Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2005

• Jorge Barrientos Marín, 2005, "A note on the Bandwidth choice when the null hypothesis is semiparametric," Revista de Economía del Rosario, Universidad del Rosario.
• Diego Mauricio Vásquez & Luis Fernando Melo, 2005, "Estimación de la estructura a plazos de las tasas de interés en Colombia por medio del método de funciones B-spline cúbicas," Revista de Economía del Rosario, Universidad del Rosario.
• Héctor Mauricio Nunez Amortegui, 2005, "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," Revista de Economía del Rosario, Universidad del Rosario.
• PREMINGER, Arie & SAKATA, Shinichi, 2005, "A model selection method for S-estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005073, Nov.
• Sentana, Enrique & Mencía, Javier, 2005, "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5177, Aug.
• Schorfheide, Frank & An, Sungbae, 2005, "Bayesian Analysis of DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5207, Sep.
• Eklund, Jana & Karlsson, Sune, 2005, "Forecast Combination and Model Averaging Using Predictive Measures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5268, Oct.
• Pesaran, M. Hashem & Zaffaroni, Paolo, 2005, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5279, Oct.
• Kilian, Lutz & Inoue, Atsushi, 2005, "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5304, Oct.
• Schaffer, Mark & Kleck, Gary & Kovandzic, Tomislav, 2005, "Gun Prevalence, Homicide Rates and Causality: A GMM Approach to Endogeneity Bias," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5357, Dec.
• Frédéric Loss & Estelle Malavolti-Grimal & Thibaud Vergé & Fabian Bergès-Sennou, 2005, "European Competition Policy Modernization : From Notifications to Legal Exception," Working Papers, Center for Research in Economics and Statistics, number 2005-38.
• Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers, University of Crete, Department of Economics, number 0501, Jan.
• Marc BAUDRY, 2005, "Les impôts locaux sont-ils gaspillés?," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2005021, Jun.
• Pesaran, Hashem & Timmermann, Allan, 2005, "Real-Time Econometrics," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 212-231, February.
• Rossi, Barbara, 2005, "Optimal Tests For Nested Model Selection With Underlying Parameter Instability," Econometric Theory, Cambridge University Press, volume 21, issue 5, pages 962-990, October.
• Ulrich Fritsche & Jörg Döpke, 2005, "Forecast Errors and the Macroeconomy: A Non-Linear Relationship?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 498.
• Olivier Bargain & Marco Caliendo & Peter Haan & Kristian Orsini, 2005, "'Making Work Pay' in a Rationed Labour Market: The Mini-Job Reform in Germany," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 536.
• McKenzie, Margaret, 2005, "Privatisation and economic growth: the shorthand of a long process," Working Papers, Deakin University, Department of Economics, number eco_2005_21, Jan, DOI: 10.1080/00036840600915257.
• Rossi, Barbara & Giacomini, Raffaella, 2005, "How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?," Working Papers, Duke University, Department of Economics, number 05-08.
• Valadkhani, A., 2005, "Macroeconomic Modelling: Approaches and Experiences in Development Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 1.
• Pahlavani, M., 2005, "Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 4.
• VALADKHANI, A. & LAYTON, Allan P. & PAHLAVANI, M., 2005, "Multiple Structural Breaks In Australia’S Macroeconomic Data: An Application Of The Lumsdaine And Papell Test," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 3, pages 31-44.
• Pahlavani, M., 2005, "Cointegration and Structural Change in the Exports-Gdp Nexus: The Case of Iran, 1960-2003," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 37-56.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005, "International Stock Return Comovements," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 06-3, Nov.
• Godfrey Keller & Sven Rady & Martin Cripps, 2005, "Strategic Experimentation with Exponential Bandits," Econometrica, Econometric Society, volume 73, issue 1, pages 39-68, January.
• Joseph P. Romano & Michael Wolf, 2005, "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, volume 73, issue 4, pages 1237-1282, July.
• Andrés Romeu & Marcos Vera-Hernández, 2005, "Counts with an endogenous binary regressor: A series expansion approach," Econometrics Journal, Royal Economic Society, volume 8, issue 1, pages 1-22, March.
• Moyen, Stephane & Sahuc, Jean-Guillaume, 2005, "Incorporating labour market frictions into an optimising-based monetary policy model," Economic Modelling, Elsevier, volume 22, issue 1, pages 159-186, January.
• Funke, Michael & Niebuhr, Annekatrin, 2005, "Threshold effects and regional economic growth--evidence from West Germany," Economic Modelling, Elsevier, volume 22, issue 1, pages 61-80, January.
• Brissimis, Sophocles N. & Magginas, Nicholas S., 2005, "Changes in financial structure and asset price substitutability: A test of the bank lending channel," Economic Modelling, Elsevier, volume 22, issue 5, pages 879-904, September.
• Fernandes, Marcelo & Grammig, Joachim, 2005, "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, volume 127, issue 1, pages 35-68, July.
• Madsen, Jakob B. & Milas, Costas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Finance Research Letters, Elsevier, volume 2, issue 4, pages 260-269, December.
• Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005, "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, volume 24, issue 6, pages 944-958, October.
• Dufourt, Frederic, 2005, "Demand and productivity components of business cycles: Estimates and implications," Journal of Monetary Economics, Elsevier, volume 52, issue 6, pages 1089-1105, September.
• Linde, Jesper, 2005, "Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach," Journal of Monetary Economics, Elsevier, volume 52, issue 6, pages 1135-1149, September.
• G. Kapetanios & A. Pagan & A. Scott, 2005, "Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-01, Feb.
• Donkers, Bas & Schafgans, Marcia M. A., 2005, "A method of moments estimator for semiparametric index models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6815, Jul.
• Patton, Andrew J. & Timmermann, Allan, 2005, "Testable implications of forecast optimality," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6834, Jan.
• Timotheos Angelidis & Stavros Degiannakis, 2005, "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-238, July, DOI: 10.1108/15265940510599838.
• Strachan, R.W. & van Dijk, H.K., 2005, "Weakly informative priors and well behaved Bayes factors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-40, Nov.
• Boer-Sorban, K. & de Bruin, A. & Kaymak, U., 2005, "On the Design of Artificial Stock Markets," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2005-001-LIS, Feb.
• L. Bryan, Mark & P. Jenkins, Stephen, 2013, "Regression analysis of country effects using multilevel data: a cautionary tale," ISER Working Paper Series, Institute for Social and Economic Research, number 2013-14, Aug.
• Eric Jondeau & Jean-Guillaume Sahuc, 2005, "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-06.
• Fabrice Gilles, 2005, "Following the High Road or Not: What Does It Imply for Firms As to WTR Implementation," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 05-23.
• António Caleiro, 2005, "Crescimento Económico e Ciclos Partidários: Uma Clarificação da Relação Existente," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 15_2005.
• Michael Rockinger & Maria Semenova, 2005, "Estimation of Jump-Diffusion Process vis Empirical Characteristic Function," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp150, Jun.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005, "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp159, Oct.
• Martin Fukaè, 2005, "Do the Measurements of Financial Market Inflation Expectations Yield Relevant Macroeconomic Information?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 7-8, pages 344-362, July.
• Matteo Manera, 2005, "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers, Fondazione Eni Enrico Mattei, number 2005.47, Apr.
• Salgado, Maria José S. & Garcia, Márcio G. P. & Medeiros, Marcelo C., 2005, "Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 59, issue 1, January.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Marina Turuntseva & Sergey Drobyshevsky & Pavel Kadochnnikov, 2005, "Some approachs to forecasting economic indicators," Research Paper Series, Gaidar Institute for Economic Policy, issue 89P, pages 195-195.
• Michael Groemling, 2005, "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers, University of Goettingen, Department of Economics, number 123, Jan.
• Tam Bang Vu, 2005, "Mankiw's Puzzle on Consumer Durables: A Misspecification," Working Papers, University of Hawaii at Manoa, Department of Economics, number 200515.
• Stéphane Moyen & Jean-Guillaume Sahuc, 2005, "Incorporating Labour Market Frictions into an Optimising-Based Monetary Policy Model," Post-Print, HAL, number hal-01612715.
• Stéphane Moyen & Jean-Guillaume Sahuc, 2005, "Incorporating labour market frictions into an optimising-based monetary policy model," Post-Print, HAL, number hal-02877999, Jan, DOI: 10.1016/j.econmod.2004.06.001.
• Xavier Fairise & Patrick Fève, 2005, "Labor adjustment costs and complex eigenvalues," Post-Print, HAL, number hal-04318788, Sep, DOI: 10.1007/s00199-005-0007-0.
• Marc Baudry, 2005, "Les impôts locaux sont-ils gaspillés?," Post-Print, HAL, number halshs-00074782.
• Michael Funke & Annekatrin Niebuhr, 2005, "Threshold Effects and Regional Economic Growth-Evidence from West Germany," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20503, Feb.
• Buhai, Sebastian & Teulings, Coen, 2005, "Tenure Profiles and Efficient Separation in a Stochastic Productivity Model," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 05-9, Oct, revised 03 Oct 2006.
• Silvennoinen, Annastiina & Teräsvirta, Timo, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 577, Jan, revised 01 Oct 2005.
• He, Changli & Sandberg, Rickard, 2005, "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 579, Jan, revised 08 Feb 2005.
• He, Changli & Sandberg, Rickard, 2005, "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 580, Jan.
• He, Changli & Sandberg, Rickard, 2005, "Inference for Unit Roots in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 581, Jan, revised 18 Feb 2005.
• He, Changli & Sandberg, Rickard, 2005, "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 582, Jan.
• Teräsvirta, Timo, 2005, "Univariate nonlinear time series models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 593, Mar.
• González, Andrés & Teräsvirta, Timo, 2005, "Simulation-based finite-sample linearity test against smooth transition models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 603, Aug.
• González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai, 2005, "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 604, Aug, revised 11 Oct 2017.
• Eklund, Jana & Karlsson, Sune, 2005, "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 191, Sep.
• Leigh M. Drake & Maximilian J. B. Hall & Richard Simper, 2005, "The Impact of Macroeconomic and Regulatory Factors on Bank Efficiency: A Non-Parametric Analysis of Hong Kong's Banking System," Working Papers, Hong Kong Institute for Monetary Research, number 012005, Jan.
• Atanas Christev & Allen Featherstone, 2005, "A Note on Allen-Uzawa Partial Elasticities of Substitution: The Case of the Translog Cost Function," Working Papers, Department of Economics, School of Management and Languages, Heriot Watt University, number E03.
• Fève, Patrick & Matheron, Julien, 2005, "Can the Kydland-Prescott Model Pass the Cogley-Nason Test?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 350, Apr.
• Andi Irawan, 2005, "Analisis Perilaku Instabilitas, Pergerakan Harga, Employment dan Investasi di dalam Sektor Pertanian Indonesia: Aplikasi Vector Error Correction Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 1, pages 79-115, June, DOI: https://doi.org/10.21098/bemp.v8i1..
• Andi Irawan, 2005, "ANALISIS PERILAKU INSTABILITAS, PERGERAKAN HARGA, EMPLOYMENT DAN INVESTASI DI DALAM SEKTOR PERTANIAN INDONESIA: Aplikasi Vector Error Correction Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 1, pages 79-115, June, DOI: https://doi.org/10.21098/bemp.v8i1..
• Jardine Ariena Husman, 2005, "Estimasi Nilai Tukar Rupiah Paska Krisis: Pendekatan Model Komposit," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 3, pages 1-24, December, DOI: https://doi.org/10.21098/bemp.v8i3..
• Sabine Stephan, 2005, "German Exports to the Euro Area - A Cointegration Approach," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 06-2005, Sep.
• David Abad & Antonio Rubia, 2005, "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2005-12, Apr.
• Bargain, Olivier B., 2005, "On Modeling Household Labor Supply with Taxation," IZA Discussion Papers, IZA Network @ LISER, number 1455, Jan.
• Bargain, Olivier B. & Moreau, Nicolas, 2005, "Cooperative Models in Action: Simulation of a Nash-Bargaining Model of Household Labor Supply with Taxation," IZA Discussion Papers, IZA Network @ LISER, number 1480, Jan.
• Zhao, Zhong, 2005, "Sensitivity of Propensity Score Methods to the Specifications," IZA Discussion Papers, IZA Network @ LISER, number 1873, Dec.
• Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005, "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 1, pages 99-121, DOI: 10.1002/jae.776.
• V. L. Martin & G. M. Martin & G. C. Lim, 2005, "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 3, pages 377-404, DOI: 10.1002/jae.762.
• Langmantel Erich, 2005, "Identifying the German Inventory Cycle: A Multivariate Structural Time Series Approach Using Survey Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 225, issue 6, pages 675-687, December, DOI: 10.1515/jbnst-2005-0607.
• Subrata Ghatak & Alan Mulhern & Chris Stewart, 2005, "Regional Development of Small Firms in Poland," Economic Change and Restructuring, Springer, volume 38, issue 2, pages 129-146, June, DOI: 10.1007/s10644-005-1913-7.
• Dario Cziráky & Sanja Tišma & Anamarija Pisarović, 2005, "Determinants of the Low SME Loan Approval Rate in Croatia," Small Business Economics, Springer, volume 25, issue 4, pages 347-372, November, DOI: 10.1007/s11187-004-6481-0.
• Gabriella Legrenzi, 2005, "Asymmetries in the Growth of Governments," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/03, Mar.
• Gabriella Legrenzi & Costas Milas, 2005, "Non-linear adjustments in fiscal policy," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/04, Feb.
• Gabriella Legrenzi & Costas Milas, 2005, "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/08, Jul.
• Jakob B Madsen & Costas Milas, 2005, "The price-dividend relationship in inflationary and deflationary regimes," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/09, Jul.
• Christopher Martin & Costas Milas, 2005, "Uncertainty and Monetary Policy Rules in the United States," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/10, Jul.
• Christopher Martin & Costas Milas, 2005, "Uncertainty and UK Monetary Policy," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/11, Feb.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005, "On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2005/13, Feb.
• Christopher Martin & Costas Milas, 2005, "The Response of Monetary Policy to Uncertainty: Theory and Empirical Evidence for the US," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/15, Jul, revised Aug 2006.
• Nikolaus Hautsch, 2005, "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/03, Mar.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005, "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series, Department of Economics, Loughborough University, number 2005_9, Sep, revised Sep 2005.
• Rodney W. Strachan & Herman K. van Dijk, 2005, "Improper priors with well defined Bayes Factors," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 05/4, Mar.
• Carlo Altavilla & Ugo Marani, 2005, "European Economic Policies at Work : the costs of Price Stability and Budget Consolidation," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 2, issue 1, pages 111-136, June.
• Ruijun Bu & Kaddour Hadri, 2005, "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Working Papers, University of Liverpool, Department of Economics, number 200510.
• Schlicht, Ekkehart, 2021, "VC - A Program for Estimating Time-Varying Coefficients," Discussion Papers in Economics, University of Munich, Department of Economics, number 74981.
• Schlicht, Ekkehart, 2005, "VC - A Program for Estimating Time-Varying Coefficients," Software in Economics, University of Munich, Department of Economics, number 684, revised .
• Schlicht, Ekkehart, 2005, "VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C," Software in Economics, University of Munich, Department of Economics, number 719, revised .
• Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005, "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 24, Sep.
• Rodney W Strachan & Herman K van Dijik, 2005, "Valuing Structure, Model Uncertainty and Model Averaging in Vector Autoregressive Process," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 30, Sep.
• Rob J. Hyndman & Anne B. Koehler, 2005, "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/05, May.
• DUFOUR, Jean-Marie, 2005, "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-03.
• DUFOUR, Jean-Marie & FARHAT, Abdekjelik & KHALAF, Lynda, 2005, "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-07.
• DUFOUR, Jean-Marie Dufour & KHALAF, Lynda & KICHIAN, Maral, 2005, "Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2005-17.
• DUFOUR, Jean-Marie, 2005, "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 03-2005.
• DUFOUR, Jean-Marie & FARHAT, Abdeljelil & KHALAF, Lynda, 2005, "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 07-2005.
• DUFOUR, Jean-Marie & KHALAF, Lynda & KICHIAN, Maral, 2005, "Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 22-2005.
• Joachim Zietz, 2005, "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers, Middle Tennessee State University, Department of Economics and Finance, number 200503, Mar.
• Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005, "On the Stablity of the Wealth Effect," NIPE Working Papers, NIPE - Universidade do Minho, number 14/2005.
• Gunnar Bårdsen & Q. Farooq Akram & Øyvind Eitrheim, 2005, "Monetary policy and asset prices: To respond or not?," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 5405, Sep.
• Jurgen A. Doornik & Marius Ooms, 2005, "Outlier Detection in GARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W24, Sep.
• Clive G. Bowsher, 2005, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W26, Oct.
• Thomas A Lubik, 2005, "A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2005/06, Dec.
• Trinh Le & John Gibson & Les Oxley, 2005, "Measures of human capital: A review of the literature," Treasury Working Paper Series, New Zealand Treasury, number 05/10, Nov.
• Stephen E. Haynes, 2005, "The Empirical Trap of Sign Reversals with Equality Restrictions," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2005-8, Jan.
• Miguel A. Ferreira, 2005, "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 126-168.
• Chris Brooks, 2005, "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 3, pages 399-421.
• Maria M. De Mello & Natércia Fortuna, 2005, "Testing Alternative Dynamic Systems for Modelling Tourism Demand," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0501, Feb.
• Ana Oliveira-Brochado & Francisco Vitorino Martins, 2005, "Assessing the Number of Components in Mixture Models: a Review," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 194, Nov.
• Fanelli, Luca, 2005, "Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area," MPRA Paper, University Library of Munich, Germany, number 1617, Jan, revised Jan 2007.
• Leeb, Hannes & Pötscher, Benedikt M., 2005, "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper, University Library of Munich, Germany, number 72, Apr.
• Angelidis, Timotheos & Degiannakis, Stavros, 2005, "Modeling Risk for Long and Short Trading Positions," MPRA Paper, University Library of Munich, Germany, number 80467.
• Petr Hájek, 2005, "Financial Crisis Prediction: Specification of Pre-crisis Periods in Turkey, Argentina and Thailand
  [Predikce finanční krize: Specifikace předkrizového období v Turecku, Argentině a Thajsku]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2005, issue 1, pages 46-57, DOI: 10.18267/j.aop.134.
• Karel Vít, 2005, "Vliv rozpočtového deficitu na devizový kurz
  [The impact of budget deficit onto the exchange rate]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 3, pages 305-322, DOI: 10.18267/j.polek.507.
• Jason Allen, 2005, "Size Matters: Covariance Matrix Estimation Under The Alternative," Working Paper, Economics Department, Queen's University, number 1091, Aug.
• Jorge Selaive & Vicente Tuesta R, 2005, "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," Working Papers, Banco Central de Reserva del Perú, number 2005-002, Jan.
• Gonzalo Llosa & Shirley Miller, 2005, "Using additional information in estimating the output gap in Peru: a multivariate unobserved component approach," Working Papers, Banco Central de Reserva del Perú, number 2005-004, Feb.
• Gonzalo Llosa & Shirley Miller, 2005, "Usando información adicional en la estimación de la brecha producto en el Perú: una aproximación multivariada de componentes no observados," Working Papers, Banco Central de Reserva del Perú, number 2005-0041, Feb.
• Filippo Occhino & John Landon-Lane, 2005, "A Likelihood-Based Evaluation of the Segmented Markets Friction in Equilibrium Monetary Models," 2005 Meeting Papers, Society for Economic Dynamics, number 116.
• Takashi Kano & Hafedh Bouakez, 2005, "Learning-by-Doing or Habit Formation?," 2005 Meeting Papers, Society for Economic Dynamics, number 513.
• Lawrence Christiano & Martin Eichenbaum, 2005, "Assessing the Usefulness of Structural Vector Autoregressions," 2005 Meeting Papers, Society for Economic Dynamics, number 902.
• Jeff Borland, 2005, "Impacts of Employment Regulation: Towards an Evaluation Framework," Occasional Papers, Ministry of Economic Development, New Zealand, number 06/7, Nov.
• Pavelescu, Florin Marius, 2005, "Impact Of Collinearity On The Estimated Parameters And Classical Statistical Tests Values Of Multifactorial Linear Regressions In Conditions Of O.L.S," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 2, pages 50-71.
• Dospinescu, Andrei Silviu, 2005, "Combining The Forecasts Using A Statistical Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 2, pages 72-84.
• Donal Bredin & Stilianos Fountas, 2005, "Macroeconomic uncertainty and performance in the European Union and implications for the objectives of monetary policy," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1184.
• John Landon-Lane & Filippo Occhino, 2005, "Estimation and Evaluation of a Segmented Markets Monetary Model," Departmental Working Papers, Rutgers University, Department of Economics, number 200505, Jun.
• Bruno Chiarini & Elisabetta Marzano, 2005, "Market consumpition and hidden consumption. A test for substitutability," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 79, Jun.
• Takashi Kano & Hafedh Bouakez, 2005, "Learning-by-doing or Habit Formation?," Computing in Economics and Finance 2005, Society for Computational Economics, number 126, Nov.
• Christian Melzer & Thorsten Neumann, 2005, "Changing Effects of Monetary Policy in the U.S. –Evidence from a Time-Varying Coefficient VAR," Computing in Economics and Finance 2005, Society for Computational Economics, number 144, Nov.
• Svetlana Makarova & Wojciech Charemza, 2005, "Stochastic and deterministic unit root models: problem of dominance," Computing in Economics and Finance 2005, Society for Computational Economics, number 190, Nov.
• Filippo Ochinno & John Landon-Lane, 2005, "Estimating the Interest Rate Rule with Open Market Operations or Lump-Sum Transfers of Money," Computing in Economics and Finance 2005, Society for Computational Economics, number 219, Nov.
• Marian Micu, 2005, "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005, Society for Computational Economics, number 226, Nov.
• Miguel A. Arranz, 2005, "Bootstrap inference on a nonlinear time series model of advertising effects," Computing in Economics and Finance 2005, Society for Computational Economics, number 319, Nov.
• Argia M. Sbordone, 2005, "A Limited Information Approach to the Simultaneous Estimation of Wage and Price Dynamics," Computing in Economics and Finance 2005, Society for Computational Economics, number 321, Nov.
• Maral Kichian & Lynda Khalaf, 2005, "Testing for Structural Breaks in Covariance: Exchange Rate Pass-Through in Canada," Computing in Economics and Finance 2005, Society for Computational Economics, number 376, Nov.
• Alasdair Scott & George Kapetanios & Adrian Pagan, 2005, "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005, Society for Computational Economics, number 462, Nov.
• Xiao Qin & Gee Kwang Randolph Tan, 2005, "Unit Root Tests With Markov-Switching," Computing in Economics and Finance 2005, Society for Computational Economics, number 95, Nov.
• Mariusz Jarmuzek, 2005, "Are the EU new member states fiscally sustainable? An empirical analysis," UCL SSEES Economics and Business working paper series, UCL School of Slavonic and East European Studies (SSEES), number 51, Feb.
• Enrique Llopis & Sonia Sotoca, 2005, "Antes, bastante antes: la primera fase de la integración del mercado español de trigo, 1725-1808," Historia Agraria. Revista de Agricultura e Historia Rural, Sociedad Española de Historia Agraria, issue 36, pages 225-262, august.
• Thomas A. Knetsch, 2005, "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Contributions to Economics, Springer, in: Jan-Egbert Sturm & Timo Wollmershäuser, "Ifo Survey Data in Business Cycle and Monetary Policy Analysis", DOI: 10.1007/3-7908-1605-1_4.
• Jan- Sturm & Jakob de Haan, 2005, "Determinants of long-term growth: New results applying robust estimation and extreme bounds analysis," Empirical Economics, Springer, volume 30, issue 3, pages 597-617, October, DOI: 10.1007/s00181-005-0252-x.
• Sudipta Basu, 2005, "Discussion of “Conditional and UnconditionalConservatism: Concepts and Modeling”," Review of Accounting Studies, Springer, volume 10, issue 2, pages 311-321, September, DOI: 10.1007/s11142-005-1533-5.

2004

• Strachan, R.W. & van Dijk, H.K., 2004, "Improper priors with well defined Bayes Factors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-18, May.
• Hafner, C.M. & Herwartz, H., 2004, "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-20, May.
• Strachan, R.W. & van Dijk, H.K., 2004, "Valuing structure, model uncertainty and model averaging in vector autoregressive processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-23, May.
• Bargain, Olivier & Orsini, Kristian, 2004, "In-work policies in Europe: killing two birds with one stone?," EUROMOD Working Papers, EUROMOD at the Institute for Social and Economic Research, number EM4/04, Oct.
• Anindya Banerjee & Bill Russell, 2004, "Competition, the Lisbon Strategy and the Euro," Economics Working Papers, European University Institute, number ECO2004/32.
• Esmeralda Ramalho, 2004, "Covariate Measurement Error in Endogenous Stratified Samples," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 2_2004.
• Esmeralda Ramalho, 2004, "Binary models with misclassification in the variable of interest," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 3_2004.
• Jean-David FERMANIAN & Olivier SCAILLET, 2004, "Some Statistical Pitfalls In Copula Modeling For Financial Applications," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp108, Mar.
• Jan Kodera, 2004, "The Applied Econometrics: Theory and Praxis (Roman Hušek and Jan Pelikán) (in Czech)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 3-4, pages 171-173, March.
• Guillaume Chevillon, 2004, ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-12.
• Ben R. Craig & Joachim G. Keller, 2004, "The forecast ability of risk-neutral densities of foreign exchange," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0409, DOI: 10.26509/frbc-wp-200409.
• Miguel A. Ferreira & Jose A. Lopez, 2004, "Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework," Working Paper Series, Federal Reserve Bank of San Francisco, number 2004-03, Mar, DOI: 10.24148/wp2004-03.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
• Christopher J. Erceg & Luca Guerrieri & Christopher J. Gust, 2004, "Can long-run restrictions identify technology shocks?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 792.
• Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers, Financial Markets Group, number dp502, Jun.
• Yoon-Jae Whang & Esfandiar Maasoumi & Oliver Linton, 2004, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," FMG Discussion Papers, Financial Markets Group, number dp508, Sep.
• Meitz, Mika & Teräsvirta, Timo, 2004, "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 557, Mar, revised 13 Dec 2004.
• Malmsten, Hans & Teräsvirta, Timo, 2004, "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 563, Aug, revised 03 Sep 2004.
• Malmsten, Hans, 2004, "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 564, Aug, revised 03 Sep 2004.
• González Gómez, Andrés, 2004, "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 572, Dec.
• Corander, Jukka & Villani, Mattias, 2004, "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 171, Oct.
• Sjöström, Magnus, 2004, "Factor Demand and Market Power," Umeå Economic Studies, Umeå University, Department of Economics, number 633, May.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
• Thierry Ané & Loredana Ureche-Rangau, 2004, "Does trading volume really explain stock returns volatility?," Working Papers, IESEG School of Management, number 2004-FIN-02, Jul.
• Domenica Giannone & Lucrezia Reichlin & Luca Sala, 2004, "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 258.