Research classified by Journal of Economic Literature (JEL) codes

1. Sign Restrictions

2003

• N. Riedinger & E. Hauvy, 2003, "The cost of air pollution abatement for French firms: An estimation at the firm-level," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2003-01.
• Clive G. Bowsher, 2003, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W03, Jan.
• Heino Bohn Nielsen & Christopher Bowdler, 2003, "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W05, Mar.
• Ralf Brüggemann & Hans-Martin Krolzig & Helmut Lütkepohl, 2003, "Comparison of Model Reduction Methods for VAR Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W13, Apr.
• David Hendry & Hans-Martin Krolzig, 2003, "The Properties of Automatic Gets Modelling," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W14, Mar.
• Hans-Martin Krolzig, 2003, "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W15, Mar.
• Jurgen A. Doornik & Marius Ooms, 2003, "Multimodality in the GARCH Regression Model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W20, Sep.
• Ken West, 2003, "Monetary policy and the volatility of real exchange rates in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/09, Nov.
• Hans Lööf & Almas Heshmati, 2003, "The link between firm-level innovation and aggregate productivity growth: a cross-country examination," Research Evaluation, Oxford University Press, volume 12, issue 2, pages 131-147, August.
• Arce, Rafael de & Mahia, Ramón, 2003, "Un Modèle d’Equilibre pour la Determination des Effets Nationaux de la Creation d’une Zone de Libre Echange Agricole Euro-Mediterraneenne
  [An equilibrium model for Free Trade Area creation economic impacts estimation]," MPRA Paper, University Library of Munich, Germany, number 10455, Dec.
• Albu, Lucian-Liviu & Nicolae, Mariana, 2003, "Use of households survey data to estimate the size of the informal economy in Romania," MPRA Paper, University Library of Munich, Germany, number 14286, Jan.
• Skribans, Valerijs, 2003, "Construction demand: a model of research and forecast for Latvia from 2002 to 2025," MPRA Paper, University Library of Munich, Germany, number 16366.
• Mapa, Dennis S., 2003, "A Range-Based GARCH Model for Forecasting Volatility," MPRA Paper, University Library of Munich, Germany, number 21323, Dec.
• Chan, Tze-Haw & Khong, Wye Leong Roy & Baharumshah, Ahmad Zubaidi, 2003, "Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity," MPRA Paper, University Library of Munich, Germany, number 2209, revised 2003.
• Skribans, Valerijs, 2003, "Latvijas būvniecības nozares attīstības prognoze
  [Latvian construction brunch development forecast]," MPRA Paper, University Library of Munich, Germany, number 26072.
• Václava Pánková, 2003, "Analýza vlivu cenových relací na objem exportu v České republice
  [Price relations analysis of export in the Czech republic]," Politická ekonomie, Prague University of Economics and Business, volume 2003, issue 4, pages 533-540, DOI: 10.18267/j.polek.415.
• Jan Kodera & Václava Pánková, 2003, "Makroekonomické veličiny a ceny akcií
  [Macroeconomic variables and stock prices]," Politická ekonomie, Prague University of Economics and Business, volume 2003, issue 6, pages 825-837, DOI: 10.18267/j.polek.440.
• Francisco Craveiro Dias, 2003, "Nonlinearities over the Business Cycle: an Application of the Smooth Transition Autoregressive Model to characterize GDP dynamics for the Euro-area and Portugal," Working Papers, Banco de Portugal, Economics and Research Department, number w200309.
• D.S. Prasada Rao & Christopher J. O'Donnell & George E. Battese, 2003, "Metafrontier Functions for the Study of Inter-regional Productivity Differences," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP012003, Sep.
• George Kapetanios & Massimiliano Marcellino, 2003, "A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions," Working Papers, Queen Mary University of London, School of Economics and Finance, number 489, Apr.
• Andrea Cipollini & George Kapetanios, 2003, "A Dynamic Factor Analysis of Financial Contagion in Asia," Working Papers, Queen Mary University of London, School of Economics and Finance, number 498, Jul.
• Carol Alexander & Anca Dimitriu, 2003, "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-02, Oct.
• Carol Alexander & Anca Dimitriu, 2003, "Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-08, May, revised Oct 2003.
• Carol Alexandra & Emese Lazar, 2003, "Symmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-09, May.
• Sangeeta Pratap & Silvio Rendon, 2003, "Firm Investment in Imperfect Capital Markets: A Structural Estimation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 6, issue 3, pages 513-545, July, DOI: 10.1016/S1094-2025(03)00019-X.
• Newell, Richard & Anderson, Soren, 2003, "Simplified Marginal Effects in Discrete Choice Models," RFF Working Paper Series, Resources for the Future, number dp-03-38, Dec.
• Nicolae, Mariana, 2003, "Use Of The Almon Model To Determine The Delay In The Propagation Shocks - Generated By Changes In Some Inflation Components – In The Consumer Price Index," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 112-121, June.
• Dobrescu, Emilian, 2003, "Macroeconomic Estimations For The Romanian “Pre-Accession Economic Program” (The 2003 Version)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 23-49, December.
• Croitoru, Lucian & Tarhoaca, Cornel, 2003, "The Romanian Growth Potential – A Cge Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 7-22, December.
• Nicolae, Mariana & Albu, Lucian Liviu & Andrei, Dalina & Stanica, Cristian & Iordan, Mioara, 2003, "Multi - Annual Scenarios Using A Small – Sized Rmsm Type Of Model In Order To Forecast The Main Macroeconomic Indicators In Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 25-31, December.
• Dobrescu, Emilian, 2003, "Possible Evolutions Of The Romanian Economy (Macromodel Estimations)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 32-63, December.
• Valentina Corradi & Norman Swanson, 2003, "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers, Rutgers University, Department of Economics, number 200313, Oct.
• Valentina Corradi & Norman Swanson, 2003, "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers, Rutgers University, Department of Economics, number 200316, Oct.
• Forni M. & Hallin M., 2003, "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003, Society for Computational Economics, number 143, Aug.
• Leonardo Souza & Gustavo Raposo, 2003, "Valuing Interest Rates Derivatives," Computing in Economics and Finance 2003, Society for Computational Economics, number 179, Aug.
• Cees Diks, 2003, "The correlation dimension of returns with stochastic volatility," Computing in Economics and Finance 2003, Society for Computational Economics, number 180, Aug.
• Paolo Pesenti & Michel Juillard & Douglas Laxton, 2003, "Is There A Role For Asset Prices In Monetary Rules? Some Welfare Analysis Based On Perturbation Methods," Computing in Economics and Finance 2003, Society for Computational Economics, number 202, Aug.
• H. Vincent Poor & Li Chen, 2003, "Parametric Estimation of Quadratic Term Structure Models of Interest Rates," Computing in Economics and Finance 2003, Society for Computational Economics, number 22, Aug.
• Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003, "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003, Society for Computational Economics, number 242, Aug.
• Sourour Baccar, 2003, "User Cost of Capital and Cost Function : Does the Margin in the Modelling Yields Robust Results?," Computing in Economics and Finance 2003, Society for Computational Economics, number 285, Aug.
• Chueh-Yung Tsao & Shu-Heng Chen, 2003, "Financial Modeling based on the Trajectory Domain," Computing in Economics and Finance 2003, Society for Computational Economics, number 36, Aug.
• Jesus Fernandez-Villaverde & Juan Rubio-Ramirez, 2003, "Estimating nonlinear dynamic economies: A likelihood approach," Computing in Economics and Finance 2003, Society for Computational Economics, number 91, Aug.
• Chung-Ming Kuan & Yu-Lieh Huang & Ruey S. Tsay, 2003, "A Component-Driven Model for Regime Switching and Its Empirical Evidence," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A002, Nov.
• Armando Levy, 2003, "A generalized additive Tobit model," Empirical Economics, Springer, volume 28, issue 1, pages 3-22, January, DOI: 10.1007/s001810100112.
• John Stachurski, 2003, "Stochastic growth: asymptotic distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 21, issue 4, pages 913-919, June, DOI: 10.1007/s00199-002-0259-x.
• Uwe Cantner & Horst Hanusch & Steven Klepper, 2003, "Acknowledgement to referees," Journal of Evolutionary Economics, Springer, volume 13, issue 5, pages 635-636, December, DOI: 10.1007/s00191-003-0175-7.
• Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003, "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/13, Dec.
• John K. Dagsvik & Steinar Strøm, 2003, "Analyzing Labor Supply Behavior with Latent Job Opportunity Sets and Institutional Choice Constraints," Discussion Papers, Statistics Norway, Research Department, number 344, Mar.
• Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2003, "A linear demand system within a Seemingly Unrelated Time Series Equation framework," Discussion Papers, Statistics Norway, Research Department, number 345, Mar.
• Bodil M. Larsen & Runa Nesbakken, 2003, "How to quantify household electricity end-use consumption," Discussion Papers, Statistics Norway, Research Department, number 346, Mar.
• Lester C Hunt & Yasushi Ninomiya, 2003, "Modelling Underlying Energy Demand Trends and Stochastic Seasonality: An Econometric Analysis of Transport Oil Demand in the UK and Japan," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 107, Feb.
• Kurt Brannas & Niklas Nordman, 2003, "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 11, pages 725-728, DOI: 10.1080/1350485032000139015.
• Kurt Brannas & Niklas Nordman, 2003, "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 7, pages 537-541, DOI: 10.1080/0960310022000020889.
• A. Calza & C. Gartner & J. Sousa, 2003, "Modelling the demand for loans to the private sector in the euro area," Applied Economics, Taylor & Francis Journals, volume 35, issue 1, pages 107-117, DOI: 10.1080/00036840210161837.
• Fran�ois Laisney & Michael Lechner, 2003, "Almost Consistent Estimation of Panel Probit Models with "Small" Fixed Effects," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 1, pages 1-28, February, DOI: 10.1081/ETC-120017972.
• William Barnett & Meenakshi Pasupathy, 2003, "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 2, pages 135-154, DOI: 10.1081/ETC-120020460.
• Kenneth West, 2003, "Monetary policy and the volatility of real exchange rates in New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, volume 37, issue 2, pages 175-196, DOI: 10.1080/00779950309544383.
• Ozge Akinci, 2003, "Modeling the Demand for Currency Issued in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 1, pages 1-25.
• Elif C. Arbatli, 2003, "Exchange Rate Pass-Through in Turkey : Looking for Asymmetries," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 2, pages 85-124.
• Chris Elbers & Jan Willem Gunning & Bill Kinsey, 2003, "Growth and Risk: Methodology and Micro Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-068/2, Sep, revised 19 Sep 2006.
• Rutger van Oest & Philip Hans Franses, 2003, "Which Brands gain Share from which Brands? Inference from Store-Level Scanner Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-079/4, Oct.
• Raymond J.G.M. Florax & Peter Nijkamp, 2003, "Misspecification in Linear Spatial Regression Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-081/3, Oct.
• L. Broersma & Frank A.G. den Butter & Udo Kock, 2003, "A Cointegration Model for Search Equilibrium Wage Formation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-088/3, Nov.
• Andreou, E. & Werker, B.J.M., 2003, "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-118.
• Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003, "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, volume 85, issue 3, pages 735-747, August.
• Gunnar Bårdsen & Ragnar Nymoen, 2003, "Testing Steady-State Implications for the NAIRU," The Review of Economics and Statistics, MIT Press, volume 85, issue 4, pages 1070-1075, November.
• Coenders, Germà & Bisbe, Josep & Saris, Willem E. & Batista-Foguet, Joan M., 2003, "Moderating Effects of Management Control Systems and Innovation on Performance. Simple Methods for Correcting the Effects of Measurement Error for Interaction Effects in Small Samples," Working Papers of the Department of Economics, University of Girona, Department of Economics, University of Girona, number 7, Jun.
• Tran Van Hoa, 2003, "Growth of Asian Regional Trade and Income Convergence: Evidence from ASEAN+3 Based on Extended Helpman-Krugman Hypothesis and Flexible Modelling Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp03-02.
• Tran Van Hoa, 2003, "New Asian Regionalism: Evidence of ASEAN+3 Free Trade Agreement From Extended Gravity Theory and New Modelling Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp03-03.
• Olivier Ledoit & Michael Wolf, 2003, "Honey, I shrunk the sample covariance matrix," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 691, Jun.
• Juan Carlos Bou & Albert Satorra, 2003, "The persistence of abnormal returns at industry and firm levels," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 729, Nov.
• Henrik Amilon, 2003, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 107, Sep.
• Judith A. Clarke & Sadaf Mirza, 2003, "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers, Department of Economics, University of Victoria, number 0305, May.
• David E. A. Giles & Carl Mosk, 2003, "Ruminant Eructation and a Long-Run Environmental Kuznets' Curve for Enteric Methane in New Zealand: Conventional and Fuzzy Regression Analysis," Econometrics Working Papers, Department of Economics, University of Victoria, number 0306, Jun.
• Broersma, Lourens & Butter, Frank A.G. den & Kock, Udo, 2003, "A Cointegration Model for Search Equilibrium Wage Formation," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0021.
• Juraj Valachy & Ev??en Ko?enda, 2003, "Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-622, Oct.
• Manuel Moreno, 2003, "A two‐mean reverting‐factor model of the term structure of interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 11, pages 1075-1105, November.
• Carl Chiarella & Thuy‐Duong Tô, 2003, "The jump component of the volatility structure of interest rate futures markets: An international comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 12, pages 1125-1158, December.
• Eric Hillebrand, 2003, "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics, University Library of Munich, Germany, number 0301003, Jan.
• Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003, "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics, University Library of Munich, Germany, number 0303007, Mar.
• Alex Strashny, 2003, "A Method for Assigning Letter Grades: Multi-Curve Grading," Econometrics, University Library of Munich, Germany, number 0305001, May, revised 02 May 2003.
• Thomas Alderweireld & Jean Nuyts, 2003, "Term Structure of Interest Rates.Emergence of Power Laws and Scaling Laws," Econometrics, University Library of Munich, Germany, number 0306001, Jun.
• Venus Khim-sen Liew & Terence Tai- leung Chong, 2003, "Effects of STAR and TAR types nonlinearities on order selection criteria," Econometrics, University Library of Munich, Germany, number 0307005, Jul.
• Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003, "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics, University Library of Munich, Germany, number 0309001, Sep.
• Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003, "A SETAR model with long-memory dynamics," Econometrics, University Library of Munich, Germany, number 0309002, Sep.
• Demberel S. & Nicholas Olenev & Igor Pospelov, 2003, "To a Mathematical Model of Economy and Environment Interaction //Mathematical modelling. 2003. V.15. No.4. P.107-121," GE, Growth, Math methods, University Library of Munich, Germany, number 0309006, Sep.
• Demberel S. & Nicholas Olenev & Igor Pospelov, 2003, "Economy and Environment Interaction // Moscow: Dorodnicyn Computing Centre Russian Ac. Sc., 2003. 40p. (In Russian)," GE, Growth, Math methods, University Library of Munich, Germany, number 0309007, Sep.
• Demberel S. & Nicholas Olenev & Igor Pospelov, 2003, "An interaction model for livestock farming and steppe ecosystem // “Mathematical Modeling of Ecological Systems” Almaty: Daik-Press, 2003. – 160 p. Abstracts. P.26," GE, Growth, Math methods, University Library of Munich, Germany, number 0309008, Sep.
• Demberel S. & Nicholas Olenev & Igor Pospelov, 2003, "An interaction model for livestock farming and steppe ecosystem," GE, Growth, Math methods, University Library of Munich, Germany, number 0309009, Sep.
• Alex Costa & Albert Satorra & Eva Ventura, 2003, "An Empirical Evaluation of Five Small Area Estimators," General Economics and Teaching, University Library of Munich, Germany, number 0312003, Dec.
• Eva Ventura, 2003, "A note on Measurement Error and Euler Equations: an Alternative to Log-Linear Approximations," General Economics and Teaching, University Library of Munich, Germany, number 0312004, Dec.
• Gilles DUFRENOT & Laurent MATHIEU & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003, "Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration," International Finance, University Library of Munich, Germany, number 0309003, Sep.
• Boero, Gianna & Marrocu, Emanuela, 2003, "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 663.
• Michal Grajek, 2003, "Estimating Network Effects and Compatibility in Mobile Telecommunications," CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG), number SP II 2003-26, Dec.
• Mittnik, Stefan & Paolella, Marc S., 2003, "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/04.
• Reitz, Stefan & Westerhoff, Frank, 2003, "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/10.
• Antzoulatos, Angelos A. & Wilfling, Bernd, 2003, "Exchange and Interest Rates prior to EMU: The Case of Greece," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 244.
• Jacob, Dieter & Winter, Christoph & Stuhr, Constanze, 2003, "PPP bei Schulbauten - Leitfaden Wirtschaftlichkeitsvergleich," Freiberg Working Papers, TU Bergakademie Freiberg, Faculty of Economics and Business Administration, number 2003/09.
• Mayer, Eric, 2003, "The mechanics of a reasonably fitted quarterly New Keynesian macro model," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 41.
• Peters, Bettina & Lööf, Hans & Janz, Norbert, 2003, "Firm Level Innovation and Productivity: Is there a Common Story Across Countries?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-26.
• Lööf, Hans, 2003, "Dynamic Optimal Capital Structure and Technological Change," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-06.
• Heshmati, Almas & Lööf, Hans, 2003, "The link between firm-level innovation and aggregate productivity growth: a cross-country examination," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-07.

2002

• Josef Arlt & Milan Guba & Štěpán Radkovský & Vladimír Stiller & Milan Sojka, 2002, "Selected factors influencing the money demand development in the czech republic in 1994 - 2000," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 39-56, DOI: 10.18267/j.pep.187.
• Raphaële Préget & Patrick Waelbroeck, 2002, "Etude empirique de la demande dans les enchères de bons du Trésor," Revue Économique, Programme National Persée, volume 53, issue 3, pages 403-414, DOI: 10.3406/reco.2002.410412.
• Vincenzo Di Maro, 2002, "The Estimation Of The Nairu And The Effect Of Permanent Sectoral Employment Reallocation. The Italian Evidence," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 7_2002, Jun.
• Chris Brooks & Apostolos Katsaris, 2002, "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-04, Mar.
• Chris Brooks & Simon P. Burke & Gita Persand, 2002, "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-05, Feb.
• Carol Alexandra & Anca Dimitriu, 2002, "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-08, Apr.
• Chris Brooks & Apostolos Katsaris, 2002, "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-14, Apr.
• Banzhaf, H. Spencer, 2002, "Quality Adjustment for Spatially-Delineated Public Goods: Theory and Application to Cost-of-Living Indices in Los Angeles," RFF Working Paper Series, Resources for the Future, number dp-02-10-, Mar.
• Leonardo Souza & Alvaro Veiga & Marcelo C. Medeiros, 2002, "Evaluating the performance of GARCH models using White´s Reality Check," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 453, Apr.
• Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002, "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 461, Aug.
• Albu, Lucian Liviu & Kim, Byung Yeon & Duchene, Gerard, 2002, "AN ATTEMPT TO ESTIMATE THE SIZE OF INFORMAL ECONOMY BASED ON HOUSEHOLD BEHAVIOUR MODELING (l)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 17-24, March.
• Croitoru, Lucian & Doltu, Claudiu & Tarhoaca, Cornel, 2002, "Monetary Conditions Index: The Monetary Policy Indicator In Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 25-38, March.
• Alexandri, Cecilia, 2002, "Effects Of Cap Adoption Upon Agricultural Demand, Supply And Trade," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 15-29, June.
• Albu, Lucian Liviu, 2002, "Sustainability Function," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 5-14, June.
• Albu, Lucian Liviu & Kim, Byung Yeon, 2002, "Households' Activities In Informal Economy: Size And Behavioural Aspects (Ii)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 18-28, December.
• Scutaru, Cornelia & Pauna, Catalin & Pauna, Bianca, 2002, "A Micro-Econometric Approach For Assessing The Determinants Of The Informal Economy In Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 29-51, December.
• Pauna, Catalin & Kim, Byung Yeon & Pauna, Bianca & Scutaru, Cornelia, 2002, "Modelling Informal Labour Market Participation In The Context Of European Economic Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 5-17, December.
• Scutaru, Cornelia & Pauna, Catalin & Pauna, Bianca, 2002, "Benefits And The Costs Of Eu Enlargement. Implications For The Formal And Informal Sectors In Transition - The Case Of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 52-73, December.
• Dobrescu, Emilian, 2002, "Introduction into Macroeconomic Modeling Foundations," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 39-88, December.
• Dobrescu, Emilian, 2002, "Macromodel Estimation for the Romanian "Pre-Accession Economic Programme"," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 5-38, December.
• Roberto Cellini & Antonello E. Scorcu, 2002, "Ripartizione del rischio nelle aree territoriali italiane: un’indagine nel lungo e nel breve periodo," Rivista di Politica Economica, SIPI Spa, volume 92, issue 3, pages 171-200, May-June.
• Cristina Sommacampagna, 2002, "Stima del Value-at-Risk con il Filtro di Kalman," Rivista di Politica Economica, SIPI Spa, volume 92, issue 6, pages 147-174, November-.
• Vincenzo Di Maro, 2002, "Il NAIRU: la stima e l’effetto della riallocazione settoriale permanente dell’occupazione," Rivista di Politica Economica, SIPI Spa, volume 92, issue 6, pages 69-110, November-.
• Ana-Maria Fuertes & Miguel A. Martin & M. Teresa Perez, 2002, "Global Optimization Methods for Estimation of Smooth Transition Autoregressive Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 113, Jul.
• Baoline Chen & Peter A. Zadrozny, 2002, "Real-Time Quarterly Signal-Plus-Noise Model for Estimating True GDP," Computing in Economics and Finance 2002, Society for Computational Economics, number 128, Jul.
• Clinton WATKINS & Michael McALEER, 2002, "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 18, Jul.
• Filipe R. Campante & Luciano Vereda & Marcelo C. Medeiros, 2002, "Modeling and forecasting Brazilian industrial production: unit roots, seasonality and non-linearity," Computing in Economics and Finance 2002, Society for Computational Economics, number 189, Jul.
• Denis Bolduc & Dimitri Sanga, 2002, "Two-Step Estimation of Discrete/Continuous Econometric Models with Interdependent Multinomial Choices," Computing in Economics and Finance 2002, Society for Computational Economics, number 226, Jul.
• Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2002, "Can We Beat the Random Walk Forecasts of Out-of-Sample Exchange Rates? A Structural Approach," Computing in Economics and Finance 2002, Society for Computational Economics, number 233, Jul.
• Ivana Komunjer, 2002, "The Alpha-Quantile Distribution Function and its Applications to Financial Modeling," Computing in Economics and Finance 2002, Society for Computational Economics, number 288, Jul.
• massimo franchi, 2002, "A Non-Causal Identification Scheme for Vector Autoregressions," Computing in Economics and Finance 2002, Society for Computational Economics, number 290, Jul.
• Andrew Hughes Hallett & Christian R Richter, 2002, "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," Computing in Economics and Finance 2002, Society for Computational Economics, number 3, Jul.
• John Driffill & Turalay Kenc & Martin Sola, 2002, "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002, Society for Computational Economics, number 304, Jul.
• Marcelo C. Medeiros & Alvaro Veiga, 2002, "Are There Multiple Regimes in Financial Volatility?," Computing in Economics and Finance 2002, Society for Computational Economics, number 311, Jul.
• Laurence Boone & Michel Juillard & Doug Laxton & Papa N'Diaye, 2002, "How Well Do Alternative Time-Varying Parameter Models of the NAIRU Help Policymakers Forecast Unemployment and Inflation in the OECD Countries?," Computing in Economics and Finance 2002, Society for Computational Economics, number 359, Jul.
• Douglas Laxton & Papa N’Diaye, 2002, "Monetary Policy Credibility and the Unemployment-Inflation Tradeoff: Some Evidence from Seventeen OECD Countries," Computing in Economics and Finance 2002, Society for Computational Economics, number 364, Jul.
• P.A.V.B. Swamy & I-Lok Chang, 2002, "A Method of Correcting for Omitted-Variables and Measurement-Errors Bias in Panel Data," Computing in Economics and Finance 2002, Society for Computational Economics, number 69, Jul.
• Neil H. Spencer & Antony Fielding, 2002, "A Comparison of Modelling Strategies for Value-Added Analyses of Educational Data," Computational Statistics, Springer, volume 17, issue 1, pages 103-116, March, DOI: 10.1007/s001800200093.
• Richard C. Bishop & Matthew T. Holt, 2002, "A semiflexible normalized quadratic inverse demand system: an application to the price formation of fish," Empirical Economics, Springer, volume 27, issue 1, pages 23-47.
• Ulrich Kohli, 2002, "Migration and foreign trade: Further results," Journal of Population Economics, Springer;European Society for Population Economics, volume 15, issue 2, pages 381-387.
• W. Mark Brown & William P. Anderson, 2002, "articles: Spatial markets and the potential for economic integration between Canadian and U.S. regions," Papers in Regional Science, Springer;Regional Science Association International, volume 81, issue 1, pages 99-120.
• Juan A. Lafuente, 2002, "Intraday return and volatility relationships between the Ibex 35 spot and futures markets," Spanish Economic Review, Springer;Spanish Economic Association, volume 4, issue 3, pages 201-220.
• Marco J. Lombardi & Giampiero M. Gallo, 2002, "Analytic Hessian matrices and the computation of FIGARCH estimates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 11, issue 2, pages 247-264, June, DOI: 10.1007/BF02511490.
• Tor Jakob Klette & Arvid Raknerud, 2002, "How and why do Firms differ?," Discussion Papers, Statistics Norway, Research Department, number 320, Jul.
• Erling Røed Larsen, 2002, "Estimating Latent Total Consumption in a Household," Discussion Papers, Statistics Norway, Research Department, number 324, Aug.
• Robert Buckle & Kunhong Kim & Julie Tam, 2002, "A structural var approach to estimating budget balance targets," New Zealand Economic Papers, Taylor & Francis Journals, volume 36, issue 2, pages 149-175, DOI: 10.1080/00779950209544368.
• Defne Mutluer & Yasemin Barlas, 2002, "Modeling the Turkish Broad Money Demand," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 2, issue 2, pages 55-75.
• Rutger van Oest & Philip Hans Franses & Richard Paap, 2002, "A Dynamic Utility Maximization Model for Product Category Consumption," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-097/4, Oct.
• Siem Jan Koopman & Charles S. Bos, 2002, "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-113/4, Nov.
• Rutger van Oest & Richard Paap & Philip Hans Franses, 2002, "A Joint Framework for Category Purchase and Consumption Behavior," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-124/4, Dec.
• Alfonso Novales & J.A. Lafuente, 2002, "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0223.
• O'Loughlin, Christina & Coenders, Germà, 2002, "Application of the European Customer Satisfaction Index to Postal Services. Structural Equation Models versus Partial Least Squares," Working Papers of the Department of Economics, University of Girona, Department of Economics, University of Girona, number 4, Sep.
• Michael Lechner & Francois Laisney, 2002, "Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-15, Jun.
• Henrik Amilon, 2002, "A Score Test for Discreteness in GARCH Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 76, Mar.
• Ram Bhar & Carl Chiarella & Thuy Duong To, 2002, "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 80, May.
• Carl Chiarella & Shenhuai Gao, 2002, "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 115, Apr.
• Dmitri Koulikov, 2002, "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 493, Aug.
• Gerhard Munduch & Alexander Pfister & Leopold Sögner & Alfred Stiassny, 2002, "Estimating Marginal Costs for the Austrian Railway System," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp078, Feb.
• Ines Fortin & Christoph Kuzmics, 2002, "Tail‐dependence in stock‐return pairs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 11, issue 2, pages 89-107, April, DOI: 10.1002/isaf.216.
• Vincenzo Di Maro, 2002, "The Estimation of the NAIRU and the Effect of Permanent Sectoral Employment Reallocation. The Italian Evidence," Econometrics, University Library of Munich, Germany, number 0207001, Jul.
• Catherine Baumont & Cem Ertur & Julie Le Gallo, 2002, "The European Regional Convergence Process, 1980-1995: Do Spatial Regimes and Spatial Dependence Matter?," Econometrics, University Library of Munich, Germany, number 0207002, Jul.
• Ludger J. Loening, 2002, "The Impact of Education on Economic Growth in Guatemala: A Time- Series Analysis Applying an Error-Correction Methodology," Econometrics, University Library of Munich, Germany, number 0211002, Nov.
• Massoud Heidari & Liuren Wu, 2002, "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance, University Library of Munich, Germany, number 0207010, Aug, revised 10 Sep 2002.
• Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002, "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance, University Library of Munich, Germany, number 0207016, Aug.
• Rafiqul Bhuyan, 2002, "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, University Library of Munich, Germany, number 0211002, Nov.
• Efrem Castelnuovo, 2002, "Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model," Macroeconomics, University Library of Munich, Germany, number 0211006, Nov.
• Michal Grajek, 2002, "Identification of Network Externalities in Markets for Non-Durables," CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG), number FS IV 02-32, Dec.
• Kim, Jeong-Ryeol, 2002, "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,05.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002, "Mixed normal conditional heteroskedasticity," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/10.
• Eliasson, Ann-Charlotte, 2002, "Sovereign credit ratings," Research Notes, Deutsche Bank Research, number 02-1.
• Dreger, Christian & Schumacher, Christian, 2002, "Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 199.
• Brüggemann, Ralf, 2002, "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,2.
• Brüggemann, Ralf & Krolzig, Hans-Martin & Lütkepohl, Helmut, 2002, "Comparison of model reduction methods for VAR processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,80.
• Lechner, Michael & Laisney, François, 2002, "Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 02-64.
• Gunnar Bardsen & Eilev Jansen & Ragnar Nymoen, 2002, "Model Specification and Inflation Forecast Uncertainty," Annals of Economics and Statistics, GENES, issue 67-68, pages 495-517.
• Dreger, Christian & Schumacher, Christian, 2002, "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Discussion Paper Series, Hamburg Institute of International Economics, number 26321, DOI: 10.22004/ag.econ.26321.
• Carlberg, Jared G., 2002, "Effects Of Ownership Restrictions On Farmland Values In Saskatchewan," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 34, issue 2, pages 1-10, August, DOI: 10.22004/ag.econ.15473.
• Rosenberger, Randall S. & Peterson, George L. & Loomis, John B., 2002, "Applying A Method Of Paired Comparisons To Measure Economic Values For Multiple Goods Sets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 34, issue 01, pages 1-15, April, DOI: 10.22004/ag.econ.15516.
• Banzhaf, H. Spencer, 2002, "Quality Adjustment for Spatially-Delineated Public Goods: Theory and Application to Cost-of-Living Indices in Los Angeles," Discussion Papers, Resources for the Future, number 10833, DOI: 10.22004/ag.econ.10833.
• Víctor Guerrero, Bernardo Pena, Eva Senra y Alejandro Alegría, 2002, "Pronósticos restringidos de series temporales económicas múltiples para el seguimiento de metas por lograr. El caso de la inflación y el PIB de México," Doctorado en Economía- documentos de trabajo, Programa de doctorado en Economía. Universidad de Alcalá., number 6/02, Feb.
• Rosangela H. Loshi & Pilar L. Iglesias & Guilherme G. Moreira, 2002, "A change point analysis of BOVESPA and BOVMESB indexes using the Bayeian approach," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 3, issue 2, pages 239-264, July-Dece.
• Eva Boj del Val & M. Mercedes Claramunt Bielsa & Jose Fortiana Gregori, 2002, "Herramientas estadisticas para el estudio de perfiles de riesgo," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 88.
• Marwan Chacra, 2002, "Oil-Price Shocks and Retail Energy Prices in Canada," Staff Working Papers, Bank of Canada, number 02-38, DOI: 10.34989/swp-2002-38.
• Greg Tkacz, 2002, "Inflation Changes, Yield Spreads, and Threshold Effects," Staff Working Papers, Bank of Canada, number 02-40, DOI: 10.34989/swp-2002-40.