Research classified by Journal of Economic Literature (JEL) codes

1. Sign Restrictions

2005

• Madsen, Jakob B. & Milas, Costas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Finance Research Letters, Elsevier, volume 2, issue 4, pages 260-269, December.
• Chevillon, Guillaume & Hendry, David F., 2005, "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, volume 21, issue 2, pages 201-218.
• Mouchart, Michel & Rombouts, Jeroen V.K., 2005, "Clustered panel data models: an efficient approach for nowcasting from poor data," International Journal of Forecasting, Elsevier, volume 21, issue 3, pages 577-594.
• Fok, Dennis & van Dijk, Dick & Franses, Philip Hans, 2005, "Forecasting aggregates using panels of nonlinear time series," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 785-794.
• Uhlig, Harald, 2005, "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, volume 52, issue 2, pages 381-419, March.
• Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2005, "Single source of error state space approach to the Beveridge Nelson decomposition," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-11, May.
• Poltavets Ivan, 2005, "Productivity Differential and Competition: Can an Old Dog be Taught New Tricks?," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 05-09e, Jul.
• Jaramillo-Mosqueira, Luis A., 2005, "Evaluación econométrica de la demanda de agua de uso residencial en México," El Trimestre Económico, Fondo de Cultura Económica, volume 72, issue 286, pages 367-390, abril-jun.
• Franses, Ph.H.B.F. & Paap, R., 2005, "Random-Coefficient periodic autoregression," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-34, Jan.
• Pietersz, R. & van Regenmortel, M., 2005, "Generic Market Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-010-F&A, Mar.
• Eric Jondeau & Jean-Guillaume Sahuc, 2005, "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-06.
• Joaquim J.S. Ramalho & Esmeralda A. Ramalho, 2005, "Two-step Empirical Likelihood Estimation under Stratified Sampling when Aggregate Information is Available," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 6_2005.
• Eric Jondeau & Michael Rockinger, 2005, "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp132, Feb.
• Cédric Perret-Gentil & Maria-Pia Victoria-Feser, 2005, "Robust Mean-Variance Portfolio Selection," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp140, Apr.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005, "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp159, Oct.
• Salgado, Maria José S. & Garcia, Márcio G. P. & Medeiros, Marcelo C., 2005, "Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 59, issue 1, January.
• Marco Del Negro & Frank Schorfheide, 2005, "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-26.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Ana Maria Santacreu, 2005, "Reaction functions in a small open economy: What role for non-traded inflation?," Working Papers, Federal Reserve Bank of St. Louis, number 2014-44, Jun, DOI: 10.20955/wp.2014.044.
• Marco Del Negro & Frank Schorfheide, 2005, "Monetary policy analysis with potentially misspecified models," Working Papers, Federal Reserve Bank of Philadelphia, number 06-4.
• Marina Turuntseva & Sergey Drobyshevsky & Pavel Kadochnnikov, 2005, "Some approachs to forecasting economic indicators," Research Paper Series, Gaidar Institute for Economic Policy, issue 89P, pages 195-195.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," Post-Print, HAL, number hal-00459785, DOI: 10.1093/rfs/hhi029.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," Post-Print, HAL, number halshs-00005043.
• Sandrine Rospabé & R.C. Daniels, 2005, "Estimating an earnings function from coarsened data by an interval censored regression procedure," Post-Print, HAL, number halshs-00098979, Apr.
• Dominique Guegan, 2005, "How can we define the concept of long memory ? An econometric survey," Post-Print, HAL, number halshs-00179343.
• Dominique Guegan & Laurent Ferrara, 2005, "Detection of the Industrial Business Cycle using SETAR models," Post-Print, HAL, number halshs-00201309.
• Lucien Gardiol & Pierre-Yves Geoffard & Chantal Grandchamp, 2005, "Separating selection and incentive effects in health insurance," PSE Working Papers, HAL, number halshs-00590713, Oct.
• Lucien Gardiol & Pierre-Yves Geoffard & Chantal Grandchamp, 2005, "Separating selection and incentive effects in health insurance," Working Papers, HAL, number halshs-00590713, Oct.
• Buhai, Sebastian & Teulings, Coen, 2005, "Tenure Profiles and Efficient Separation in a Stochastic Productivity Model," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 05-9, Oct, revised 03 Oct 2006.
• Song, Han-Suck, 2005, "Capital Structure Determinants An Empirical Study of Swedish Companies," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 25, Jan.
• Johansson, Börje & Forslund, Ulla, 2005, "The Analysis of Location, Co-location and Urbanisation Economics," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 46, Dec.
• Silvennoinen, Annastiina & Teräsvirta, Timo, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 577, Jan, revised 01 Oct 2005.
• Strikholm, Birgit & Teräsvirta, Timo, 2005, "Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 578, Jan, revised 11 Feb 2005.
• Bengtsson, Jens, 2005, "Coordination of Limited Commercial Return," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/21, Dec.
• Erlandsen, Solveig & Nymoen, Ragnar, 2005, "Consumption and population age structure," Memorandum, Oslo University, Department of Economics, number 27/2004, Apr.
• Amilon, Henrik, 2005, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 177, Jan.
• Eklund, Jana & Karlsson, Sune, 2005, "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 191, Sep.
• Hellström, Jörgen & Nordström, Jonas, 2005, "Demand and Welfare Effects in Recreational Travel Models: A Bivariate Count Data Approach," Umeå Economic Studies, Umeå University, Department of Economics, number 648, Feb.
• Quoreshi, Shahiduzzaman, 2005, "Bivariate Time Series Modelling of Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 655, Apr.
• Quoreshi, Shahiduzzaman, 2005, "Modelling High Frequency Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 656, Apr.
• Solikin M. Juhro, 2005, "Analisis Kebijakan Moneter Dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 2, pages 199-237, September, DOI: https://doi.org/10.21098/bemp.v8i2..
• Walter Beckert & Richard Blundell, 2005, "Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/05, Jul.
• Hakan Berument & Eray M. Yucel, 2005, "Return and maturity relationships for treasury auctions: evidence from Turkey," Fiscal Studies, Institute for Fiscal Studies, volume 26, issue 3, pages 385-419, September.
• Fujiwara, Ippei & Hara, Naoko & Hirose, Yasuo & Teranishi, Yuki, 2005, "The Japanese Economic Model (JEM)," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 23, issue 2, pages 61-142, May.
• Woon Gyu Choi & Michael B. Devereux, 2005, "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," IMF Working Papers, International Monetary Fund, number 2005/007, Jan.
• Sabine Stephan, 2005, "Pricing-to-Market Effects in Foreign Trade Prices. Evidence from a Cointegration Approach for Germany," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 07-2005, Dec.
• Ivan Paya & David A. Peel, 2005, "A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-16, Apr.
• Flabbi, Luca, 2005, "Gender Discrimination Estimation in a Search Model with Matching and Bargaining," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1764, Sep.
• Breunig, Robert & Cobb-Clark, Deborah A. & Gong, Xiaodong, 2005, "Improving the Modeling of Couples' Labour Supply," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1773, Sep.
• Fougère, Denis & Kamionka, Thierry, 2005, "Econometrics of Individual Labor Market Transitions," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1850, Nov.
• V. L. Martin & G. M. Martin & G. C. Lim, 2005, "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 3, pages 377-404, DOI: 10.1002/jae.762.
• Euston Quah & Sutaip L.C. Saw & Khye-Chong Tan & Jongsay Yong, 2005, "Effects of smoking on productivity: estimating aggregate production technology using cross-sectional time series data," Journal of Developing Areas, Tennessee State University, College of Business, volume 39, issue 1, pages 41-53, September.
• Rajagopal, 2005, "Measuring Variability Factors in Consumer Value for Profit Optimization in a Firm - A Framework for Analysis," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 1, issue 1, pages 85-103, January.
• Rob J. Hyndman & Lydia Shenstone, 2005, "Stochastic models underlying Croston's method for intermittent demand forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., volume 24, issue 6, pages 389-402, DOI: 10.1002/for.963.
• Tomoaki Shouda, 2005, "Dynamical analysis of corporate bonds based on the yield spread term-quality surface," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 4, pages 307-332, December, DOI: 10.1007/s10690-006-9028-3.
• Hermann Sintim-Aboagye, 2005, "Emerging Economies, Turnover Rates and Inflation Variability: A Comparison of Generalized Maximum Likelihood and SUR Models," Economic Change and Restructuring, Springer, volume 38, issue 2, pages 167-178, June, DOI: 10.1007/s10644-006-9001-1.
• Dario Cziráky & Sanja Tišma & Anamarija Pisarović, 2005, "Determinants of the Low SME Loan Approval Rate in Croatia," Small Business Economics, Springer, volume 25, issue 4, pages 347-372, November, DOI: 10.1007/s11187-004-6481-0.
• Gabriella Legrenzi, 2005, "Asymmetries in the Growth of Governments," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/03, Mar.
• Gabriella Legrenzi & Costas Milas, 2005, "Non-linear adjustments in fiscal policy," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/04, Feb.
• Gabriella Legrenzi & Costas Milas, 2005, "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/08, Jul.
• Jakob B Madsen & Costas Milas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/09, Jul.
• Christopher Martin & Costas Milas, 2005, "Uncertainty and Monetary Policy Rules in the United States," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/10, Jul.
• Christopher Martin & Costas Milas, 2005, "Uncertainty and UK Monetary Policy," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/11, Feb.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005, "On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/13, Feb.
• Christopher Martin & Costas Milas, 2005, "The Response of Monetary Policy to Uncertainty: Theory and Empirical Evidence for the US," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/15, Jul, revised Aug 2006.
• Peter Sandholt Jensen & Allan H. Würtz, 2005, "The Ill-Posed Problem in Growth Empirics," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2005-11, Jul.
• I Paya & D Peel, 2005, "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers, Lancaster University Management School, Economics Department, number 565953.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005, "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series, Department of Economics, Loughborough University, number 2005_9, Sep, revised Sep 2005.
• Schlicht, Ekkehart, 2021, "VC - A Program for Estimating Time-Varying Coefficients," Discussion Papers in Economics, University of Munich, Department of Economics, number 74981.
• Schlicht, Ekkehart, 2005, "VC - A Program for Estimating Time-Varying Coefficients," Software in Economics, University of Munich, Department of Economics, number 684, revised .
• Schlicht, Ekkehart, 2005, "VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C," Software in Economics, University of Munich, Department of Economics, number 719, revised .
• J. Hirschberg & J. Lye, 2005, "Interactions in Regressions," Department of Economics - Working Papers Series, The University of Melbourne, number 952.
• Peter N Smith & S Sorensen & M R Wickens, 2005, "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 47, Sep.
• Denny Meyer & Rob J. Hyndman, 2005, "Rating Forecasts for Television Programs," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/05, Mar.
• J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005, "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/05, Apr.
• Shahidur Rahman, 2005, "An Alternative Estimation to Spurious Regression Model," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0507, Jul.
• Andrew Ang & Joseph Chen, 2005, "CAPM Over the Long Run: 1926-2001," NBER Working Papers, National Bureau of Economic Research, Inc, number 11903, Dec.
• Jose Canals-Cerda, 2005, "Congestion Pricing in an Internet Market," Working Papers, NET Institute, number 05-10, Sep, revised Sep 2005.
• Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005, "On the Stablity of the Wealth Effect," NIPE Working Papers, NIPE - Universidade do Minho, number 14/2005.
• Gunnar Bårdsen & Q. Farooq Akram & Øyvind Eitrheim, 2005, "Monetary policy and asset prices: To respond or not?," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 5405, Sep.
• Clive G. Bowsher, 2005, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W26, Oct.
• Ana Maria Santacreu, 2005, "Reaction functions in a small open economy: What role for non-traded inflation?," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2005/04, Oct.
• Thomas A Lubik, 2005, "A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2005/06, Dec.
• Laurent Ferrara & Dominique Guégan, 2006, "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2005, issue 3, pages 353-371, DOI: 10.1787/jbcma-v2005-art9-en.
• Álvarez, Antonio & Amsler, Christine & Orea, Luis & Schmidt Peter, 2005, "Interpreting and Testing the Scaling Property in Models where Inefficiency Depends on Firm Characteristics," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2005/03.
• Diaconu Oana, 2005, "Modelarea diferenţelor salariale dintre femei şi bărbaţi," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 04, December.
• Hsiu-Yun Lee & Jyh-Lin Wu & Show-Lin Chen, 2005, "A Theory-Based, State-Dependent Phillips Curve and its Estimation," Economic Inquiry, Western Economic Association International, volume 43, issue 1, pages 194-205, January.
• Enrique Sentana, 2005, "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 56-78.
• Chris Brooks, 2005, "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 3, pages 399-421.
• Eric French, 2005, "The Effects of Health, Wealth, and Wages on Labour Supply and Retirement Behaviour," The Review of Economic Studies, Review of Economic Studies Ltd, volume 72, issue 2, pages 395-427.
• Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005, "Limit Order Book as a Market for Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 4, pages 1171-1217.
• Annetta Maria Binotti & Enrico Ghiani, 2005, "Changes of the aggregate supply conditions in Italy: a small econometric model of wages and prices dynamics," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy, number 2005/55, Jan.
• Mourinho Félix, Ricardo, 2005, "A macroeconomic structural model for the Portuguese economy," MPRA Paper, University Library of Munich, Germany, number 10465, Oct, revised 25 Nov 2005.
• Yucel, Eray M., 2005, "Does Ramadan Have Any Effect on Food Prices: A Dual-Calendar Perspective on the Turkish Data," MPRA Paper, University Library of Munich, Germany, number 1141, Dec.
• Neamtu, Mihaela & Opris, Dumitru & Chilarescu, Constantin, 2005, "Hopf bifurcation in a dynamic IS-LM model with time delay," MPRA Paper, University Library of Munich, Germany, number 13270, Nov.
• Ilmolelian, Peter, 2005, "The determinants of the Harare Stock Exchange (HSE) market capitalisation," MPRA Paper, University Library of Munich, Germany, number 1418, Nov.
• Ajluni, Jarir, 2005, "Monetary Policy Shocks in a Small Open Economy: Assessing the 'Puzzles' of Monetary Policy by SVAR," MPRA Paper, University Library of Munich, Germany, number 22880, May.
• Lanne, Markku & Saikkonen, Pentti, 2005, "A Multivariate Generalized Orthogonal Factor GARCH Model," MPRA Paper, University Library of Munich, Germany, number 23714, May.
• Wiederhold, gio, 2005, "What is Your Software Worth?," MPRA Paper, University Library of Munich, Germany, number 30150, Dec, revised 07 Jun 2006.
• Ferrara, Laurent & Guégan, Dominique, 2005, "Detection of the industrial business cycle using SETAR models," MPRA Paper, University Library of Munich, Germany, number 4389, Sep.
• Leeb, Hannes & Pötscher, Benedikt M., 2005, "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper, University Library of Munich, Germany, number 72, Apr.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper, University Library of Munich, Germany, number 80468.
• Iiboshi, Hirokuni & Watanabe, Toshiaki, 2005, "Has the Business Cycle Changed in Japan? A Bayesian Analysis Based on a Markov-Switching Model with Multiple Change-Points," MPRA Paper, University Library of Munich, Germany, number 93865, Jul.

2004

• Loof, Hans, 2004, "Dynamic optimal capital structure and technical change," Structural Change and Economic Dynamics, Elsevier, volume 15, issue 4, pages 449-468, December.
• Guerrero, Carlos, 2004, "Una aproximación al sesgo de medición del precio de las computadoras en México," EGAP Working Papers, Tecnológico de Monterrey, Campus Ciudad de México, number 2005-02, Dec.
• Jochen Hartwig, 2004, "Nichts als Strohfeuer? Eine kritische Analyse des wirtschaftspolitischen Assignments im "Neuen Konsens" mit Hilfe eines makrooekonometrischen Politiksimulationsmodells der Schweizer Volkswir," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 1, issue 2, pages 107-134.
• Daniel Rösch & Harald Scheule, 2004, "Forecasting Retail Portfolio Credit Risk," Journal of Risk Finance, Emerald Group Publishing Limited, volume 5, issue 2, pages 16-32, February, DOI: 10.1108/eb022983.
• van Oest, R.D. & Paap, R., 2004, "Analyzing the effects of past prices on reference price formation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-36, Aug.
• Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2004, "Forecasting aggregates using panels of nonlinear time series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-44, Nov.
• Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004, "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-027-F&A, Apr.
• Caron, E.A.M. & Daniels, H.A.M., 2004, "Diagnosis in the Olap Context," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-063-LIS, Aug.
• André Decoster & Kris De Swerdt, 2005, "Why and How to Construct a Genuine Belgian Price Index of House Sales," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0515, Mar.
• Eric Jondeau & Jean-Guillaume Sahuc, 2004, "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 04-13.
• Esmeralda Ramalho, 2004, "Covariate Measurement Error in Endogenous Stratified Samples," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 2_2004.
• Esmeralda Ramalho, 2004, "Binary models with misclassification in the variable of interest," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 3_2004.
• Jan Kodera, 2004, "The Applied Econometrics: Theory and Praxis (Roman Hušek and Jan Pelikán) (in Czech)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 3-4, pages 171-173, March.
• Elisabetta Strazzera & Margarita Genius, 2004, "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers, Fondazione Eni Enrico Mattei, number 2004.73, Apr.
• Hannu Koskinen, 2004, "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, volume 17, issue 2, pages 63-72, Autumn.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
• Tamim Bayoumi & Douglas Laxton & Paolo Pesenti, 2004, "Benefits and spillovers of greater competition in Europe: a macroeconomic assessment," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 803.
• Tamim Bayoumi & Douglas Laxton & Paolo Pesenti, 2004, "Benefits and spillovers of greater competition in Europe: a macroeconomic assessment," Staff Reports, Federal Reserve Bank of New York, number 182.
• Raimond Maurer & Martin Pitzer & Steffen Sebastian, 2004, "Construction of a Transaction-Based Real Estate Index for the Paris Housing Market," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 68.
• Ariel Pakes & Michael Ostrovsky & Steve Berry, 2004, "Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Examples)," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2036.
• Luca Flabbi, 2004, "Gender Discrimination Estimation in a Search Model with Matching and Bargaining," Working Papers, Georgetown University, Department of Economics, number gueconwpa~04-04-08, Apr.
• Lööf, Hans, 2004, "Dynamic Optimal Capital Structure and Technical Change," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 23, Dec.
• Janz, Norbert & Lööf, Hans & Peters, Bettina, 2004, "Firm Level Innovation and Productivity - Is there a Common Story Across Countries?," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 24, Dec.
• González Gómez, Andrés, 2004, "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 572, Dec.
• Lindén, Johan, 2004, "The Labor Market in KIMOD," Working Papers, National Institute of Economic Research, number 89, Feb.
• Dagsvik, John K. & Strøm, Steinar, 2004, "Sectoral labor supply, choice restrictions and functional form," Memorandum, Oslo University, Department of Economics, number 13/2004, Oct.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.
• Naoya Katayama, 2004, "Seasonally and Fractionally Differenced Time Series (revised, August 2006)," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-11, Jan.
• Janusz Brzeszczynski & Aleksander Welfe, 2004, "Determinants of Short-term Volatility at the Warsaw Stock Exchange: In-sample vs. Out-of-sample Forecasts from Factor and Predictive GARCH Models," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University, number 0408.
• Janusz Brzeszczynski & Robert Kelm, 2004, "Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University, number 0409.
• M. Eray YÜCEL & M. Faruk AYDIN & Uğur ÇIPLAK, 2004, "Terör Ve Benzeri Ulumsuz Gelişmelerin Türk Turizmine Etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 19, issue 220, pages 106-121.
• Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004, "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 9, issue 3, pages 277-288, DOI: 10.1002/ijfe.245.
• Josef L. Loening, 2004, "Time series evidence on education and growth: the case of Guatemala, 1951-2002," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 19, issue 2, pages 3-40, December.
• Mika Saito, 2004, "Armington Elasticities in Intermediate Inputs Trade: A Problem in Using Multilateral Trade Data," IMF Working Papers, International Monetary Fund, number 2004/022, Feb.
• Mr. Tamim Bayoumi & Ms. Silvia Sgherri, 2004, "Monetary Magic? How the Fed Improved the Flexibility of the U.S. Economy," IMF Working Papers, International Monetary Fund, number 2004/024, Feb.
• Ivan Paya & David A. Peel, 2004, "Nonlinear Ppp Under The Gold Standard," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-24, Jun.
• Ivan Paya & David A. Peel, 2004, "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-25, Jun.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "Real Time Econometrics," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1108, Apr.
• Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2004, "Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1364, Oct.
• Almas Heshmati & Mkhululi Ncube, 2004, "An Econometric Model Of Employment In Zimbabwe¡¯S Manufacturing Industries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 29, issue 2, pages 107-130, December.
• Heilemann Ullrich, 2004, "Besser geht’s nicht – Genauigkeitsgrenzen von Konjunkturprognosen / As Good as it Gets – Limits of Accuracy of Macroeconomic Short Term Forecasts," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 1-2, pages 51-64, February, DOI: 10.1515/jbnst-2004-1-205.
• Schumacher Christian & Dreger Christian, 2004, "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? / Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie ei," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 224, issue 6, pages 731-750, December, DOI: 10.1515/jbnst-2004-0606.
• Jan G. De Gooijer & Kurt Brännäs, 2004, "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 155-171, DOI: 10.1002/for.910.
• Sune Karlsson & Tor Jacobson, 2004, "Finding good predictors for inflation: a Bayesian model averaging approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 7, pages 479-496, DOI: 10.1002/for.924.
• M. Ishaq Nadiri & Wanpyo Son, 2004, "Cumulative Trade and Economic Growth in The East Asian Countries," Korean Economic Review, Korean Economic Association, volume 20, pages 175-192.
• Jochen Hartwig, 2004, "Quantitative Analyse der Auswirkungen wirtschaftspolitischer Massnahmen auf die Einkommensverteilung und das "neue magische Viereck" in der Schweiz," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 04-90, Jan, DOI: 10.3929/ethz-a-004871546.
• Fredy Ocaris Pérez Ramírez & Hermilson Velásquez Ceballos, 2004, "Análisis de cambio de régimen en series de tiempo no lineales utilizando modelos TAR," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 61, pages 101-119, Julio-Dic.
• Jonathan Temple & Cliff Attfield, 2004, "Measuring trend growth: how useful are the great ratios?," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 101, Sep.
• Christopher Martin & Michael Arghyrou & Costas Milas, 2004, "Nonlinear inflation dynamics: evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 59, Sep.
• Don Bredin & Stilianos Fountas, 2004, "Macroeconomic Uncertainty and Macroeconomic Performance: Are they related?," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 51, Sep.
• Christopher Martin & Costas Milas, 2004, "Uncertainty and UK Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 65, Sep.
• Guillaume Guerrero & Nicolas Million, 2004, "Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number v04048, Jun.
• D.S. Poskitt & Jing Zhang, 2004, "Estimating Components in Finite Mixtures and Hidden Markov Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/04, Mar.
• D.S. Poskitt, 2004, "Some Results on the Identification and Estimation of Vector ARMAX Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/04, May.
• Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004, "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/04, Nov.
• Heather M. Anderson & Chin Nam Low, 2004, "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/04, Nov, revised May 2005.
• Jonathan Dark, 2004, "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/04, Mar.
• Xibin Zhang & Maxwell L. King & Rob J. Hyndman, 2004, "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/04, Apr.
• Tamim Bayoumi & Douglas Laxton & Paolo Pesenti, 2004, "Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assesment," NBER Working Papers, National Bureau of Economic Research, Inc, number 10416, Apr.
• Ariel Pakes & Michael Ostrovsky & Steve Berry, 2004, "Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)," NBER Working Papers, National Bureau of Economic Research, Inc, number 10506, May.
• Sangeeta Pratap & Carlos Urrutia, 2004, "Firm Dynamics, Investment, and Debt Portfolio: Balance Sheet Effects of the Mexican Crisis of 1994," NBER Working Papers, National Bureau of Economic Research, Inc, number 10523, May.
• S. Raspiller & N. Riedinger, 2004, "Do environmental regulations influence the location behavior of French firms?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2004-03.
• Guillaume Chevillon & David F. Hendry, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W12, May.
• David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W13, Nov.
• Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W02, Feb.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W21, Sep.
• David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W04, Feb.
• Harald Grech, 2004, "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 94, Dec.
• Dadi Kristofersson & Kyrre Rickertsen, 2004, "Efficient Estimation of Hedonic Inverse Input Demand Systems," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 86, issue 4, pages 1127-1137.
• Andrew J. Patton, 2004, "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 1, pages 130-168.
• Markus Haas, 2004, "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 2, pages 211-250.
• Alois Geyer & Stephan Kossmeier & Stefan Pichler, 2004, "Measuring Systematic Risk in EMU Government Yield Spreads," Review of Finance, European Finance Association, volume 8, issue 2, pages 171-197.
• David Hendry & Guillaume Chevillon, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 196, Jul.
• Clive Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-19, Sep.