Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting

2004

• Sanders, Dwight R. & Manfredo, Mark R., 2004, "Predicting Pork Supplies: An Application of Multiple Forecast Encompassing," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 36, issue 3, pages 605-615, December.
• Jörg Döpke & Ulrich Fritsche, 2004, "Growth and Inflation Forecasts for Germany: An Assessment of Accuracy and Dispersion," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 399.
• Ulrich Thießen, 2004, "Financial System Development, Regulation and Economic Growth: Evidence from Russia," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 400.
• Strauch, Rolf & Hallerberg, Mark & von Hagen, Jürgen, 2004, "Budgetary forecasts in Europe - the track record of stability and convergence programmes," Working Paper Series, European Central Bank, number 307, Feb.
• Jansen, Eilev S., 2004, "Modelling inflation in the euro area," Working Paper Series, European Central Bank, number 322, Mar.
• Christoffersen, Peter & Mazzotta, Stefano, 2004, "The informational content of over-the-counter currency options," Working Paper Series, European Central Bank, number 366, Jun.
• Roma, Moreno & Skudelny, Frauke & Benalal, Nicholai & Diaz del Hoyo, Juan Luis & Landau, Bettina, 2004, "To aggregate or not to aggregate? Euro area inflation forecasting," Working Paper Series, European Central Bank, number 374, Jul.
• Morgan, Julian & Locarno, Alberto & Vallés, Javier & Berben, Robert-Paul, 2004, "Cross-country differences in monetary policy transmission," Working Paper Series, European Central Bank, number 400, Oct.
• D.S.P Rao & Rambaldi & A.N., 2004, "A Constrained State-Space Approach to the Prediction of Comparable Real Income Across Countries," Econometric Society 2004 Australasian Meetings, Econometric Society, number 154, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "A Smooth Test for Density Forecast Evaluation," Econometric Society 2004 Australasian Meetings, Econometric Society, number 187, Aug.
• Ilias Tsiakas, 2004, "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings, Econometric Society, number 208, Aug.
• Keen Meng Choy & Hwee Kwan Chow, 2004, "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Econometric Society 2004 Australasian Meetings, Econometric Society, number 223, Aug.
• Jonathan Dark, 2004, "Allowing for basis convergence and long memory in volatility when dynamic hedging the Australian All Ordinaries Index," Econometric Society 2004 Australasian Meetings, Econometric Society, number 227, Aug.
• Dimitrios D. Thomakos & Prasad S. Bhattacharya, 2004, "Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?," Econometric Society 2004 Australasian Meetings, Econometric Society, number 293, Aug.
• Clive Granger, 2004, "Causality: Some New Thoughts on an Old Topic," Econometric Society 2004 Australasian Meetings, Econometric Society, number 351, Aug.
• Dominique Guegan, 2004, "How Can We Define the Long Memory Concept? An Econometric Survey," Econometric Society 2004 Australasian Meetings, Econometric Society, number 361, Aug.
• Scott I. White & Adam E. Clements & Stan Hurn, 2004, "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings, Econometric Society, number 46, Aug.
• Jushan Bai & Serena Ng, 2004, "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, volume 72, issue 4, pages 1127-1177, July.
• Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang, 2004, "Tracking Brazilian Exchange Rate Volatility," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 487, Aug.
• Anthony S. Tay & Aamir R. Hashmi, 2004, "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 634, Aug.
• Yasutomo Murasawa & Roberto S. Mariano, 2004, "Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 710, Aug.
• Ruey Yau, 2004, "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 741, Aug.
• Romulo A. Chumacero, 2004, "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings, Econometric Society, number 177, Aug.
• Lutz Kilian & Atsushi Inoue, 2004, "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 110, Aug.
• Denis Pelletier, 2004, "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 230, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "Smooth Test Of Density Forecast Evaluation With Independent And Serially Dependent Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 319, Aug.
• Allan Timmermann & Graham Elliott & Ivana Komunjer, 2004, "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 601, Aug.
• Mewael Tesfaselassie & Eric Schaling & Sylvester Eijffinger, 2004, "Heterogeneous Information about the Term Structure of Interest Rates, Least-Squares Learning and Optimal Interest Rate Rules for Inflation Forecast Targeting," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 78, Aug.
• Allan Timmermann & Andrew J. Patton, 2004, "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 234, Aug.
• Norman R. Swanson & Valentina Corradi, 2004, "Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 264, Aug.
• Simon M. Potter & Edward E. Leamer, 2004, "A Nonlinear Model of the Business Cycle," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 490, Aug.
• Hallwood, C. Paul & Marsh, Ian W., 2004, "Exchange market pressure on the pound-dollar exchange rate: 1925-1931," The North American Journal of Economics and Finance, Elsevier, volume 15, issue 2, pages 249-264, August.
• Giacomini, Raffaella & Granger, Clive W. J., 2004, "Aggregation of space-time processes," Journal of Econometrics, Elsevier, volume 118, issue 1-2, pages 7-26.
• Giot, Pierre & Laurent, Sebastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, volume 11, issue 3, pages 379-398, June.

2003

• Gordon H. Dash & Nina Kajiji, 2003, "New Evidence on the Predictability of South Africa FX Volatility in Heterogeneous Bilateral Markets," The African Finance Journal, Africagrowth Institute, volume 5, issue 1, pages 1-15.
• Antzoulatos, Angelos A. & Wilfling, Bernd, 2003, "Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany," Discussion Paper Series, Hamburg Institute of International Economics, number 26169, DOI: 10.22004/ag.econ.26169.
• Fuller, Frank H. & Annou, Mamane Malam & Wailes, Eric J., 2003, "Market Impacts of Adopting Herbicide-Resistant Rice in the Southern United States," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 35, issue 01, pages 1-9, April, DOI: 10.22004/ag.econ.37859.
• Dixon, Peter B. & Pearson, K.R. & Picton, Mark R. & Rimmer, Maureen T., 2003, "Rational Expectations for Large Models: a Practical Algorithm and a Policy Application," Conference papers, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project, number 331106.
• Lubowski, Ruben N. & Plantinga, Andrew J. & Stavins, Robert N., 2003, "Determinants of Land-Use Change In the United States 1982-1997," Discussion Papers, Resources for the Future, number 10714, DOI: 10.22004/ag.econ.10714.
• Boero, Gianna & Marrocu, Emanuela, , "The Performance Of Setar Models: A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," Economic Research Papers, University of Warwick - Department of Economics, number 269476, DOI: 10.22004/ag.econ.269476.
• Giulio PALOMBA, 2003, "GARCH multivariati e approccio di Black.Litterman nell'asset allocation tattica: un'analisi empirica," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 185, Jun.
• Maria Helena Lopes Moreira da Veiga, 2003, "Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 585.03, Sep.
• Svetla Boneva, 2003, "The set of tools for evaluation of expenses on and benefits from the expansion of the European Union to the East," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 79-108.
• Elena Gennari & Raffaela Giordano & Sandro Momigliano, 2003, "Dealing with unexpected shocks to the budget," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 478, Jun.
• Luis Fernando Melo & Fabio Nieto & Mario Ramos, 2003, "A Leading Index for the Colombian Economic Activity," Borradores de Economia, Banco de la Republica de Colombia, number 243, May, DOI: 10.32468/be.243.
• Norberto Rodríguez N. & Patricia Siado C., 2003, "Un Pronóstico no Paramétrico de la Inflación Colombiana," Borradores de Economia, Banco de la Republica de Colombia, number 248, Jun, DOI: 10.32468/be.248.
• Garratt A. & Lee K. & Pesaran M.H. & Shin Y., 2003, "Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy," Journal of the American Statistical Association, American Statistical Association, volume 98, pages 829-838, January.
• Catherine Bruno & Olivier de Bandt & Alexis Flageollet & Emmanuel Michaux, 2003, "Forecasting Inflation using Economic Indicators: the Case of France," Working papers, Banque de France, number 101.
• Catherine Bruno & Olivier de Bandt & Alexis Flageollet, 2003, "Forecasting Inflation in the Euro Area," Working papers, Banque de France, number 102.
• Elizabeth Bucacos, 2003, "El financiamiento inflacionario del déficit fiscal," Documentos de trabajo, Banco Central del Uruguay, number 2003001, May.
• Dick van Dijk & Philip Hans Franses, 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 727-744, December, DOI: 10.1046/j.0305-9049.2003.00091.x.
• Kym Anderson & David Norman & Glyn Wittwer, 2003, "Globalisation of the World's Wine Markets," The World Economy, Wiley Blackwell, volume 26, issue 5, pages 659-687, May, DOI: 10.1111/1467-9701.00541.
• 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.
• Raffaella Giacomini & Halbert White, 2003, "Tests of conditional predictive ability," Boston College Working Papers in Economics, Boston College Department of Economics, number 572, Apr.
• Clifford L.F. Attfield & Edmund Cannon, 2003, "The Impact of Age Distribution Variables on the Long Run Consumption Function," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/546, Jan.
• Koen Burggraeve & Philip Du Caju, 2003, "Reductions in employers' social security contributions in a wage norm and automatic indexing régime," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 4, pages 31-64.
• Jérôme Teiletche, 2003, "Le taux de change euro/dollar. Une perspective de long terme," Revue économique, Presses de Sciences-Po, volume 54, issue 2, pages 295-319.
• Antoine Auberger & Éric Dubois, 2003, "Situation politico-économique et résultats des élections législatives françaises," Revue économique, Presses de Sciences-Po, volume 54, issue 3, pages 551-560.
• Oscar Jorda, 2003, "Model-Free Impulse Responses," Working Papers, University of California, Davis, Department of Economics, number 305, Aug.
• Diego J. Pedregal, 2003, "Filter-Design and Model-Based Analysis of Economic Cycles," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/13.
• Allan Timmermann & M. Hashem Pesaran, 2003, "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series, CESifo, number 990.
• Andy C.C. Kwan & John A. Cotsomitis, 2003, "Can Consumer Attitudes Forecast Household Spending in the United States? Further Evidence from the Michigan Survey of Consumers," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics, number _156, Jun.
• Athanasios Orphanides & Simon van Norden, 2003, "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CIRANO Working Papers, CIRANO, number 2003s-01, Jan.
• Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003, "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers, CIRANO, number 2003s-61, Sep.
• 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.
• G. Ascari & E. Marrocu, 2003, "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200307.
• Luis Fernando Melo & Fabio Nieto & Mario Ramos V., 2003, "A Leading Index For The Colombian Economic Activity," Borradores de Economia, Banco de la Republica, number 1920, May.
• 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.
• Ignacio V√©lez-Pareja, 2003, "El Metodo Delphi," Proyecciones Financieras y Valoración, Master Consultores, number 2524, 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.
• HEINEN, Andréas, 2003, "Modelling time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003062, Sep.
• MOUCHART, Michel & ROMBOUTS, Jeroen, 2003, "Clustered panel data models: an efficient approach for nowcasting from poor data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003090, Dec.
• 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.
• Henk Don, 2003, "SAFE: a quarterly model of the Dutch economy for short-term analyses," CPB Document, CPB Netherlands Bureau for Economic Policy Analysis, number 42, Dec.
• Kilian, Lutz & Inoue, Atsushi, 2003, "On the Selection of Forecasting Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3809, Mar.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003, "Leading Indicators for Euro Area Inflation and GDP Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3893, May.
• Favero, Carlo A. & Aiolfi, Marco, 2003, "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3997, Aug.
• Artis, Michael & Marcellino, Massimiliano & Galvão, Ana Beatriz, 2003, "The Transmission Mechanism in a Changing World," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4014, Aug.
• Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4037, Aug.
• Pedro Guedes Carvalho, 2003, "Housing Market in Portugal revisited. A spatial analysis for 275 counties," Working Papers de Gestão, Economia e Marketing (Management, Economics and Marketing Working Papers), Universidade da Beira Interior, Departamento de Gestão e Economia (Portugal), number 02/2003.
• Boriss Siliverstovs & Tom Engsted & Niels Haldrup, 2003, "Long-Run Forecasting in Multicointegrated Systems," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 381.
• Rossi, Barbara & Inoue, Atsushi, 2003, "Recursive Predictability Tests for Real-Time Data," Working Papers, Duke University, Department of Economics, number 03-24.
• Arranz, Matilde, 2003, "El consumo privado en los paises de la OCDE: analisis comparativo y evolucion temporal," Estudios Economicos de Desarrollo Internacional, Euro-American Association of Economic Development, volume 3, issue 2.
• 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.
• Hubrich, Kirstin, 2003, "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series, European Central Bank, number 247, Aug.
• Rünstler, Gerhard & Sédillot, Franck, 2003, "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series, European Central Bank, number 276, Sep.
• Moneta, Fabio, 2003, "Does the yield spread predict recessions in the euro area?," Working Paper Series, European Central Bank, number 294, Dec.
• Marrocu, Emanuela & Gianna Boero, 2003, "The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 147, Jun.
• Yates, Tony & Richard Harrison & George Kapetanios, 2003, "Forecasting with measurement errors in dynamic models," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 225, Jun.
• Guidolin, Massimo & Allan Timmermann, 2003, "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 95, Jun.
• Itzhak Gilboa & David Schmeidler, 2003, "Inductive Inference: An Axiomatic Approach," Econometrica, Econometric Society, volume 71, issue 1, pages 1-26, January.
• Honkapohja, Seppo & Mitra, Kaushik, 2003, "Learning with bounded memory in stochastic models," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 8, pages 1437-1457, June.
• 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.
• Giordani, Paolo & Soderlind, Paul, 2003, "Inflation forecast uncertainty," European Economic Review, Elsevier, volume 47, issue 6, pages 1037-1059, December.
• Várpalotai, Viktor, 2003, "Dezinflációs számítások dezaggregált kibocsátási résekre alapozó makromodellel
  [Disinflation simulations with a disaggregated output gap-based model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 4, pages 287-314.
• Gary Koop & Simon Potter, 2003, "Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/16, Jan.
• Chris Heaton & Victor Solo, 2003, "Asymptotic Principal Components Estimation Of Large Factor Models," Research Papers, Macquarie University, Department of Economics, number 0303, Jun.
• Viktor Várpalotai, 2003, "Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2003/4.
• Bruno, Giancarlo & Lupi, Claudio, 2003, "Forecasting Industrial Production and the Early Detection of Turning Points," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp03004, Apr.
• Lydia Shenstone & Rob J. Hyndman, 2003, "Stochastic models underlying Croston's method for intermittent demand forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/03, Feb.
• Md B. Billah & R.J. Hyndman & A.B. Koehler, 2003, "Empirical Information Criteria for Time Series Forecasting Model Selection," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/03, Jan.
• Rob J. Hyndman & Muhammad Akram & Blyth Archibald, 2003, "Invertibility Conditions for Exponential Smoothing Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/03, Apr.
• B.P.M. McCabe & G.M. Martin, 2003, "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/03, Apr.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short run and long run causality in time series: Inference," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-16.
• DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 14-2003.
• David F. Hendry & Neil R. Ericsson (ed.), 2003, "Understanding Economic Forecasts," MIT Press Books, The MIT Press, number 0262582422, edition 1, ISBN: ARRAY(0x8e7db120), December.
• Patrick Bisciari & Alain Durré & Alain Nyssens, 2003, "Stock market valuation in the United States," Working Paper Document, National Bank of Belgium, number 41, Nov.
• Koen Burggraeve & Philip Du Caju, 2003, "The labour market and fiscal impact of labour reductions: the case of reduction of employers' social security contributions under a wage norm regime with automatic price indexing of wages," Working Paper Research, National Bank of Belgium, number 36, Mar.
• Heino Bohn Nielsen & Christopher Bowdler, 2003, "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W05, Mar.
• Kajal Lahiri & Herman O. Stekler & Wenxiong Yao & Peg Young, 2003, "Monthly Output Index for the U.S. Transportation Sector," Discussion Papers, University at Albany, SUNY, Department of Economics, number 03-12.
• Olivier Basdevant & David Hargreaves, 2003, "Modelling structural change: the case of New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/03, Apr.
• Olivier Basdevant, 2003, "Learning process and rational expectations: an analysis using a small macroeconomic model for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/05, May.
• Brian McCulloch, 2003, "Geometric Return and Portfolio Analysis," Treasury Working Paper Series, New Zealand Treasury, number 03/28, Dec.
• Franck Sédillot & Nigel Pain, 2003, "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers, OECD Publishing, number 364, Jul, DOI: 10.1787/275257320252.
• Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
• Vuong, Quan-Hoang, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," OSF Preprints, Center for Open Science, number ahrjd, Sep, DOI: 10.31219/osf.io/ahrjd.
• Thierry Foucault & Ailsa Röell & Patrik Sandås, 2003, "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 2, pages 345-384.
• Peter F. Christoffersen & Francis X.Diebold, 2003, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-009, Sep.
• Dennis S. Mapa, 2003, "A range-based GARCH model for forecasting financial volatility," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 40, issue 2, pages 73-90, December.
• Albu, Lucian-Liviu & Roudoi, Andrei, 2003, "Scenarios of economic development in Romania - medium to long-term forecasting models," MPRA Paper, University Library of Munich, Germany, number 13588, Dec.
• Albu, Lucian-Liviu, 2003, "Estimating contribution of factors to long-term growth in Romania," MPRA Paper, University Library of Munich, Germany, number 14729, Jan.
• Skribans, Valerijs, 2003, "Construction demand: a model of research and forecast for Latvia from 2002 to 2025," MPRA Paper, University Library of Munich, Germany, number 16366.
• Photis, Yorgos N. & Manetos, Panos & Grekoussis, George, 2003, "Modeling urban evolution by identifying spatiotemporal patterns and applying methods of artificial intelligence.Case study: Athens, Greece," MPRA Paper, University Library of Munich, Germany, number 20756, revised 2003.
• Skribans, Valerijs, 2003, "Latvijas būvniecības nozares attīstības prognoze
  [Latvian construction brunch development forecast]," MPRA Paper, University Library of Munich, Germany, number 26072.
• Bruno, Giancarlo & Lupi, Claudio, 2003, "Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data," MPRA Paper, University Library of Munich, Germany, number 42332, Oct.
• Heinen, Andreas, 2003, "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper, University Library of Munich, Germany, number 8113, Jul.
• Luís Catela Nunes, 2003, "Forecasting Euro Area Aggregates with Bayesian VAR and VECM Models," Working Papers, Banco de Portugal, Economics and Research Department, number w200304.
• Maximiano Pinheiro, 2003, "Uncertainty And Risk Analysis Of Macroeconomic Forecasts: Fan Charts Revisited," Working Papers, Banco de Portugal, Economics and Research Department, number w200319.
• Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003, "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-14, Oct.
• Stavins, Robert & Plantinga, Andrew & Lubowski, Ruben, 2003, "Determinants of Land-Use Change In the United States 1982-1997," RFF Working Paper Series, Resources for the Future, number dp-03-47, Aug.
• Philippe Robert-Demontrond & Daniel Thiel, 2003, "Feedback system dynamics and automata networks," European Journal of Economic and Social Systems, Lavoisier, volume 16, issue 1, pages 89-107.
• Albu, Lucian Liviu, 2003, "Short-Term Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 197-199, June.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2003, "The “Dobrescu” Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 200-203, June.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2003, "The Dobrescu Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 135-138, September.
• Darasteanu, Catalin Cristian, 2003, "Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 49-71, September.
• Scutaru, Cornelia & Ciupagea, Constantin & Fomin, Petre, 2003, "The Dobrescu Macromodel Of The Romanian Transition Economy – Yearly And Monthly Forecast," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 123-126, December.
• Dobrescu, Emilian, 2003, "Macroeconomic Estimations For The Romanian “Pre-Accession Economic Program” (The 2003 Version)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 23-49, December.
• Albu, Lucian Liviu & Roudoi, Andrei, 2003, "Factors And Mechanisms Of Economic Growth In Transition Economies Of Different Types (Case Of Romania)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 50-64, December.
• Croitoru, Lucian & Tarhoaca, Cornel, 2003, "The Romanian Growth Potential – A Cge Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 7-22, December.
• Scutaru, Cornelia & Iordan, Mioara & Marin, Dinu & Stancu, Stelian & Ciumara, Roxana & Fomin, Petre, 2003, "Annual And Medium-Term Analyses And Forecasts Based On „Dobrescu” Macromodel Of The Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 17-24, December.
• Nicolae, Mariana & Albu, Lucian Liviu & Andrei, Dalina & Stanica, Cristian & Iordan, Mioara, 2003, "Multi - Annual Scenarios Using A Small – Sized Rmsm Type Of Model In Order To Forecast The Main Macroeconomic Indicators In Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 25-31, December.
• Dobrescu, Emilian, 2003, "Possible Evolutions Of The Romanian Economy (Macromodel Estimations)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 32-63, December.
• Albu, Lucian Liviu & Roudoi, Andrei, 2003, "Scenarios Of Economic Development In Romania – Medium To Long-Term Forecasting Models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 64-77, December.
• Mikhailenko, Kirill, 2003, "Methodology Of Scenario Forecasting Of Russia’S Economic Development," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 78-91, December.
• Scutaru, Cornelia & Pauna, Bianca, 2003, "Modelling The Effects Of Eu Enlargement Using The Budgetary Policy Variables," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 5, pages 92-110, December.
• Baoline Chen & Peter A. Zadrozny, 2003, "Extended Yule-Walker Estimation and Principal Components Variance Decomposition of a Many-Variable VAR Model to a Few-Factor VARMA Model: Applied to U.S. Macro Data," Computing in Economics and Finance 2003, Society for Computational Economics, number 123, Aug.
• Forni M. & Hallin M., 2003, "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003, Society for Computational Economics, number 143, Aug.
• Paolo ANGELINI & Paolo DEL GIOVANE, 2003, "Aggregate and disaggregate information in euro-area monetary policy-making," Computing in Economics and Finance 2003, Society for Computational Economics, number 158, Aug.
• Fabrizio Laurini, 2003, "Evaluating the extremal index in GARCH processes through double random walk," Computing in Economics and Finance 2003, Society for Computational Economics, number 175, Aug.
• Michael W. McCracken & Todd E. Clark, 2003, "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003, Society for Computational Economics, number 183, Aug.
• Victor Solo & Chris Heaton, 2003, "Asymptotic Principal Components Estimation of Large Factor Models," Computing in Economics and Finance 2003, Society for Computational Economics, number 251, Aug.
• J. Huston McCulloch & Prasad V. Bidarkota, 2003, "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003, Society for Computational Economics, number 59, Aug.
• Cees Diks & Svetlana Borovkova, 2003, "Conditional distribution resampling for time series," Computing in Economics and Finance 2003, Society for Computational Economics, number 70, Aug.
• Quan-Hoang Vuong, 2003, "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-013.RS.
• George Kapetanios, 2003, "Threshold models for trended time series," Empirical Economics, Springer, volume 28, issue 4, pages 687-707, November, DOI: 10.1007/s00181-003-0154-8.
• Giot, Pierre & Laurent, Sebastien, 2003, "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, volume 25, issue 5, pages 435-457, September.
• Kilian, Lutz & Taylor, Mark P., 2003, "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, volume 60, issue 1, pages 85-107, May.
• Wallis, Kenneth F., 2003, "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, volume 19, issue 2, pages 165-175.
• Hyndman, Rob J. & Billah, Baki, 2003, "Unmasking the Theta method," International Journal of Forecasting, Elsevier, volume 19, issue 2, pages 287-290.
• Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003, "Do housing submarkets really matter?," Journal of Housing Economics, Elsevier, volume 12, issue 1, pages 12-28, March.
• 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.
• Peñaranda, Francisco, 2003, "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24857, Jul.
• Montse Martínez & Xavier Torres, 2003, "Riesgo de deflación en EE.UU.: ¿Un temor justificado?," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 52, issue 01, pages 220-245.
• van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003, "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-10, Mar.
• Siliverstovs, B. & van Dijk, D.J.C., 2003, "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-16, May.
• Donkers, A.C.D. & Verhoef, P.C. & de Jong, M.G., 2003, "Predicting Customer Lifetime Value in Multi-Service Industries," 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-2003-038-MKT, Apr.
• Franses, Ph.H.B.F., 2003, "On the Bass diffusion theory, empirical models and out-of-sample forecasting," 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-2003-034-MKT, Apr.
• Gorobets, A., 2003, "The Error of Prediction for a Simultaneous Equation 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-2003-080-ORG, Oct.
• Groenen, P.J.F., 2003, "Dynamische Meerdimensionele Schaling: Statistiek op de Kaart," ERIM Inaugural Address 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 304, Mar.
• Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003, "The transmission mechanism in a changing world," Economics Working Papers, European University Institute, number ECO2003/18.
• Ray Barrel & Dawn Holland & Kateøina Šmídková, 2003, "When to Join the Eurozone: An Empirical Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 53, issue 3-4, pages 98-112, March.
• Ray Barrel & Dawn Holland & Kateøina Šmídková, 2003, "Which Exchange-Rate Regime in the EMU Accession Period: An Empirical Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 53, issue 5-6, pages 243-260, May.
• Matteo Manera & Angelo Marzullo, 2003, "Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components," Working Papers, Fondazione Eni Enrico Mattei, number 2003.95, Oct.
• Todd E. Clark & Michael W. McCracken, 2003, "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 03-06.
• Gary Koop & Simon M. Potter, 2003, "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports, Federal Reserve Bank of New York, number 163, Mar.
• Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2003_07, Jul.
• Thierry Foucault & Ailsa Roell & Patrik Sandas, 2003, "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," Post-Print, HAL, number hal-00459778, DOI: 10.1093/rfs/hhg005.