Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2001

• Hong, H. & Scaillet, O. & Tamer, E., 2001, "A fast Subsampling Method for Nonlinear Dynamic Models," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.09.
• Karame, F., 2001, "Can the Mortensen & Pissarides Model Reproduce the Asymmetric Dynamics of US and French Aggregate Gross Job Flows?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.39.
• Neophytou, E. & Molinero, C.M., 2001, "Predicting Corporate Failure in the UK: A Multidimensional Scaling Approach," Papers, University of Southampton - Department of Accounting and Management Science, number 01-172.
• van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001, "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0429, Mar, revised 01 Jun 2004.
• de Luna, Xavier & Johansson, Per, 2001, "Testing exogeneity under distributional misspecification," Working Paper Series, IFAU - Institute for Evaluation of Labour Market and Education Policy, number 2001:9, Jul.
• Hjelm, Göran, 2001, "The Dynamic Response of the Budget Balance to Tax, Spending and Output Shocks: Does Model Specification Matter?," Working Papers, Lund University, Department of Economics, number 2001:2, Feb.
• Amilon, Henrik, 2001, "A Neural Network Versus Black-Scholes: A Comparison of Pricing and Hedging Performances," Working Papers, Lund University, Department of Economics, number 2001:5, Mar, revised 03 Aug 2001.
• Amilon, Henrik, 2001, "GARCH Estimation and Discrete Stock Prices," Working Papers, Lund University, Department of Economics, number 2001:6, Mar, revised 03 Aug 2001.
• Johansson, Martin, 2001, "TAR models and real exchange rates," Working Papers, Lund University, Department of Economics, number 2001:21, Nov.
• Eliasson, Ann-Charlotte, 2001, "Is the Short-run Phillips Curve Nonlinear? Empirical Evidence for Australia, Sweden and the United States," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 124, Sep.
• Lindé, Jesper, 2001, "Estimating New-Keynesian Phillips Curves: A Full Information Maximum Likelihood Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 129, Dec, revised 01 Mar 2005.
• Lindé, Jesper, 2001, "The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 130, Dec.
• Bohlin, Nils, 2001, "Clustering and Joint Marketing in Retail Trade," Research Papers in Economics, Stockholm University, Department of Economics, number 2001:13, Dec.
• de Luna, Xavier & Johansson, Per, 2001, "Graphical diagnostics of endogeneity," Umeå Economic Studies, Umeå University, Department of Economics, number 553, Feb.
• Brännäs, Kurt & Nordman, Niklas, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 556, Apr.
• Brännäs, Kurt & Nordman, Niklas, 2001, "Conditional Skewness Modelling for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 562, Jun.
• Lee, Gabriel S. & Boss, Michael & Klisz, Chris, 2001, "Empirical Performance of the Czech and Hungarian Index Options under Jump," Economics Series, Institute for Advanced Studies, number 91, Jan.
• Timo Teräsvirta & Ann-Charlotte Eliasson, 2001, "Non-linear error correction and the UK demand for broad money, 1878-1993," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 3, pages 277-288.
• Carmen Fernandez & Eduardo Ley & Mark F. J. Steel, 2001, "Model uncertainty in cross-country growth regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 5, pages 563-576.
• J. M. C. Santos Silva, 2001, "A score test for non-nested hypotheses with applications to discrete data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 5, pages 577-597.
• Francis X. Diebold & Lutz Kilian, 2001, "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 6, pages 657-669.
• Jaewoon Koo & Seungjun Lee, 2001, "Volatility Forecasting Models for The Won-Dollar Exchange Rate," Korean Economic Review, Korean Economic Association, volume 17, pages 253-269.
• Carlo Altavilla, 2001, "Assessing Monetary Rules Performance across EMU Countries," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0108, Mar.
• LE GALLO, Julie, 2001, "Space-time analysis of GDP disparities among European regions: A Markov chains approach," LATEC - Document de travail - Economie (1991-2003), LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne, number 2001-06, Mar.
• Roselyne Joyeux, 2001, "How to Deal with Structural Breaks in Practical Cointegration Analysis," Research Papers, Macquarie University, Department of Economics, number 0112, Dec.
• A. Johri & M-A. Letendre, 2001, "Labour Market Dynamics in RBC Models," Department of Economics Working Papers, McMaster University, number 2001-03, Mar.
• McLean, A., 2001, "On the Nature and Role of Hypothesis Tests," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/01, Jun.
• DUFOUR, Jean-Marie & FARHAT, Abdeljelil, 2001, "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-23.
• MEDDAHI, Nour, 2001, "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-26.
• MEDDAHI, Nour, 2001, "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-29.
• Dufour, J.M. & Farhat, A., 2001, "Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-23.
• Meddahi, N., 2001, "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-26.
• Meddahi, N., 2001, "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-29.
• Fountas, Stilianos & Karanasos,Menelaos, 2001, "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers, National University of Ireland Galway, Department of Economics, number 0053, revised 2001.
• Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001, "A simple method for testing cointegration subject to regime changes," NIPE Working Papers, NIPE - Universidade do Minho, number 15/2001.
• David Hendry & Michael P. Clements, 2001, "Economic Forecasting: Some Lessons from Recent Research," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W11, Oct.
• Hans-Martin Krolzig & Michael P. Clements & Department of Economics & University of Warwick, 2001, "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 58, Jan.
• David Hendry & Michael P. Clements & Department of Economics & University of Warwick, 2001, "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers, University of Oxford, Department of Economics, number 78, Oct.
• Clements, M.C. & Krolzig, H.-M., 2001, "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 9958.
• By May Khamis & Alfredo M. Leone, 2001, "Can Currency Demand Be Stable Under a Financial Crisis? The Case of Mexico," IMF Staff Papers, Palgrave Macmillan, volume 48, issue 2, pages 1-6.
• Jaime Marquez & Lisa Workman, 2001, "Modeling the IMF's Statistical Discrepancy in the Global Current Account," IMF Staff Papers, Palgrave Macmillan, volume 48, issue 3, pages 1-4.
• Wang, Hung-jen & Schmidt, Peter, 2001, "One-step and two-step estimation of the effects of exogenous variables on technical efficiency levels," MPRA Paper, University Library of Munich, Germany, number 31075, Oct, revised Mar 2002.
• Dobrescu, Emilian, 2001, "Introduction into macroeconomic modeling foundations," MPRA Paper, University Library of Munich, Germany, number 35794.
• Lord, Montague, 2001, "Macroeconomic Policies for Poverty Reduction in Cambodia," MPRA Paper, University Library of Munich, Germany, number 41174, May.
• Bilgili, Faik, 2001, "ARIMA ve VAR Modellerinin Tahmin Başarılarının Karşılaştırılması
  [A comparison of VAR and ARIMA Models’ forecasting accuracies]," MPRA Paper, University Library of Munich, Germany, number 75609.
• Chris Brooks & Sotiris Tsolacos, 2001, "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-08, Oct.
• Maria José Salgado & Márcio Gomes Pinto Garcia & Marcelo C. Medeiros, 2001, "Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 444, Sep.
• Marcelo C. Medeiros & Timo Terasvirta, 2001, "Statistical methods for modelling neural networks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 445, Sep.
• Subrata Ghatak & Alan Mulhern & Chris Stewart, 2001, "European Enlargement and Expansion of Polish SMEs," Economics Discussion Papers, School of Economics, Kingston University London, number 2001-6, Jan.
• Asmara Jamaleh, 2001, "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, volume 91, issue 2, pages 79-132, February.
• Alan P. Kirman, Gilles Teyssiere, 2001, "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," Computing in Economics and Finance 2001, Society for Computational Economics, number 221, Apr.
• Jerry Coakley; Ana-Maria Fuertes, 2001, "Bootstrap LR Tests for Sign and Amplitude Asymmetries," Computing in Economics and Finance 2001, Society for Computational Economics, number 262, Apr.
• Gonzalo GarcÃa-Donato, Pedro Gento and Juan Ortega, University of Castilla-La Mancha, 2001, "Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview," Computing in Economics and Finance 2001, Society for Computational Economics, number 271, Apr.
• Roel Oomen, 2001, "Using High Frequency Data to Calculate, Model and Forecast Realized Volatility," Computing in Economics and Finance 2001, Society for Computational Economics, number 75, Apr.
• Pierre Giot and S»bastien Laurent, 2001, "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001, Society for Computational Economics, number 94, Apr.
• Herman J. Bierens & Donna K. Ginther, 2001, "Integrated Conditional Moment testing of quantile regression models," Empirical Economics, Springer, volume 26, issue 1, pages 307-324.
• Michael Wüger & Gerhard Thury, 2001, "The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function," Empirical Economics, Springer, volume 26, issue 2, pages 325-341.
• Nicholas Sarantis & Chris Stewart, 2001, "Unobserved components in an error-correction model of consumption for Southern European countries," Empirical Economics, Springer, volume 26, issue 2, pages 391-405.
• Emil Stavrev, 2001, "A small continuous time macro-econometric model of the Czech Republic," Empirical Economics, Springer, volume 26, issue 4, pages 673-705.
• Ole E. Barndorff-Nielsen & Karsten Prause, 2001, "Apparent scaling," Finance and Stochastics, Springer, volume 5, issue 1, pages 103-113.
• Hans H. Bauer & Marc Fischer, 2001, "Ein Ansatz zur simultanen Messung von Kannibalisierungs-, substitutiven Konkurrenz- und Neukäufereffekten am Beispiel von line extensions," Schmalenbach Journal of Business Research, Springer, volume 53, issue 5, pages 455-477, August, DOI: 10.1007/BF03372655.
• Tom Kornstad, 2001, "Are Predicted Lifetime Consumption Profiles Robust with respect to Model Specifications?," Discussion Papers, Statistics Norway, Research Department, number 308, Aug.
• Håvard Hungnes, 2001, "Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand," Discussion Papers, Statistics Norway, Research Department, number 309, Oct.
• Anindya Banerjee, 2001, "Industry structure and the dynamics of price adjustment," Applied Economics, Taylor & Francis Journals, volume 33, issue 15, pages 1889-1901, DOI: 10.1080/00036840010021131.
• Thanasis Stengos & Yiguo Sun, 2001, "A Consistent Model Specification Test For A Regression Function Based On Nonparametric Wavelet Estimation," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 1, pages 41-60, DOI: 10.1081/ETC-100104079.
• Gianluca Cubadda, 2001, "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 201-216, DOI: 10.1081/ETC-100103823.
• Evzen Kocenda, 2001, "An Alternative To The Bds Test: Integration Across The Correlation Integral," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 3, pages 337-351, DOI: 10.1081/ETC-100104938.
• Richard Kleijn & Herman K. van Dijk, 2001, "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-105/4, Nov.
• Dario Bonato & Sandra Nocera & Harry Telser, 2001, "The Contingent Valuation Method in Health Care: An Economic Evaluation of Alzheimer's Disease," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0101, Jan.
• François Rycx & Robert Plasman, 2001, "The war of models: determination of wages and employment in Swedish private sector," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/793.
• van Mierlo, J.G.A., 2001, "Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 014, Jan, DOI: 10.26481/umamet.2001014.
• Giot, P. & Laurent, S.F.J.A., 2001, "Modelling daily value-at-risk using realized volatility and arch type models," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 026, Jan, DOI: 10.26481/umamet.2001026.
• Olivier Ledoit & Michael Wolf, 2001, "Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 575, Oct.
• Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001, "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 51, Mar.
• Ralf Becker & Walter Enders & A. Stan Hurn, 2001, "Testing for Time Dependence in Parameters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 58, Jun.
• Thierry Ané & Chiraz Labidi, 2001, "Return Interval, Dependence Structure and Multivariate Normality," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 64, Sep.
• Robert Stehrer, 2001, "Expenditure Levels, Prices and Consumption Patterns in a Cross-Sectioin of Countries," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 18, Aug.
• Pierre L. Siklos & Andrew G. Barton, 2001, "Monetary aggregates as indicators of economic activity in Canada: empirical evidence," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 34, issue 1, pages 1-17, February, DOI: 10.1111/0008-4085.00059.
• Ulf‐G. Gerdtham & Pravin K. Trivedi, 2001, "Equity in Swedish health care reconsidered: new results based on the finite mixture model," Health Economics, John Wiley & Sons, Ltd., volume 10, issue 6, pages 565-572, September, DOI: 10.1002/hec.634.
• Jaromir Antoch & Jan Hanousek, 2001, "Model Selection and Simplification Using Lattices," Econometrics, University Library of Munich, Germany, number 0012004, Feb.
• Emmanuel Guerre & Pascal Lavergne, 2001, "Rate-optimal data-driven specification testing in regression models," Econometrics, University Library of Munich, Germany, number 0107001, Jul.
• Jesus Gonzalo & Jean-Yves Pitarakis, 2001, "Lag Length Estimation in Large Dimensional Systems," Econometrics, University Library of Munich, Germany, number 0108003, Aug.
• Carmen Fernandez & Eduardo Ley & Mark Steel, 2001, "Model uncertainty in cross-country growth regressions," Econometrics, University Library of Munich, Germany, number 0110002, Oct.
• Carmen Fernandez & Eduardo Ley & Mark Steel, 2001, "Bayesian Modelling of Catch in a Northwest Atlantic Fishery," Econometrics, University Library of Munich, Germany, number 0110003, Oct, revised 23 Nov 2001.
• Nikolai Svetlov, 2001, "Econometric application of linear programming: a model of Russian large-scale farm (the case of the Moscow Region)," Econometrics, University Library of Munich, Germany, number 0112002, Dec.
• Gottschalk, Jan & Höppner, Florian, 2001, "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 21/2001.
• Chakrabarty, Manisha & Schmalenbach, Anke, 2001, "An Exploratory Analysis of the Effect of Current Income on the Relative Change in Aggregate Consumption: A Heterogeneous Household Approach," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 31/2001.
• Wilfling, Bernd, 2001, "Interest rate volatility prior to monetary union under alternative pre-switch regimes," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 143.
• Höppner, Florian & Gottschalk, Jan, 2001, "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Kiel Working Papers, Kiel Institute for the World Economy, number 1074.
• Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001, "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,24.
• Hüfner, Felix P. & Schröder, Michael, 2001, "Unternehmens- versus Analystenbefragungen: Zum Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 01-04.
• Wilfling, Bernd, 2001, "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series, Hamburg Institute of International Economics, number 26277, DOI: 10.22004/ag.econ.26277.
• Niebuhr, Annekatrin, 2001, "Convergence and the Effects of Spatial Interaction," Discussion Paper Series, Hamburg Institute of International Economics, number 26351, DOI: 10.22004/ag.econ.26351.
• Gilles Teyssière & Alan Kirman, 2001, "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 5A.4, Jan.
• McCracken,M.W. & West,K.D., 2001, "Inference about predictive ability," Working papers, Wisconsin Madison - Social Systems, number 14.
• Mardi Dungey, 2001, "International Shocks and the Role of Domestic Policy in Australia," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 443, Dec.
• Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001, "Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market," Borradores de Economia, Banco de la Republica de Colombia, number 169, Jan, DOI: 10.32468/be.169.
• Luis Eduardo Arango & Luis Fernando Melo, 2001, "Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models," Borradores de Economia, Banco de la Republica de Colombia, number 186, Sep, DOI: 10.32468/be.186.
• George Kapetanios, 2001, "Model Selection in Threshold Models," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 6, pages 733-754, November, DOI: 10.1111/1467-9892.00251.
• Manuel A. Dominguez & Ignacio N. Lobato, 2001, "A Consistent Test for the Martingale Difference Hypothesis," Working Papers, Centro de Investigacion Economica, ITAM, number 0101, Jan.
• Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001, "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers, CIRANO, number 2001s-25, Apr.
• Nour Meddahi, 2001, "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers, CIRANO, number 2001s-71, Dec.
• Pierre L. Siklos & Andrew G. Barton, 2001, "Monetary aggregates as indicators of economic activity in Canada: empirical evidence," Canadian Journal of Economics, Canadian Economics Association, volume 34, issue 1, pages 1-17, February.
• Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001, "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," Borradores de Investigación, Universidad del Rosario, number 2737, Oct.
• Ana Mar√≠a Iregui & Costas Milas & Jes√∫s Otero, 2001, "On the dynamics of lending and deposit interest rates in emerging markets: a non-linear approach," Borradores de Investigación, Universidad del Rosario, number 3297, Nov.
• Luis Eduardo Arango & Luis Fernando Melo, 2001, "Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models," Borradores de Economia, Banco de la Republica, number 2691, Sep.
• Luis Eduardo Arango & Andr�s Gonz�lez & Carlos Esteban Posada, 2001, "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," Borradores de Economia, Banco de la Republica, number 3468, Jan.
• Norberto Rodríguez, 2001, "Bayesian estimation and model selection for the weekly Colombian exchange rate," Revista de Economía del Rosario, Universidad del Rosario.
• GIOT, Pierre & LAURENT, Sébastien, 2001, "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001022, Apr.
• Wolff, Christian & Lehnert, Thorsten, 2001, "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2711, Feb.
• Portier, Franck & Beaudry, Paul, 2001, "An Exploration into Pigou's Theory of Cycles," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2996, Oct.
• Han Hong & Olivier Scaillet & Elie Tamer, 2001, "A Fast Subsampling Method for Nonlinear Dynamic Models," Working Papers, Center for Research in Economics and Statistics, number 2001-39.
• Marga PEETERS, 2001, "Does Demand and Price Uncertainty affect Belgian and Spanish Corporate Investment?," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001031, Sep.
• Yanqin Fan & Paul Rilstone, 2001, "A Consistent Test for the Parametric Specification of the Hazard Function," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 77-96, May.
• Oleg Kozlovski & Sebastien van Strien & Robin de Vilder, 2001, "The Two-Fixed Point Lemma," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2001-01.
• Pérez Quirós, Gabriel & Timmermann, Allan, 2001, "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series, European Central Bank, number 58, Apr.
• Clements, Michael P. & Hendry, David F., 2001, "Economic forecasting: some lessons from recent research," Working Paper Series, European Central Bank, number 82, Nov.
• McAdam, Peter & Morgan, Julian, 2001, "The monetary transmission mechanism at the euro-area level: issues and results using structural macroeconomic models," Working Paper Series, European Central Bank, number 93, Dec.
• Sentana, Enrique & Fiorentini, Gabriele, 2001, "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, volume 102, issue 2, pages 143-164, June.
• Domowitz, Ian & El-Gamal, Mahmoud A., 2001, "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, volume 102, issue 2, pages 365-398, June.
• Perez-Quiros, Gabriel & Timmermann, Allan, 2001, "Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities," Journal of Econometrics, Elsevier, volume 103, issue 1-2, pages 259-306, July.
• Lavergne, Pascal, 2001, "An equality test across nonparametric regressions," Journal of Econometrics, Elsevier, volume 103, issue 1-2, pages 307-344, July.
• West, Kenneth D., 2001, "Encompassing tests when no model is encompassing," Journal of Econometrics, Elsevier, volume 105, issue 1, pages 287-308, November.
• Shintani, Mototsugu, 2001, "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, volume 105, issue 2, pages 337-362, December.
• Dopke, Jorg, 2001, "Macroeconomic forecasts and the nature of economic shocks in Germany," International Journal of Forecasting, Elsevier, volume 17, issue 2, pages 181-201.

2000

• Marga Peeters & Paul Ghijsen, 2000, "Capital, Labour, Materials and Additional R&D Investment in Japan - The Issue of Double-Counting," Annals of Economics and Statistics, GENES, issue 58, pages 165-184.
• Funke, Michael & Niebuhr, Annekatrin, 2000, "Spatial R&D Spillovers and Economic Growth - Evidence from West Germany," Discussion Paper Series, Hamburg Institute of International Economics, number 26396, DOI: 10.22004/ag.econ.26396.
• Pedro Pablo Alvarez Lois, 2000, "Asymmetries In The Capacity-Inflation Trade-Off," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 470.00, Oct.
• Seamus Hogan & Lise Pichette, 2000, "Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996)," Staff Working Papers, Bank of Canada, number 00-6, DOI: 10.34989/swp-2000-6.
• Carlos Huertas & Munir A. Jalil, 2000, "Relación entre el Índice de Precios del Productor (IPP) y el Indice de Precios al Consumidor," Borradores de Economia, Banco de la Republica de Colombia, number 144, Mar, DOI: 10.32468/be.144.
• Fabio Ghironi, 2000, "Alternative Monetary Rules for a Small Open Economy: The Case of Canada," Boston College Working Papers in Economics, Boston College Department of Economics, number 466, Feb, revised 30 Oct 2000.
• Basma Bekdache & Christopher F. Baum, 2000, "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics, Boston College Department of Economics, number 472, Sep.
• Fabio Ghironi & Alessandro Rebucci, 2000, "Monetary Rules for Emerging Market Economies," Boston College Working Papers in Economics, Boston College Department of Economics, number 476, Oct, revised 13 Aug 2001.
• Munehisa Kasuya & Tomoki Tanemura, 2000, "Small Scale Bayesian VAR Modeling of the Japanese Macro Economy Using the Posterior Information Criterion and Monte Carlo Experiments," Bank of Japan Working Paper Series, Bank of Japan, number Research and Statistics D, Feb.
• Di Tommaso, M.L. & Weeks, M., 2000, "Decision Structures and Discrete Choices: An Application to Labour Market Participation and Fertility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0009, Oct.
• Ramdan Dridi & Eric Renault, 2000, "Semi-Parametric Indirect Inference," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 392, May.
• Jan Hanousek & Jaromir Antoch, 2000, "Model Selection and Simplification Using Lattices," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp164, Nov.
• Jan-Egbert Sturm, 2000, "No Need to Run Millions of Regressions," CESifo Working Paper Series, CESifo, number 288.
• Jean-Marie Dufour & Lynda Khalaf, 2000, "Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions," CIRANO Working Papers, CIRANO, number 2000s-16, May.
• Philip M. Bodman & Mark Crosby, 2000, "Phases of the Canadian business cycle," Canadian Journal of Economics, Canadian Economics Association, volume 33, issue 3, pages 618-633, August.
• LUBRANO, Michel, 2000, "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000038, Aug.
• BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000, "A comparison of financial duration models via density forecasts," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000060, Dec.
• Diebold, Francis & Kilian, Lutz, 2000, "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2424, Apr.
• Jushan Bai, 2000, "Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices," Annals of Economics and Finance, Society for AEF, volume 1, issue 2, pages 303-339, November.
• Lavergne, Pascal & Vuong, Quang, 2000, "Nonparametric Significance Testing," Econometric Theory, Cambridge University Press, volume 16, issue 4, pages 576-601, August.
• Jean-Christophe Dumont, 2000, "Estimer la relation entre invalidité et emploi dans le cas de Madagascar," Working Papers, DIAL (Développement, Institutions et Mondialisation), number DT/2000/05.
• Anindya Banerjee & Bill Russell, 2000, "Industry Structure and the Dynamics of Price Adjstment," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 121, Dec.
• Anindya Banerjee & Bill Russell, 2000, "The Relationship Between the Markup and Inflation in the G7 Plus One Economies," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0242, Aug.
• Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000, "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0810, Aug.
• Jesper Linde, 2000, "Monetary Policy Analysis in Backward-Looking Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1028, Aug.
• Kirstin Hubrich & Peter J. G. Vlaar, 2000, "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1802, Aug, revised 08 Nov 2000.
• Richard W P Holt, 2000, "Two Cheers for the Aggregated (S, s) Model!," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 56, Dec.
• Brooks, Chris & Henry, Olan T., 2000, "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, volume 67, issue 3, pages 245-251, June.
• Hansen, Bruce E., 2000, "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, volume 97, issue 1, pages 93-115, July.
• Koop, Gary & Dijk, Herman K. Van, 2000, "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, volume 97, issue 2, pages 261-291, August.
• Godby, Rob & Lintner, Anastasia M. & Stengos, Thanasis & Wandschneider, Bo, 2000, "Testing for asymmetric pricing in the Canadian retail gasoline market," Energy Economics, Elsevier, volume 22, issue 3, pages 349-368, June.
• Jondeau, Eric & Rockinger, Michael, 2000, "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, volume 19, issue 6, pages 885-915, December.
• Perez-Quiros, Gabriel & Timmermann, Allan, 2000, "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119098, Oct.
• Dridi, Ramdan, 2000, "Simulated asymptotic least squares theory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6861, Jun.
• Dridi, Ramdan & Renault, Eric, 2000, "Semi-parametric indirect inference," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6864, May.
• George Hondroyiannis & Evangelia Papapetrou, 2000, "Sources of Output Volatility in Greece," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 4, issue 2, pages 156-172, Winter.
• van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000, "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2000-23/A, Jun.
• Kyrtsou, C. & Terraza, V., 2000, "Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 3-16, July - De.
• Johansen, S., 2000, "A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model," Economics Working Papers, European University Institute, number eco2000/15.
• Banerjee, A. & Russell, B., 2000, "The Markup and the Business Cycle Reconsidered," Economics Working Papers, European University Institute, number eco2000/21.
• Banerjee, A. & Russell, B., 2000, "Industry Structure and the Dynamics of Price Adjustment," Economics Working Papers, European University Institute, number eco2000/22.
• Fernandes, M. & Grammig, J., 2000, "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers, European University Institute, number eco2000/4.
• Banerjee, A. & Russell, B., 2000, "The Relationship between the Markup and Inflation in the G7 plus One Economies," Economics Working Papers, European University Institute, number eco2000/7.
• Emil Stavrev, 2000, "Monetary and Fiscal Policies' Efficiency and the Determination of a Nominal Equilibrium Exchange Rate," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 50, issue 9, pages 452-463, September.
• Allan Timmermann & Gabriel Perez-Quiros, 2000, "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers, Financial Markets Group, number dp360, Oct.
• Fiorentini, G. & Sentana, E. & Calzolari, G., 2000, "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers, Centro de Estudios Monetarios Y Financieros-, number 0007.
• Lastrapes, W.D., 2000, "The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations," Papers, Georgia - College of Business Administration, Department of Economics, number 00-479.
• Kauppi, H., 2000, "Testing for the Cointegrating Rank of a Conditional Vector Autoregressive Process with a Linear Time Trend," University of Helsinki, Department of Economics, Department of Economics, number 497.
• Spencer, N.H., 2000, "Combining Modelling Strategies to Analyse Teaching Styles Data," Papers, University of Hertfordshire - Business Schoool, number 2000:14.
• Saphores, J.D. & Khalaf, L. & Pelletier, D., 2000, "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Papers, Laval - Recherche en Energie, number 00-03.
• Simar, L. & Wilson, P.W., 2000, "Testing Restrictions in Nonparametric Efficiency Models," Papers, Catholique de Louvain - Institut de statistique, number 0013.
• Gardes, F. & Starzec, C., 2000, "Economies of Scale and Food Consumption : a Reappraisal of the Deaton-Paxson Paradox," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.08.
• Fairise, X. & Feve, P., 2000, "Labor Adjustment Costs and Endogenous Cycling in Dynamic General Equilibrium Models," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.57.
• Hunt, L.C. & Judge, G. & Ninomiya, Y., 2000, "Underlying Trends and Seasonality in UK Energy Demands: A Sectorial Analysis," Papers, Portsmouth University - Department of Economics, number 134.
• Gerdtham, Ulf-G. & Trivedi, Pravin K., 2000, "Equity in Swedish Health Care Reconsidered: New Results based on the Finite Mixture Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 365, Mar.
• Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000, "Time-Varying Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 376, Apr.
• van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000, "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 380, May, revised 17 Jan 2001.
• Lundbergh, Stefan & Teräsvirta, Timo, 2000, "Forecasting with smooth transition autoregressive models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 390, Jun.