jan.
• Francisco F. R. Ramos, 1996, "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics, University Library of Munich, Germany, number 9601003, Jan.
• Michel Normandin & Louis Phaneuf, 1996, "The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility," Econometrics, University Library of Munich, Germany, number 9607001, Jul.
• Francisco F. R. Ramos, 1996, "Causality Among Sales,Advertising and Prices: New Evidence from a Multivariate Cointegrated System," Econometrics, University Library of Munich, Germany, number 9612004, Dec.
• Thomas Kaiser, 1996, "One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -," Econometrics, University Library of Munich, Germany, number 9612007, Dec.
• Michel Normandin & Pascal St-Amour, 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Finance, University Library of Munich, Germany, number 9607001, Jul.
• Alan G. Isaac & David E. Rapach, 1996, "Monetary Shocks and Real Farm Prices: A Re-Examination," Others, University Library of Munich, Germany, number 9602001, Feb.
• Kaiser, Thomas, 1996, "One-factor-Garch models for German stocks: Estimation and forecasting," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 87.
• Ulrich, Volker & Erbsland, Manfred, 1996, "Der langfristige Zusammenhang zwischen demographischen und budgetären Variablen," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 96-09.
• Hong, Yongmiao, 1996, "Testing for independence between two covariance stationary time series," MPRA Paper, University Library of Munich, Germany, number 108731, Sep.
• Sinha, Dipendra, 1996, "Saving and economic growth in India," MPRA Paper, University Library of Munich, Germany, number 18283.
• Allan Gregory & Allen Head, 1996, "Common And Country-specific Fluctuations In Productivity, Investment, And The Current Account," Working Paper, Economics Department, Queen's University, number 931, Feb.
• Alison Tarditi, 1996, "Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9608, Nov.
• Dipendra Sinha, 1996, "Saving and Economic Growth in India," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 49, issue 4, pages 637-647.
• Gregory, Allan W. & Head, Allen C., 1996, "Common and Country-specific Fluctuations in Productivity, Investment, and the Current Account," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273342, Feb, DOI: 10.22004/ag.econ.273342.
• Agustín Maravall, 1996, "Short-Term Analysis of Macroeconomic Time Series," Working Papers, Banco de España, number 9607.
• Agustín Maravall, 1996, "Unobserved Components in Economic Time Series," Working Papers, Banco de España, number 9609.
• Agustín Maravall & Daniel Peña, 1996, "Missing Observations and Additive Outliers in Time Series Models," Working Papers, Banco de España, number 9612.
• Stock, James H & Watson, Mark W, 1996, "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 1, pages 11-30, January.
• John Barkoulas & Christopher F. Baum, 1996, "A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency," Boston College Working Papers in Economics, Boston College Department of Economics, number 311., Feb.
• Christopher F. Baum & Meral Karasulu, 1996, "Modelling Federal Reserve Discount Policy," Boston College Working Papers in Economics, Boston College Department of Economics, number 335., Jan.
• Koustas, Z., 1996, "The prospects for a Common European Currency : An Economic Assessment," Working Papers, Brock University, Department of Economics, number 1996-06.
• Pesaran, M.H., 1996, "The Role of Economic Theory in Modelling the Long Run," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9612.
• Khatri, Y. & Solomou, S., 1996, "Climate and Fluctuations in Agricultural Output, 1867-1913," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9617.
• Binder, M. & Pesaran, H., 1996, "Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9619.
• Dolado, Juan J. & López-Salido, J David, 1996, "Hysteresis and Economic Fluctuations (Spain, 1970-94)," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1334, Feb.
• Dolado, Juan J. & López-Salido, J David & Vega, Juan Luis, 1996, "Short- and Long-run Phillips Trade-offs and the Cost of Disinflationary Policies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1483, Oct.
• Michel Normandin & Pascal St-Amour, 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 39, Jan.
• Michel Normandin & Louis Phaneuf, 1996, "The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 40, May.
• Hartmann, Philipp, 1996, "Trading volumes and transaction costs in the foreign market - evidence from daily dollar-yen spot data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119171, Jan.
• Quah, Danny, 1996, "Aggregate and regional disaggregate fluctuations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2081, Feb.
• Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996, "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M., Universite Aix-Marseille III, number 96a09.
• Fiorentini, G & Planas, C, 1996, "Non-Admissible Decompositions in Unobserved Components Models," Papers, Centro de Estudios Monetarios Y Financieros-, number 9613.
• Fiorentini, G & Sentana, E, 1996, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers, Centro de Estudios Monetarios Y Financieros-, number 9617.
• Normandin, M. & St-Amour, P., 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers, Laval - Recherche en Politique Economique, number 9606.
• Camarero, M. & Esteve, V. & Tamarit, C., 1996, "The Peseta Real Exchange Rate: Which Are Its Determinants?," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research, number 96-1.
• Camarero, M. & Esteve, V. & Tamarit, C., 1996, "Price Convergence of Periphical European Countries on the Way to the EMU: A Time Series Approach," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research, number 96-2.
• Grainger, J. & Judge, G., 1996, "Changing Patterns of Seasonality in Hotel and Tourism Demand: An Analysis of Portsmouth Monthly Arrivals Data," Papers, Portsmouth University - Department of Economics, number 73.
• Koustas, Z., 1996, "The prospects for a Common European Currency : An Economic Assessment," Papers, York (Canada) - Department of Economics, number 1996-06.
• Soderlind, Paul & Vredin, Anders, 1996, "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 11, issue 4, pages 363-381, July-Aug..
• Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996, "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers, University of Copenhagen. Department of Economics, number 96-12, Jun.
• Normandin, Michel & St-Amour, Pascal, 1996, "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Cahiers de recherche, Université Laval - Département d'économique, number 9606.
• F.T. Denton & D.C. Mountain & B.G. Spencer, 1996, "A Quadratic Almost Ideal Demand System Estimated with Pooled regional Time Series: Approximates Aggregation with an Accounting for Age, Cohort, and Trend Effects," Quantitative Studies in Economics and Population Research Reports, McMaster University, number 315.
• Ravindiran, T., 1996, "Cointegration Analysis of Purchasing Power Parity in a Small Country Context," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/96.
• Ghysels, E. & Ng, S., 1996, "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9612.
• Ghysels, E. & Ng, S., 1996, "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9612.
• Gonzalo, Jesús & Lee, Tae-Hwy, 1996, "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4542, Jan.
• Shadman-Mehta, Fatemeh, 1996, "Does Modern Econometrics replicate the Phillips Curve?," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1996015, Jun.
• Carlo C.A. WINDER & Franz C. PALM, 1996, "Stochastic implications of the life cycle consumption model under rational habit formation," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1996043, Sep.
• Ilyan Georgiev & Petia Petrova & Gabriella Stoyanova, 1996, "Приложение На Коинтеграционния Анализ," Working paper series, Agency for Economic Analysis and Forecasting, number 31996bg, Jun.
• Foster, Dean P & Nelson, Daniel B, 1996, "Continuous Record Asymptotics for Rolling Sample Variance Estimators," Econometrica, Econometric Society, volume 64, issue 1, pages 139-174, January.
• Gregory, Allan W. & Smith, Gregor W., 1996, "Measuring business cycles with business-cycle models," Journal of Economic Dynamics and Control, Elsevier, volume 20, issue 6-7, pages 1007-1025.
• Tzavalis, Elias & Wickens, M. R., 1996, "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, volume 3, issue 1, pages 103-122, May.
• de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996, "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, volume 3, issue 2, pages 193-213, June.

1995

• Gonzalo, Jesús & Pitarakis, Jean-Yves, 1995, "Comovements in large systems," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 5825, Sep.
• Peeters, Marga, 1995, "Inventories, Factor Demand and Capacity Utilization : the Long and Short Run Structure," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1995007, Feb.
• Peeters, Marga & Ghijsen, Paul, 1995, "Capital, Labour, Materials and Additional R&D Investment in Japan. The Issue of (Double-) Counting," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1995009, Jan.
• Peeters, Marga, 1995, "Trigger Values of (Non-) Residential Structures and Equipment Investment," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1995019, May.
• Alain DESERRES & René LALONDE, 1995, "Les sources des fluctuations des taux de change en Europe et leurs implications pour l’union monétaire," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1995011, Mar.
• Ramsey, James B., 1995, "If Nonlinear Models Cannot Forecast, What Use Are They?," Working Papers, C.V. Starr Center for Applied Economics, New York University, number 95-04.
• Merlo, A. & Schotter, A., 1995, "A Surprise-Quiz View of Learning in Economic Experiments," Working Papers, C.V. Starr Center for Applied Economics, New York University, number 95-32.
• Peter C.B. Phillips, 1995, "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1102, Jun.
• Peter C.B. Phillips, 1995, "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1103, Jun.
• Barja, Gover, 1995, "Time Series Analysis of Macroeconomic Conditions in Open Economies," MPRA Paper, University Library of Munich, Germany, number 62178, Jan.
• Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995, "Multivariate unit root tests," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 95-001.RS.
• Yiuman Tse & G. Booth, 1995, "The relationship between U.S. and eurodollar interest rates: Evidence from the futures market," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 131, issue 1, pages 28-46, March, DOI: 10.1007/BF02709070.
• Einar Bowitz & Taran Fæhn & Leo A. Grünfeld & Knut Moum, 1995, "Transitory Adjustment Costs and Long Term Welfare Effects of an EU-membership - The Norwegian Case," Discussion Papers, Statistics Norway, Research Department, number 150, Aug.
• Audun Langørgen, 1995, "On the Simultaneous Determination of Current Expenditure, Real Capital, Fee Income, and Public Debt in Norwegian Local Government," Discussion Papers, Statistics Norway, Research Department, number 153, Aug.
• Torstein Bye & Alexandra Katz, 1995, "Returns to Publicly Owned Transport Infrastructure Investment . A Cost Function/Cost Share Approach for Norway, 1971-1991," Discussion Papers, Statistics Norway, Research Department, number 154, Sep.
• Pål Boug & Knut Anton Mork & Trond Tjemsland, 1995, "Financial Deregulation and Consumer Behavior: the Norwegian Experience," Discussion Papers, Statistics Norway, Research Department, number 156, Oct.
• Bjørn E. Naug & Ragnar Nymoen, 1995, "Import Price Formation and Pricing to Market: A Test on Norwegian Data," Discussion Papers, Statistics Norway, Research Department, number 157, Nov.
• Bierens, H.J., 1995, "Nonparametric cointegration analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 1995-123.
• Rodney Thom, 1995, "The influence of Sterling on Irish interest rates," Open Access publications, School of Economics, University College Dublin, number 10197/715.
• Card, David & Olson, Craig A, 1995, "Bargaining Power, Strike Durations, and Wage Outcomes: An Analysis of Strikes in the 1880s," Journal of Labor Economics, University of Chicago Press, volume 13, issue 1, pages 32-61, January, DOI: 10.1086/298367.
• Siddiqui, Sikandar, 1995, "Labour supply disincentive effects of old age public pensions: A case study for West Germany combining panel data and aggregate information," Discussion Papers, University of Konstanz, Center for International Labor Economics (CILE), number 28.
• Becker, Torbjörn, 1995, "An Investigation of Ricardian Equivalence in a Common Trends Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 72, Oct.
• Brännström, Tomas, 1995, "A Second-order Approximation to the Bias of OLS Estimates in Bivariate VAR Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 81, Nov.
• Brännström, Tomas, 1995, "Money Growth and Inflation: Implications of Reducing the Bias of VAR Estimates," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 82, Nov.
• Jumah, Adusei & Kunst, Robert M., 1995, "Forecasting Seasonally Cointegrated Systems: Supply Response in Austrian Agriculture," Economics Series, Institute for Advanced Studies, number 11, Jul.
• Franses, Philip Hans & Kunst, Robert M., 1995, "On the role of seasonal intercepts in seasonal cointegration," Economics Series, Institute for Advanced Studies, number 15, Sep.
• Kunst, Robert M., 1995, "Estimating the Number of Unit Roots. A Multiple Decision Approach," Economics Series, Institute for Advanced Studies, number 16, Oct.
• Rünstler, Gerhard & Jumah, Adusei & Karbuz, Sohbet, 1995, "Arbitrage in Commodity Markets: A Full Systems Cointegration Analysis," Economics Series, Institute for Advanced Studies, number 4, Mar.
• Pierre-Richard Agénor, 1995, "Competitiveness and External Trade Performance of the French Manufacturing Industry," IMF Working Papers, International Monetary Fund, number 1995/137, Dec.
• Domenico MIGNACCA, 1995, "Comparing the impulse response functions of different models," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 59, Mar.
• Brock, W.A. & De Lima, P.J.F., 1995, "Nonlinear Time Series, Complexity Theory, and Finance," Working papers, Wisconsin Madison - Social Systems, number 9523.
• Marmol,F., 1995, "Spurious Multicointegration," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 302.95.
• Luis J. Álvarez & Miguel Sebastian, 1995, "La inflación latente en España: una perspectiva macroeconómica," Working Papers, Banco de España, number 9521.
• Khatri, Y. & Solomou, S., 1995, "The Impact of Weather on UK Agricultural Production, 1953-1990," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9532.
• Khatri,Y. & Solomou,S., 1995, "Parametric and semiparametric Modelling of the Nonlinear Relation Between Weather and Agricultural Production,1953-1990," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9536.
• Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998, "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9812.
• Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1995, "Models and Priors for Multivariate Stochastic Volatility," CIRANO Working Papers, CIRANO, number 95s-18, Mar.
• Martha Misas A. & Marla Ripoll N. & Enrique L�pez E., 1995, "Una Descripci�N Del Ciclo Industrial En Colombia," Borradores de Economia, Banco de la Republica, number 3707, May.
• Alejandro L�pez M. & Juana Patricia T�llez, 1995, "Una Historia De Los A�Os Veinte Para Los Noventa," Borradores de Economia, Banco de la Republica, number 3711, Mar.
• DESCHAMPS , Philippe J., 1995, "Full Sample Maximum Likelihood Estimation of Dynamic Demand Models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1995049, Aug.
• Crafts, Nicholas & Mills, Terence C, 1995, "Europe's Golden Age: An Econometric Investigation of Changing Trend Rates of Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1087, Jan.
• Söderlind, Paul & Vredin, Anders, 1995, "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1120, Jan.
• Quah, Danny, 1995, "Aggregate and Regional Disaggregate Fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1236, Sep.
• Quah, Danny, 1995, "Convergence empirics across economies with (some) capital mobility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2256.
• Abadir, Karim, 1995, "Testing for Cointegration," Discussion Papers, University of Exeter, Department of Economics, number 9507.
• Tzavalis, E. & Wickens, M.R., 1995, "Forecasting Inflation from the Term Structure," Discussion Papers, University of Exeter, Department of Economics, number 9519.
• Markku Lanne, 1995, "Co-integration and the term structure of Finnish short-term interest rates," Finnish Economic Papers, Finnish Economic Association, volume 8, issue 1, pages 3-16, Spring.
• Tor Jacobson, 1995, "Simulating small-sample properties of the maximum likelihood cointegration method : estimation and testing," Finnish Economic Papers, Finnish Economic Association, volume 8, issue 2, pages 96-107, Autumn.
• Teyssiere, G., 1995, "Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97b03.
• Lee, T.H. & Gonzalo, J., 1995, "On the Robustness of Cointegration Tests when Series Are Fractionally Integrated," The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside, number 95-11.

1994

• Evans, George & Reichlin, Lucrezia, 1994, "Information, forecasts, and measurement of the business cycle," Journal of Monetary Economics, Elsevier, volume 33, issue 2, pages 233-254, April.
• Tzavalis, Elias & Wickens, Michael, 1994, "The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence," Discussion Papers, University of Exeter, Department of Economics, number 9402.
• Richard H. Clarida & Jordi Gali, 1994, "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
• James H. Stock & Mark W. Watson, 1994, "Evidence on structural instability in macroeconomic times series relations," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago, number 94-13.
• Soderlind, P. & Vredin, A., 1994, "Applied Conintegration Analysis in the Mirror of Macroeconomic Theory," Papers, Stockholm - International Economic Studies, number 584.
• Audun Langørgen, 1994, "A Macromodel of Local Government Spending Behaviour in Norway," Discussion Papers, Statistics Norway, Research Department, number 117, May.
• Søren Johansen & Anders Rygh Swensen, 1994, "Testing Rational Expectations in Vector Autoregressive Models," Discussion Papers, Statistics Norway, Research Department, number 129, Oct.
• de Jong, F.C.J.M. & Nijman, T.E. & Roell, A.A., 1994, "Price effects of trading and components of the bid-ask spread on the Paris Bource," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-54.
• Thomas J. Jordan & Carlos Lenz, 1994, "Demand and Supply Shocks in the IS-LM Model: Empirical Findings for five Countries," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp9408, Jul.
• David (David Patrick) Madden, 1994, "Omitted variables, dynamic specification and tests for homogeneity," Working Papers, School of Economics, University College Dublin, number 199412, Aug.
• Thom Rodney, 1994, "The influence of Sterling on Irish interest rates," Working Papers, School of Economics, University College Dublin, number 199424, Nov.
• George Evans & Lucrezia Reichlin, 1994, "Information, forecasts and measurement of the business cycle," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10155, Apr.
• Clarida, Richard & Gali, Jordi, 1994, "Sources of real exchange-rate fluctuations: How important are nominal shocks?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, volume 41, issue 1, pages 1-56, December.
• Johansen, Soren & Juselius, Katarina, 1994, "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 7-36, July.
• Calzolari, Giorgio & Fiorentini, Gabriele, 1994, "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper, University Library of Munich, Germany, number 24428, Sep.
• Lord, Montague, 1994, "A Macroeconomic Model for Romania's Flexible Exchange Rate System," MPRA Paper, University Library of Munich, Germany, number 41162, Nov.
• Allan Gregory & Gregor W. Smith, 1994, "Measuring Business Cycles With Business-cycle Models," Working Paper, Economics Department, Queen's University, number 901, May.
• Allan Gregory & Allen Head & Jacques Raynauld, 1994, "Measuring World Business Cycles," Working Paper, Economics Department, Queen's University, number 902, Jun.
• Gregory, Allan W. & Smith, Gregor W., 1994, "Measuring Business Cycles with Business-Cycle Models," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273305, May, DOI: 10.22004/ag.econ.273305.
• Gregory, Allan W. & Head, Allen C. & Raynauld, Jacques, 1994, "Measuring World Business Cycles," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273306, Jun, DOI: 10.22004/ag.econ.273306.
• Luis J. Álvarez & Fernando C. Ballabriga, 1994, "BVAR models in the context of cointegration: A Monte Carlo experiment," Working Papers, Banco de España, number 9405.
• GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994, "Comovements in Large Systems," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1994065, Nov.
• Clarida, Richard & Galí, Jordi, 1994, "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 951, Jun.
• Jacobson, Tor & Vredin, Anders & Warne, Anders, 1994, "Are Real Wages and Unemployment Related?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 8, Jan.
• Kadiyala, K. Rao & Karlsson, Sune, 1994, "Numerical Aspects of Bayesian VAR-modeling," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 12, Mar.
• Brännström, Tomas, 1994, "A Comparison between bias Approximations Applied to Bivariate VAR Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 22, Jun.
• Söderlind, Paul & Vredin, Anders, 1994, "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 30, Nov.
• Cassel, Claes-M. & Lundquist, Peter, 1994, "Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 35, Nov.
• Cassel, Claes-M. & Lundquist, Peter, 1994, "Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples II," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 36, Nov.
• Cassel, Claes-M. & Lundquist, Peter, 1994, "Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples III," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 37, Nov.
• Cassel, Claes-M. & Lundquist, Peter, 1994, "Microbased Time Series Analysis: Optimal prediction of eggregated AR(1)- series from survey samples," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 38, Nov.
• Cassel, Claes-M. & Lundquist, Peter, 1994, "Microbased Time Series Analysis: Optimal prediction of aggregated AR(1)- series from survey samples II," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 39, Nov.
• Lundquist, Peter, 1994, "Microbased Time Series Analysis: Estimating the autocorrelation function using survey sampling IV," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 40, Nov.
• Cassel, Claes-M., 1994, "Microbased Time Series Analysis: An efficient estimator of population parameters, using AR(1)-series and auxiliary information," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 41, Nov.
• Cassel, Claes-M., 1994, "Microbased Time Series Analysis: Comparing the technique of pooling time series and cross-sectional data with a microbased superpopulation approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 42, Nov.
• William Perraudin & Bent Sørensen, 1994, "Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing," Discussion Papers, University of Copenhagen. Department of Economics, number 94-16, Dec.
• Daniel B. Nelson, 1994, "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0161, Aug.
• Daniel B. Nelson, 1994, "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0162, Aug.
• Dean P. Foster & Daniel B. Nelson, 1994, "Continuous Record Asymptotics for Rolling Sample Variance Estimators," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0163, Aug.
• James H. Stock & Mark W. Watson, 1994, "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0164, Sep.
• Michael T. K. Horvath & Mark W. Watson, 1994, "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0171, Dec.
• Richard Clarida & Jordi Gali, 1994, "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," NBER Working Papers, National Bureau of Economic Research, Inc, number 4658, Feb.
• Helen V. Tauchen & Ann Dryden Witte, 1994, "The Dynamics of Domestic Violence: Does Arrest Matter?," NBER Working Papers, National Bureau of Economic Research, Inc, number 4939, Nov.

1993

• Luigi Ermini & Dongkoo Chang, 1993, "The Effect of Error-Correction on Testing the Rational-Expectations Neutrality Hypothesis," Working Papers, University of Hawaii at Manoa, Department of Economics, number 199305.
• : Katarina Juselius, 1993, "VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling," Discussion Papers, University of Copenhagen. Department of Economics, number 93-05, Apr.
• : Katarina Juselius, 1993, "Do Purchasing Power Parity and Uncovered Interest Rate Parity Hold in the Long Run? - An Example of Likelihood in a Multivariate Time-Series Model," Discussion Papers, University of Copenhagen. Department of Economics, number 93-14, Jun.
• James H. Stock & Mark W. Watson, 1993, "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," NBER Chapters, National Bureau of Economic Research, Inc, "Business Cycles, Indicators, and Forecasting".
• Kenneth D. West & David W. Wilcox, 1993, "Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0139, Jul.
• Toda, Hiro Y & Phillips, Peter C B, 1993, "Vector Autoregressions and Causality," Econometrica, Econometric Society, volume 61, issue 6, pages 1367-1393, November.
• Kenneth D. West & David W. Wilcox, 1993, "Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 93-29.
• Jacobson, T. & Vredin, A. & Warne, A., 1993, "Are Real Wages and Unemployment Related?," Papers, Stockholm - International Economic Studies, number 558.
• Juselius, Katarina, 1993, "VAR Modelling and Haavelmo's Probability Approach to Macroeconomic Modelling," Empirical Economics, Springer, volume 18, issue 4, pages 595-622.
• Jordi Galí & Richard Clarida, 1993, "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 66, Oct, revised Jan 1994.
• Luis Julian Alvarez & Javier Jareño & Miguel Sebastian, 1993, "Salarios públicos, salarios privados e inflación dual," Working Papers, Banco de España, number 9320.
• Evans, George W. & Reichlin, Lucrezia, 1993, "Information, Forecasts and Measurement of the Business Cycle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 756, Jan.
• Nicoletti, Giuseppe & Reichlin, Lucrezia, 1993, "Trends and Cycles in Labour Productivity in the Major OECD Countries," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 808, Jul.

1992

• Maravall, Agustín & Peña, Daniel, 1992, "Missing observations and additive outliers in time series models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2888, Sep.
• Søren Johansen & Katarina Juselius, 1992, "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers, University of Copenhagen. Department of Economics, number 92-04, May.
• Henrik Hansen & Søren Johansen, 1992, "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers, University of Copenhagen. Department of Economics, number 92-13, Oct.
• James H. Stock & Mark W. Watson, 1992, "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience," NBER Working Papers, National Bureau of Economic Research, Inc, number 4014, Mar.
• David Card & Craig A. Olson, 1992, "Bargaining Power, Strike Duration, and Wage Outcomes: An Analysis of Strikes in the 1880s," NBER Working Papers, National Bureau of Economic Research, Inc, number 4075, May.
• Wolfgang FRANZ & Gustav HEIDBRINK, 1992, "The Importance of Rationing in International Trade : An Econometric Analysis for Germany," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1992036, Sep.
• Gundlach, Erich, 1992, "Testing growth theories: Time series evidence," Kiel Working Papers, Kiel Institute for the World Economy, number 516.
• David Card & Craig A. Olson, 1992, "Bargaining Power, Strike Durations, and Wage Outcomes: An Analysis of Strikes in the 1880s," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 674, Jan.

1991

• Hiro Y. Toda & Peter C.B. Phillips, 1991, "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1001, Oct.
• Peter C.B. Phillips, 1991, "Unidentified Components in Reduced Rank Regression Estimation of ECM's," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1003, Oct.
• Hiro Y. Toda & Peter C.B. Phillips, 1991, "Vector Autoregression and Causality," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 977, May.
• Hiro Y. Toda & Peter C.B. Phillips, 1991, "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 978, May.

1990

• Søren Johansen & Katarina Juselius, 1990, "Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK," Discussion Papers, University of Copenhagen. Department of Economics, number 90-05, Mar.

1988

• Ignacio Mauleón, 1988, "Métodos de desagregación y desestacionalización de series temporales," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 11, issue 02, pages 81-94.

1986

• Tim Bollerslev, 1986, "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 1986/01, Sep.