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

• 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.
• 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.
• 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.
• 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.
• Yacine Ait-Sahalia, 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8956, May.
• Bennett T. McCallum, 2002, "Consistent Expectations, Rational Expectations, Multiple-Solution Indeterminacies, and Least-Squares Learnability," NBER Working Papers, National Bureau of Economic Research, Inc, number 9218, Sep.
• Aureliano Angel Bressan & João Eustáquio de Lima, 2002, "Modelos de previsão de preços aplicados aos contratos futuros de boi gordo na BM&F [Models of price forecasting applied to futures contracts of live cattle at the Brazilian Futures Market - BM&F]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 12, issue 1, pages 117-140, January-J.
• Marisa Zeferino Barbosa & Mário A. Margarido & Sebastião Nogueira Junior, 2002, "Análise da elasticidade de transmissão de preços no mercado brasileiro de algodão [Analysis of price transmission elasticity in the Brazilian cotton market]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 12, issue 2, pages 79-108, July-Dece.
• F. Hild, 2002, "Do balances of opinion summarize at the best firms answers to business surveys?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2002-09.
• Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002, "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 2102, Jun.
• Clive Bowsher, 2002, "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W22, Oct.
• Karim Abadir & Gabriel Talmain, 2002, "Aggregation, Persistence and Volatility in a Macro Model," The Review of Economic Studies, Review of Economic Studies Ltd, volume 69, issue 4, pages 749-779.
• Raghbendra Jha & Hari K. Nagarajan, 2002, "Noisy Vertical Markets," ASARC Working Papers, The Australian National University, Australia South Asia Research Centre, number 2002-04.
• Chin-Hong PUAH,* & Muzafar Shah HABIBULLAH** & Shazali Abu MANSOR*, 2002, "Some Empirical Evidence On The Quantity Theoretic Proposition Of Money In Asean-5," Pakistan Journal of Applied Economics, Applied Economics Research Centre, volume 18, pages 31-47.
• Chan, Tze-Haw, 2002, "Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition," MPRA Paper, University Library of Munich, Germany, number 34642.
• Harding, Don, 2002, "The Australian Business Cycle: A New View," MPRA Paper, University Library of Munich, Germany, number 3698, Apr.
• Anas, Jacques & Ferrara, Laurent, 2002, "Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
  [A start-end recession index: Application for United-States]," MPRA Paper, University Library of Munich, Germany, number 4043, Jul.
• Lord, Montague, 2002, "Modeling the Macro-Economy of Bangladesh," MPRA Paper, University Library of Munich, Germany, number 41171, Jan.
• Josef Arlt & Milan Guba & Štěpán Radkovský & Vladimír Stiller & Milan Sojka, 2002, "Selected factors influencing the money demand development in the czech republic in 1994 - 2000," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 39-56, DOI: 10.18267/j.pep.187.
• Vincenzo Di Maro, 2002, "The Estimation Of The Nairu And The Effect Of Permanent Sectoral Employment Reallocation. The Italian Evidence," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 7_2002, Jun.
• João Valle e Azevedo, 2002, "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers, Banco de Portugal, Economics and Research Department, number w200205.
• Joaquim Pina, 2002, "Does Money Granger Cause Inflation in the Euro Area?," Working Papers, Banco de Portugal, Economics and Research Department, number w200212.
• George Kapetanios & Yongcheol Shin, 2002, "Unit Root Tests in Three-Regime SETAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 465, Nov.
• George Kapetanios, 2002, "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers, Queen Mary University of London, School of Economics and Finance, number 466, Nov.
• Gonzalo Camba-Mendez & George Kapetanios, 2002, "Bootstrap Statistical Tests of Rank Determination for System Identification," Working Papers, Queen Mary University of London, School of Economics and Finance, number 468, Nov.
• George Kapetanios, 2002, "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 469, Nov.
• George Kapetanios, 2002, "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers, Queen Mary University of London, School of Economics and Finance, number 471, Nov.
• Carol Alexandra & Anca Dimitriu, 2002, "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-08, Apr.
• Per-Åke Andersson & Boo Sjöö, 2002, "Inflation, Monetary Policy and Structural Adjustment in Zambia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 55, issue 4, pages 425-449.
• Abdulnasser Hatemi-J & Manucherhr Irandoust, 2002, "Investigating Causal Relations between Fixed Investment and Economic Growth," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 55, issue 1, pages 25-35.
• Hyun-Jae Rhee, 2002, "Empirical Analysis of the Psychological Hypothesis on Exchange Rate Determination and Testing Its Forecastability: The Korean Experience," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 449-473.
• Abdulnasser Hatemi-J, 2002, "Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 517-526.
• Manuchehr Irandoust & Boo Sjöö, 2002, "Productivity and Real Exchange Rates:Some Empirical Examples," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 527-553.
• Uhlig, Harald & Mountford, Andrew, 2002, "What are the Effects of Fiscal Policy Shocks?," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Faliva, Mario & Zoia, Maria Grazia, 2002, "On A Partitioned Inversion Formula Having Useful Applications In Econometrics," Econometric Theory, Cambridge University Press, volume 18, issue 2, pages 525-530, April.
• Miljkovic, Dragan & Marsh, John M. & Brester, Gary W., 2002, "Japanese Import Demand for U.S. Beef and Pork: Effects on U.S. Red Meat Exports and Livestock Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 34, issue 3, pages 501-512, December.
• Kilian, Lutz & Ohanian, Lee E., 2002, "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 5, pages 614-632, November.
• Peter C.B.Phillips & Donggyu Sul, 2002, "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1362, May.
• Sainan Jin & Peter C.B. Phillips, 2002, "The KPSS Test with Seasonal Dummies," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1373, May.
• Breitung, Jörg & Hassler, Uwe, 2002, "Inference on the cointegration rank in fractionally integrated processes," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 9323.
• Tatiana Fic, 2002, "The Polish Zloty and Currency Speculation," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 279.
• Ulrich Fritsche & Camille Logeay, 2002, "Structural Unemployment and the Output Gap in Germany: Evidence from an SVAR Analysis within a Hysteresis Framework," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 312.
• Jonas Andersson, 2005, "Testing for Granger causality in the presence of measurement errors," Economics Bulletin, AccessEcon, volume 3, issue 47, pages 1-13.
• Cassola, Nuno & Morana, Claudio, 2002, "Monetary policy and the stock market in the euro area," Working Paper Series, European Central Bank, number 119, Jan.
• Beyer, Andreas & Farmer, Roger E. A., 2002, "Natural rate doubts," Working Paper Series, European Central Bank, number 121, Feb.
• Manganelli, Simone, 2002, "Duration, volume and volatility impact of trades," Working Paper Series, European Central Bank, number 125, Feb.
• Camba-Méndez, Gonzalo & Lamo, Ana, 2002, "Short-term monitoring of fiscal policy discipline," Working Paper Series, European Central Bank, number 152, Jun.
• Faust, Jon & Rogers, John H. & Swanson, Eric & Wright, Jonathan H., 2002, "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," Working Paper Series, European Central Bank, number 167, Aug.
• Onatski, Alexei & Williams, Noah, 2002, "Modeling model uncertainty," Working Paper Series, European Central Bank, number 169, Aug.
• Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002, "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series, European Central Bank, number 194, Nov.
• Garratt, Anthony & Kevin Lee & M Hashem Pesaran & Yongcheol Shin, 2002, "Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 82, Aug.
• Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002, "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, volume 70, issue 3, pages 1067-1109, May.
• Maharaj, Elizabeth Ann, 2002, "Comparison of non-stationary time series in the frequency domain," Computational Statistics & Data Analysis, Elsevier, volume 40, issue 1, pages 131-141, July.
• Rigobon, Roberto, 2002, "The curse of non-investment grade countries," Journal of Development Economics, Elsevier, volume 69, issue 2, pages 423-449, December.
• Anderson, Heather M. & Ramsey, James B., 2002, "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 1, pages 33-67, January.
• Hatemi-J, Abdulnasser, 2002, "Fiscal policy in Sweden: effects of EMU criteria convergence," Economic Modelling, Elsevier, volume 19, issue 1, pages 121-136, January.
• Algan, Yann, 2002, "How well does the aggregate demand-aggregate supply framework explain unemployment fluctuations? A France-United States comparison," Economic Modelling, Elsevier, volume 19, issue 1, pages 153-177, January.
• Phillips, Peter C. B. & Jin, Sainan, 2002, "The KPSS test with seasonal dummies," Economics Letters, Elsevier, volume 77, issue 2, pages 239-243, October.
• Vahid, Farshid & Issler, Joao Victor, 2002, "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, volume 109, issue 2, pages 341-363, August.
• Breitung, Jorg & Hassler, Uwe, 2002, "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 167-185, October.
• 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.
• Revold Entov & Vladimir Nosko & Alexander Yudin & Pavel Kadochnikov & S. Ponomarenko, 2002, "Challenges in forecasting certain macroeconomic indicators," Research Paper Series, Gaidar Institute for Economic Policy, issue 46P, pages 325-325.
• 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.