Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2006

• 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 and New Keynesian business cycle dynamics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-22.
• 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.
• 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.
• Brännäs, Kurt & Soultanaeva, Albina, 2006, "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," Umeå Economic Studies, Umeå University, Department of Economics, number 696, Sep.
• Edmark, Karin & Ågren, Hanna, 2006, "Identifying Strategic Interactions in Swedish Local Income Tax Policies," Working Paper Series, Uppsala University, Department of Economics, number 2006:22, Oct.
• José Fajardo & Ernesto Mordecki, 2006, "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2006-04, Oct.
• Rolf Aaberge & Ugo Colombino & Tom Wennemo, 2006, "Evaluating alternative representations of the choice sets in models of labour supply," ICER Working Papers, ICER - International Centre for Economic Research, number 2-2006, Jul.
• Siti Astiyah & Jardine A. Husman, 2006, "Fungsi Intermediasi Dalam Efisiensi Perbankan Di Indonesia: Derivasi Fungsi Profit," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 4, pages 529-544, March, DOI: https://doi.org/10.21098/bemp.v8i4..
• Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006, "Regime switching GARCH models," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 06-08, Jun.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006, "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 06-09, Sep.
• Tong Li, 2006, "Simulation based selection of competing structural econometric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP16/06, Aug.
• Fabio Canova & Luca Sala, 2006, "Back to Square One: Identification Issues in DSGE Models," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 303.
• Argia M. Sbordone, 2006, "U.S. Wage and Price Dynamics: A Limited-Information Approach," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 3, September.
• Q. Farooq Akram & Gunnar Bärdsen & Øyvind Eitrheim, 2006, "Monetary policy and asset prices: to respond or not?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 11, issue 3, pages 279-292, DOI: 10.1002/ijfe.298.
• Mr. Emil Stavrev, 2006, "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers, International Monetary Fund, number 2006/197, Aug.
• Daniel Millimet & Rusty Tchernis, 2006, "On the Specification of Propensity Scores: with Applications to the Analysis of Trade Policies," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2006-013, Sep, revised Jan 2008.
• Juan Mora & Ana I. Moro, 2006, "Consistent Specification Test For Ordered Discrete Choice Models," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-17, Jul.
• Aaberge, Rolf & Colombino, Ugo & Wennemo, Tom, 2006, "Evaluating Alternative Representations of the Choice Sets in Models of Labour Supply," IZA Discussion Papers, IZA Network @ LISER, number 1986, Feb.
• Buhai, Ioan-Sebastian & Teulings, Coen, 2006, "Tenure Profiles and Efficient Separation in a Stochastic Productivity Model," IZA Discussion Papers, IZA Network @ LISER, number 1997, Mar.
• Bargain, Olivier B. & Orsini, Kristian, 2006, "Beans for Breakfast? How Exportable Is the British Workfare Model?," IZA Discussion Papers, IZA Network @ LISER, number 2025, Mar.
• Schlicht, Ekkehart & Ludsteck, Johannes, 2006, "Variance Estimation in a Random Coefficients Model," IZA Discussion Papers, IZA Network @ LISER, number 2031, Mar.
• Bargain, Olivier B. & Caliendo, Marco & Haan, Peter & Orsini, Kristian, 2006, "'Making Work Pay' in a Rationed Labour Market," IZA Discussion Papers, IZA Network @ LISER, number 2033, Mar.
• Crump, Richard K. & Hotz, V. Joseph & Imbens, Guido W. & Mitnik, Oscar A., 2006, "Nonparametric Tests for Treatment Effect Heterogeneity," IZA Discussion Papers, IZA Network @ LISER, number 2091, Apr.
• Pesaran, M. Hashem & Timmermann, Allan, 2006, "Testing Dependence among Serially Correlated Multi-Category Variables," IZA Discussion Papers, IZA Network @ LISER, number 2196, Jul.
• Crump, Richard K. & Hotz, V. Joseph & Imbens, Guido W. & Mitnik, Oscar A., 2006, "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," IZA Discussion Papers, IZA Network @ LISER, number 2347, Sep.
• Emese Lazar & Carol Alexander, 2006, "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 3, pages 307-336, DOI: 10.1002/jae.849.
• Pallab Majumder & Robert P. Berrens & Alok K. Bohara, 2006, "Is there an environmental kuznets curve for the risk of biodiversity loss?," Journal of Developing Areas, Tennessee State University, College of Business, volume 39, issue 2, pages 175-190, January-M.
• Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006, "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 1, pages 49-75, DOI: 10.1002/for.974.
• Christopher F. Baum & John Barkoulas, 2006, "Long-memory forecasting of US monetary indices," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 4, pages 291-302, DOI: 10.1002/for.990.
• Antonio Rubia & Trino-Manuel Ñíguez, 2006, "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 6, pages 439-458, DOI: 10.1002/for.997.
• Ard Reijer & Peter Vlaar, 2006, "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, volume 154, issue 1, pages 19-40, March, DOI: 10.1007/s10645-006-0002-2.
• Stefan Kassberger & Rüdiger Kiesel, 2006, "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 4, pages 472-491, December, DOI: 10.1007/s11408-006-0035-1.
• Christos Karpetis & Erotokritos Varelas & Spyros Zikos, 2006, "Unit Root Investigation of Greek Real Money Supply and GDP," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 4, pages 449-460, November, DOI: 10.1007/s11294-006-9039-x.
• Antonio Alvarez & Christine Amsler & Luis Orea & Peter Schmidt, 2006, "Interpreting and Testing the Scaling Property in Models where Inefficiency Depends on Firm Characteristics," Journal of Productivity Analysis, Springer, volume 25, issue 3, pages 201-212, June, DOI: 10.1007/s11123-006-7639-3.
• Matteo Manera, 2006, "Modelling factor demands with SEM and VAR: an empirical comparison," Journal of Productivity Analysis, Springer, volume 26, issue 2, pages 121-146, October, DOI: 10.1007/s11123-006-0009-3.
• Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006, "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/05, Apr.
• Christopher Martin & Costas Milas, 2006, "The Impact of Uncertainty on Monetary Policy Rules in the UK," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/09, Jun.
• Ram Sharan Kharel & Christopher Martin & Costas Milas, 2006, "The Complex Response of Monetary Policy to the Exchange Rate," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/17, Sep.
• Jens Leth Hougaard & Tue Tjur & Lars Peter Østerdal, 2006, "Testing Preference Axioms in Discrete Choice experiments: A Reappraisal," Discussion Papers, University of Copenhagen. Department of Economics, number 06-11, Jun.
• Nikolaus Hautsch, 2006, "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/06, Dec.
• Paul Alagidede & Theodore Panagiotidis, 2006, "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series, Department of Economics, Loughborough University, number 2006_13, Jun, revised Jun 2006.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006, "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series, Department of Economics, Loughborough University, number 2006_6, Mar, revised Mar 2006.
• Rodney W. Strachan & Herman K. van Dijk, 2006, "Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 06/5, Feb.
• Schlicht, Ekkehart, 2006, "VC - A Method For Estimating Time-Varying Coefficients in Linear Models," Discussion Papers in Economics, University of Munich, Department of Economics, number 61656, Mar.
• Schlicht, Ekkehart & Ludsteck, Johannes, 2006, "Variance Estimation in a Random Coefficients Model," Discussion Papers in Economics, University of Munich, Department of Economics, number 904, Mar.
• Hyacinth Ementa Ichoku & William Munpuibeyi Fonta, 2006, "The Distributional Impact of Healthcare Financing in Nigeria: A Case Study of Enugu State," Working Papers PMMA, PEP-PMMA, number 2006-17.
• Alok Johri & Marc-André Letendre, 2006, "What do “residuals” from first-order conditions reveal about DGE models?," Department of Economics Working Papers, McMaster University, number 2006-01, Sep.
• Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006, "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," Working Papers, University of Miami, Department of Economics, number 0608, Sep.
• Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006, "Nonparametric Tests for Treatment Effect Heterogeneity," Working Papers, University of Miami, Department of Economics, number 0609, Apr.
• Vinod Mishra & Ingrid Nielsen & Russell Smyth, 2006, "The Relationship Between Female Labour Force Participation And Fertility In G7 Countries: Evidence From Panel Cointegration And Granger Causality," Monash Economics Working Papers, Monash University, Department of Economics, number 13/06, Jul.
• Azhong Ye & Rob J Hyndman & Zinai Li, 2006, "Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/06, May.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0601, Jan.
• Qin Xiao & Randolph Gee Kwang Tan, 2006, "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 0602, Feb.
• Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006, "Nonparametric Tests for Treatment Effect Heterogeneity," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0324, Jun.
• Alberto Abadie & Guido W. Imbens, 2006, "On the Failure of the Bootstrap for Matching Estimators," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0325, Jun.
• Wayne E. Ferson & Andrew F. Siegel, 2006, "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 12098, Mar.
• Patrick J. Kehoe, 2006, "How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 12575, Oct.
• Lawrence J. Christiano & Joshua M. Davis, 2006, "Two Flaws In Business Cycle Accounting," NBER Working Papers, National Bureau of Economic Research, Inc, number 12647, Oct.
• Annabelle Mourougane, 2006, "Forecasting Monthly GDP for Canada," OECD Economics Department Working Papers, OECD Publishing, number 515, Sep, DOI: 10.1787/421416670553.
• Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006, "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 06-09, Mar.
• Markku Lanne, 2006, "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 594-616.
• Michael P. Keane & Kenneth I. Wolpin, 2006, "Exploring the Usefulness of a Non-Random Holdout Sample for Model Validation: Welfare Effects on Female Behavior," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-006, May.
• Ana Oliveira-Brochado & F. Vitorino Martins, 2006, "Examining the segment retention problem for the “Group Satellite” case," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 220, Jul.
• Horvath, Roman & Komarek, Lubos, 2006, "Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?," MPRA Paper, University Library of Munich, Germany, number 1180, Oct.
• Gao, Jiti & Casas, Isabel, 2006, "Specification testing in discretized diffusion models: Theory and practice," MPRA Paper, University Library of Munich, Germany, number 11980, Nov, revised Aug 2007.
• Wlazlowski, Szymon & Binner, Jane & Giulietti, Monica & Joseph, Nathan, 2006, "Non-linearities in mark-up on costs," MPRA Paper, University Library of Munich, Germany, number 1468, Nov.
• Ghent, Andra, 2006, "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper, University Library of Munich, Germany, number 180, Aug.
• Quaas, Georg, 2006, "Ganzheitliche Wirkungen von Dummyvariablen auf die Prognosegenauigkeit ökonometrischer Modelle – analysiert am Beispiel des RWI-Konjunkturmodells KM59
  [Holistic effects of dummy variables on the forecast accuracy of econometric models – an analysi," MPRA Paper, University Library of Munich, Germany, number 19028, Nov, revised 05 Dec 2009.
• Bilgili, Faik, 2006, "A Dynamic Approach to Demand for Energy in Turkey," MPRA Paper, University Library of Munich, Germany, number 24038, Jun.
• Valadkhani, Abbas, 2006, "Macroeconometric Modelling in an Oil-Exporting Country: The case of Iran," MPRA Paper, University Library of Munich, Germany, number 50389.
• Rajaraman, Indira & Goyal, Rajan & Khundrakpam, Jeevan Kumar, 2006, "Tax Buoyancy Estimates for Indian States," MPRA Paper, University Library of Munich, Germany, number 51660, revised 2006.
• Kilic, Ekrem, 2006, "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper, University Library of Munich, Germany, number 5610, May.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper, University Library of Munich, Germany, number 593, Oct, revised 07 Oct 2006.
• Pötscher, Benedikt M., 2006, "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper, University Library of Munich, Germany, number 73, Mar, revised Jul 2006.
• Olenev, Nicholas, 2006, "Параллельные Вычисления В Математическом Моделировании Региональной Экономики // Параллельные Вычислительные Технологии - 2007. Труды Первой Международной Научной Конференции. Челябинск: Изд-Во Южно-Уральского Государственного Университета, 2007. C.1," MPRA Paper, University Library of Munich, Germany, number 7821, Dec.
• Situngkir, Hokky & Surya, Yohanes, 2006, "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper, University Library of Munich, Germany, number 896, Jun.
• Dion, David Pascal, 2006, "Does Consumer Confidence Forecast Household Spending?," MPRA Paper, University Library of Munich, Germany, number 902, Nov.
• Dion, David Pascal, 2006, "Does Consumer Confidence Forecast Household Spending? The Euro Area Case," MPRA Paper, University Library of Munich, Germany, number 911, Nov.
• Dion, David Pascal, 2006, "Does Consumer Confidence Forecast Household Spending? The Euro Area Case (Appendix to the main text)," MPRA Paper, University Library of Munich, Germany, number 919, Nov.
• Mete Feridun, 2006, "An Investigation of the German Dominance Hypothesis in the Context of Eastern Enlargement of the EU," Prague Economic Papers, Prague University of Economics and Business, volume 2006, issue 2, pages 172-182, DOI: 10.18267/j.pep.283.
• Bruno Chiarini & Elisabetta Marzano, 2006, "Market Consumption and Hidden Consumption: A Test for Substitutability," Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 12_2006, Jun.
• Stan Hurn & Ralf Becker, 2006, "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology, number 2006-02, Jun.
• Hafedh Bouakez & Takashi Kano, 2006, "Learning-by-Doing or Habit Formation?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 9, issue 3, pages 508-524, July, DOI: 10.1016/j.red.2006.02.003.
• Simón Sosvilla Rivero & Eduardo Martínez Budría & Manuel Navarro Ibáñez, 2006, "Macroeconomic effects resulting from the incentives of the Economic and Tax Regime in the Canary Islands between 1994 and 2013," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 9, pages 73-95.
• Truc Le Nguyen & Subrata Ghatak & Vince Daly, 2006, "The export propensity of Polish SMEs," Economics Discussion Papers, School of Economics, Kingston University London, number 2006-3, Jul.
• Keith Smith, 2006, "Public Policy Framework for the New Zealand Innovation System," Occasional Papers, Ministry of Economic Development, New Zealand, number 06/6, May.
• Walter Sosa Escudero & Anil K. Bera, 2006, "GMM Based Tests for Locally Misspecified Models," Working Papers, Universidad de San Andres, Departamento de Economia, number 93, Sep, revised Sep 2006.
• Zulfiqar Hyder & Muhammad Mazhar Khan, 2006, "Monetary Conditions Index for Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 11, May.
• Luiz Renato Lima & Breno Pinheiro Néri, 2006, "Comparing Value-at-Risk Methodologies," Computing in Economics and Finance 2006, Society for Computational Economics, number 1, Jul.
• Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2006, "Structural Estimation and Evaluation of Calvo-Style Inflation Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 161, Jul.
• Paolo Surico & Thomas Lubik, 2006, "The Empirical Relevance of the Lucas Critique," Computing in Economics and Finance 2006, Society for Computational Economics, number 187, Jul.
• Fabio Canova & Luca Sala, 2006, "Back to square one: identification issues in DSGE models," Computing in Economics and Finance 2006, Society for Computational Economics, number 196, Jul.
• Pedro Bação & Fernando Alexandre & Vasco J. Gabriel, 2006, "On the stability of the wealth effect," Computing in Economics and Finance 2006, Society for Computational Economics, number 281, Jul.
• M. Ratto & R. Girardi & R. Liska & W. Roeger & J. In't Veld, 2006, "Impact of oil prices in an estimated EU12 open economy model," Computing in Economics and Finance 2006, Society for Computational Economics, number 386, Jul.
• Mario Larch & Janette Walde, 2006, "Lag or Error? - Detecting the Nature of Spatial Correlation," Computing in Economics and Finance 2006, Society for Computational Economics, number 484, Jul.
• Sourour Baccar, 2006, "Equilibrium Specification and Structure of Technology: a Factor Substitution Analysis in French Industrial Demand of Energy," Computing in Economics and Finance 2006, Society for Computational Economics, number 486, Jul.
• Michele La Rocca & Cira Perna, 2006, "A multiple testing procedure for neural network model selection," Computing in Economics and Finance 2006, Society for Computational Economics, number 497, Jul.
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• Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan, 2006, "Stochastic unit-root bilinear processes," Computing in Economics and Finance 2006, Society for Computational Economics, number 63, Jul.
• Stefan Sebastian Fahrländer, 2006, "Semiparametric Construction of Spatial Generalized Hedonic Models for Private Properties," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue IV, pages 501-528, December.
• Caesar Lack, 2006, "Forecasting Swiss inflation using VAR models," Economic Studies, Swiss National Bank, number 2006-02.
• Olaf Hübler & Joachim Frohn, 2006, "Developments and new dimensions in econometrics," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 1-7, March, DOI: 10.1007/s10182-006-0217-1.
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• Artur Silva Lopes, 2006, "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, volume 31, issue 1, pages 165-182, March, DOI: 10.1007/s00181-005-0029-2.
• Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2006, "Empirical size and power of some diagnostic tests applied to a distributed lag model," Empirical Economics, Springer, volume 31, issue 3, pages 631-643, September, DOI: 10.1007/s00181-005-0039-0.
• Pål Boug & Ådne Cappelen & Anders Swensen, 2006, "Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods," Empirical Economics, Springer, volume 31, issue 4, pages 821-845, November, DOI: 10.1007/s00181-006-0056-7.
• Maritta Paloviita, 2006, "Inflation Dynamics in the Euro Area and the Role of Expectations," Empirical Economics, Springer, volume 31, issue 4, pages 847-860, November, DOI: 10.1007/s00181-006-0057-6.
• Sabine Stephan, 2006, "German Exports to the Euro Area," Empirical Economics, Springer, volume 31, issue 4, pages 871-882, November, DOI: 10.1007/s00181-006-0059-4.
• Xavier Fairise & Patrick Fève, 2006, "Labor adjustment costs and complex eigenvalues," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 29, issue 1, pages 95-110, September, DOI: 10.1007/s00199-005-0007-0.
• James Vreeland, 2006, "IMF program compliance: Aggregate index versus policy specific research strategies," The Review of International Organizations, Springer, volume 1, issue 4, pages 359-378, December, DOI: 10.1007/s11558-006-0161-6.
• Olaf Hübler & Joachim Frohn, 2006, "Developments and New Dimensions in Econometrics," Springer Books, Springer, chapter 1, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_1.
• Antimo Verde, 2006, "The Old and the New Stability and Growth Pact along with the Main Proposals for Its Reform: An Assessment," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 13, issue 3, pages 475-496, October, DOI: 10.1007/s11300-006-0119-7.
• Gang Liu, 2006, "A Behavioral Model of Work-trip Mode Choice in Shanghai," Discussion Papers, Statistics Norway, Research Department, number 444, Jan.
• Rolf Aaberge & Ugo Colombino & Tom Wennemo, 2006, "Evaluating Alternative Representations of the Choice Sets in Models of Labour Supply," Discussion Papers, Statistics Norway, Research Department, number 449, Mar.
• Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2006, "The New Keynesian Phillips Curve for a Small Open Economy," Discussion Papers, Statistics Norway, Research Department, number 460, May.
• Roger Bjørnstad & Ragnar Nymoen, 2006, "Will it float? The New Keynesian Phillips curve tested on OECD panel data," Discussion Papers, Statistics Norway, Research Department, number 463, Jul.
• Stan du Plessis, 2006, "The miracle of the Septuagint and the promise of data mining in economics," Working Papers, Stellenbosch University, Department of Economics, number 15/2006.
• Joachim Zietz, 2006, "Detecting neglected parameter heterogeneity with Chow tests," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 6, pages 369-374, DOI: 10.1080/13504850500378759.