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

2001

• AMBEC, Stefan & POITEVIN, Michel, 2001, "Organizational Design of R&D Activities," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-12.
• Ambec, S. & Poitevin, M., 2001, "Organizational Design of R&D Activities," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-12.
• Thomas Knox & James H. Stock & Mark W. Watson, 2001, "Empirical Bayes Forecasts of One Time Series Using Many Predictors," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0269, Mar.
• James H. Stock & Mark W. Watson, 2001, "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8180, Mar.
• Robert F. Engle & Kevin Sheppard, 2001, "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers, National Bureau of Economic Research, Inc, number 8554, Oct.
• Tilak Abeysinghe & Kristin J. Forbes, 2001, "Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia," NBER Working Papers, National Bureau of Economic Research, Inc, number 8600, Nov.
• Roberto Rigobon, 2001, "The Curse of Non-Investment Grade Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 8636, Dec.
• Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001, "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8682, Dec.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2001, "Normal modified stable processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W6, Jun.
• David Hendry & Michael P. Clements, 2001, "Pooling of Forecasts," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W9, Oct.
• Adusei Jumah, 2001, "The effects of dollar-sterling exchange rate volatility on futures markets for coffee and cocoa," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, volume 28, issue 3, pages 307-328, October.
• Hans-Martin Krolzig & Juan Toro & European University Institute & Florence, 2001, "A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment," Economics Series Working Papers, University of Oxford, Department of Economics, number 59, Jan.
• Hans-Martin Krolzig & Juan Toro & European University Institute & Florence, 2001, "Classical and Modern Business Cycle Measurement: The European Case," Economics Series Working Papers, University of Oxford, Department of Economics, number 60, Jan.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Normal Modified Stable Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 72, Jul.
• Krolzig, H.-M. & Toro, J., 2001, "A New Approach To The Analysis Of Business Cycle Transitions In A Model Of Output And Employment," Economics Series Working Papers, University of Oxford, Department of Economics, number 9959.
• Krolzig, H.-M. & Toro, J., 2001, "Classical And Modern Business Cycle Measurement: The European Case," Economics Series Working Papers, University of Oxford, Department of Economics, number 9960.
• By Gunnar Jonsson, 2001, "Inflation, Money Demand, and Purchasing Power Parity in South Africa," IMF Staff Papers, Palgrave Macmillan, volume 48, issue 2, pages 1-2.
• Raghbendra Jha & Anurag Sharma, 2001, "Structural Breaks and Unit Roots: A Further Test of the Sustainability of the Indian Fiscal Deficit," ASARC Working Papers, The Australian National University, Australia South Asia Research Centre, number 2001-08, Sep.
• Renato E. Reside, Jr., 2001, "Two Decades of Vector Autoregression (VAR) Modeling," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 38, issue 2, pages 83-121, December.
• Abu-Qarn, Aamer & Abu-Bader, Suleiman, 2001, "The Validity of the ELG Hypothesis in the MENA Region: Cointegration and Error Correction Model Analysis," MPRA Paper, University Library of Munich, Germany, number 1116.
• Sinha, Dipendra & Macri, Joseph, 2001, "Financial development and economic growth: The case of eight Asian countries," MPRA Paper, University Library of Munich, Germany, number 18297.
• Laborde, David & Rey, Serge, 2001, "Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000
  [Volatility and cross correlation across asset markets: Evidence from the French and US markets over ," MPRA Paper, University Library of Munich, Germany, number 30284, Jun.
• Lord, Montague, 2001, "Macroeconomic Policies for Poverty Reduction in Cambodia," MPRA Paper, University Library of Munich, Germany, number 41174, May.
• Bilgili, Faik, 2001, "ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması
  [A comparison of VAR and ARIMA Models’ forecasting accuracies]," MPRA Paper, University Library of Munich, Germany, number 75609.
• Karim Abadir, 2001, "Aggregation, Persistence and Volatility in a Macromodel," Working Papers, Banco de Portugal, Economics and Research Department, number w200106.
• Carol Alexander & Ian Giblin & Wayne Weddington III, 2001, "Cointegration and Asset Allocation: A New Fund Strategy," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-03.
• Chris Brooks & Melvin J. Hinich, 2001, "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-04, Jul.
• Chris Brooks & Sotiris Tsolacos, 2001, "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-08, Oct.
• Kostantinos Drakos, 2001, "The Expectations Hypothesis of the Term Structure: The Greek Interbank Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 4, pages 477-489.
• Abdulnasser Hatemi-J & Manucherhr Irandoust, 2001, "Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 2, pages 177-185.
• Dipendra Sinha & Joseph Macri, 2001, "Development and Economic Growth: The Case of Eight Asian Countries," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 2, pages 219-234.

2000

• Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 159-179, September.
• Sándor Valkovszky & János Vincze, 2000, "Estimates of and Problems with Core Inflation in Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2000/2.
• András Simon & Zsolt Darvas, 2000, "Potential Output and Foreign Trade in Small Open Economies," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2000/9.
• Gunther Capelle-Blancard & Severine Vandelanoite, 2000, "Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs informés ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00110, Nov, DOI: 10.2307/20076332.
• Grose, S. & McLaren, K., 2000, "Estimating Demand with Varied Levels of Aggregation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/00, Feb.
• Cai, T. & Hyndman, R.J. & Wand, M.P., 2000, "Mixed Model-Based Hazard Estimation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/00, Dec.
• Grose, S. & McLaren, K., 2000, "An EM Algorithm for Modelling Variably-Aggregated Demand," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/00, Mar.
• Bennett T. McCallum, 2000, "Role of the Minimal State Variable Criterion," NBER Working Papers, National Bureau of Economic Research, Inc, number 7087, Mar.
• C. Audenis & C. Prost, 2000, "Cyclical budget balance measurement," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2000-08.
• George Kapetanios, 2000, "Testing for a unit root against nonlinear star models," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 164, May.
• Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2000, "Model Specification and Inflation Forecast Uncertainty," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 1302, Apr, revised 29 Jan 2002.
• Ole E. Barndorff-Nielsen & Neil Shephard, 2000, "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W4, Oct, revised 05 Jul 2001.
• Alasdair Scott, 2000, "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2000/04, Jan.
• Iris Claus, 2000, "Is the output gap a useful indicator of inflation?," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2000/05, Mar.
• Laurence Boone, 2000, "Comparing Semi-Structural Methods to Estimate Unobserved Variables: The HPMV and Kalman Filters Approaches," OECD Economics Department Working Papers, OECD Publishing, number 240, Apr, DOI: 10.1787/112875725526.
• Pete Richardson & Laurence Boone & Claude Giorno & Mara Meacci & David Rae & David Turner, 2000, "The Concept, Policy Use and Measurement of Structural Unemployment: Estimating a Time Varying NAIRU Across 21 OECD Countries," OECD Economics Department Working Papers, OECD Publishing, number 250, Jun, DOI: 10.1787/785730283515.
• Qaisar Farooq Akram & Research Department & Norges Bank., 2000, "PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate," Economics Series Working Papers, University of Oxford, Department of Economics, number 30, Oct.
• David Hendry & Michael P. Clements, 2000, "Forecasting with Difference-Stationary and Trend-Stationary Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 5, Mar.
• Akram, Q.F., 2000, "PPP Despite Real Shocks: an Empirical Analysis of the Norwegian Real Exchange Rate," Economics Series Working Papers, University of Oxford, Department of Economics, number 9930.
• Lord, Montague, 2000, "Macroeconomic Dynamics of Egypt: An Integrated Approach to Trade and Exchange Rate Policy Reforms," MPRA Paper, University Library of Munich, Germany, number 50642, Sep.
• Weaver, Robert D & Natcher, William C, 2000, "Commodity Price Volatility under New Market Orientations," MPRA Paper, University Library of Munich, Germany, number 9862.
• J. Roderick McCrorie, 2000, "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers, Queen Mary University of London, School of Economics and Finance, number 419, Oct.
• Dimitrios Sideris, 2000, "Dealing with Methodological Problems when Testing for Purchasing Power Parity: Evidence from Greece," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 53, issue 3, pages 389-407.
• Pelinescu, Elena & Scutaru, Cornelia, 2000, "Analysis Of The Behaviour Of Money Demand," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 35-47, June.
• David F. Hendry & Katarina Juselius, 2000, "Explaining Cointegration Analysis: Part 1," The Energy Journal, , volume 21, issue 1, pages 1-42, January, DOI: 10.5547/ISSN0195-6574-EJ-Vol21-No1-.
• Maximo Camacho & Gabriel Perez-Quiros, 2000, "This Is What The Leading Indicators Lead," Computing in Economics and Finance 2000, Society for Computational Economics, number 132, Jul.
• Uwe Hassler & Francesc Marmol & C. Velasco, 2000, "Fractional Cointegrating Regression In The Presence Of Linear Time Trends," Computing in Economics and Finance 2000, Society for Computational Economics, number 138, Jul.
• Stefan Buehler, 2000, "Is Swiss Telecommunications a Natural Monopoly? An Evaluation of Empirical Evidence," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0001, Apr.
• Tom Engsted & Ken Nyholm, 2000, "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, volume 25, issue 1, pages 1-13.
• Imad A. Moosa, 2000, "The cyclical behaviour of prices in the U.K.: Some structural time series evidence," Empirical Economics, Springer, volume 25, issue 2, pages 261-278.
• Bernd Hayo, 2000, "The demand for money in Austria," Empirical Economics, Springer, volume 25, issue 4, pages 581-603.
• George Zis & Athanasios P. Papadopoulos, 2000, "A monetary analysis of the Drachma/ECU exchange rate determination, 1980-1991," Empirical Economics, Springer, volume 25, issue 4, pages 653-663.
• Juan J. Dolado & J. David López-Salido & Juan L. Vega, 2000, "Unemployment and inflation persistence in Spain: Are there Phillips trade-offs?," Spanish Economic Review, Springer;Spanish Economic Association, volume 2, issue 3, pages 267-291.
• Michael Ehrmann, 2000, "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 136, issue 1, pages 58-83, March, DOI: 10.1007/BF02707396.
• Alessandro Calza & Alexander Jung & Livio Stracca, 2000, "An econometric analysis of the main components of M3 in the Euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 136, issue 4, pages 680-701, December, DOI: 10.1007/BF02707648.
• Terje Skjerpen & Anders Rygh Swensen, 2000, "Testing for long-run homogeneity in the Linear Almost Ideal Demand System An application on Norwegian quarterly data for non-durables," Discussion Papers, Statistics Norway, Research Department, number 289, Nov.
• Jesus Gonzalo & Tae-Hwy Lee, 2000, "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, volume 27, issue 7, pages 821-827, DOI: 10.1080/02664760050120515.
• Aaron Schiff & Peter Phillips, 2000, "Forecasting New Zealand's real GDP," New Zealand Economic Papers, Taylor & Francis Journals, volume 34, issue 2, pages 159-181, DOI: 10.1080/00779950009544321.
• Bullard, J. & Schaling, E., 2000, "New Economy - New Policy Rules?," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-72.
• Bullard, J. & Schaling, E., 2000, "New Economy - New Policy Rules?," Other publications TiSEM, Tilburg University, School of Economics and Management, number f2ef6768-d6ff-467a-a5ae-e.
• Mototsugu Shintani, 2000, "A Simple Cointegrating Rank Test Without Vector Autoregression," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0044, Sep.
• Judith A. Giles & Cara L. Williams, 2000, "Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2," Econometrics Working Papers, Department of Economics, University of Victoria, number 0002, Jan.
• Judith A. Giles, 2000, "Testing for Two-Step Granger Noncausality in Trivariate VAR Models," Econometrics Working Papers, Department of Economics, University of Victoria, number 0008, Oct.
• James B. Bullard & Eric Schaling, 2000, "New economy - new policy rules?," Working Papers, Federal Reserve Bank of St. Louis, number 2000-019, DOI: 10.20955/wp.2000.019.
• Busetti, F., 2000, "Testing for Stochastic Trends in Series with Structural Breaks," Papers, Banca Italia - Servizio di Studi, number 385.
• Kauppi, H., 2000, "Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend," University of Helsinki, Department of Economics, Department of Economics, number 497.
• Bessec, M., 2000, "Mean-Reversion Versus Adjustment to PPP: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.102.
• Capelle-Blancard, G. & Vandelanoite, S., 2000, "Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.110.
• Karame, F., 2000, "Unemployment Persistence : The Hysteresis Assumption Revisited. A Nonlinear Unobserved Components Approach," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.21.
• Maitra, P. & Ray, R., 2000, "Intra Household Resource Allocation And Their Impact On Expenditure Patterns: Comparative Evidence From South Africa And Pakistan," Papers, Tasmania - Department of Economics, number 2000-09.
• Flam, H. & Jansson, P., 2000, "EMU Effects on International Trade and Investment," Research Paper, World Institute for Development Economics Research, number 180.
• McKitrick, R., 2000, "Time Series Characteristics of Surface and Free Atmosphere Temperature Anomalies 1958-1999," Working Papers, University of Guelph, Department of Economics and Finance, number 2000-4.
• Hjalmarsson, Erik, 2000, "Nord Pool: A Power Market Without Market Power," Working Papers in Economics, University of Gothenburg, Department of Economics, number 28, Aug.
• Löf, Mårten & Franses, Philip Hans, 2000, "On Forecasting Cointegrated Seasonal Time Series," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 350, Jan.
• Lyhagen, Johan & Löf, Mårten, 2000, "On seasonal error correction when the processes include different numbers of unit roots," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0418, Dec, revised 15 Mar 2001.
• Byström, Hans, 2000, "Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998," Working Papers, Lund University, Department of Economics, number 2000:14, Sep.
• Byström, Hans, 2000, "Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts," Working Papers, Lund University, Department of Economics, number 2000:17, Sep.
• Graflund, Andreas, 2000, "Dynamic Capital Structure: the Case of Hufvudstaden," Working Papers, Lund University, Department of Economics, number 2000:20, Nov.
• Vredin, Anders & Warne, Anders, 2000, "Unemployment and Inflation Regimes," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 107, May.
• Apel, Mikael & Jansson, Per, 2000, "An Alternative Interpretation of the Recent U.S. Inflation Performance," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 109, Jun.
• Warne, Anders, 2000, "Causality and Regime Inference in a Markov Switching VAR," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 118, Dec.
• Brännäs, Kurt & Nordström, Jonas, 2000, "A Bivariate Integer Valued Allocation Model for Guest Nights in Hotels and Cottages," Umeå Economic Studies, Umeå University, Department of Economics, number 547, Dec.
• Jansson, Joakim, 2000, "The Dynamics of External Financing," Working Paper Series, Uppsala University, Department of Economics, number 2000:8, Aug.
• Jumah, Adusei, 2000, "The Long Run, Market Power and Retail Pricing," Economics Series, Institute for Advanced Studies, number 78, Mar.
• Siklos, Pierre L, 2000, "Inflation Targets and the Yield Curve: New Zealand and Australia versus the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 5, issue 1, pages 15-32, February.
• Miguel St. Aubyn, 2000, "Testing for Asymmetry in the Inflation-Unemployment Trade-off: Some Evidence for the USA," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2000/05.
• Ignacio Mauleón & Mª Mar Sánchez, 2000, "Fundamentals Of The Us And The Uk Interest Rates Under The Rational Expectation Scheme," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2000-20, Oct.
• Dajiang Guo, 2000, "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, volume 4, issue 2, pages 133-154, May, DOI: 10.1023/A:1009638225908.
• Katarina Juselius & David F. Hendry, 2000, "Explaining Cointegration Analysis: Part II," Discussion Papers, University of Copenhagen. Department of Economics, number 00-20, Dec.
• Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2000, "Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 00/11, Dec, revised Feb 2002.
• Anthony Garratt & Kevin Lee & M Hashem Peseran & Yongcheol Shin, 2000, "Forecast Uncertainties in Macroeconometric Models: An Application to the UK Economy," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 00/4, Jun.
• Gary Koop & Simon Potter, 2000, "The Vector Floor and Ceiling Model," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/15, Jan.
• Rodolfo Helg & Massimiliano Serati, 2000, "The speed of adjustment to PPP: is there any puzzle?," LIUC Papers in Economics, Cattaneo University (LIUC), number 74, May.
• Ejrnaes, Mette & Persson, Karl Gunnar, 2000, "Market Integration and Transport Costs in France 1825-1903: A Threshold Error Correction Approach to the Law of One Price," Explorations in Economic History, Elsevier, volume 37, issue 2, pages 149-173, April.
• Shioji, Etsuro, 2000, "Identifying Monetary Policy Shocks in Japan," Journal of the Japanese and International Economies, Elsevier, volume 14, issue 1, pages 22-42, March.
• Joachim Zietz, 2000, "Cointegration versus traditional econometric techniques in applied economics," Eastern Economic Journal, Eastern Economic Association, volume 26, issue 4, pages 469-482, Fall.
• Hidalgo, Javier, 2000, "Nonparametric test for causality with long-range dependence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6866, Apr.
• Zaffaroni, Paolo, 2000, "Contemporaneous aggregation of GARCH processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6869, Jan.
• Löf, M. & Franses, Ph.H.B.F., 2000, "On forecasting cointegrated seasonal time series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2000-04/A, Jan.
• Michael Artis & Michael Ehrmann, 2000, "The Exchange Rate -a Shock-Absorber or Source of Shocks? A Study of Four Open Economies," EUI-RSCAS Working Papers, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS), number 38, Sep.
• Ehrmann, M., 2000, "Firm Size and Monetary Policy Transmission - Evidence from German Business Survey Data," Economics Working Papers, European University Institute, number eco2000/12.
• Banerjee, A. & Russell, B., 2000, "The Markup and the Business Cycle Reconsidered," Economics Working Papers, European University Institute, number eco2000/21.
• Banerjee, A. & Russell, B., 2000, "Industry Structure and the Dynamics of Price Adjustment," Economics Working Papers, European University Institute, number eco2000/22.
• Banerjee, A. & Russell, B., 2000, "The Relationship between the Markup and Inflation in the G7 plus One Economies," Economics Working Papers, European University Institute, number eco2000/7.
• Driver, R.L., 2000, "Evaluating Alternative Exchange Rate Regimes: Time Consistency, Inertia and the Identification of Shocks in a New Keynesian Model," Discussion Papers, University of Exeter, Department of Economics, number 0003.
• Lorenzo CAPPIELLO & Tom A. Fearnley, 2000, "International CAPM with Regime Switching GARCH Parameters," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp17, Jul.
• Marga Peeters & Paul Ghijsen, 2000, "Capital, Labour, Materials and Additional R&D Investment in Japan - The Issue of Double-Counting," Annals of Economics and Statistics, GENES, issue 58, pages 165-184.
• Oscar Bajo-Rubio & Simón Sosvilla-Rivero, 2000, "A Quantitative Analysis Of The Effects Of Capital Controls: Spain, 1986-1990," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 00-01, Jul.
• Miljkovic, Dragan & Marsh, John M. & Brester, Gary W., undated, "Japanese Import Demand for U.S. Beef and Pork: Effects on U.S. Red Meat Exports and Livestock Prices," Research Discussion Papers, Montana State University, Department of Agricultural Economics and Economics, Trade Research Center, number 256823, DOI: 10.22004/ag.econ.256823.
• Pedro Pablo Alvarez Lois, 2000, "Asymmetries In The Capacity-Inflation Trade-Off," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 470.00, Oct.
• Schiff, Aaron & Phillips, Peter, 2000, "Forecasting New Zealand's Real GDP," Working Papers, Department of Economics, The University of Auckland, number 186.
• Maral Kichian, 2000, "GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide," Staff Working Papers, Bank of Canada, number 00-2, DOI: 10.34989/swp-2000-2.
• Regina Kaiser & Agustín Maravall, 2000, "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers, Banco de España, number 0012.
• Riccardo Cristadoro & Roberto Sabbatini, 2000, "The Seasonal Adjustment of the harmonised Index of Consumer Prices for the Euro Area: a Comparison of Direct and Indirect Methods," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 371, Mar.
• Fabio Busetti, 2000, "Testing for Stochastic Trends in Series with Structural Breaks," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 385, Oct.
• Munir A. Jalil & Luis Fernando Melo, 2000, "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia, Banco de la Republica de Colombia, number 145, Apr, DOI: 10.32468/be.145.
• Josu Arteche & Peter M. Robinson, 2000, "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes," Journal of Time Series Analysis, Wiley Blackwell, volume 21, issue 1, pages 1-25, January, DOI: 10.1111/1467-9892.00170.
• Garrat, A. & Lee, K. & Pesaran, M.H. & Shin, Y., 2000, "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0004, May.
• Paolo Zaffaroni, 2000, "Contemporaneous Aggregation of GARCH Processes," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 378, Jan.
• Helge Berger & Ulrich Woitek, 1999, "Does Conservatism Matter? A Time Series Approach to Central Banking," CESifo Working Paper Series, CESifo, number 190.
• Gebhard Flaig, 2000, "Arbeitstageeffekt und Bruttoinlandsprodukt : eine empirische Analyse mit einem strukturellen Komponentenmodel," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 53, issue 22, pages 12-17, August.
• Lorenzo Cappiello, 2000, "Do fixed income securities also show asymmetric effects in conditional second moments?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number rp12, Jan.
• Jean-Marie Dufour & Olivier Torrès, 2000, "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," CIRANO Working Papers, CIRANO, number 2000s-17, May.
• Costas Milas & Jesus Otero, 2000, "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach," Borradores de Investigación, Universidad del Rosario, number 3231, Feb.
• Jesus Otero & Costas Milas, 2000, "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach (Corrected version)," Borradores de Investigación, Universidad del Rosario, number 3232, Dec.
• Munir A. Jalil B. & Luis Fernando Melo Velandia, 2000, "Una Relaci�N No Lineal Entre Inflaci�N Y Medios De Pago," Borradores de Economia, Banco de la Republica, number 3725, Apr.
• RUSSO, Giuseppe & VEREDAS, David, 2000, "Institutional rigidities and employment rigidity in the Italian large industrial firms," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000048, Oct.
• Berk, Jan Marc, 2000, "Consumers' inflation expectations and monetary policy in Europe," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0020.
• Guglielmo Maria Caporale & Geoffrey Williams, 2000, "International Linkages in Short- and Long-Term Interest Rates," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 3, issue 2, pages 39-61, November.
• Meier, Carsten-Patrick, 2000, "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung," Kiel Working Papers, Kiel Institute for the World Economy, number 993.
• Gil-Alaña, Luis A. & Henry, Brian, 2000, "Fractional integration and the dynamics of UK unemployment," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,14.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,15.
• Candelon, Bertrand & Lütkepohl, Helmut, 2000, "Was there a regime change in the German monetary transmission mechanism in 1983?," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,17.
• Müller, Christian & Hahn, Elke, 2000, "Money demand in Europe: Evidence from the past," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,35.
• Brüggemann, Ralf & Lütkepohl, Helmut, 2000, "Lag selection in subset VAR models with an application to a US monetary system," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,37.
• Breitung, Jörg & Hassler, Uwe, 2000, "Inference on the cointegration rank in fractionally integrated processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,65.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Fractional cointegration and real exchange rates," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,69.
• Candelon, Bertrand & Lütkepohl, Helmut, 2000, "On the reliability of chow type test for parameter constancy in multivariate dynamic models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,95.
• Breitung, Jörg & Candelon, Bertrand, 2000, "Common cycles: A frequency domain approach," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,99.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000, "Unemployment and input prices: A fractional cointegration approach," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,56.
• Dittmann, Ingolf, 2000, "Error correction models for fractionally cointegrated time series," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2000,02.
• Hayo, Bernd, 2000, "The demand for money in Austria," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 06-2000.
• Altissimo, Filippo & Violante, Giovanni L., 2000, "The Nonlinear Dynamics of Output and Unemployment in the US," CEPR Discussion Papers, Centre for Economic Policy Research, number 2475, Jun.
• Sarno, Lucio, 2000, "Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation," CEPR Discussion Papers, Centre for Economic Policy Research, number 2537, Aug.
• Artis, Michael & Ehrmann, Michael, 2000, "The Exchange Rate - A Shock-Absorber or Source of Shocks? A Study of Four Open Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 2550, Sep.
• Dimitris Georgoutsos & George Kouretas, 2000, "A Multivariate I(2) Cointegration Analysis Of German Hyperinflation," Working Papers, University of Crete, Department of Economics, number 0001, 00, revised 00 Jul 2001.
• Nyblom, Jukka & Harvey, Andrew, 2000, "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, volume 16, issue 2, pages 176-199, April.
• Yoosoon Chang, 2000, "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1251, Mar.
• Peter C.B. Phillips, 2000, "Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1264, Jul.
• Aaron F. Schiff & Peter C.B. Phillips, 2000, "Forecasting New Zealand's Real GDP," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1278, Oct.
• Elke Hahn & Christian Müller, 2000, "Money Demand in Europe: Evidence from the Past," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 204.
• Madhusudan Ghosh, 2000, "The Stability of Money Demand Function in Five Major Industrial Countries: Evidence from Cointegration Tests," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 35, issue 2, pages 175-192, July.
• Anindya Banerjee & Bill Russell, 2000, "Industry Structure and the Dynamics of Price Adjstment," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 121, Dec.
• Iacoviello, Matteo, 2000, "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series, European Central Bank, number 18, Apr.
• Ehrmann, Michael, 2000, "Firm size and monetary policy transmission: evidence from German business survey data," Working Paper Series, European Central Bank, number 21, May.