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

1998

• Bilgili, Faik, 1998, "The effects of tax-cuts and government bonds on aggregate demand," MPRA Paper, University Library of Munich, Germany, number 75606.
• Bilgili, Faik, 1998, "Stationarity and cointegration tests: Comparison of Engle - Granger and Johansen methodologies," MPRA Paper, University Library of Munich, Germany, number 75967.
• Hassler, Uwe & Mármol, Francesc, 1998, "Fractional cointegrating regressions in the presence of linear time trends," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9794, Jan.
• Shadman-Mehta, Fatemeh & Sneessens, Henri R., 1998, "Demand-Supply Interactions and Unemployment Dynamics: Can there be Path Dependency ? The Case of Belgium, 1955-1994," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1998017, Jul.
• Jérôme DRUNAT & Gilles DUFRÉNNOT & Laurent MATHIEU, 1998, "Le taux de change du dollar contre le mark suit-il une dynamique non-linéaire? Une évaluation empirique sur données infra-journalières," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1998022, Jun.
• Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 1998, "A structural cointegrating VAR approach to macroeconometric modelling," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 8, Oct.
• McCallum, Bennett T., 1998, "Solutions to linear rational expectations models: a compact exposition," Economics Letters, Elsevier, volume 61, issue 2, pages 143-147, November.
• Phillips, Peter C. B., 1998, "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, volume 83, issue 1-2, pages 21-56.
• Virén, Matti, 1998, "Testing the "Natural Rate of Suicide" Hypothesis," Discussion Papers, VATT Institute for Economic Research, number 185.
• Koustas, Z., Serletis, A., 1998, "On the Fisher Effect," Papers, Calgary - Department of Economics, number 98-09.
• Kilian, L., 1998, "Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics," Papers, Michigan - Center for Research on Economic & Social Theory, number 98-04.
• Kilian, L. & Chang, P.L., 1998, "How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?," Papers, Michigan - Center for Research on Economic & Social Theory, number 98-06.
• Podevin, M., 1998, "Interaction entre taux d'interet allemands et francais: Un reexamen de l'hypothese de dominance allemande," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 98.27.
• Andersson, Michael K. & Gredenhoff, Mikael P., 1998, "Power and Bias of Likelihood Based Inference in the Cointegration Model under Fractional Cointegration," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 221, Feb.
• Ermini, Luigi, 1998, "A Tale of Three Seasonal Adjustment Procedures: The Case of Sweden's GDP," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 230, Mar.
• Lyhagen, Johan, 1998, "Maximum likelihood estimation of the multivariate fractional cointegrating model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 233, Apr.
• Söderlind, Paul, 1998, "Solution and Estimation of RE Macromodels with Optimal Policy," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 256, Sep.
• Jacobson, Tor & Lindh, Thomas & Warne, Anders, 1998, "Growth, Savings, Financial Markets and Markov Switching Regimes," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 69, Sep.
• Apel, Mikael & Jansson, Per, 1998, "A Theory-Consistent System Approach for Estimating Potential Output and the NAIRU," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 74, Nov.
• Jacobson, Tor & Nessen, Marianne, 1998, "World-Wide Purchasing Power Parity," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 75, Dec.
• Fiorentini, Gabriele & Sentana, Enrique, 1998, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 39, issue 4, pages 1101-1118, November.
• West, Kenneth D & McCracken, Michael W, 1998, "Regression-Based Tests of Predictive Ability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 39, issue 4, pages 817-840, November.
• Kunst, Robert M. & Luniku, Rubin, 1998, "Inflation, its Dynamics, and its Possible Causes in Albania," East European Series, Institute for Advanced Studies, number 57, Sep.
• Olexa, Michal, 1998, "Analysis and Econometric Modelling of the Monetary Sector in the Slovak Republic," Transition Economics Series, Institute for Advanced Studies, number 1, Dec.
• Luis Carranza & Mr. Chorng-Huey Wong, 1998, "Policy Responses to External Imbalances in Emerging Market Economies: Further Empirical Results," IMF Working Papers, International Monetary Fund, number 1998/103, Jul.
• Michel Normandin & Pascal St-Amour, 1998, "Substitution, risk aversion, taste shocks and equity premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 13, issue 3, pages 265-281.
• Baum, Christopher F & Karasulu, Meral, 1998, "Modelling Federal Reserve Discount Policy," Computational Economics, Springer;Society for Computational Economics, volume 11, issue 1-2, pages 53-70, April.
• Andreas Beyer, 1998, "Encompassing the VAR: A Formalization of Seasonal Encompassing with an Application on a German Macromodel," Discussion Papers, University of Copenhagen. Department of Economics, number 98-12, Aug.
• Mette Ejrnæs & Karl Gunnar Persson, 1998, "Market Integration and Transport Costs in France 1825-1903: A Threshold Error Correction Approach to the Law of One Price," Discussion Papers, University of Copenhagen. Department of Economics, number 98-19, Dec, DOI: 10.1006/exeh.2000.0733.
• Hans Christian Kongsted, 1998, "An I(2) Cointegration Analysis of Small-Country Import Price Determination," Discussion Papers, University of Copenhagen. Department of Economics, number 98-22, Dec.
• PICHERY, Marie-Claude & OUERFELLI, Chokri, 1998, "La non stationnarité dans les séries saisonnières : Application au tourisme tunisien," LATEC - Document de travail - Economie (1991-2003), LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne, number 1998-09, Jul.
• Marinucci, D & Robinson, Peter M., 1998, "Alternative forms of fractional Brownian motion," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2067, Jul.
• Arteche, Josu & Robinson, Peter M., 1998, "Semiparametric inference in seasonal and cyclical long memory processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2203, Sep.
• Arteche, Josu & Robinson, Peter M., 1998, "Seasonal and cyclical long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2241, Sep.
• Marinucci, D & Robinson, Peter M., 1998, "Weak convergence of multivariate fractional processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2322, Jul.
• Marinucci, D., 1998, "Band spectrum regression for cointegrated time series with long memory innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6871, Jul.
• Franses, Ph.H.B.F. & Kunst, R.M., 1998, "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9820, Jan.
• ûyvind Eitrheim, 1998, "The demand for broad money in Norway, 1969-1993," Empirical Economics, Springer, volume 23, issue 3, pages 339-354.
• JØrgen Wolters & Helmut LØtkepohl, 1998, "A money demand system for German M3," Empirical Economics, Springer, volume 23, issue 3, pages 371-386.
• Michel Peytrignet & Christof Stahel, 1998, "Stability of money demand in Switzerland: A comparison of the M2 and M3 cases," Empirical Economics, Springer, volume 23, issue 3, pages 437-454.
• Katarina Juselius, 1998, "Changing monetary transmission mechanisms within the EU," Empirical Economics, Springer, volume 23, issue 3, pages 455-481.
• Roy E. Bailey & Marcus J. Chambers, 1998, "The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England," Journal of Population Economics, Springer;European Society for Population Economics, volume 11, issue 3, pages 413-434.
• Brian Kahn & Ashok Parikh, 1998, "Does purchasing power parity survive political shocks in South Africa?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 134, issue 1, pages 99-116, March, DOI: 10.1007/BF02707580.
• Kevin Lee, 1998, "Cross-country interdependencies in growth dynamics: A model of output growth in the G7 economies, 1960–1994," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 134, issue 3, pages 367-403, September, DOI: 10.1007/BF02707923.
• Hilde C. Bjørnland, 1998, "Economic Fluctuations in a Small Open Economy - Real versus Nominal Shocks," Discussion Papers, Statistics Norway, Research Department, number 215, Mar.
• Gonzalez-Rivera, G. & Drost, F.C., 1998, "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-124.
• Gonzalez-Rivera, G. & Drost, F.C., 1998, "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-124.
• Gonzalez-Rivera, G. & Drost, F.C., 1998, "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM, Tilburg University, School of Economics and Management, number 7a28bbc8-e8d6-4dbe-874e-5.
• Gonzalez-Rivera, G. & Drost, F.C., 1998, "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM, Tilburg University, School of Economics and Management, number d93a8be0-5dcd-4ae8-9eb1-b.
• Eric Ghysels & Serena Ng, 1998, "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, volume 80, issue 4, pages 535-548, November.
• Fabio Canova & Joaquim Pires Pina, 1998, "Monetary policy misspecification in VAR models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 420, Oct, revised Sep 1999.
• Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998, "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0062.
• Mark Dwyer, 1998, "Impulse Response Priors for Discriminating Structural Vector Autoregressions," Econometrics, University Library of Munich, Germany, number 9808001, Aug.
• Eric Zivot, 1998, "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics, University Library of Munich, Germany, number 9812001, Dec.
• Luis Vildosola, 1998, "Economia sintetica," GE, Growth, Math methods, University Library of Munich, Germany, number 9805002, Jun.
• Clements, M.P. & Hendry, D.P., 1998, "Forecasting with Difference-Stationary and Trend-Stationary Models," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 516.
• Döpke, Jörg & Pierdzioch, Christian, 1998, "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers, Kiel Institute for the World Economy, number 899.
• Breitung, Jörg & Swanson, Norman Rasmus, 1998, "Temporal aggregation and causality in multiple time series models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,27.
• Dornau, Robert, 1998, "Shock around the clock - on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysis," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 98-13.

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.
• Schimmelpfennig, Axel, 1997, "Die deutsche Vereinigung und das Leistungsbilanzdefizit: Eine ökonometrische Analyse der USA und Deutschlands," Kiel Working Papers, Kiel Institute for the World Economy, number 788.
• Liesenfeld, Roman, 1997, "Trading volume and the short and long-run components of volatility," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 102.
• Janz, Norbert, 1997, "Robust GMM Estimation of an Euler Equation Investment Model with German Firm Level Panel Data," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 97-05.
• Martin Boileau & Michel Normandin, 1997, "Aggregate Employment, Real Business Cycles, and Superior Information," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 55, Dec.
• Carolina GERVAZ, 1997, "Common trends and common cycles in Belgian sectoral GDP," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997015, Mar.
• Marga PEETERS, 1997, "Trigger values for (non-) residential structures and equipment investment," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997025, Jun.
• Siklos, Pierre L. & Granger, Clive W.J., 1997, "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 3, pages 640-657, September.
• John C. Chao & Peter C.B. Phillips, 1997, "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1155, Jul.
• Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997, "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1163, Sep.
• Michael Binder & M. Hashem Pesaran, 1997, "GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 73, revised .
• Pesaran, M Hashem, 1997, "The Role of Economic Theory in Modelling the Long Run," Economic Journal, Royal Economic Society, volume 107, issue 440, pages 178-191, January.
• Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1997, "Structural analysis of vector error correction models with exogenous I(1) variables," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 7.
• Bierens, Herman J., 1997, "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, volume 77, issue 2, pages 379-404, April.
• West, K.D. & McCracken, M.W., 1997, "Regression-Based Tests of Predictive Ability," Working papers, Wisconsin Madison - Social Systems, number 9710.
• Domowitz, I. & El-Gamal, M.A., 1997, "A Consistent Nonparametric Test of Ergodicity for Time Series with Applications," Working papers, Wisconsin Madison - Social Systems, number 9716.
• West, K.D., 1997, "On Optimal Instrumental Variables Estimation of Time Series Models," Working papers, Wisconsin Madison - Social Systems, number 9717.
• Marmol, F. & Reboredo, J.C., 1997, "Detecting Unbalanced Regressions Using the Durbin-Watson Test," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 380.97.
• Marie-Josée Godbout & Simon van Norden, 1997, "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers, Bank of Canada, number 97-1, DOI: 10.34989/swp-1997-1.
• Pesaran, M. H. & Shin, Y. & Smith, R. J., 1997, "Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9706.
• Eric Ghysels & Joann Jasiak, 1997, "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers, CIRANO, number 97s-06, Feb.
• Eric Ghysels & Serena Ng, 1997, "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers, CIRANO, number 97s-33, Oct.
• Driffill, John, 1997, "Real Interest Rates, Nominal Shocks, and Real Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 1647, May.
• Shioji, Etsuro, 1997, "Identifying Monetary Policy Shocks in Japan," CEPR Discussion Papers, Centre for Economic Policy Research, number 1733, Oct.
• Kilian, L., 1997, "Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?," Working Papers, Research Seminar in International Economics, University of Michigan, number 401.
• Shami, R.G. & Snyder, R.D., 1997, "Exponential Smoothing of Seasonal Data: A Comparison," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/97.
• Maharaj, A., 1997, "Comparison and Classification of Stationary Multivariate Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/97.
• Maharaj, A., 1997, "The Comparison of two or more Stationary Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/97.
• Martin, G.M. & Martin, V.L., 1997, "Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/97.
• Martin, G.M., 1997, "Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/97.
• Snyder, R. & Inder, B., 1997, "Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/97.
• Paul G. J. O'Connell & Shang-Jin Wei, 1997, ""The Bigger They Are, The Harder They Fall": How Price Differences Across U.S. Cities Are Arbitraged," NBER Working Papers, National Bureau of Economic Research, Inc, number 6089, Jul.
• W A Razzak, 1997, "Testing the rationality of the National Bank of New Zealand's survey data," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number G97/5, Jul.
• Giuseppe Nicoletti & Lucrezia Reichlin, 1993, "Trends and Cycles in Labour Productivity in the Major OECD Countries," OECD Economics Department Working Papers, OECD Publishing, number 129, Apr, DOI: 10.1787/215124852050.
• Mariam, Yohannes & Barre, Mike & Urquhart, Lynda & DeCivita, Paul, 1997, "Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors," MPRA Paper, University Library of Munich, Germany, number 664, revised 01 Jun 1997.
• Bilgili, Faik, 1997, "Testing the Ricardian equivalence theorem in the framework of the permanent income hypothesis," MPRA Paper, University Library of Munich, Germany, number 75542, Sep.
• Sikandar Siddiqui, 1997, "The pension incentive to retire: Empirical evidence for West Germany," Journal of Population Economics, Springer;European Society for Population Economics, volume 10, issue 4, pages 463-486.
• Pierre-Richard Agénor, 1997, "Competitiveness and external trade performance of the French manufacturing industry," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 133, issue 1, pages 103-133, March, DOI: 10.1007/BF02707679.
• Hilde Christiane Bjørnland, 1997, "Estimating Core Inflation - The Role of Oil Price Shocks and Imported Inflation," Discussion Papers, Statistics Norway, Research Department, number 200, Aug.
• John Barkoulas & Christopher Baum, 1997, "A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency," Applied Financial Economics, Taylor & Francis Journals, volume 7, issue 6, pages 635-643, DOI: 10.1080/758533855.
• Gary Koop & Herman K. van Dijk & Henk Hoek, 1997, "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 97-078/4, Aug.
• Uhlig, H.F.H.V.S. & Ravn, M., 1997, "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-50.
• Belke, A. & Göcke, M., 1997, "Multiple equilibria in German employment : Simultaneous identification of structural breaks," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-107.
• Uhlig, H.F.H.V.S. & Ravn, M., 1997, "On Adjusting the H-P Filter for the Frequency of Observations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1dd22a17-bed0-4e7c-a2c1-d.
• 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.
• Takala, Kari & Virén, Matti, 1997, "Testing Nonlinear Dynamics, Long Memory and Chaotic Behaviour with Financial and Nonfinancial Data," Discussion Papers, VATT Institute for Economic Research, number 147.
• Serletis, A & Moustas, Z, 1997, "International Evidence on the Neutrality of Money," Papers, Calgary - Department of Economics, number 9704.
• Eckstein, Z. & Mira, P. & Wolpin, K.I., 1997, "A Quantitative Analysis of Swedish Fertility Dynamics: 1751-1990," Papers, Centro de Estudios Monetarios Y Financieros-, number 9713.
• Ghatak, A., 1997, "Vector Autoregression Modelling and Forecasting Growth of South Korea," Department of Economics, De Montford University, Department of Economics, De Montfort University, number 97-02.
• Casimiro, P.G., 1997, "Selction of the Timing Interval in Structural Time Series Models," ASSET - Instituto De Economia Publica, ASSET (Association of Southern European Economic Theorists), number 165.
• Mitchell, H., 1997, "Missing Values in Vector Time Series," Papers, Melbourne - Centre in Finance, number 97-6.
• Blix, M, 1997, "Rational Expectations in a VAR with Markov Switching," Papers, Stockholm - International Economic Studies, number 627.
• Fabio C. Bagliano & Andrea Beltratti, 1997, "Stock Returns, the Interest Rate and Inflation in the Italian Stock Market: A Long-Run Perspective," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 56, issue 3-4, pages 139-167, December.
• Gredenhoff, Mikael & Karlsson, Sune, 1997, "Lag-length Selection in VAR-models Using Equal and Unequal Lag-Length Procedures," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 177, Jun.
• Blix, Mårten, 1997, "Rational Expectations in a VAR with Markov Switching," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 627, Oct.
• Lyhagen, Johan, 1997, "The Effect of Precautionary Saving on Consumption in Sweden," Working Papers, National Institute of Economic Research, number 58, Dec.
• Gregory, Allan W & Head, Allen C & Raynauld, Jacques, 1997, "Measuring World Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 38, issue 3, pages 677-701, August.
• Ruenstler, Gerhard, 1997, "Measuring Stylized Business Cycles Facts Using Stochastic Cycles," Economics Series, Institute for Advanced Studies, number 50, Nov.
• Kunst, Robert M., 1997, "Decision Bounds for Data-Admissible Seasonal Models," Economics Series, Institute for Advanced Studies, number 51, Nov.
• Mr. Willy A Hoffmaister, 1997, "Macroeconomic Fluctuations in Sub-Saharan Africa," IMF Working Papers, International Monetary Fund, number 1997/082, Jul.
• Gabriele Fiorentini & Enrique Sentana Iváñez, 1997, "Conditional means of time series processes and time series processes for conditional means," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 1997-17, Jun.
• Kadiyala, K Rao & Karlsson, Sune, 1997, "Numerical Methods for Estimation and Inference in Bayesian VAR-Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 12, issue 2, pages 99-132, March-Apr.
• Katarina Juselius, 1997, "Changing Monetary Transmission Mechanisms within the EU," Discussion Papers, University of Copenhagen. Department of Economics, number 97-18, Dec.
• Becker, Torbjorn, 1997, "An investigation of Ricardian equivalence in a common trends model," Journal of Monetary Economics, Elsevier, volume 39, issue 3, pages 405-431, August.
• C. Bruneau & E. Jondeau, 1997, "Long-run causality, with an application to international links between long-term interest rates," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-26.

1996

• 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.
• 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, Centre for Economic Policy Research, number 1334, Feb.
• Dolado, Juan J & López-Salido, J David, 1996, "Short- and Long-run Phillips Trade-offs and the Cost of Disinflationary Policies," CEPR Discussion Papers, Centre for Economic Policy Research, number 1483, Oct.
• 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.
• 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.
• 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.
• 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.
• 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.