Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2004

• Martin Barlow & Yuri Gusev & Manpo Lai, 2004, "Calibration Of Multifactor Models In Electricity Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 101-120, DOI: 10.1142/S0219024904002396.
• Michal Grajek, 2004, "Diffusion of ISO 9000 Standards and International Trade," CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG), number SP II 2004-16, Dec.
• Donald W.K. Andrews & Jae-Young Kim, 2004, "End-of-Sample Cointegration Breakdown Tests," Yale School of Management Working Papers, Yale School of Management, number ysm344, Jul.
• Philip A. Haile & Ali Hortacsu & Grigory Kosenok, 2004, "On the Empirical Content of Quantal Response Equilibrium," Yale School of Management Working Papers, Yale School of Management, number ysm421, Jul.
• Peresetsky, Anatoly & Karminsky, Alexandr & Golovan, Sergei, 2004, "Probability of default models of Russian banks," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 21/2004.
• Paloviita, Maritta, 2004, "Inflation dynamics in the euro area and the role of expectations: further results," Bank of Finland Research Discussion Papers, Bank of Finland, number 21/2004.
• Knetsch, Thomas A., 2004, "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,10.
• Hafner, Christian M. & Herwartz, Helmut, 2004, "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-03.
• Liesenfeld, Roman & Richard, Jean-François, 2004, "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2004-12.
• Scholz, Achim & Neumeyer, Natalie & Munk, Axel, 2004, "Nonparametric Analysis of Covariance : the Case of Inhomogeneous and Heteroscedastic Noise," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,28.
• Herzberg, Markus & Sibbertsen, Philipp, 2004, "Pricing of options under different volatility models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,62.
• Gabriel Pons Rotger, 2004, "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-1, Apr.
• Lora, Eduardo & Olivera, Mauricio, 2004, "What makes reforms likely: Political economy determinants of reforms in Latin America," Journal of Applied Economics, Universidad del CEMA, volume 7, issue 01, pages 1-37, May, DOI: 10.22004/ag.econ.43851.
• Diks, C.G.H. & Panchenko, V., 2004, "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-10.
• Manuela CROCI, 2004, "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 201, Jan.
• Diógenes Manoel Leiva Martin & Eduardo Kazuo Kayo & Herbert Kimura & Wilson Toshiro Nakamura, 2004, "Identificando Bolhas Especulativas Racionais no IBOVESPA (Pós-Plano Real), a partir de Regimes Markovianos de Conversão," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 5, issue 3, pages 219-252.
• Diógenes Manoel Leiva Martin & Herbert Kimura & Wilson Toshiro Nakamura & Eduardo Kazuo Kayo, 2004, "Identificando Bolhas Especulativas Racionais No Ibovespa (Pós-Plano Real), A Partir De Regimes Markovianos De Conversão," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 064.
• Carlos Fernando Lagrota R. Lopes, 2004, "Monetary Policy And External Vulnerability In Brazil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 071.
• Alexandre Augusto Seijas de Andrade & Naércio Aquino Menezes-Filho, 2004, "O Papel Da Oferta De Trabalho No Comportamento Dos Retornos À Educação No Brasil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 150.
• Vania Banabakova, 2004, "Models for Optimization Logistic Decisions (On The Example of the Bulgarian Army)," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 124-163.
• Nadya Marinova, 2004, "Economic Aspects of the Appraisal and Selection of Engineering Projects," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 75-95.
• Lynda Khalaf & Maral Kichian, 2004, "Estimating New Keynesian Phillips Curves Using Exact Methods," Staff Working Papers, Bank of Canada, number 04-11, DOI: 10.34989/swp-2004-11.
• Richard Luger, 2004, "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 04-2, DOI: 10.34989/swp-2004-2.
• Alain Guay & Florian Pelgrin, 2004, "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers, Bank of Canada, number 04-35, DOI: 10.34989/swp-2004-35.
• Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004, "Structural Change and Forecasting Long-Run Energy Prices," Staff Working Papers, Bank of Canada, number 04-5, DOI: 10.34989/swp-2004-5.
• Paolo Piselli, 2004, "Business cycle non-linearities and productivity shocks," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 516, Jul.
• Libero Monteforte, 2004, "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 534, Dec.
• Castellanos Pascacio Sara Gabriela & Oviedo Marco, 2004, "Analysis of Optimal Bids in the Primary Auction of Mexican Federal Government Bonds: Results of a Structural Econometric Modeling Approach," Working Papers, Banco de México, number 2004-07, Oct.
• Luis F. Melo & Álvaro Riascos, 2004, "Sobre los efectos de la política monetaria en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 172-221, June, DOI: 10.32468/Espe.4505.
• Juan Carlos Vargas Berdugo, 2004, "Cuenta corriente y restricción presupuestaria intertemporal: un contraste de la viabilidad del financiamiento externo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 58-78, June, DOI: 10.32468/Espe.4502.
• Gerson Javier Pérez V., 2004, "Los ciclos ganaderos en Colombia, 1950-2001," Documentos de trabajo sobre Economía Regional y Urbana, Banco de la Republica de Colombia, number 46, Jun, DOI: 10.32468/dtseru.46.
• Stéphane Moyen & Jean-Guillaume Sahuc, 2004, "Incorporating Labour Market Frictions into an Optimising-Based Monetary Policy Model," Working papers, Banque de France, number 105.
• Stilianos Fountas & Menelaos Karanasos & Alfonso Mendoza, 2004, "Output Variability and Economic Growth: the Japanese Case," Bulletin of Economic Research, Wiley Blackwell, volume 56, issue 4, pages 353-363, October, DOI: 10.1111/j.1467-8586.2004.00209.x.
• William A. Brock & Steven N. Durlauf, 2004, "Elements of a Theory of Design Limits to Optimal Policy," Manchester School, University of Manchester, volume 72, issue s1, pages 1-18, September, DOI: 10.1111/j.1467-9957.2004.00416.x.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper, Norges Bank, number 2004/10, Jun.
• Dimitrios Sideris, 2004, "Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan," Working Papers, Bank of Greece, number 19, Nov.
• João Gabe & Marcelo Savino Portugal, 2004, "Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 47-73.
• Vinicius Ratton Brandi & Beatriz Vaz de Melo Mendes, 2004, "Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 207-223.
• Christopher Martin & Costas Milas, 2004, "Uncertainty and UK Monetary Policy," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-11, Jul.
• Christopher Martin & Costas Milas, 2004, "Uncertainty and UK Monetary Policy," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-11, Jul.
• Bhattacharjee, A., 2004, "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0401, Jan.
• Pesaran, M.H. & Timmermann, A., 2004, "‘Real Time Econometrics’," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0432, Jun.
• James E. Prieger, 2004, "An Empirical Investigation of Biased Survey Data and an Attempted Cure," Working Papers, University of California, Davis, Department of Economics, number 145, Aug.
• Carlos Castellar & Jose Ignacio Uribe, 2004, "Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis?," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Universidad Externado de Colombia, Universidad Nacional de Colombia, volume 2, issue 1, pages 121-155, November.
• Eduardo Lora & Mauricio Olivera, 2004, "What makes reforms likely: Political economy determinants of reforms in Latin America," Journal of Applied Economics, Universidad del CEMA, volume 7, pages 99-135, May.
• Evzen Kocenda & Lubos Briatka, 2004, "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp235, Sep.
• Kurt Brännäs & Niklas Nordman, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series, CESifo, number 448.
• Michael Funke & Annekatrin Niebuhr, 2002, "Threshold Effects and Regional Economic Growth – Evidence from West Germany," CESifo Working Paper Series, CESifo, number 690.
• F. Javier Mencía & Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers, CEMFI, number wp2004_0411.
• Luis Gonzalo Llosa & Shirley Miller, 2004, "Using Additional Information in Estimating the Output Gap in Peru: a Multivariate Unobserved Component Approach," Money Affairs, CEMLA, volume 0, issue 1, pages 57-82, January-J.
• Clemente Forero & Carlos Eduardo Sep√∫lveda, 2004, "Forms of Participatory Democracy: An Analytical Framework Based on the Experiences of Bolivia, Brazil and Colombia," Borradores de Investigación, Universidad del Rosario, number 2742, Nov.
• Luis Fernando Melo Velandia & Alvaro Jos� Riascos Villegas, 2004, "Sobre los Efectos de la Pol�tica Monetaria en Colombia," Borradores de Economia, Banco de la Republica, number 3511, Feb.
• Gerson Javier Pérez V, 2004, "Los ciclos ganaderos en Colombia, 1950-2001," Documentos de Trabajo Sobre Economía Regional y Urbana, Banco de la República, Economía Regional, number 3160, Jun, DOI: 10.32468/dtseru.46.
• Juan Carlos Vargas Berdugo, 2004, "Cuenta corriente y restricción presupuestaria intertemporal: un contraste de la viabilidad del financiamiento externo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 22, issue 45, pages 58-78, DOI: 10.32468/Espe.4502.
• LEJEUNE, Bernard, 2004, "A full heteroscedastic one-way error components model allowing for unbalanced panel : Pseudo-maximum likelihood estimation and specification testing," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004076, Nov.
• Kilian, Lutz & Inoue, Atsushi, 2004, "Bagging Time Series Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 4333, Mar.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "Real Time Econometrics," CEPR Discussion Papers, Centre for Economic Policy Research, number 4402, Jun.
• Miravete, Eugenio & Pernías, Jose C, 2004, "Innovation Complimentarity and Scale of Production," CEPR Discussion Papers, Centre for Economic Policy Research, number 4483, Jul.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-07.
• Janine Aron & John Muellbauer & B. Smit, 2004, "A Structural Model of the Inflation Process in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-08.
• Luigi Benfratello & Massimiliano Piacenza & Stefano Sacchetto, 2004, "-What Drives Market Prices in the Wine Industry ? Estimation of a Hedonic Model for Italian Premium Wines," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200411, Dec.
• Martin, C. & Milas, C., 2004, "Uncertainty and UK Monetary Policy," Working Papers, Department of Economics, City St George's, University of London, number 04/05.
• Legrenzi, G. & Milas, C., 2004, "Non-linear adjustments in fiscal policy," Working Papers, Department of Economics, City St George's, University of London, number 04/06.
• Olivier Bargain & Kristian Orsini, 2004, "In-work policies in Europe: killing two birds with one stone?," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2004-13.
• Olivier Bargain, 2004, "On modeling household labor supply with taxation," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2004-14.
• 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, Centre for Economic Policy Research, number 3809, Mar.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, 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.