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A Discrete-Time Version of Target Zone Models with Jumps

  • Pesaran, M.H.
  • Ruge-Murcia, F.J.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9530.

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Length: 37 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:mtl:montec:9530
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  1. Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Universite de Montreal, Departement de sciences economiques.
  2. Parent, D., 1995. "Matching, Human capital, and the Covariance Structure of Earnings," Cahiers de recherche 9509, Universite de Montreal, Departement de sciences economiques.
  3. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
  4. Parent, Daniel, 1996. "Survol des contributions théoriques et empiriques liées au capital humain," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(3), pages 315-356, septembre.
  5. Bertola, Giuseppe & Svensson, Lars E O, 1993. "Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models," Review of Economic Studies, Wiley Blackwell, vol. 60(3), pages 689-712, July.
  6. Daniel Parent, 1995. "Industry-Specific Capital and the Wage Profile: Evidence from the NLSY and the PSID," Working Papers 729, Princeton University, Department of Economics, Industrial Relations Section..
  7. Ng, Serena, 1995. "Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-63, April-Jun.
  8. Daniel Parent, 1995. "Wages and Mobility: The Impact of Employer-Provided Training," CIRANO Working Papers 95s-27, CIRANO.
  9. Abowd, J.M. & Kramarz, F. & Margolis, D.N., 1995. "High-Wage Workers and High-Wage Firms," Cahiers de recherche 9503, Universite de Montreal, Departement de sciences economiques.
  10. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
  11. Pesaran, M. Hashem & Samiei, Hossein, 1992. "Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 141-163.
  12. Sprumont, Y., 1995. "An Axiomatization of the Pazner-Schmeidler Rules in Large Fair Division Problems," Cahiers de recherche 9512, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Vogelsang, Timothy J & Perron, Pierre, 1998. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1073-1100, November.
  14. Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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