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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. 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.
  2. 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.
  3. Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Universite de Montreal, Departement de sciences economiques.
  5. Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Universite de Montreal, Departement de sciences economiques.
  6. Giuseppe Bertola & Lars E.O. Svensson, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," NBER Working Papers 3576, National Bureau of Economic Research, Inc.
  7. Parent, D., 1995. "Matching, Human capital, and the Covariance Structure of Earnings," Cahiers de recherche 9509, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  8. Parent, D., 1995. "Survol des contributions theoriques et empiriques liees au capital humain," Cahiers de recherche 9506, Universite de Montreal, Departement de sciences economiques.
  9. Sprumont, Y., 1995. "An Axiomatization of the Pazner-Schmeidler Rules in Large Fair Division Problems," Cahiers de recherche 9512, Universite de Montreal, Departement de sciences economiques.
  10. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc.
  11. Parent, Daniel, 1999. "Wages and Mobility: The Impact of Employer-Provided Training," Journal of Labor Economics, University of Chicago Press, vol. 17(2), pages 298-317, April.
  12. 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.
  13. Parent, D., 1995. "Industry-Specific Capiatl and the Wage Profile: Evidence from the NLSY and the PSID," Cahiers de recherche 9508, Universite de Montreal, Departement de sciences economiques.
  14. 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.
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