Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2005

• 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..
• 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.
• Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004, "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 9, issue 3, pages 277-288, DOI: 10.1002/ijfe.245.
• José Carlos Ramirez Sánchez, 2004, "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 19, issue 1, pages 51-76, June.
• Carmine Pappalardo & Gianfranco Piras, 2004, "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 42, Feb.
• Paulo M.M. Rodrigues & Antonio Rubia, 2004, "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-11, Mar.
• Andrés Romeu & Marcos Vera-Hernández, 2004, "Counts With An Endogenous Binary Regressor: A Series Expansion Approach," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-36, Sep.
• David Abad & Antonio Rubia, 2004, "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-38, Oct.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "Real Time Econometrics," IZA Discussion Papers, IZA Network @ LISER, number 1108, Apr.
• Junankar, Pramod N. (Raja) & Madsen, Jakob B., 2004, "Unemployment in the OECD: Models and Mysteries," IZA Discussion Papers, IZA Network @ LISER, number 1168, Jun.
• Bargain, Olivier B. & Orsini, Kristian, 2004, "In-Work Policies in Europe: Killing Two Birds with One Stone?," IZA Discussion Papers, IZA Network @ LISER, number 1445, Dec.
• Wooheon Rhee, 2004, "Habit Formation And Precautionary Saving: Evidence From The Korean Household Panel Studies," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 29, issue 2, pages 1-19, December.
• Jan G. De Gooijer & Kurt Brännäs, 2004, "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 3, pages 155-171, DOI: 10.1002/for.910.
• Sune Karlsson & Tor Jacobson, 2004, "Finding good predictors for inflation: a Bayesian model averaging approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 7, pages 479-496, DOI: 10.1002/for.924.
• Rodney W. Strachan & Herman K. van Dijk, 2004, "Bayesian Model Selection with an Uninformative Prior," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2004/01, Jan.
• Rodney W. Strachan & Herman K. van Dijk, 2004, "The Value of Structural Information in the VAR Model," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2004/02, Jan.
• Rodney W. Strachan & Herman K. van Dijk, 2004, "Exceptions to Bartlett’s Paradox," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2004/03, Jan.
• Rodney W. Strachan, 2004, "On Priors on Cointegrating Spaces," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2004/06, Jun.
• Theodore Panagiotidis & Emilie Rutledge, 2004, "Oil and gas market in the UK: evidence from a cointegration approach," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_18, Nov, revised Nov 2004.
• Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2004, "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Working Papers, University of Miami, Department of Economics, number 0716, Jul, revised 12 Jun 2007.
• Joseph G. Hirschberg & Jenny N. Lye, 2004, "Inferences for the Extremum of Quadratic Regression Models," Department of Economics - Working Papers Series, The University of Melbourne, number 906.
• Christopher Martin & Michael Arghyrou & Costas Milas, 2004, "Nonlinear inflation dynamics: evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 59, Sep.
• Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004, "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 101, Sep.
• Don Bredin & Stilianos Fountas, 2004, "Macroeconomic Uncertainty and Macroeconomic Performance: Are they related?," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 51, Sep.
• Christopher Martin & Costas Milas, 2004, "Uncertainty and UK Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 65, Sep.
• D.S. Poskitt & Jing Zhang, 2004, "Estimating Components in Finite Mixtures and Hidden Markov Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/04, Mar.
• Xibin Zhang & Maxwell L. King, 2004, "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 26/04, Nov.
• D. S. Poskitt & C. L. Skeels, 2004, "Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 29/04, Dec.
• William A. Brock & Steven N. Durlauf, 2004, "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 10495, May.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4104, Mar, revised 01 Jun 2004.
• Robert H. McGuckin & Ataman Ozyildirim, 2004, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2004, issue 2, pages 171-191, DOI: 10.1787/jbcma-v2004-art11-en.
• Gabriel Moser & Fabio Rumler & Johann Scharler, 2004, "Forecasting Austrian Inflation," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 91, Oct.
• Matthew J. Cushing & Mary G. McGarvey, 2004, "Sample Selection in Models of Academic Performance," Economic Inquiry, Western Economic Association International, volume 42, issue 2, pages 319-322, April.
• Guillaume Chevillon, 2004, "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers, University of Oxford, Department of Economics, number 210, Dec.
• John Creedy & Ivan Tuckwell, 2004, "Reweighting Household Surveys for Tax Microsimulation Modelling: An Application to the New Zealand Household Economic Survey," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 7, issue 1, pages 71-88, March.
• Knoben, J. & Kerkhofs, M. & Graafland, J.J., 2004, "Evaluation of Dutch election programs: The impact of parameter uncertainty," MPRA Paper, University Library of Munich, Germany, number 20773.
• Rodríguez, Carlos A., 2004, "A P* Model of Inflation in Puerto Rico," MPRA Paper, University Library of Munich, Germany, number 41278, Sep.
• Degiannakis, Stavros, 2004, "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 80488.
• Degiannakis, Stavros, 2004, "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 96330.
• Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004, "The Use of GARCH Models in VaR Estimation," MPRA Paper, University Library of Munich, Germany, number 96332.
• Delphine Lautier & Yves Simon, 2004, "La volatilité des prix des matières premières," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 45-84, DOI: 10.3406/ecofi.2004.5031.
• Bruno Chiarini & Elisabetta Marzano, 2004, "Market Comsumption And Hidden Consumption. A Test For Substitutability," Working Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy, number 7_2004, Sep.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• Carol Alexandra & Emese Lazar, 2004, "Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-05, Mar.
• Maral Kichian & Jean-Marie Dufour & Lynda Khalaf, 2004, "Are New Keynesian Phillips Curves Identified ?," 2004 Meeting Papers, Society for Economic Dynamics, number 601.
• Sydney Ludvigson & Xiaohong Chen, 2004, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers, Society for Economic Dynamics, number 692.
• Jean-Marie Dufour & Abdeljelil Farhat & Lynda Khalaf & Jean-Marie Dufour, 2004, "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," L'Actualité Economique, Société Canadienne de Science Economique, volume 80, issue 2, pages 501-522.