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Citations for "Automatic Lag Selection in Covariance Matrix Estimation"

by Newey, W.K. & West, K.D.

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  1. Arghyrou, Michael G. & Gadea, Maria Dolores, 2012. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 16-34.
  2. repec:att:wimass:9710 is not listed on IDEAS
  3. Sun, Yixiao, 2011. "Robust trend inference with series variance estimator and testing-optimal smoothing parameter," Journal of Econometrics, Elsevier, vol. 164(2), pages 345-366, October.
  4. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, vol. 43(1-2), pages 29-60, August.
  5. Chaido Dritsaki & Melina Dritsaki, 2010. "Government Expenditure and National Income: Causality Tests for Twelve New Members of E.E," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(38), pages 67-89, December.
  6. Shawn Chen-Yu Leu & Jeffrey Sheen, 2005. "Asymmetric Monetary Policy in Australia," Working Papers 2005.02, School of Economics, La Trobe University.
  7. Robert A. Blecker, 2007. "The Economic Consequences of Dollar Appreciation for US Manufacturing Investment: A Time-Series Analysis," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(4), pages 491-517.
  8. Joan Costa-i-Font & Cristina Hernandez-Quevedo & Azusa Sato, 2013. "A 'Health Kuznets' Curve'? Cross-Country and Longitudinal Evidence," CESifo Working Paper Series 4446, CESifo Group Munich.
  9. Mark C. Freeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis, 2013. "Declining discount rates and the Fisher Effect: Inflated past, discounted future?," GRI Working Papers 109, Grantham Research Institute on Climate Change and the Environment.
  10. David Andolfatto & Scott Hendry & Kevin Moran, 2007. "Are Inflation Expectations Rational?," Working Paper Series 27-07, The Rimini Centre for Economic Analysis.
  11. Pablo Pincheira B., 2008. "Predictibilidad Encubierta en Economía: El Caso del Tipo de Cambio Nominal Chileno," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 137-142, April.
  12. Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers 2007.103, Fondazione Eni Enrico Mattei.
  13. Markus Bruckner & Antonio Ciccone & Andrea Tesei, 2011. "Oil Price Shocks, Income, and Democracy," School of Economics Working Papers 2011-11, University of Adelaide, School of Economics.
  14. Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003. "Breaking the panels. An application to the GDP per capita," Working Papers in Economics 97, Universitat de Barcelona. Espai de Recerca en Economia.
  15. Guglielmo Maria, Caporale & Alexandros , Kontonikas, 2007. "The Euro and Inflation Uncertainty in the European Monetary Union," CELPE Discussion Papers 101, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy.
  16. Chung-Ming Kuan & Yu-Wei Hsieh, 2006. "Improved HAC Covariance Matrix Estimation Based on Forecast Errors," IEAS Working Paper : academic research 06-A008, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  17. Grégory Levieuge & Christophe Blot, 2008. "Are MCIs Good Indicators of Economic Activity ? Evidence from the G7 Countries," Sciences Po publications 2008-07, Sciences Po.
  18. Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002. "Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 213-233, March.
  19. Krueger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Paper 1439, Federal Reserve Bank of Cleveland.
  20. Lawrence J. Christiano & Wouter J. Den Haan, 1995. "Small Sample Properties of GMM for Business Cycle Analysis," NBER Technical Working Papers 0177, National Bureau of Economic Research, Inc.
  21. Patrick Fève & Alain Guay, 2007. "The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach," Cahiers de recherche 0737, CIRPEE.
  22. Goldstein, Adam & Haveman, Heather A., 2010. "Press and Pulpit: Competition, Co-operation and the Growth of Religious Magazines in Antebellum America," Institute for Research on Labor and Employment, Working Paper Series qt44p1j2c7, Institute of Industrial Relations, UC Berkeley.
  23. Khoury, Nabil & Perrakis, Stylianos & Savor, Marko, 2011. "Competition, interlisting and market structure in options trading," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 104-117, January.
  24. Gnimassoun, Blaise, 2015. "The importance of the exchange rate regime in limiting current account imbalances in sub-Saharan African countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 36-74.
  25. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
  26. James M. Nason & Gregor W. Smith, 2008. "The New Keynesian Phillips curve : lessons from single-equation econometric estimation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 361-395.
  27. Jorge Eduardo Carrera & Mariano Féliz & Demian Tupac Panigo, 2000. "Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina," Department of Economics, Working Papers 020, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  28. Wouter J. den Haan & Andrew T. Levin, 2000. "Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order," NBER Technical Working Papers 0255, National Bureau of Economic Research, Inc.
  29. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  30. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
  31. James Hueng, C., 1998. "The demand for money in an open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 9(1), pages 15-31.
  32. He, Huizhen & Ranjbar, Omid & Chang, Tsangyao, 2013. "Purchasing power parity in transition countries: Old wine with new bottle," Japan and the World Economy, Elsevier, vol. 28(C), pages 24-32.
  33. Charfeddine Lanouar, 2014. "True or Spurious Long Memory in Volatility : Further Evidence on the Energy Futures Markets," Working Papers 2014-503, Department of Research, Ipag Business School.
  34. Tai-Hu Ling, & Venus Khim-Sen Liew & Syed Azizi Wafa Syed Khalid Wafa, 2007. "Real Interest Rates Equalization: The Case of Malaysia and Singapore," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 24-37, August.
  35. Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004. "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange) 0403, CEPREMAP.
  36. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University.
  37. Guneratne B Wickremasinghe, 2004. "Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka," Econometric Society 2004 Australasian Meetings 236, Econometric Society.
  38. Presno Casquero, Mª J. & López Menéndez, A.J., 2001. "Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 18, pages 189-208, Agosto.
  39. Christian A. Vossler, 2013. "Analyzing repeated-game economics experiments: robust standard errors for panel data with serial correlation," Chapters, in: Handbook on Experimental Economics and the Environment, chapter 3, pages 89-112 Edward Elgar.
  40. Tom\'a\v{s} V\'yrost & \v{S}tefan Ly\'ocsa & Eduard Baum\"ohl, 2014. "Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment," Papers 1408.2985, arXiv.org.
  41. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Society for Computational Economics, vol. 31(1), pages 77-94, February.
  42. Ricardo Nunes, 2010. "Inflation Dynamics: The Role of Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, 09.
  43. Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
  44. T. Thanh-Binh Nguyen & Kuan-Min Wang, 2010. "Causality between housing returns, inflation and economic growth with endogenous breaks," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(1), pages 95-115.
  45. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2010. "Looking far in the past: revisiting the growth-returns nexus with non-parametric tests," Empirical Economics, Springer, vol. 38(3), pages 743-766, June.
  46. Alberto Bagnai & Christian Alexander Mongeau Ospina, 2014. "Long- and short-run price asymmetries in the Italian energy market: the case of gasoline and heating gasoil," a/ Working Papers Series 1407, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
  47. Fousekis, Panos, 2007. "Convergence of Relative State-level Per Capita Incomes in the United States Revisited," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 37(2).
  48. Borek Vasícek, 2009. "Monetary policy rules and inflation process in open emerging economies: evidence for 12 new EU members," Working Papers wpdea0903, Department of Applied Economics at Universitat Autonoma of Barcelona.
  49. Considine, Timothy J. & Larson, Donald F., 2001. "Uncertainty and the convenience yield in crude oil price backwardations," Energy Economics, Elsevier, vol. 23(5), pages 533-548, September.
  50. Christopher Neely & Paul Weller, 1999. "Predictability in international asset returns: a reexamination," Working Papers 1997-010, Federal Reserve Bank of St. Louis.
  51. Sáenz Rodríguez, Estela & Sabaté Sort, Marcela & Gadea Rivas, María Dolores, 2009. "La medición del riesgo externo. Un estudio aplicado al caso español en el periodo 1960-2000/The Measurement of External Risk. An Applied Study to the Spanish Case in the Period 1960-2000," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 27, pages 575 (16 Pág, Agosto.
  52. Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
  53. Chang, Ming-Jen & Su, Che-Yi, 2014. "Hysteresis versus natural rate in Taiwan's unemployment: Evidence from the educational attainment categories," Economic Modelling, Elsevier, vol. 43(C), pages 293-304.
  54. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
  55. Alam, Mohammad Jahangir & McKenzie, Andrew M. & Buysse, Jeroen & Begum, Ismat Ara & Wailes, Eric J. & Van Huylenbroeck, Guido, 2012. "Measuring Market Integration in the Presence of Threshold Effect: The Case of Bangladesh Rice Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124435, Agricultural and Applied Economics Association.
  56. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
  57. Andrés, Javier & Boscá, José E. & Ferri, Javier, 2013. "Household debt and labor market fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1771-1795.
  58. Gluschenko, Konstantin, 2004. "Nonlinearly testing for a unit root in the presence of a break in the mean," MPRA Paper 678, University Library of Munich, Germany, revised Sep 2005.
  59. Magnus Lindelow, 2006. "Sometimes more equal than others: how health inequalities depend on the choice of welfare indicator," Health Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 263-279.
  60. Berkowitz, J. & Birgean, I. & Kilian, L., 1999. "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," Papers 99-01, Michigan - Center for Research on Economic & Social Theory.
  61. Cashin, Paul & McDermott, C John, 2002. "Intertemporal Consumption Smoothing and Capital Mobility: Evidence from Australia," Australian Economic Papers, Wiley Blackwell, vol. 41(1), pages 82-98, March.
  62. Lee, Chia-Hao & Chou, Pei-I, 2013. "The behavior of real exchange rate: Nonlinearity and breaks," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 125-133.
  63. Tsangyao Chang & Tsung-pao Wu & Rangan Gupta, 2013. "Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201324, University of Pretoria, Department of Economics.
  64. Chaudhuri, Kausik & Sheen, Jeffrey, 2003. "To Pool or to Aggregate? Tests with a Dynamic Panel Macroeconometric Model of Australian State Labour Markets," Working Papers 1, University of Sydney, School of Economics.
  65. Gluschenko, Konstantin, 2010. "The Law of One Price in the Russian Economic Space," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 17(1), pages 3-19.
  66. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, vol. 47(3), pages 565-587, 08.
  67. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004.
  68. Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
  69. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2009. "Have Structural Changes Eliminated the Out-of-Sample Ability of Financial Variables To Forecast Real Activity After the Mid-1980s? Evidence From the Canadian Economy," Working Papers 0910, Brock University, Department of Economics, revised Oct 2010.
  70. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc.
  71. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, School of Economics and Management, University of Aarhus.
  72. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
  73. Borek Vasicek, 2011. "Is Monetary Policy in the New EU Member States Asymmetric?," Working Papers 2011/05, Czech National Bank, Research Department.
  74. Jan J J Groen & Ravi Balakrishnan, 2005. "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England.
  75. West,K.D. & Wong,K.-F. & Anatolyev,S., 2001. "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers 20, Wisconsin Madison - Social Systems.
  76. Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
  77. Costantini, Mauro & Destefanis, Sergio, 2009. "Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions," Economic Modelling, Elsevier, vol. 26(2), pages 320-327, March.
  78. Konstantin Gluschenko, 2010. "Price convergence and market integration in Russia," William Davidson Institute Working Papers Series wp999, William Davidson Institute at the University of Michigan.
  79. Uwe Hassler & Jürgen Wolters, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 119-129, June.
  80. Tsuchiya, Yoichi, 2012. "Evaluating Japanese corporate executives’ forecasts under an asymmetric loss function," Economics Letters, Elsevier, vol. 116(3), pages 601-603.
  81. Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011. "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, vol. 28(1), pages 526-539.
  82. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  83. Kawakatsu, Hiroyuki, 2006. "Matrix exponential GARCH," Journal of Econometrics, Elsevier, vol. 134(1), pages 95-128, September.
  84. Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc.
  85. Knetsch, Thomas A., 2004. "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Discussion Paper Series 1: Economic Studies 2004,10, Deutsche Bundesbank, Research Centre.
  86. Markus Eberhardt & Francis Teal, 2009. "A Common Factor Approach to Spatial Heterogeneity in Agricultural Productivity Analysis," CSAE Working Paper Series 2009-05, Centre for the Study of African Economies, University of Oxford.
  87. Patrick Fève & Alain Guay, 2007. "Identification of Technology Shocks in Structural VARs," Cahiers de recherche 0736, CIRPEE.
  88. Fuhrer, Jeffrey C. & Moore, George R. & Schuh, Scott D., 1995. "Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 115-157, February.
  89. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
  90. Faruk Balli & Syed Basher & Rosmy Jean Louis, 2012. "Channels of risk-sharing among Canadian provinces: 1961–2006," Empirical Economics, Springer, vol. 43(2), pages 763-787, October.
  91. Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
  92. Pinar Celikkol & Spiro Stefanou, 1999. "Measuring the Impact of Price-Induced Innovation on Technological Progress: Application to the U.S. Food Processing and Distribution Sector," Journal of Productivity Analysis, Springer, vol. 12(2), pages 135-151, September.
  93. Ralph Setzer & Paul van den Noord & Guntram B. Wolff, 2010. "Heterogeneity in money holdings across euro area countries: the role of housing," European Economy - Economic Papers 407, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  94. Laura D’Amato & María Lorena Garegnani, 2009. "Short-Run Dynamics of Inflation: Estimating a Hybrid New-Keynesian Phillips Curve for Argentina (1993-2007)," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(55), pages 33-56, July - Se.
  95. Alfred A. Haug & Ozer Karagedikli & Satish Ranchhod, 2003. "Monetary policy transmission mechanisms and currency unions A vector error correction approach to a Trans-Tasman currency union," Working Papers 2003_2, York University, Department of Economics.
  96. Donadelli, Michael & Persha, Lauren, 2014. "Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 30(C), pages 284-309.
  97. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2013. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," CEPR Discussion Papers 9313, C.E.P.R. Discussion Papers.
  98. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
  99. Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers WP 1/2013, Research Department, National Bank of Slovakia.
  100. Yau, Hwey-Yun & Nieh, Chien-Chung, 2009. "Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan," Japan and the World Economy, Elsevier, vol. 21(3), pages 292-300, August.
  101. Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
  102. repec:asi:ajoerj:2013:p:420-432 is not listed on IDEAS
  103. Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Causal Relationship between Stock Prices and Exchange Rates," Discussion Paper Series 2010_01, Department of Economics, University of Macedonia, revised Jan 2010.
  104. Jorge Selaive & Pablo Pincheira B., 2008. "External Imbalances, Valuation Adjustments and Real Exchange Rate: Evidence of Predictability in an Emerging Economy," Working Papers Central Bank of Chile 460, Central Bank of Chile.
  105. Bertille Antoine & Otilia, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University.
  106. Christos Shiamptanis, 2010. "Did the euro give us a break in inflation?," Empirical Economics, Springer, vol. 39(2), pages 395-411, October.
  107. de Jong, R.M. & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
  108. West, L.k. & Agbola, W.F., 2005. "Causality Links Between Asset Prices And Cash Rate In Australia," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 69-86.
  109. Ronald B. Davies & Krishna Chaitanya Vadlamannati, 2011. "A Race to the Bottom in Labour Standards? An Empirical Investigation," The Institute for International Integration Studies Discussion Paper Series iiisdp385, IIIS.
  110. Michael Bleaney & R. Todd Smith, . "Closed-End Fund Betas," Discussion Papers 06/04, University of Nottingham, School of Economics.
  111. Roberto Ezcurra & Andrés Rodríguez-Pose, 2010. "Is Fiscal Decentralization Harmful for Economic Growth? Evidence from the OECD Countries," SERC Discussion Papers 0051, Spatial Economics Research Centre, LSE.
  112. Natanelov, Valeri & Alam, Mohammad Jahangir & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114626, European Association of Agricultural Economists.
  113. Borek Vasicek, 2009. "Inflation dynamics and the New Keynesian Phillips curve in EU-4," William Davidson Institute Working Papers Series wp971, William Davidson Institute at the University of Michigan.
  114. Supawat Rungsuriyawiboon & Spiro E. Stefanou, 2003. "Dynamic Efficiency Estimation: An Application to US Electric Utilities," CEPA Working Papers Series WP052003, School of Economics, University of Queensland, Australia.
  115. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  116. Pastore, Francesco, 2010. "Assessing the Impact of Incomes Policy: The Italian Experience," IZA Discussion Papers 5082, Institute for the Study of Labor (IZA).
  117. Balázs Cserna, 2008. "Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates," Working Papers 0462, University of Heidelberg, Department of Economics, revised Jan 2008.
  118. Bagella, Michele & Becchetti, Leonardo & Carpentieri, Andrea, 2000. ""The first shall be last". Size and value strategy premia at the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 893-919, June.
  119. repec:att:wimass:9317 is not listed on IDEAS
  120. Mohamed El Hedi AROURI & Philippe Foulquier & Julien Fouquau, 2011. "Oil Prices and Stock Markets in Europe: A Sector Perspective," Recherches économiques de Louvain, De Boeck Université, vol. 77(1), pages 5-30.
  121. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
  122. Patrik Guggenberger & Richard Smith, 2005. "Generalized empirical likelihood tests in time series models with potential identification failure," CeMMAP working papers CWP01/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  123. Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014. "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, vol. 37(C), pages 518-530.
  124. Adam Wagstaff & Naoko Watanabe, 2003. "What difference does the choice of SES make in health inequality measurement?," Health Economics, John Wiley & Sons, Ltd., vol. 12(10), pages 885-890.
  125. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics.
  126. Choi, In, 1999. "Testing the Random Walk Hypothesis for Real Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June.
  127. Alex Frino & Max Stevenson & Matthew Duffy, 1998. "An Analysis of Intraday Quoted Bidâ€Ask Spreads in Futures Markets: Evidence from the Sydney Futures Exchange," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 185-202, December.
  128. Zisimos Koustas & Jean-François Lamarche, 2012. "Instrumental variable estimation of a nonlinear Taylor rule," Empirical Economics, Springer, vol. 42(1), pages 1-20, February.
  129. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
  130. Jang, Tae-Seok & Sacht, Stephen, 2012. "Identification of Animal Spirits in a Bounded Rationality Model: An Application to the Euro Area," MPRA Paper 37399, University Library of Munich, Germany.
  131. James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
  132. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal.
  133. Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2013. "Hotelling Rules: Oscillatory Versus Quadratic Trends in Natural Resource Prices," GRI Working Papers 126, Grantham Research Institute on Climate Change and the Environment.
  134. Christian Dreger & Hans-Eggert Reimers, 2006. "Consumption and disposable income in the EU countries: the role of wealth effects," Empirica, Springer, vol. 33(4), pages 245-254, September.
  135. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: A time-varying coefficient approach," Dresden Discussion Paper Series in Economics 02/13, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
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