Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2003

• 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.

2002

• Jesper Linde, 2002, "Monetary Policy Analysis in Backward-Looking Models," Annals of Economics and Statistics, GENES, issue 67-68, pages 155-182.
• Gunnar Bardsen & Eilev Jansen & Ragnar Nymoen, 2002, "Model Specification and Inflation Forecast Uncertainty," Annals of Economics and Statistics, GENES, issue 67-68, pages 495-517.
• Yongsung Chang & Joao F. Gomes & Frank Schorfheide, 2002, "Learning-by-Doing as a Propagation Mechanism," American Economic Review, American Economic Association, volume 92, issue 5, pages 1498-1520, December.
• Maynard, Leigh J. & Narayanan, V. Venkat, 2002, "Price Sensitivities For U.S. Frozen Dairy Products," 2002 Annual meeting, July 28-31, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 19781, DOI: 10.22004/ag.econ.19781.
• Michael Creel, 2002, "Hausman Tests for Inefficient Estimators: Application to Demand for Health Care Service (revised)," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 509.02, Apr.
• M. Alejandro Cardenete & Ferran Sancho, 2002, "Sensitivity of Simulation Results to Competing SAM Updates," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 556.02, Dec.
• Richard Blundell & Monica Costa Dias, 2002, "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers, Institute for Fiscal Studies, number 10/02, Oct, DOI: 10.1920/wp.cem.2002.1002.
• Eva Boj del Val & M. Mercedes Claramunt Bielsa & Jose Fortiana Gregori, 2002, "Herramientas estadisticas para el estudio de perfiles de riesgo," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 88.
• Aleksandar Tsvetkov & Mariana Kotseva, 2002, "Modelling Investment Decisions though Logistic Regressions (using data on mass privatisation)," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 56-72.
• Robert Amano & Kim McPhail & Hope Pioro & Andrew Rennison, 2002, "Evaluating the Quarterly Projection Model: A Preliminary Investigation," Staff Working Papers, Bank of Canada, number 02-20, DOI: 10.34989/swp-2002-20.
• Mustafa Ismihan & Aysit Tansel & Kivilcim Metin-Ozcan, 2002, "Macroeconomic Instability, Capital Accumulation and Growth : The Case of Turkey 1963-1999," Working Papers, Department of Economics, Bilkent University, number 0205.
• Philip M. Bodman & Mark Crosby, 2002, "The Australian Business Cycle: Joe Palooka or Dead Cat Bounce?," Australian Economic Papers, Wiley Blackwell, volume 41, issue 2, pages 191-207, June, DOI: 10.1111/1467-8454.00159.
• Imad A. Moosa & Jolanta Kwiecien, 2002, "Cross‐Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation," The Japanese Economic Review, Japanese Economic Association, volume 53, issue 4, pages 478-495, December, DOI: 10.1111/1468-5876.00240.
• Carmen Fernández & Eduardo Ley & Mark F. J. Steel, 2002, "Bayesian modelling of catch in a north‐west Atlantic fishery," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 51, issue 3, pages 257-280, July, DOI: 10.1111/1467-9876.00268.
• Jesús Gonzalo & Jean‐Yves Pitarakis, 2002, "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 4, pages 401-423, July, DOI: 10.1111/1467-9892.00270.
• Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen, 2002, "Comparison of unit root tests for time series with level shifts," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 6, pages 667-685, November, DOI: 10.1111/1467-9892.00285.
• Raffaella Giacomini, 2002, "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," Boston College Working Papers in Economics, Boston College Department of Economics, number 583, Jun.
• Kirman Alan & Teyssière Gilles, 2002, "Microeconomic Models for Long Memory in the Volatility of Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 5, issue 4, pages 1-23, January, DOI: 10.2202/1558-3708.1083.
• Ana María Iregui & Costas Milas & Jesus Otero, 2002, "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-29, Nov.
• Ana María Iregui & Costas Milas & Jesus Otero, 2002, "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-29, Nov.
• Wright, S.M. & Satchell, S.E., 2002, "Generalised Mean-Variance Analysis and Robust Portfolio Diversification," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0201, Jan.
• Busettti, F. & Harvey, A., 2002, "Testing for Drift in a Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0237, Dec, DOI: 10.17863/CAM.5027.
• Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 433, Mar.
• Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002, "Alternative Models for Stock Price Dynamics," CIRANO Working Papers, CIRANO, number 2002s-58, Jun.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
• Diego Mauricio V�squez E. & Luis Fernando Melo Velandia, 2002, "Estimaci�N De La Estructura A Plazo De Las Tasas De Inter�S En Colombia Por Medio Del M�Todo De Funciones B-Spline C�Bicas," Borradores de Economia, Banco de la Republica, number 2595, May.
• BAUWENS, Luc & LAURENT, Sébastien, 2002, "A new class of multivariate skew densities, with application to GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002020, Apr.
• LEJEUNE, Bernard, 2002, "A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002024, Apr.
• GIOT, Pierre, 2002, "The information content of implied volatility in agricultural commodity markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002038, Jun.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Bubbles and long-range dependence in asset prices volatilities," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002060, Oct.
• Artis, Michael & Banerjee, Anindya & Marcellino, Massimiliano, 2002, "Factor Forecasts for the UK," CEPR Discussion Papers, Centre for Economic Policy Research, number 3119, Jan.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002, "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 3403, Jun.
• Gomes, Joao & Chang, Yongsung & Schorfheide, Frank, 2002, "Learning by Doing as a Propagation Mechanism," CEPR Discussion Papers, Centre for Economic Policy Research, number 3599, Oct.
• Kilian, Lutz & Inoue, Atsushi, 2002, "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers, Centre for Economic Policy Research, number 3671, Dec.
• Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002, "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 3701, Jan.
• Kilian, Lutz & Ohanian, Lee E., 2002, "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 5, pages 614-632, November.
• Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae, 2002, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1356, Feb, revised Mar 2002.
• Donald W.K. Andrews, 2002, "End-of-Sample Instability Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1369, May.
• Ray C. Fair & John F. Oster, 2002, "College Football Rankings and Market Efficiency," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1381, Sep, revised Mar 2005.
• Ray C. Fair, 2002, "Testing for a New Economy in the 1990s," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1388, Dec, revised Mar 2003.
• Sabine Stephan, 2002, "German Exports to the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 286.
• Martin Spieß & Gerhard Tutz, 2002, "Alternative Measures of the Explanatory Power of Multivariate Probit Models with Continuous or Ordinal Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 291.
• Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002, "Alternative Models for Stock Price Dynamic," Working Papers, Duke University, Department of Economics, number 02-03.
• Rossi, Barbara, 2002, "Optimal Tests for Nested Model Selection with Underlying Parameter Instability," Working Papers, Duke University, Department of Economics, number 02-05.
• Guisan, M.Carmen, 2002, "Causalidad y cointegracion en modelos econometricos: Aplicaciones a los paises de la OCDE y limitaciones de los tests de cointegracion," Economic Development, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics., number 61.
• TENENHAUS, Michel & CHATELIN, Yves-Marie & ESPOSITO VINZI, Vincenzo, 2002, "State-of-art on PLS Path Modeling through the available software," HEC Research Papers Series, HEC Paris, number 764, Jun.
• Rünstler, Gerhard, 2002, "The information content of real-time output gap estimates, an application to the euro area," Working Paper Series, European Central Bank, number 182, Sep.
• Inoue, Atsushi & Kilian, Lutz, 2002, "In-sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series, European Central Bank, number 195, Nov.
• Gonçalves, Sí­lvia & Kilian, Lutz, 2002, "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series, European Central Bank, number 196, Nov.
• Hendry, David F & Michael P. Clements, 2002, "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 99, Aug.
• Øyvind Eitrheim & Eilev S. Jansen & Ragnar Nymoen, 2002, "Progress from forecast failure -- the Norwegian consumption function," Econometrics Journal, Royal Economic Society, volume 5, issue 1, pages 40-64, June.
• Ralph W. Bailey & A. M. Robert Taylor, 2002, "An optimal test against a random walk component in a non-orthogonal unobserved components model," Econometrics Journal, Royal Economic Society, volume 5, issue 2, pages 520-532, June.
• Fountas, Stilianos & Karanasos, Menelaos & Kim, Jinki, 2002, "Inflation and output growth uncertainty and their relationship with inflation and output growth," Economics Letters, Elsevier, volume 75, issue 3, pages 293-301, May.
• Dufour, Jean-Marie & Khalaf, Lynda, 2002, "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, volume 106, issue 1, pages 143-170, January.
• Lundbergh, Stefan & Terasvirta, Timo, 2002, "Evaluating GARCH models," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 417-435, October.
• Lastrapes, William D., 2002, "The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations," Journal of Housing Economics, Elsevier, volume 11, issue 1, pages 40-74, March.
• Anders Klevmarken, N., 2002, "Statistical inference in micro-simulation models: incorporating external information," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 59, issue 1, pages 255-265.
• Francesco Furlanetto & Nicolas Groshenny, 2012, "Matching Efficiency and Business Cycle Fluctuations," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-34, Jul.
• Blake, David, 2002, "The impact of wealth on consumption and retirement behaviour in the UK," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24949, Oct.
• van den Heuvel, W. & Wagelmans, A.P.M., 2002, "A Note on Ending Inventory Valuation in Multiperiod Production Scheduling," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2002-63-LIS, Jul.
• Mustafa Ismihan & Kivilcim Metin-Ozcan & Aysit Tansel, 2002, "Macroeconomic Instability, Capital Accumulation and Growth: The Case of Turkey 1963-1999," Working Papers, Economic Research Forum, number 0209, Mar, revised 21 Mar 2002.
• Giovanni Arese-Visconti, 2002, "Inflation Differentials before and after the EMU," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_19, Apr.
• Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," FMG Discussion Papers, Financial Markets Group, number dp407, Feb.
• Jacobs, Jan & Wallis, Kenneth F., 2002, "Comparing SVARs and SEMs: more shocking stories," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management), number 02C56.
• He, Changli & Teräsvirta, Timo & González, Andres, 2002, "Testing parameter constancy in stationary vector autoregressive models against continuous change," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 507, Aug, revised 11 Jul 2005.
• Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002, "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 508, Sep.
• Hjelm, Göran & Johansson, Martin W, 2002, "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers, Lund University, Department of Economics, number 2002:3, Feb.
• Erlandsson, Ulf, 2002, "Regime Switches in Swedish Interest Rates," Working Papers, Lund University, Department of Economics, number 2002:5, Feb, revised 04 Mar 2005.
• Binner, Jane & Elger, Thomas, 2002, "The UK Personal Sector Demand for Risky Money," Working Papers, Lund University, Department of Economics, number 2002:9, Mar.
• Jacobson, Tor & Karlsson, Sune, 2002, "Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 138, Aug.
• Fairise, Xavier & Fève, Patrick, 2002, "Labor Adjustment Costs and Complex Eigenvalues," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 156.
• Jesús Ruiz, 2002, "Una nota metodológica acerca de aplicaciones del filtro de Kalman a las calibraciones en modelos de ciclo real," Investigaciones Economicas, Fundación SEPI, volume 26, issue 1, pages 35-57, January.
• Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Wang, 2002, "Consistent testing for stochastic dominance: a subsampling approach," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP03/02, Dec.
• Fortin, Ines & Kuzmics, Christoph, 2002, "Tail-Dependence in Stock-Return Pairs," Economics Series, Institute for Advanced Studies, number 126, Nov.
• Walter Kramer & Philipp Sibbertsen, 2002, "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 3, pages 235-242, December.
• Mr. Alessandro Rebucci & Mr. Fabio Ghironi, 2002, "Monetary Rules for Emerging Market Economies," IMF Working Papers, International Monetary Fund, number 2002/034, Feb.
• Nour Meddahi, 2002, "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 479-508, DOI: 10.1002/jae.689.
• Hüfner Felix P. & Schröder Michael, 2002, "Prognosegehalt von ifo-Geschäftserwartungen und ZEW-Konjunkturerwartungen: Ein ökonometrischer Vergleich / Forecasting German industrial Production: An Econometric Comparison of ifo- and ZEW-Business Expectations," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 3, pages 316-336, June, DOI: 10.1515/jbnst-2002-0303.
• Heilemann Ullrich, 2002, "Small is Beautiful?. Entwicklungslinien im Makroökonometrischen Modellbau / Small is Beautiful?. Tendencies in Macroeconometric Modelling," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 6, pages 656-682, December, DOI: 10.1515/jbnst-2002-0603.
• Hung-jen Wang & Peter Schmidt, 2002, "One-Step and Two-Step Estimation of the Effects of Exogenous Variables on Technical Efficiency Levels," Journal of Productivity Analysis, Springer, volume 18, issue 2, pages 129-144, September, DOI: 10.1023/A:1016565719882.
• Hans Christian Kongsted, 2002, "Testing the Nominal-to-Real Transformation," Discussion Papers, University of Copenhagen. Department of Economics, number 02-06, Mar.
• Hans Christian Kongsted & Heino Bohn Nielsen, 2002, "Analyzing I(2) Systems by Transformed Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 02-20, Nov.
• Mustafa Ismihan & Kivilcim Metin-Özcan & Aysit Tansel, 2002, "Macroeconomic instability, capital accumulation and growth: The case of Turkey 1963-1999," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 0204, Apr, revised Apr 2002.
• G.C. Lim & G.M. Martin & V.L. Martin, 2002, "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/02, Feb.
• Jun Yu & Zhenlin Yang & Xibin Zhang, 2002, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/02, Nov.
• Xibin Zhang & Maxwell L. King, 2002, "Influence Diagnostics in GARCH Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/02, Dec.
• C.S. Forbes & G.M. Martin & J. Wright, 2002, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/02, Feb.
• Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002, "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers, NIPE - Universidade do Minho, number 7/2002.
• Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002, "A smooth-transition model of the Australian unemployment rate," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 1002, May, revised 01 Jul 2003.
• Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002, "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 2102, Jun.
• Clive Bowsher, 2002, "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W22, Oct.
• Gabriela de Raaij & Burkhard Raunig, 2002, "Evaluating Density Forecasts with an Application to Stock Market Returns," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 59, Feb.
• Lord, Montague, 2002, "Modeling the Macro-Economy of Bangladesh," MPRA Paper, University Library of Munich, Germany, number 41171, Jan.
• Bilgili, Faik, 2002, "VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması
  [A Comparison of Ex-Post Forecast Accuracies for VAR, ARIMA, Exponential Smoothing, Combining and Add-Fac," MPRA Paper, University Library of Munich, Germany, number 75536, revised 2002.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2002, "Comparison of Unit Root Tests for Time Series with Level Shifts," MPRA Paper, University Library of Munich, Germany, number 76035.
• Josef Arlt & Milan Guba & Štěpán Radkovský & Vladimír Stiller & Milan Sojka, 2002, "Selected factors influencing the money demand development in the czech republic in 1994 - 2000," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 39-56, DOI: 10.18267/j.pep.187.
• Chris Brooks & Simon P. Burke & Gita Persand, 2002, "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-05, Feb.
• Leonardo Souza & Alvaro Veiga & Marcelo C. Medeiros, 2002, "Evaluating the performance of GARCH models using White´s Reality Check," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 453, Apr.
• Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002, "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 461, Aug.
• Subrata Ghatak & Alan Mulhern, 2002, "Polish small firms: structure, expectations and optimism," Economics Discussion Papers, School of Economics, Kingston University London, number 2002-3, Jan.
• Alan Mulhern & Subrata Ghatak, 2002, "Identifying potential fast growth firms in the Polish small firm stratum," Economics Discussion Papers, School of Economics, Kingston University London, number 2002-8, Jan.
• Cristina Sommacampagna, 2002, "Stima del Value-at-Risk con il Filtro di Kalman," Rivista di Politica Economica, SIPI Spa, volume 92, issue 6, pages 147-174, November-.
• John Landon-Lane, 2002, "Evaluating Dynamic Stochastic General Equilibrium Models using Likelihood," Departmental Working Papers, Rutgers University, Department of Economics, number 200211, Jun.
• John Landon-Lane & Joann Bangs, 2002, "International Real Business Cycles and Increasing Returns to Scale: A Formal Analysis using Likelihood Methods," Departmental Working Papers, Rutgers University, Department of Economics, number 200212, Jun.
• J. del Hoyo & J.-Guillermo Llorente, 2002, "Structural Change Testing in Stochastic Volatility Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 100, Jul.
• Joann Bangs & John Landon-Lane, 2002, "International Real Business Cycles: A comparison of competing models using likelihood techniques," Computing in Economics and Finance 2002, Society for Computational Economics, number 121, Jul.
• Filipe R. Campante & Luciano Vereda & Marcelo C. Medeiros, 2002, "Modeling and forecasting Brazilian industrial production: unit roots, seasonality and non-linearity," Computing in Economics and Finance 2002, Society for Computational Economics, number 189, Jul.
• Denis Bolduc & Dimitri Sanga, 2002, "Two-Step Estimation of Discrete/Continuous Econometric Models with Interdependent Multinomial Choices," Computing in Economics and Finance 2002, Society for Computational Economics, number 226, Jul.
• Lynda Khalaf & Maral Kichian, 2002, "Exact Testing of the Stability of the Phillips Curve," Computing in Economics and Finance 2002, Society for Computational Economics, number 321, Jul.
• Luc Bauwens & Sébastien Laurent, 2002, "A New Class of Multivariate skew Densities, with Application to GARCH Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 5, Jul.
• Pierre Giot & Sébastien Laurent, 2002, "Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 52, Jul.
• Franc Klaassen, 2002, "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, volume 27, issue 2, pages 363-394.
• Anitoliy Skripnichenko & Kevin Chen, 2002, "Estimation of an effectively globally regular demand system: An application to United States meat consumption," Empirical Economics, Springer, volume 27, issue 4, pages 601-606.
• Matteo Manera, 2002, "Testing misspecified non-nested factor demand systems: Some Monte Carlo results," Empirical Economics, Springer, volume 27, issue 4, pages 657-686.
• Richard Blundell & Monica Costa Dias, 2002, "Alternative approaches to evaluation in empirical microeconomics," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 1, issue 2, pages 91-115, August, DOI: 10.1007/s10258-002-0010-3.
• Antonio Aznar & Manuel Salvador, 2002, "Weak exogeneity in partially nonstationary models," Spanish Economic Review, Springer;Spanish Economic Association, volume 4, issue 2, pages 139-150.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2002, "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 6, pages 347-351, DOI: 10.1080/13504850110086044.
• L. E. Arango & A. Gonzalez & C. E. Posada, 2002, "Returns and the interest rate: a non-linear relationship in the Bogotastock market," Applied Financial Economics, Taylor & Francis Journals, volume 12, issue 11, pages 835-842, DOI: 10.1080/09603100110094493.
• S. Nahar & B. Inder, 2002, "Testing convergence in economic growth for OECD countries," Applied Economics, Taylor & Francis Journals, volume 34, issue 16, pages 2011-2022, DOI: 10.1080/00036840110117837.
• Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002, "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 1-47, DOI: 10.1081/ETC-120008723.
• Ionel Birgean & Lutz Kilian, 2002, "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 4, pages 449-476, DOI: 10.1081/ETC-120015386.
• Raymond J.G.M. Florax & Henri L.F. de Groot & Reinout Heijungs, 2002, "The Empirical Economic Growth Literature," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-040/3, Apr, revised 31 Oct 2003.
• Cees Diks, 2002, "Detecting Serial Dependence in Tail Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-079/1, Aug.
• Charles S. Bos, 2002, "A Comparison of Marginal Likelihood Computation Methods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-084/4, Sep.
• Henrik Amilon, 2002, "A Score Test for Discreteness in GARCH Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 76, Mar.
• Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002, "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 121, Oct.
• Xiaohong Chen & Yanqin Fan, 2002, "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0225, Oct, revised Sep 2003.
• David E. A. Giles, 2002, "On the Futility of Testing the Error Term Assumptions in a Spurious Regression," Econometrics Working Papers, Department of Economics, University of Victoria, number 0203, May.
• Jesús Crespo Cuaresma, 2002, "Some million thresholds: Nonlinearity and cross-country growth regressions," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0210, Oct.
• Ines Fortin & Christoph Kuzmics, 2002, "Tail‐dependence in stock‐return pairs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 11, issue 2, pages 89-107, April, DOI: 10.1002/isaf.216.
• Peter Carr & Liuren Wu, 2002, "What Type of Process Underlies Options? A Simple Robust Test," Finance, University Library of Munich, Germany, number 0207019, Sep.
• Rafiqul Bhuyan, 2002, "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, University Library of Munich, Germany, number 0211002, Nov.
• Yongsung Chang & Joao Gomes & Frank Schorfheide, 2002, "Learning by Doing as a Propagation Mechanism," Macroeconomics, University Library of Munich, Germany, number 0204002, May.
• Yongsung Chang & Frank Schorfheide, 2002, "Labor-Supply Shifts and Economic Fluctuations," Macroeconomics, University Library of Munich, Germany, number 0204005, May.