Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2002

• 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.

2001

• van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001, "The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-12, Mar.
• Kleijn, R.H. & van Dijk, H.K., 2001, "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-35, Nov.
• Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2001, "Econometric Analysis of the Market Share Attraction Model," 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-2001-25-MKT, May.
• Harissis H. & Mesomeris S. & Staikouras S., 2001, "Long-Term Trends and Short-Run Dynamics in International Stock Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 103-120, July - De.
• Stewart C., 2001, "An International Comparison of Long-Run Consumer Behaviour," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 19-36, July - De.
• Ghatak A., 2001, "Structual Break: Tests of the Present-Value Government Borrowing Constraint and Stability of Debt-GDP Ratio in the UK: 1970-2000," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 37-54, July - De.
• Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001, "Factor Forecasts for the UK," Economics Working Papers, European University Institute, number ECO2001/15.
• Robert Plasman & Fran?ois Rycx, 2001, "The War of Models: Determination of Wages and Employment in Swedish Private Sector," STUDI ECONOMICI, FrancoAngeli Editore, volume 2001, issue 73.
• Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001, "Testing the Markov property with ultra high frequency financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 414, Mar.
• 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, Centre for Economic Policy Research, number 2711, Feb.
• Portier, Franck & Beaudry, Paul, 2001, "An Exploration into Pigou's Theory of Cycles," CEPR Discussion Papers, Centre for Economic Policy Research, 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.