Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2007

• Stephen Machin & Sandra McNally & Costas Meghir, 2007, "Resources and Standards in Urban Schools," CEE Discussion Papers, Centre for the Economics of Education, LSE, number 0076, Feb.
• Gernot Doppelhofer & Melvyn Weeks, 2007, "Jointness of Growth Determinants," CESifo Working Paper Series, CESifo, number 1978.
• Sonja Munz, 2007, "Beschäftigungs- und familienpolitische Aspekte der Teilzeitarbeit im Lichte des Teilzeit- und Befristungsgesetzes - eine Evaluierung," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 29, April.
• Gernot Nerb & Heinz Schmalholz & Matthias Dischinger & Wolfgang Eggert & Thomas Fester & Reinhard Hild & Thomas Kiessl & Josef Lachner & Carsten Pohl & Michael Reinhard & Björn Frank & Heike Belitz & , 2006, "Chances and Risks of a Modified General Framework for the Service Enterprises from the EU Service Directive," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 29.
• Johannes Mayr & Dirk Ulbricht, 2007, "Log versus level in VAR forecasting: 16 Million empirical answers - expect the unexpected," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 42.
• Johannes Mayr & Dirk Ulbricht, 2007, "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 48.
• Gabriele Fiorentini & Enrique Sentana, 2007, "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers, CEMFI, number wp2007_0713.
• Alejandro Gaviria & Carlos Medina & MarÔøΩa del Mar Palau, 2007, "Las Consecuencias Econ√Ìmicas De Un Nombre At√Çpico. El Caso Colombiano," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 3108, May.
• Hernán Rincón & �dgar Caicedo & Norberto Rodr�guez, 2007, "Exchange rate pass-through effects: A disaggregate analysis of Colombian imports of manufactured goods," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 25, issue 54, pages 90-121, DOI: 10.32468/Espe.5403.
• María Isabel Restrepo & Diana Constanza Restrepo, 2007, "El canal del crédito bancario en Colombia: 1995-2005. Una aproximación mediante modelos de umbral," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Dennys MarrugoTorrente, 2007, "Evaluación de los modelos de pronóstico aplicados para la demanda turística internacional hacia Colombia," Revista Panorama Económico, Universidad de Cartagena, volume 0, issue 0, pages 1-18.
• Raúl Quejada Pérez & Felipe Del R�o Carrasquilla, 2007, "Evaluación de la influencia de la revaluación del tipo de cambio sobre la demanda de turismo en Colombia," Revista Panorama Económico, Universidad de Cartagena, volume 0, issue 0, pages 1-23.
• HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2007, "Simulation based Bayesian econometric inference: principles and some recent computational advances," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007015, Mar.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007, "Theory and inference for a Markov switching GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007055, Aug.
• BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007, "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007097, Dec.
• Minford, Patrick & Wang, Jiang & Meenagh, David, 2007, "Growth and relative living standards - testing Barriers to Riches on post-war panel data," CEPR Discussion Papers, Centre for Economic Policy Research, number 6288, May.
• Giannone, Domenico & D’Agostino, Antonello, 2007, "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 6564, Nov.
• Pascal Lavergne & Valentin Patilea, 2007, "One for All and All for One : Regression Checks with Many Regressors"," Working Papers, Center for Research in Economics and Statistics, number 2007-12.
• Timotheos Angelidis & Stavros Degiannakis, 2007, "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers, University of Crete, Department of Economics, number 0701, Jan.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Purchasing Power Parity Among Developing Countries and Their Trade-Partners: Evidence from Selected CEECs and Implications for Their Membership of EU," Working Papers, University of Crete, Department of Economics, number 0716, Oct.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Estimating the Equilibrium Effective Exchange Rate for Potential EMU members," Working Papers, University of Crete, Department of Economics, number 0719, Mar.
• García-Hiernaux, Alfredo & Casals, José & Jerez, Miguel, 2007, "Estimating the system order by subspace methods," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws070301, Jan.
• Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007, "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2007033, Sep.
• Chen, Xiaohong & Fan, Yanqin, 2007, "A Model Selection Test For Bivariate Failure-Time Data," Econometric Theory, Cambridge University Press, volume 23, issue 3, pages 414-439, June.
• Alfredo A. Romero, 2007, "A Note on the Use of R-squared in Model Selection," Working Papers, Economics Department, William & Mary, number 62, Oct.
• Kengo Nutahara, 2007, "Matlab code to replicate the Beaudry-Portier news shock model," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 170, revised .
• Christian Dreger & Jürgen Wolters, 2007, "Instabile Geldnachfrage im Euroraum?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 76, issue 4, pages 85-95, DOI: 10.3790/vjh.76.4.85.
• Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007, "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers, Duke University, Department of Economics, number 07-04.
• SOOREEA, Rajeev, 2007, "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 7, issue 2, pages 87-94.
• Guisan, M.C., 2007, "Causalidad y desarrollo económico: Análisis econométrico de los países de la OCDE, 1965-2005," Economic Development, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics., number 95.
• Guisan, M.C., 2007, "Modelos econométricos dinámicos y desarrollo económico: Análisis del salario real, la productividad y el empleo en los países de la OCDE, 1965-2005," Economic Development, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics., number 96.
• JAYANTHAKUMARAN, Kankesu & PAHLAVANI; Mosayeb & Frank NERI, Frank, 2007, "Trade Reforms And Breakpoints In Australia’S Manufactured Trade: An Application Of The Zivot And Andrews Model," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 4, issue 2, pages 69-78.
• Glennon, Dennis & Kiefer, Nicholas M. & Larson, C. Erik & Choi, Hwan-sik, 2007, "Development and Validation of Credit-Scoring Models," Working Papers, Cornell University, Center for Analytic Economics, number 07-12, Jul.
• Sergio Firpo, 2007, "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometrica, Econometric Society, volume 75, issue 1, pages 259-276, January.
• Jan R. Magnus & Andrey L. Vasnev, 2007, "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, volume 10, issue 1, pages 166-192, March.
• Arie Preminger & Shinichi Sakata, 2007, "A model selection method for S-estimation," Econometrics Journal, Royal Economic Society, volume 10, issue 2, pages 294-319, July.
• Jason Allen, 2007, "Size matters: covariance matrix estimation under the alternative," Econometrics Journal, Royal Economic Society, volume 10, issue 3, pages 637-644, November.
• Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007, "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3551-3566, April.
• Johri, Alok & Letendre, Marc-Andre, 2007, "What do `residuals' from first-order conditions reveal about DGE models?," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 8, pages 2744-2773, August.
• Monteforte, Libero, 2007, "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, volume 24, issue 2, pages 236-261, March.
• Moser, Gabriel & Rumler, Fabio & Scharler, Johann, 2007, "Forecasting Austrian inflation," Economic Modelling, Elsevier, volume 24, issue 3, pages 470-480, May.
• Kapetanios, G. & Pagan, A. & Scott, A., 2007, "Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling," Journal of Econometrics, Elsevier, volume 136, issue 2, pages 565-594, February.
• Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007, "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 125-180, May.
• Eklund, Bruno & Terasvirta, Timo, 2007, "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 753-780, October.
• Bowsher, Clive G., 2007, "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 876-912, December.
• Kiefer, Nicholas M. & Larson, C. Erik, 2007, "A simulation estimator for testing the time homogeneity of credit rating transitions," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 818-835, December.
• Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik, 2007, "Estimating the probability of informed trading--does trade misclassification matter?," Journal of Financial Markets, Elsevier, volume 10, issue 1, pages 26-47, February.
• Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007, "Cointegration, Long-Run Structural Modelling and Weak Exogeneity: Two Models of the UK Economy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2007-12, Jul.
• Hajivassiliou, Vassilis & Savignac, Frédérique, 2007, "Financing constraints and a firm's decision and ability to innovate: establishing direct and reverse effects," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4774, Jun.
• Barañano Mentxaka, Ilaski & Moral Zuazo, María Paz, 2007, "Consumption-Leisure Trade-offs and Persistency in Business Cycles," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Rodríguez, Carlos A. & Toledo, Wilfredo, 2007, "Efectos de la tasa de los fondos federales de los Estados Unidos en una economía pequeña, abierta y dolarizada. El caso de Puerto Rico," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 293, pages 223-246, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Céline Poilly, 2007, "Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2007-23.

2006

• Peter Sandholt Jensen & Allan H. Würtz, 2006, "On determining the importance of a regressor with small and undersized samples," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-08, Jul.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, New Economic School (NES), number w0071, Aug.
• Stanislav Anatolyev, 2006, "Dynamic modeling under linear-exponential loss," Working Papers, New Economic School (NES), number w0092, Dec.
• Brown, Donald J. & Deb, Rahul & Wegkamp, Marten, 2006, "Tests of Independence in Separable Econometric Models: Theory and Application," Center Discussion Papers, Yale University, Economic Growth Center, number 28395, DOI: 10.22004/ag.econ.28395.
• René Lalonde & Nicolas Parent, 2006, "The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States," Staff Working Papers, Bank of Canada, number 06-11, DOI: 10.34989/swp-2006-11.
• Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006, "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers, Bank of Canada, number 06-14, DOI: 10.34989/swp-2006-14.
• Lynda Khalaf & Maral Kichian, 2006, "Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada," Staff Working Papers, Bank of Canada, number 06-2, DOI: 10.34989/swp-2006-2.
• Benavides Guillermo, 2006, "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers, Banco de México, number 2006-04, Apr.
• Humberto Mora & Hernán Rincón, 2006, "Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries?," Borradores de Economia, Banco de la Republica de Colombia, number 364, Jan, DOI: 10.32468/be.364.
• Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2006, "Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados," Borradores de Economia, Banco de la Republica de Colombia, number 366, Feb, DOI: 10.32468/be.366.
• Maurice Kugler, 2006, "Spillovers from Foreign Direct Investment: Within or between Industries?," Borradores de Economia, Banco de la Republica de Colombia, number 369, Feb, DOI: 10.32468/be.369.
• Jorge E. Restrepo & Hernán Rincón, 2006, "Identifying Fiscal Policy Shocks In Chile And Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 397, Jun, DOI: 10.32468/be.397.
• Meitz, Mika & Terasvirta, Timo, 2006, "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 104-124, January.
• Julien Matheron & Céline Poilly, 2006, "How Well Does a Small Structural Model with Sticky Prices and Wages Fit Postwar U.S. Data?," Working papers, Banque de France, number 148.
• Julio Carrillo & Patrick Fève & Julien Matheron, 2006, "Monetary Policy Inertia or Persistent Shocks?," Working papers, Banque de France, number 150.
• Eugenio J. Miravete & José C. Pernías, 2006, "Innovation Complementarity And Scale Of Production," Journal of Industrial Economics, Wiley Blackwell, volume 54, issue 1, pages 1-29, March, DOI: 10.1111/j.1467-6451.2006.00273.x.
• Jukka Corander & Mattias Villani, 2006, "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 1, pages 141-156, January, DOI: 10.1111/j.1467-9892.2005.00460.x.
• Giuseppe Cavaliere & A. M. Robert Taylor, 2006, "Testing the Null of Co‐integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 4, pages 613-636, July, DOI: 10.1111/j.1467-9892.2006.00475.x.
• Raffaella Giacomini & Barbara Rossi, 2006, "How Stable is the Forecasting Performance of the Yield Curve for Output Growth?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 783-795, December, DOI: 10.1111/j.1468-0084.2006.00456.x.
• Andrés González & Timo Teräsvirta, 2006, "Simulation‐based Finite Sample Linearity Test against Smooth Transition Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 797-812, December, DOI: 10.1111/j.1468-0084.2006.00457.x.
• Q. Farooq Akram & Øyvind Eitrheim, 2006, "Flexible inflation targeting and financial stability: Is it enough to stabilise inflation and output?," Working Paper, Norges Bank, number 2006/07, Aug.
• Q. Farooq Akram & Gunnar Bårdsen & Kjersti-Gro Lindquist, 2006, "Pursuing financial stability under an inflation-targeting regime," Working Paper, Norges Bank, number 2006/08, Sep.
• Q. Farooq Akram & Ragnar Nymoen, 2006, "Model selection for monetary policy analysis – Importance of empirical validity," Working Paper, Norges Bank, number 2006/13, Dec.
• Sophocles N. Brissimis & Nicholas S. Magginas, 2006, "Inflation Forecasts and the New Keynesian Phillips Curve," Working Papers, Bank of Greece, number 38, May.
• D. Fabbri & C. Monfardini, 2006, "Style of practice and assortative mating: a recursive probit analysis of cesarean section scheduling in Italy," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 557.
• Luca Fanelli, 2006, "Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• Luca Fanelli, 2006, "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• María Del Carmen Melgar & José Antonio Ordaz & Flor María Guerrero, 2006, "Une étude économétrique du nombre d'accidents dans le secteur de l'assurance automobile," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 49, issue 2, pages 169-183.
• Pesaran, M.H. & Timmermann, A., 2006, "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0648, Jul.
• D'Agostino, Antonello & Giannone, Domenico, 2006, "Comparing Alternative Predictors Based on Large-Panel Factor Models," Research Technical Papers, Central Bank of Ireland, number 14/RT/06, Dec.
• Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006, "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers, Central Bank of Ireland, number 2/RT/06, Apr.
• Arghyrou, Michael G & Chortareas, Georgios, 2006, "Current Account Imbalances and Real Exchange Rates in the Euro Area," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2006/23, Sep.
• Arghyrou, Michael G, 2006, "Monetary policy before and after the euro: Evidence from Greece," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2006/26, Nov.
• Michel Dumont, 2006, "Foreign outsourcing, labour demand and the choice of functional form," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 255-273, November.
• Lubos Briatka, 2006, "How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp308, Sep.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, Center for Economic and Financial Research (CEFIR), number w0071, Aug.
• Philip A. Haile & Ali Hortacsu & Grigory Kosenok, 2006, "On the Empirical Content of Quantal Response Equilibrium," Working Papers, Center for Economic and Financial Research (CEFIR), number w0076, Aug.
• Stanislav Anatolyev, 2006, "Dynamic modeling under linear-exponential loss," Working Papers, Center for Economic and Financial Research (CEFIR), number w0092, Dec.
• Jorge E. Restrepo & Hernán Rincón, 2006, "Identifying Fiscal Policy Shocks in Chile and Colombia," Working Papers Central Bank of Chile, Central Bank of Chile, number 370, Aug.
• Maria Semenova, 2006, "What Jump Process to use to Model S&P500 Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-06, Mar.
• Marc S. Paoletta & Luca Taschini, 2006, "An Econometric Analysis of Emission Trading Allowances," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-26, Nov.
• Martin Fukac & Adrian Pagan, 2006, "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers, Czech National Bank, Research and Statistics Department, number 2006/6, Nov.
• Jorge E. Restrepo & Hern�n Rinc�n, 2006, "Identifying Fiscal Policy Shocks In Chile And Colombia," Borradores de Economia, Banco de la Republica, number 2800, Jul.
• Timo Terasvirta & Andr�s Gonz�lez, 2006, "Modelling autoregressive processes with a shifting mean," Borradores de Economia, Banco de la Republica, number 3230, Dec.
• Maurice Kugler, 2006, "Spillovers From Foreign Direct Investment:Within Or Between Industries?," Borradores de Economia, Banco de la Republica, number 3523, Feb.
• Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2006, "Una Aproximaci�n a La Din�mica de las Tasas de Inter�s de Corto Plazo en Colombia a trav�s de Modelos GARCH Multivariados," Borradores de Economia, Banco de la Republica, number 3694, Feb.
• Julio César Alonso & Mauricio Alejandro Arcos, 2006, "Valor en Riesgo: Evaluación del desempeno de diferentes metodologías para 7 países latinoamericanos," Borradores de Economía y Finanzas, Universidad Icesi, number 3744, Sep.
• Luis Fernando Gamboa & José Alberto Guerra, 2006, "Una evaluación estática y dinámica de los cambios en calidad de vida en Colombia durante 1997-2003," Revista de Economía del Rosario, Universidad del Rosario.
• María Isabel Restrepo Estrada & Diana Constanza Restrepo Ochoa, 2006, "¿Existe el canal del crédito bancario?: evidencia para Colombia en el período 1995-2005," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006, "Regime switching GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006011, Feb.
• BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006012, Feb.
• Teulings, Coen & Buhai, Ioan Sebastian, 2006, "Tenure Profiles and Efficient Separation in a Stochastic Productivity Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 5577, Mar.
• Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2006, "International Stock Return Comovements," CEPR Discussion Papers, Centre for Economic Policy Research, number 5955, Nov.
• Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006, "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006006, Feb.
• Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006, "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006007, Feb.
• Escanciano, J. Carlos, 2006, "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, volume 22, issue 6, pages 1030-1051, December.
• Rossi, Barbara, 2006, "Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 1, pages 20-38, February.
• Bidarkota, Prasad V., 2006, "On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 1, pages 56-76, February.
• Peter Haan & Michal Myck, 2006, "Apply with Caution: Introducing UK-Style In-work Support in Germany," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 555.
• Christian Dreger & Jürgen Wolters, 2006, "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 561.
• Rossi, Barbara & Giacomini, Raffaella, 2006, "Detecting and Predicting Forecast Breakdowns," Working Papers, Duke University, Department of Economics, number 06-01.
• Bill Russell, 2006, "Non-Stationary Inflation and the Markup: an Overview of the Research and some Implications for Policy," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 191, Aug.
• GARCIA-HIERNAUX, Alfredo & CERNO, Leonel, 2006, "Empirical Evidence For A Money Demand Function: A Panel Data Analysis Of 27 Countries In 1988-98," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 1.
• Nandwa, B., 2006, "Implication of the Taylor Rule on Real Exchange Rate Movement in Kenya," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Jayanthakumaran, K. & Pahlavani, M., 2006, "Australia and New Zealand CER agreement and breakpoints in bilateral trade: an application of the Wald-type test," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• El Bouhadi, A. & Benali, M., 2006, "The Moroccan Monetary and Financial Structure Reforms and Economic Agents´Behaviour," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 2.
• Kamaly, A., 2006, "Economic Growth Before and After Reform: The Case of Egypt, 1973-2002," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 3, issue 2, pages 21-54.
• Canova, Fabio & Sala, Luca, 2006, "Back to square one: identification issues in DSGE models," Working Paper Series, European Central Bank, number 583, Jan.
• Giacomini, Raffaella & Rossi, Barbara, 2006, "Detecting and predicting forecast breakdowns," Working Paper Series, European Central Bank, number 638, Jun.
• D'Agostino, Antonello & Giannone, Domenico, 2006, "Comparing alternative predictors based on large-panel factor models," Working Paper Series, European Central Bank, number 680, Oct.
• Choi, Hwan-sik & Kiefer, Nicholas M., 2006, "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers, Cornell University, Center for Analytic Economics, number 06-09, Sep.
• Kiefer, Nicholas M. & Larson, C. Erik, 2006, "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers, Cornell University, Center for Analytic Economics, number 06-10, Sep.
• Kiefer, Nicholas M. & Larson, C. Erik, 2006, "Specification and Informational Issues in Credit Scoring," Working Papers, Cornell University, Center for Analytic Economics, number 06-11, Oct.
• Raffaella Giacomini & Halbert White, 2006, "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, volume 74, issue 6, pages 1545-1578, November.
• Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006, "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2218-2231, December.
• Kugler, Maurice, 2006, "Spillovers from foreign direct investment: Within or between industries?," Journal of Development Economics, Elsevier, volume 80, issue 2, pages 444-477, August.
• Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2006, "Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1707-1727.
• Inoue, Atsushi & Kilian, Lutz, 2006, "On the selection of forecasting models," Journal of Econometrics, Elsevier, volume 130, issue 2, pages 273-306, February.
• Lundbergh, Stefan & Terasvirta, Timo, 2006, "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 579-609.
• Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006, "VARs, common factors and the empirical validation of equilibrium business cycle models," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 257-279, May.
• Deschamps, Philippe J., 2006, "A flexible prior distribution for Markov switching autoregressions with Student-t errors," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 153-190, July.
• Dufour, Jean-Marie, 2006, "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 443-477, August.
• Hong, H. & Scaillet, O., 2006, "A fast subsampling method for nonlinear dynamic models," Journal of Econometrics, Elsevier, volume 133, issue 2, pages 557-578, August.
• Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006, "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, volume 3, issue 2, pages 79-95, June.
• Sideris, Dimitrios, 2006, "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 16, issue 2, pages 143-154, April.
• Hyndman, Rob J. & Koehler, Anne B., 2006, "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, volume 22, issue 4, pages 679-688.
• Drake, Leigh & Hall, Maximilian J.B. & Simper, Richard, 2006, "The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong's banking system," Journal of Banking & Finance, Elsevier, volume 30, issue 5, pages 1443-1466, May.
• Los, Cornelis A., 2006, "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, volume 30, issue 7, pages 1997-2024, July.
• Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006, "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, volume 25, issue 6, pages 974-991, October.
• Bargain, Olivier & Orsini, Kristian, 2006, "In-work policies in Europe: Killing two birds with one stone?," Labour Economics, Elsevier, volume 13, issue 6, pages 667-697, December.
• Martin Fukac & Adrian Pagan, 2006, "Issues In Adopting Dsge Models For Use In The Policy Process," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2006-10, Mar.
• Donald J. Brown & Rahul Deb & Marten H. Wegkamp, 2006, "Tests of Independence in Separable Econometric Models: Theory and Application," Working Papers, Economic Growth Center, Yale University, number 946, Oct.
• Özlem Önder, 2006, "The Stability Of The Turkish Phillips Curve And Alternative Regime Shifting Models," Working Papers, Ege University, Department of Economics, number 0602, Mar.
• Nazif Catik, 2006, "Yapisal Kirilma Altinda Para Talebinin Istikrari: Türkiye Örnegi," Working Papers, Ege University, Department of Economics, number 0611, Dec.
• Nikolaos Giannellis & Athanasios P. Papadopoulos, 2006, "Purchasing Power Parity among Developing Countries and their Trade-Partners. Evidence from Selected CEEC and Implications for their Membership of EU," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 9, issue 1, pages 39-56, Summer.
• Julien Matheron & Céline Poilly, 2006, "How Well Does a Small Structural Model with Sticky Prices and Wages Fit Postwar U.S. Data?," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2006-11, Apr.
• Rodolfo Cermeño & María José Roa García & Claudio González Vega, 2006, "Desarrollo financiero y volatilidad del crecimiento económico: Evidencia para México y Estados Unidos," Working Papers, CIDE, División de Economía, number DTE 377, Dec.
• Gary Koop & Simon Potter, 2006, "The Vector Floor and Ceiling Model," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Nonlinear Time Series Analysis of Business Cycles", DOI: 10.1016/S0573-8555(05)76004-1.
• Olivier Bargain & Kristian Orsini, 2006, "Beans for Breakfast? How Exportable is the British Workfare Model?," Research in Labor Economics, Emerald Group Publishing Limited, "Micro-Simulation in Action", DOI: 10.1016/S0147-9121(06)25007-6.
• Strachan, R.W. & van Dijk, H.K., 2006, "Model uncertainty and Bayesian model averaging in vector autoregressive processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-08, Feb.
• Bargain, Olivier & Orsini, Kristian, 2006, "Beans for breakfast? How exportable is the British workfare model?," EUROMOD Working Papers, EUROMOD at the Institute for Social and Economic Research, number EM2/06, Apr.
• J. Knoben & M. Kerkhofs & J. Graafland, 2006, "Evaluation of Dutch Election Programs. The Impact of Parameter Uncertainty," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 1, pages 47-74.
• Bill Russell, Anindya Banerjee, 2006, "The Long-Run Phillips Curve and Non-Stationary Inflation," Economics Working Papers, European University Institute, number ECO2006/16.
• Markku Lanne, 2006, "Forecasting Realized Volatility by Decomposition," Economics Working Papers, European University Institute, number ECO2006/20.
• Markku Lanne, 2006, "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers, European University Institute, number ECO2006/3.
• Christian Kascha & Karel Mertens, 2006, "Business Cycle Analysis and VARMA models," Economics Working Papers, European University Institute, number ECO2006/37.
• Girijasankar Mallik, 2006, "Has the Stock Market Integration Between the Asian and OECD Countries Improved After the Asian Crisis?," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 2, pages 55-69, December.
• Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006, "Comparing value-at-risk methodologies," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 629, Nov.
• Richard Dennis, 2006, "The Frequency of Price Adjustment Viewed Through the Lens of Aggregate Data," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-22, Nov, DOI: 10.24148/wp2006-22.
• Jaime R. Marquez & John W. Schindler, 2006, "Exchange-Rate Effects on China’s Trade: An Interim Report," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-41, May, DOI: 10.24148/wp2006-41.
• Tim Bollerslev & Hao Zhou, 2006, "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-11.
• Lawrence J. Christiano & Joshua M. Davis, 2006, "Two flaws in business cycle accounting," Working Paper Series, Federal Reserve Bank of Chicago, number WP-06-10.
• Patrick J. Kehoe, 2006, "How to advance theory with structural VARs: use the Sims-Cogley-Nason approach," Staff Report, Federal Reserve Bank of Minneapolis, number 379, DOI: 10.21034/sr.379.
• Argia M. Sbordone, 2006, "U.S. wage and price dynamics: a limited information approach," Staff Reports, Federal Reserve Bank of New York, number 256, Aug.
• Sungbae An & Frank Schorfheide, 2006, "Bayesian analysis of DSGE models," Working Papers, Federal Reserve Bank of Philadelphia, number 06-5.
• Tommaso Mancini Griffoli, 2006, "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 10-2006, May.
• Felix Chan Tommaso Mancini-Griffoli Laurent L. Pauwels, 2006, "Stability Tests for Heterogeneous Panel Data," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 24-2006, Oct, revised Dec 2006.
• Frédéric Dufourt, 2006, "Demand and Productivity Components of Business Cycles : Estimates and Implications," Post-Print, HAL, number hal-00279149, DOI: 10.1016/j.jmoneco.2005.08.011.
• Félix Chan & Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006, "Stability tests for heterogeneous panel data," PSE Working Papers, HAL, number halshs-00589114, Dec.
• Félix Chan & Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006, "Stability tests for heterogeneous panel data," Working Papers, HAL, number halshs-00589114, Dec.
• Declan Curran & Michael Funke, 2006, "Taking the Temperature - Forecasting GDP Growth for Mainland China," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20606, Jun.
• Valerija Botrić & Boris Cota, 2006, "Sources Of Inflation In Transition Economy: The Case Of Croatia," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 57, issue 12, pages 835-854.
• Josip Tica, 2006, "Long Span Unit Root Test Of Purchasing Power Parity: The Case Of Croatia," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 57, issue 12, pages 856-880.
• Ulrich Fritsche & Joerg Doepke, 2006, "Forecast errors and the macroeconomy — a non-linear relationship?," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200602, Feb.
• González, Andrés & Teräsvirta, Timo, 2006, "Modelling autoregressive processes with a shifting mean," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 637, Sep, revised 22 May 2007.
• Johansson, Per, 2006, "Using internal replication to establish a treatment effect," Working Paper Series, IFAU - Institute for Evaluation of Labour Market and Education Policy, number 2006:3, Apr.
• Gitlesen, Jens Petter & Kleppe, Gisle & Thorsen, Inge & Ubøe, Jan, 2006, "An empirically based implementation and evaluation of a network model for commuting flows," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/4, Apr.
• Carlsson, Dick & Rönnqvist, Mikael, 2006, "Backhauling in forest transportation - models, methods and practical usage," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/5, Apr.
• Bårdsen, Gunnar & Nymoen, Ragnar, 2006, "U.S. natural rate dynamics reconsidered," Memorandum, Oslo University, Department of Economics, number 13/2006, May.
• Heshmati, Almas, 2006, "A Generalized Knowledge Production Function," Ratio Working Papers, The Ratio Institute, number 89, Apr.