Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2004

• Peter Haan, 2004, "Discrete Choice Labor Supply: Conditional Logit vs. Random Coefficient Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 394.
• Jörg Döpke & Ulrich Fritsche, 2004, "Growth and Inflation Forecasts for Germany: An Assessment of Accuracy and Dispersion," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 399.
• Hans J. Baumgartner, 2004, "Are There Any Class Size Effects on Early Career Earnings in West Germany?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 417.
• Al-Sharkas, A.A., 2004, "Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 1, pages 97-114.
• Guisan, M.Carmen, 2004, "A Comparison of Causality Tests Applied to the Bilateral Relationship between Consumption and GDP in the USA and Mexico," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 1, pages 115-130.
• Jansen, Eilev S., 2004, "Modelling inflation in the euro area," Working Paper Series, European Central Bank, number 322, Mar.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2004, "Estimating the rank of the spectral density matrix," Working Paper Series, European Central Bank, number 349, Apr.
• Artur Da Silva Lopes, 2004, "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 75, Sep.
• Park, Joon Y. & Whang, Yoon-Jae, 2004, "A Test of the Martingale Hypothesis," Working Papers, Rice University, Department of Economics, number 2004-11, Sep.
• Dick van Dijk, 2004, "Forecasting US Inflation Using Model Averaging," Econometric Society 2004 Australasian Meetings, Econometric Society, number 143, Aug.
• Anurag Banerjee, 2004, "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings, Econometric Society, number 159, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "A Smooth Test for Density Forecast Evaluation," Econometric Society 2004 Australasian Meetings, Econometric Society, number 187, Aug.
• Stan Hurn, 2004, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings, Econometric Society, number 348, Aug.
• Jerome J Collet & Dominique Guegan, 2004, "Another Characterization of Long Memory Behavior," Econometric Society 2004 Australasian Meetings, Econometric Society, number 359, Aug.
• Paolucci Frank, 2004, "Monetary Policy and Capital Accumulation Processes :How did the FED react to the Transition Phases ?," Econometric Society 2004 Australasian Meetings, Econometric Society, number 8, Aug.
• Walter G. Sanddorf-Koehle & Ralph Friedmann, 2004, "A conditional distribution model for limited stock index returns," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 437, Aug.
• Koichi Maekawa & Ken-ichi Kawai, 2004, "Option pricing under NIG distribution: --- The empirical analysis of Nikkei 225 option ----," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 607, Aug.
• Chew Lian Chua & Peter Summers, 2004, "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 702, Aug.
• Wei-Ting Tang & Yin-Feng Gau, 2004, "Forecasting Value-at-Risk Using the Markov-Switching ARCH Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 715, Aug.
• Donald Andrews & Jae-Young Kim, 2004, "End-of-Sample Conintegratio Breakdown Tests," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 795, Aug.
• Carlos Chavez & César Viteri, 2004, "Legitimacy, Local Participation, and Compliance in the Galapagos Marine Reserve," Econometric Society 2004 Latin American Meetings, Econometric Society, number 168, Aug.
• Elizabeth Bucacos & Gerardo Licandro, 2004, "La demanda de dinero en Uruguay: 1980.1-2002.4," Econometric Society 2004 Latin American Meetings, Econometric Society, number 233, Aug.
• Gonzalo Llosa/Shirley Miller, 2004, "Using additional information in estimating output gap in Peru: a multivariate unobserved component approach," Econometric Society 2004 Latin American Meetings, Econometric Society, number 243, Aug.
• Jose Galdo, 2004, "Evaluating The Performance Of Non-Experimental Estimators: Evidence From A Randomized Ui Program," Econometric Society 2004 Latin American Meetings, Econometric Society, number 92, Aug.
• Lutz Kilian & Atsushi Inoue, 2004, "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 110, Aug.
• Robert Taylor & Peter Burridge, 2004, "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 125, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "Smooth Test Of Density Forecast Evaluation With Independent And Serially Dependent Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 319, Aug.
• Florian PELGRIN & Alain GUAY & Richard LUGER, 2004, "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 418, Aug.
• Jonathan B. Hill, 2004, "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 42, Aug.
• Maral Kichian & Jean-Marie Dufour & Lynda Khalaf, 2004, "Are New Keynesian Phillips Curves Identified ?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 424, Aug.
• Rodney W. Strachan & Herman K. van Dijk, 2004, "The Value of Structural Information in the VAR Model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 45, Aug.
• Sergio Firpo, 2004, "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 605, Aug.
• John Keating, 2004, "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 608, Aug.
• Alessandro Rebucci, 2004, "Monetary Rules for Emerging Market Economies," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 644, Aug.
• Allan Timmermann & Andrew J. Patton, 2004, "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 234, Aug.
• Norman R. Swanson & Valentina Corradi, 2004, "Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 264, Aug.
• Ragnar Nymoen & Gunnar Bardsen & Eilev S. Jansen, 2004, "The empirical relevance of the New Keynesian Phillips curve," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 328, Aug.
• Sydney C. Ludvigson & Xiaohong Chen, 2004, "An Empirical Investigation of Habit-Based Asset Pricing Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 332, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Patrick Cheridito & Damir Filipovic, 2004, "Market Price of Risk Specifications for Affine Models: Theory and Evidence," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 536, Aug.
• Nour Meddahi, 2004, "Expected Value Models: A New Approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 556, Aug.
• Tae-Hwy Lee & Yongmiao Hong, 2004, "Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 614, Aug.
• Carmen Fernandez & Eduardo Ley & Mark F J Steel, 2001, "Bayesian modelling of catch in a Northwest Atlantic Fishery," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 67, Nov, revised Nov 2001.
• Abeysinghe, Tilak & Choy, Keen Meng, 2004, "The aggregate consumption puzzle in Singapore," Journal of Asian Economics, Elsevier, volume 15, issue 3, pages 563-578, June.
• Ireland, Peter N., 2004, "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1205-1226, March.
• Hughes, Anthony W. & King, Maxwell L. & Kwek, Kian Teng, 2004, "Selecting the order of an ARCH model," Economics Letters, Elsevier, volume 83, issue 2, pages 269-275, May.
• Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004, "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, volume 122, issue 2, pages 317-347, October.
• Burridge, Peter & Robert Taylor, A. M., 2004, "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, volume 123, issue 1, pages 67-87, November.
• Goncalves, Silvia & Kilian, Lutz, 2004, "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, volume 123, issue 1, pages 89-120, November.
• Giot, Pierre & Laurent, Sebastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, volume 11, issue 3, pages 379-398, June.
• Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004, "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 4, pages 589-609.
• Beaudry, Paul & Portier, Franck, 2004, "An exploration into Pigou's theory of cycles," Journal of Monetary Economics, Elsevier, volume 51, issue 6, pages 1183-1216, September.
• Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004, "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, volume 12, issue 5, pages 503-523, November.
• Ziliak, Stephen T. & McCloskey, Deirdre N., 2004, "Size matters: the standard error of regressions in the American Economic Review," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 33, issue 5, pages 527-546, November.
• Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004, "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24681, Feb.
• Mencia, Javier F. & Sentana, Enrique, 2004, "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24742, Jun.
• Johnson, Christian A. & Soriano, Fabián A., 2004, "Volatilidad del mercado accionario y la crisis asiática. Evidencia internacional de asimetrías," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 355-388, abril-jun.

2003

• Antzoulatos, Angelos A. & Wilfling, Bernd, 2003, "Exchange and Interest Rates prior to EMU: The Case of Greece," Discussion Paper Series, Hamburg Institute of International Economics, number 26325, DOI: 10.22004/ag.econ.26325.
• Maynard, Leigh J. & Veeramani, Venkat N., 2003, "Price Sensitivities for U.S. Frozen Dairy Products," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 35, issue 3, pages 1-11, December, DOI: 10.22004/ag.econ.43194.
• Manuela CROCI, 2003, "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 197, Nov.
• Brock,W.A. & Durlauf,S.N., 2003, "Elements of a theory of design limits to optimal policy," Working papers, Wisconsin Madison - Social Systems, number 25.
• Maria Helena Lopes Moreira da Veiga, 2003, "Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 585.03, Sep.
• David Bolder, 2003, "A Stochastic Simulation Framework for the Government of Canada's Debt Strategy," Staff Working Papers, Bank of Canada, number 03-10, DOI: 10.34989/swp-2003-10.
• Frédérick Demers, 2003, "The Canadian Phillips Curve and Regime Shifting," Staff Working Papers, Bank of Canada, number 03-32, DOI: 10.34989/swp-2003-32.
• Lynda Khalaf & Maral Kichian, 2003, "Testing the Stability of the Canadian Phillips Curve Using Exact Methods," Staff Working Papers, Bank of Canada, number 03-7, DOI: 10.34989/swp-2003-7.
• Roberto Golinelli & Giuseppe Parigi, 2003, "What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 484, Sep.
• Norberto Rodríguez N. & Patricia Siado C., 2003, "Un Pronóstico no Paramétrico de la Inflación Colombiana," Borradores de Economia, Banco de la Republica de Colombia, number 248, Jun, DOI: 10.32468/be.248.
• Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003, "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 1, pages 104-121, January.
• Strachan, Rodney W, 2003, "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 1, pages 185-195, January.
• Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003, "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 4, pages 532-546, October.
• Joseph P. Romano & Michael Wolf, 2015, "Stepwise Multiple Testing as Formalized Data Snooping," Working Papers, Barcelona School of Economics, number 17, Sep.
• Bernd Wilfling, 2003, "Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes," German Economic Review, Verein für Socialpolitik, volume 4, issue 4, pages 433-457, November, DOI: 10.1111/j.1465-6485.2003.00088.x.
• Peter Carr & Liuren Wu, 2003, "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2581-2610, December, DOI: 10.1046/j.1540-6261.2003.00616.x.
• Luis A. Gil‐Alana & S. G. Brian Henry, 2003, "Fractional Integration and the Dynamics of UK Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue 2, pages 221-239, May, DOI: 10.1111/1468-0084.t01-1-00047.
• Dick van Dijk & Philip Hans Franses, 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 727-744, December, DOI: 10.1046/j.0305-9049.2003.00091.x.
• Rodney W. Strachan & Herman K. van Dijk, 2003, "Bayesian Model Selection with an Uninformative Prior," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 863-876, December, DOI: 10.1046/j.0305-9049.2003.00095.x.
• John Barkoulas & Christopher F. Baum, 2003, "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics, Boston College Department of Economics, number 558, May.
• Raffaella Giacomini & Ivana Komunjer, 2003, "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics, Boston College Department of Economics, number 571, Jun.
• Sophocles N. Brissimis & Nicholas S. Magginas, 2003, "Changes in Financial Structure and Asset Price Substitutability: A Test of the Bank Lending Channel," Working Papers, Bank of Greece, number 05, Sep.
• Wilfling Bernd, 2003, "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, volume 4, issue 4, pages 433-457, December, DOI: 10.1111/j.1465-6485.2003.00088.x.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Theodore Panagiotidis, 2003, "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 03-08, Feb.
• Kapetanios, G. & Weeks, M., 2003, "Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0308, Feb, DOI: 10.17863/CAM.5401.
• Fernando Galindo-Rueda, 2003, "Employer Learning and Schooling-Related Statistical Discrimination in Britain," CEE Discussion Papers, Centre for the Economics of Education, LSE, number 0031, May.
• Alexis Garatti, 2003, "Implications des chocs communs et specifiques pour le federalisme budgetaire europeen," Economie Internationale, CEPII research center, issue 93, pages 89-116.
• Philip A. Haile & Ali Hortacsu & Grigory Kosenok, 2003, "On the Empirical Content of Quantal Response Equilibrium," Levine's Bibliography, UCLA Department of Economics, number 666156000000000215, Aug.
• Robert H. McGuckin & Ataman Ozyildirim, 2003, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Economics Program Working Papers, The Conference Board, Economics Program, number 03-04, Jun.
• Norberto Rodr�guez & Patricia Siado, 2003, "Un Pron�Stico No Param�Trico De La Inflaci�N Colombiana," Borradores de Economia, Banco de la Republica, number 3691, Jun.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Market risk in commodity markets: a VaR approach," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003028, Apr.
• GIOT, Pierre, 2003, "The information content of implied volatility in agricultural commodity markets," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1612, Jan, DOI: 10.1002/fut.10069.
• Kilian, Lutz & Inoue, Atsushi, 2003, "On the Selection of Forecasting Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3809, Mar.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4037, Aug.
• Madsen, J. B. & Milas, C., 2003, "The price-dividend relationship in inflationary and deflationary regimes," Working Papers, Department of Economics, City St George's, University of London, number 03/05.
• Milas, C., 2003, "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers, Department of Economics, City St George's, University of London, number 03/08.
• Maynard, Leigh J. & Veeramani, Venkat N., 2003, "Price Sensitivities for U.S. Frozen Dairy Products," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 35, issue 3, pages 599-609, December.
• Donald W.K. Andrews & Jae-Young Kim, 2003, "End-of-Sample Cointegration Breakdown Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1404, Mar.
• Philip A. Haile & Ali Hortacsu & Grigory Kosenok, 2003, "On the Empirical Content of Quantal Response Equilibrium," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1432, Aug.
• Rossi, Barbara & Inoue, Atsushi, 2003, "Recursive Predictability Tests for Real-Time Data," Working Papers, Duke University, Department of Economics, number 03-24.
• Nowak-Lehmann D., Felicitas, 2003, "Trade Policy and its Impact On Economic Growth: The Chilean Experience in the Period of 1960 to 1998," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 3, issue 2.
• Guisan, M.Carmen, 2003, "Causality Tests, Interdependence and Model Selection: Aplication to OECD countries 1960-97," Economic Development, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics., number 63.
• Fabiani, Silvia & Morgan, Julian, 2003, "Aggregation and euro area Phillips curves," Working Paper Series, European Central Bank, number 213, Feb.
• Inoue, Atsushi & Kilian, Lutz, 2003, "On the selection of forecasting models," Working Paper Series, European Central Bank, number 214, Feb.
• Surico, Paolo, 2003, "US Monetary Policy Rules: the Case for Asymmetric Preferences," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 199, Jun.
• Wallis, Gavin, 2003, "The Effect of Skill shortages on Unemployment and Real Wage Growth: A Simultaneous Equation Approach," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 217, Jun.
• Cerrato, Mario & Nicholas Sarantis, 2003, "Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 40, Jun.
• Cuaresma, Jesus Crespo, 2003, "Some million thresholds: Nonlinearity and cross-country growth regressions," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 51, Jun.
• Galindo-Rueda, Fernando, 2003, "Employer Learning and Schooling-Related Statistical Discrimination in Britain," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 82, Jun.
• D. W. K. Andrews, 2003, "End-of-Sample Instability Tests," Econometrica, Econometric Society, volume 71, issue 6, pages 1661-1694, November.
• Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003, "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, volume 6, issue 1, pages 79-98, June.
• Hendry, David F. & Clements, Michael P., 2003, "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, volume 20, issue 2, pages 301-329, March.
• Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003, "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 225-257.
• Hunt, Lester C. & Judge, Guy & Ninomiya, Yasushi, 2003, "Underlying trends and seasonality in UK energy demand: a sectoral analysis," Energy Economics, Elsevier, volume 25, issue 1, pages 93-118, January.
• Giot, Pierre & Laurent, Sebastien, 2003, "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, volume 25, issue 5, pages 435-457, September.
• Chang, Yongsung & Schorfheide, Frank, 2003, "Labor-supply shifts and economic fluctuations," Journal of Monetary Economics, Elsevier, volume 50, issue 8, pages 1751-1768, November.
• Florax, Raymond J. G. M. & Folmer, Hendrik & Rey, Sergio J., 2003, "Specification searches in spatial econometrics: the relevance of Hendry's methodology," Regional Science and Urban Economics, Elsevier, volume 33, issue 5, pages 557-579, September.
• Carlos A. Rodríguez Ramos, 2003, "The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2003_06, Jul.
• Barañano Mentxaka, Ilaski & Moral Zuazo, María Paz, 2003, "Output dynamics in an endogenous growth model," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jul.
• Dimitrios Papaikonomou, 2003, "Structural Change and Small-Sample Inference in a Long-Run Structural Var Model of UK Aggregate Demand," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 6, issue 2, pages 210-236, Winter.
• S. Chaouachi & G. Dufrenot & V.Mignon, 2003, "Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2003-03.
• van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-10, Mar.
• Strachan, R.W. & van Dijk, H.K., 2003, "The value of structural information in the VAR model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-17, Jun.
• Chris Stewart, 2003, "An International Comparison Of Long-Run Consumer Behaviour," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 145-168, January -.
• Angelos A. Antzoulatos & Theodosios Sampaniotis, 2003, "Capital Flight In The 1990s – Lessons From E. Europe," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 35-50, January -.
• K. Pendaraki & C. Zopounidis, 2003, "Evaluation Of Equity Mutual Funds’ Performance Using A Multicriteria Methodology," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 143-162, July - De.
• Stéphane Moyen & Jean-Guillaume Sahuc, 2003, "Incorporating Labour Market Frictions into an Optimizing Based Monetary Policy Model," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 03-03.
• Giorgio Busetti & Matteo Manera, 2003, "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers, Fondazione Eni Enrico Mattei, number 2003.43, Apr.
• Fernandes, Marcelo & Grammig, Joachim, 2003, "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 502, Oct.
• Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
• Ben R. Craig & Joachim G. Keller, 2003, "The empirical performance of option-based densities of foreign exchange," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0313, DOI: 10.26509/frbc-wp-200313.
• Yongsung Chang & Frank Schorfheide, 2003, "Labor supply shifts and economic fluctuations," Working Paper, Federal Reserve Bank of Richmond, number 03-07.
• Brunstad, Rolf Jens & Gaasland, Ivar, 2003, "Efficiency losses in milk marketing boards – the importance of exports," Working Papers in Economics, University of Bergen, Department of Economics, number 15/03, Dec.
• Petzold, Max & Jonsson, Robert, 2003, "Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression," Working Papers in Economics, University of Gothenburg, Department of Economics, number 102, Aug.
• Ericsson, Johan & Karlsson, Sune, 2003, "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 524, Apr, revised 12 Feb 2004.
• Lundbergh, Stefan & Teräsvirta, Timo, 2003, "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 533, Sep.
• Eklund, Bruno, 2003, "Testing the unit root hypothesis against the logistic smooth transition autoregressive model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 546, Nov.
• Eklund, Bruno, 2003, "A nonlinear alternative to the unit root hypothesis," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 547, Nov.
• Eklund, Bruno & Teräsvirta, Timo, 2003, "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 549, Nov, revised 18 Jan 2006.
• Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003, "Testing the New Keynesian Phillips curve," Memorandum, Oslo University, Department of Economics, number 18/2002, Jun.
• Lindé, Jesper, 2003, "Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 153, Nov.
• Anna Persson & Timo Teräsvirta, 2003, "The net barter terms of trade: A smooth transition approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 8, issue 1, pages 81-97, DOI: 10.1002/ijfe.198.
• Carlo Altavilla, 2003, "Assessing monetary rules performance across EMU countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 8, issue 2, pages 131-151, DOI: 10.1002/ijfe.199.
• Darcy Fuenzalida O'Shee & Mauricio Nash Sarquis, 2003, "Efecto De La Ley De Opa En El Retorno De La Acción En Chile," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 4, pages 305-320, Diciembre.
• Luis Miguel Galindo & Horacio Catalán, 2003, "The Term Structure Of Interest Rates In Mexico: The Cetes Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 4, pages 339-357, Diciembre.
• Trino-Manuel Ñíguez, 2003, "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-33, Sep.
• Antonio Rubia Serrano & Trino-Manuel Ñíguez, 2003, "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-34, Oct.
• Galindo-Rueda, Fernando, 2003, "Employer Learning and Schooling-Related Statistical Discrimination in Britain," IZA Discussion Papers, IZA Network @ LISER, number 778, Apr.
• Pierre Giot & Sébastien Laurent, 2003, "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 18, issue 6, pages 641-663, DOI: 10.1002/jae.710.
• Krekó, Judit & Vonnák, Balázs, 2003, "Makroelemzők inflációs várakozásai Magyarországon
  [The inflationary expectations of macro analysts in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 4, pages 315-334.
• Khalaf, Lynda & Kichian, Maral, 2003, "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche, GREEN, number 0312.
• Chris Heaton & Victor Solo, 2003, "Asymptotic Principal Components Estimation Of Large Factor Models," Research Papers, Macquarie University, Department of Economics, number 0303, Jun.
• Xibin Zhang & Maxwell L. King, 2003, "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/03, Apr.
• Md B. Billah & R.J. Hyndman & A.B. Koehler, 2003, "Empirical Information Criteria for Time Series Forecasting Model Selection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/03, Jan.
• GONÇALVES, Silvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-01.
• Gonçalves, Sílvia & KILIAN, Lutz, 2003, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 01-2003.
• Clive G. Bowsher, 2003, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W03, Jan.
• Olivier Basdevant & David Hargreaves, 2003, "Modelling structural change: the case of New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/03, Apr.
• John Bryant, 2003, "Can population projections be used for sensitivity tests on policy models?," Treasury Working Paper Series, New Zealand Treasury, number 03/07, Mar.
• Franck Sédillot & Nigel Pain, 2003, "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers, OECD Publishing, number 364, Jul, DOI: 10.1787/275257320252.
• Mapa, Dennis S., 2003, "A Range-Based GARCH Model for Forecasting Volatility," MPRA Paper, University Library of Munich, Germany, number 21323, Dec.
• Ghassan, Hassan B., 2003, "Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme
  [Testing the Automatic Stabilization Effect: Evidence from SVAR Model without Long-Term Constraint]," MPRA Paper, University Library of Munich, Germany, number 56387, Feb, revised 02 Apr 2003.
• Charles, Coleman, 2003, "Loss Functions for Detecting Outliers in Panel Data: An Introduction," MPRA Paper, University Library of Munich, Germany, number 77844.
• Marek Loužek, 2003, "Can pro-natalist policy be effective?," Prague Economic Papers, Prague University of Economics and Business, volume 2003, issue 3, pages 265-281, DOI: 10.18267/j.pep.218.
• Francisco Craveiro Dias, 2003, "Nonlinearities over the Business Cycle: an Application of the Smooth Transition Autoregressive Model to characterize GDP dynamics for the Euro-area and Portugal," Working Papers, Banco de Portugal, Economics and Research Department, number w200309.
• George Kapetanios & Melvyn Weeks, 2003, "Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests," Working Papers, Queen Mary University of London, School of Economics and Finance, number 490, Apr.
• Carol Alexandra & Emese Lazar, 2003, "Symmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-09, May.
• Alan Mulhern, 2003, "Identifying growth characteristics in the Polish small firm stratum," Economics Discussion Papers, School of Economics, Kingston University London, number 2003-3, Jan.
• Subrata Ghatak & Alan Mulhern & Chris Stewart, 2003, "Regional Development of Small Firms in Poland," Economics Discussion Papers, School of Economics, Kingston University London, number 2003-5, Jan.
• Alan Mulhern, 2003, "Regional differences in small firm development: the case of Poland," Economics Discussion Papers, School of Economics, Kingston University London, number 2003-12, Jan.
• Valentina Corradi & Norman R. Swanson, 2003, "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers, Rutgers University, Department of Economics, number 200314, Oct.
• Victor Solo & Chris Heaton, 2003, "Asymptotic Principal Components Estimation of Large Factor Models," Computing in Economics and Finance 2003, Society for Computational Economics, number 251, Aug.
• Fabio Milani, 2003, "Adaptive Learning, Model Uncertainty and Monetary Policy Inertia in a Large Information Environment," Computing in Economics and Finance 2003, Society for Computational Economics, number 280, Aug.
• Jesus Fernandez-Villaverde & Juan Rubio-Ramirez, 2003, "Estimating nonlinear dynamic economies: A likelihood approach," Computing in Economics and Finance 2003, Society for Computational Economics, number 91, Aug.
• Hyeok Jeong & Robert M. Townsend, 2003, "Growth and Inequality: Model Evaluation Based on an Estimation-Calibration Strategy," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.10, Sep.
• Harry Telser & Peter Zweifel, 2003, "Validity of Discrete-Choice Experiments - Evidence for Health Risk Reduction," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0313, Oct, revised Feb 2005.
• Konstantinos Giannakas & Kien C. Tran & Vangelis Tzouvelekas, 2003, "On the choice of functional form in stochastic frontier modeling," Empirical Economics, Springer, volume 28, issue 1, pages 75-100, January, DOI: 10.1007/s001810100120.
• Kurt Brannas & Niklas Nordman, 2003, "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 11, pages 725-728, DOI: 10.1080/1350485032000139015.
• Kurt Brannas & Niklas Nordman, 2003, "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 7, pages 537-541, DOI: 10.1080/0960310022000020889.
• Rim Ben Ayed-Mouelhi & Mohamed Goa�ed, 2003, "Efficiency Measure from Dynamic Stochastic Production Frontier: Application to Tunisian Textile, Clothing, and Leather Industries," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 1, pages 93-111, February, DOI: 10.1081/ETC-120017976.
• Ozge Akinci, 2003, "Modeling the Demand for Currency Issued in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 1, pages 1-25.
• Andreou, E. & Werker, B.J.M., 2003, "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-118.
• Peter van Els & Alberto Locarno & Benoît Mojon & Julian Morgan, 2003, "New Macroeconomic Evidence on Monetary Policy Transmission in the Euro Area," Journal of the European Economic Association, MIT Press, volume 1, issue 2-3, pages 720-730, 04/05.
• Gunnar Bårdsen & Ragnar Nymoen, 2003, "Testing Steady-State Implications for the NAIRU," The Review of Economics and Statistics, MIT Press, volume 85, issue 4, pages 1070-1075, November.
• Luis A. Gil-Alana & S.G. Brian Henry, 2003, "Fractional Integration and the Dynamics of UK Unemployment," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 10/03, May.
• Tran Van Hoa, 2003, "Growth of Asian Regional Trade and Income Convergence: Evidence from ASEAN+3 Based on Extended Helpman-Krugman Hypothesis and Flexible Modelling Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp03-02.
• Tran Van Hoa, 2003, "New Asian Regionalism: Evidence of ASEAN+3 Free Trade Agreement From Extended Gravity Theory and New Modelling Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp03-03.
• Àlex Costa & Albert Satorra & Eva Ventura, 2003, "An empirical evaluation of small area estimators," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 674, Apr, revised Jun 2003.