IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Approximate Asymptotic P-Values for Structural Change Tests"

by Bruce E. Hansen

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  2. Campa, Jose M. & Gonzalez, Jose M., 2002. "Differences in exchange rate pass-through in the euro area," IESE Research Papers D/479, IESE Business School.
  3. Geoffrey Ngene & Charles Lambert & Ali Darrat, 2015. "Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 465-483, May.
  4. Amr S. Hosny & N. Kundan Kishor & Mohsen Bahmani-Oskooee, 2015. "Understanding the dynamics of the macroeconomic trilemma," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 32-64, January.
  5. Stephen G. Cecchetti, 1995. "Inflation Indicators and Inflation Policy," NBER Working Papers 5161, National Bureau of Economic Research, Inc.
  6. Bertrand Groslambert & Raphaël Chiappini & Olivier Bruno, 2015. "Bank Output Calculation in the Case of France: What Do New Methods Tell About the Financial Intermediation Services in the Aftermath of the Crisis?," GREDEG Working Papers 2015-32, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  7. A. Morales-Zumaquero & Simon Sosvilla-Rivero, 2008. "Macroeconomic instability in the European monetary system?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(12), pages 965-983.
  8. Gabriel Bruneau & Kevin Moran, 2015. "Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries," Staff Working Papers 15-45, Bank of Canada.
  9. Antonio Paradiso & Saten Kumar & B. Bhaskara Rao, 2013. "The growth effects of education in Australia," Applied Economics, Taylor & Francis Journals, vol. 45(27), pages 3843-3852, September.
  10. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA.
  11. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  12. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
  13. Margaret M. McConnell & Gabriel Perez Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
  14. Broadstock, David C. & Wang, Rui & Zhang, Dayong, 2014. "Direct and indirect oil shocks and their impacts upon energy related stocks," Economic Systems, Elsevier, vol. 38(3), pages 451-467.
  15. Sen, Amit, 1999. "Approximate p-values of predictive tests for structural stability," Economics Letters, Elsevier, vol. 63(3), pages 245-253, June.
  16. Giampiero M. Gallo & Massimiliano Marcellino, . "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  17. Debabrata Mukhopadhyay & Nityananda Sarkar, 2013. "Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India," International Econometric Review (IER), Econometric Research Association, vol. 5(1), pages 1-19, April.
  18. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  19. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Society for Computational Economics, vol. 41(1), pages 101-123, January.
  20. Gadea Rivas, Maria Dolores & Gómez Loscos, Ana & Pérez-Quirós, Gabriel, 2014. "The Two Greatest. Great Recession vs. Great Moderation," CEPR Discussion Papers 10092, C.E.P.R. Discussion Papers.
  21. Helge Berger & Jan-Egbert Sturm, 2006. "Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication," CESifo Working Paper Series 1652, CESifo Group Munich.
  22. Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
  23. van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2002. "Changes in variability of the business cycle in the G7 countries," Econometric Institute Research Papers EI 2002-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  24. Aysun, Uluc & Lee, Sanglim, 2014. "Can time-varying risk premiums explain the excess returns in the interest rate parity condition?," Emerging Markets Review, Elsevier, vol. 18(C), pages 78-100.
  25. Roberto Duncan, 2014. "A Threshold Model of the US Current Account," Working Papers 2014-20, Peruvian Economic Association.
  26. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
  27. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2007. "The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices," Discussion Paper Series 0715, Institute of Economic Research, Korea University.
  28. Chatzikonstanti, Vasiliki & Venetis, Ioannis A., 2015. "Long memory in log-range series: Do structural breaks matter?," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 104-113.
  29. JONATHAN McCARTHY & EGON ZAKRAJSEK, 2007. "Inventory Dynamics and Business Cycles: What Has Changed?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 591-613, 03.
  30. Boivin, Jean, 2006. "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1149-1173, August.
  31. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  32. Gerard O'Reilly & Karl Whelan, 2004. "Has Euro-area inflation persistence changed over time?," Open Access publications 10197/251, School of Economics, University College Dublin.
  33. Jun Nagayasu, 2013. "The forward premium puzzle and the euro," Working Papers 1317, University of Strathclyde Business School, Department of Economics.
  34. D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The Univeristy of Manchester.
  35. 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 RWP 03-06, Federal Reserve Bank of Kansas City.
  36. Eiji Kurozumi, 2012. "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Global COE Hi-Stat Discussion Paper Series gd11-227, Institute of Economic Research, Hitotsubashi University.
  37. Sensier, Marianne & Dick van Dijk, 2002. "Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series," Royal Economic Society Annual Conference 2002 164, Royal Economic Society.
  38. Matthew McCartney, 2011. "Pakistan, Growth, Dependency, and Crisis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(Special E), pages 71-94, September.
  39. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2001. "Strucchange: An R package for testing for structural change in linear regression models," Technical Reports 2001,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  40. Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005. "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers 2006,02, Christian-Albrechts-University of Kiel, Department of Economics.
  41. Ping Wang & Tomoe Moore, 2014. "The determinants of vulnerability to currency crises: country-specific factors versus regional factors," Empirica, Springer, vol. 41(4), pages 619-640, November.
  42. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.
  43. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
  44. Jean-Yves Pitarakis, 2004. "Least squares estimation and tests of breaks in mean and variance under misspecification," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 32-54, 06.
  45. Balázs �gert & Amalia Morales-Zumaquero, 2008. "Exchange Rate Regimes, Foreign Exchange Volatility, and Export Performance in Central and Eastern Europe: Just another Blur Project?," Review of Development Economics, Wiley Blackwell, vol. 12(3), pages 577-593, 08.
  46. Zhang, Chengsi & Murasawa, Yasutomo, 2012. "Multivariate model-based gap measures and a new Phillips curve for China," China Economic Review, Elsevier, vol. 23(1), pages 60-70.
  47. Julia Polak & Maxwell L. King & Xibin Zhang, 2014. "A Model Validation Procedure," Monash Econometrics and Business Statistics Working Papers 21/14, Monash University, Department of Econometrics and Business Statistics.
  48. Jean Boivin & Marc Giannoni, 2002. "Assessing changes in the monetary transmission mechanism: a VAR approach," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 97-111.
  49. Conrad, Christian & Eife, Thomas A., 2012. "Explaining inflation-gap persistence by a time-varying Taylor rule," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 419-428.
  50. Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, Reading University.
  51. Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 1-27.
  52. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  53. Fernald, John, 2006. "Trend Breaks, Long-Run Restrictions and the Contractionary Effects of Technology Improvements," CEPR Discussion Papers 5631, C.E.P.R. Discussion Papers.
  54. George M. Korniotis, 2009. "Does speculation affect spot price levels? the case of metals with and without futures markets," Finance and Economics Discussion Series 2009-29, Board of Governors of the Federal Reserve System (U.S.).
  55. M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The Univeristy of Manchester.
  56. Martin, Christopher & Milas, Costas, 2013. "Financial crises and monetary policy: Evidence from the UK," Journal of Financial Stability, Elsevier, vol. 9(4), pages 654-661.
  57. Melike Bildirici & Elçin Aykaç Alp, 2012. "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1261-1270, June.
  58. Pitarakis, Jean-Yves, 2014. "A joint test for structural stability and a unit root in autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 577-587.
  59. Wang-Sheng Lee & Sandy Suardi, 2008. "The Australian Firearms Buyback and Its Effect on Gun Deaths," Melbourne Institute Working Paper Series wp2008n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  60. Arnone, Marco & Romelli, Davide, 2013. "Dynamic central bank independence indices and inflation rate: A new empirical exploration," Journal of Financial Stability, Elsevier, vol. 9(3), pages 385-398.
  61. Ting Wang & Edgar C. Merkle & Achim Zeileis, 2013. "Score-Based Tests of Measurement Invariance: Use in Practice," Working Papers 2013-33, Faculty of Economics and Statistics, University of Innsbruck.
  62. Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  63. Balázs Égert & Amalia Morales-Zumaquero, 2005. "Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 76-97.
  64. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
  65. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
  66. Nagayasu, Jun, 2015. "Global and country-specific factors in real effective exchange rates," MPRA Paper 64217, University Library of Munich, Germany.
  67. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
  68. Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006. "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS) 811, University of Warwick, Department of Economics.
  69. Priyanshi Gupta & Anurag Goyal, 2015. "Impact of oil price fluctuations on Indian economy," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 39(2), pages 141-161, 06.
  70. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
  71. repec:oup:restud:v:76:y:2009:i:2:p:471-501 is not listed on IDEAS
  72. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
  73. Arusha Cooray & Marcella Lucchetta & Antonio Paradiso, 2013. "A knowledge economy approach in empirical growth models for the Nordic countries," Economics Working Papers wp13-06, School of Economics, University of Wollongong, NSW, Australia.
  74. Jean Boivin & Marc P. Giannoni, 2006. "Has Monetary Policy Become More Effective?," The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 445-462, August.
  75. Anthony Makin & Paresh Narayan, 2013. "Re-examining the “twin deficits” hypothesis: evidence from Australia," Empirical Economics, Springer, vol. 45(2), pages 817-829, October.
  76. Kaya-Bahçe, Seçil & Özmen, Erdal, 2008. "Exchange rate regimes, saving glut and the Feldstein–Horioka puzzle: The East Asian experience," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2561-2564.
  77. Denise R. Osborn & Marianne Sensier, 2009. "Uk Inflation: Persistence, Seasonality And Monetary Policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 24-44, 02.
  78. James M. Nason, 2006. "Instability in U.S. inflation: 1967-2005," Economic Review, Federal Reserve Bank of Atlanta, issue Q 2, pages 39-59.
  79. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  80. Cheolbeom Park & Sookyung Park, 2014. "Can Monetary Policy Cause the Uncovered Interest Parity Puzzle?," Discussion Paper Series 1404, Institute of Economic Research, Korea University.
  81. Charles Ka Yui Leung & Kelvin Siu Kei Wong & Patrick Wai Yin Cheung, 2007. "On the Stability of the Implicit Prices of Housing Attributes: A Dynamic Theory and Some Evidence," International Real Estate Review, Asian Real Estate Society, vol. 10(2), pages 66-93.
  82. Brenda González-Hermosillo & Vance Martin & Mardi Dungey & Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  83. Ulrich Fritsche & Vladimir Kuzin, 2005. "Declining output volatility in Germany: impulses, propagation, and the role of monetary policy," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2445-2457.
  84. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo Group Munich.
    • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
    • Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  85. Max Gillman & Anton Nakov, 2004. "Granger causality of the inflation-growth mirror in accession countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(4), pages 653-681, December.
  86. Adda, Jerome & Gonzalo, Jesus, 1996. "P-Values for non-standard distributions with an application to the DF test," Economics Letters, Elsevier, vol. 50(2), pages 155-160, February.
  87. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The Univeristy of Manchester.
  88. Krenar Avdulaj & Jozef Barunik, 2013. "Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data," Papers 1307.5981, arXiv.org, revised Feb 2015.
  89. Kau, James B. & Keenan, Donald C. & Lyubimov, Constantine & Carlos Slawson, V., 2011. "Subprime mortgage default," Journal of Urban Economics, Elsevier, vol. 70(2-3), pages 75-87, September.
  90. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society.
  91. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
  92. Thomas Goda & Alejandro Torres, 2013. "Overvaluation of the real exchange rate and the Dutch Disease: the Colombian case," DOCUMENTOS DE TRABAJO CIEF 010930, UNIVERSIDAD EAFIT.
  93. Ahn, Byeong-Il & Lee, Hyunok, 2013. "Asymmetric transmission between factory and wholesale prices in fiberboard market in Korea," Journal of Forest Economics, Elsevier, vol. 19(1), pages 1-14.
  94. Lee, Wang-Sheng & Suardi, Sandy, 2010. "Minimum Wages and Employment: Reconsidering the Use of a Time-Series Approach as an Evaluation Tool," IZA Discussion Papers 4748, Institute for the Study of Labor (IZA).
  95. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  96. Kleiber Christian & Zeileis Achim, 2013. "Reproducible Econometric Simulations," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 89-99, July.
  97. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris West - Nanterre la Défense, EconomiX.
  98. Vararat Khemangkorn & Roong Poshyananda Mallikamas & Pranee Sutthasri, 2008. "Inflation Dynamics and Implications on Monetary Policy," Working Papers 2008-02, Economic Research Department, Bank of Thailand.
  99. Rebeca Jiménez-Rodríguez, 2004. "Oil Price Shocks: Testing for Non-linearity," CSEF Working Papers 115, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  100. Bernstein, Ronald & Madlener, Reinhard, 2010. "Short- and Long-Run Electricity Demand Elasticities at the Subsectoral Level: A Cointegration Analysis for German Manufacturing Industries," FCN Working Papers 19/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  101. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  102. Yousefi, Ayoub & Wirjanto, Tony S., 2003. "Exchange rate of the US dollar and the J curve: the case of oil exporting countries," Energy Economics, Elsevier, vol. 25(6), pages 741-765, November.
  103. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  104. Edward E GHARTEY, 2015. "Causal Relationship Between Financial Development And Economic Growth In South Africa," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 125-142.
  105. Douglas B. Reynolds & Marek Kolodziej, 2009. "North American Natural Gas Supply Forecast: The Hubbert Method Including the Effects of Institutions," Energies, MDPI, Open Access Journal, vol. 2(2), pages 269-306, May.
  106. Paradiso, Antonio & Kumar, Saten & Margani, Patrizia, 2014. "Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach," Journal of Economic Psychology, Elsevier, vol. 43(C), pages 48-63.
  107. Giovanni Arese-Visconti, 2002. "Inflation Differentials before and after the EMU," Econometrics Working Papers Archive wp2002_19, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  108. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 11/13, Monash University, Department of Econometrics and Business Statistics.
  109. Adom, Philip Kofi, 2015. "Asymmetric impacts of the determinants of energy intensity in Nigeria," Energy Economics, Elsevier, vol. 49(C), pages 570-580.
  110. Michelle Lewis & Lauren Rosborough, 2013. "What in the world moves New Zealand bond yields?," Reserve Bank of New Zealand Analytical Notes series AN2013/08, Reserve Bank of New Zealand.
  111. Arusha Cooray & Antonio Paradiso, 2012. "The level and growth effects in empirical growth models for the Nordic countries: A knowledge economy approach," CAMA Working Papers 2012-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  112. Sharon Kozicki & Peter A. Tinsley, 2005. "Perhaps the FOMC did what it said it did : an alternative interpretation of the Great Inflation," Research Working Paper RWP 05-04, Federal Reserve Bank of Kansas City.
  113. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
  114. Tiago Trancoso, 2013. "Global macroeconomic interdependence: a minimum spanning tree approach," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 5(1), pages 179-189, June.
  115. David C Broadstock & Hong Cao & Dayong Zhang, 2012. "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 137, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
  116. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
  117. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "On the bi-directional causal relationship between public debt and economic growth in EMU countries," Working Papers 15-06, Asociación Española de Economía y Finanzas Internacionales.
  118. Yunus Aksoy & Giovanni Melina, 2011. "An Empirical Investigation of US Fiscal Expenditures and Macroeconomic Outcomes," Birkbeck Working Papers in Economics and Finance 1105, Birkbeck, Department of Economics, Mathematics & Statistics.
  119. Samih Antoine Azar, 2013. "Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 723-733.
  120. Papailias, Fotis & Fruet Dias, Gustavo, 2015. "Forecasting long memory series subject to structural change: A two-stage approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1056-1066.
  121. Edgar Merkle & Achim Zeileis, 2013. "Tests of Measurement Invariance Without Subgroups: A Generalization of Classical Methods," Psychometrika, Springer, vol. 78(1), pages 59-82, January.
  122. Cooray, Arusha & Paradiso, Antonio & Truglia, Francesco Giovanni, 2013. "Do countries belonging to the same region suggest the same growth enhancing variables? Evidence from selected South Asian countries," Economic Modelling, Elsevier, vol. 33(C), pages 772-779.
  123. van Norden, Simon, 2011. "Current trends in the analysis of Canadian productivity growth," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 5-25, January.
  124. Peter McAdam & Jakub Muck & Jakub Growiec, 2015. "Endogenous Labor Share Cycles: Theory and Evidence," 2015 Meeting Papers 62, Society for Economic Dynamics.
  125. Goda, Thomas & Lysandrou, Photis & Stewart, Chris, 2013. "The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 113-136.
  126. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simon, 2010. "Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 139-168, February.
  127. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2013. "A wavelet decomposition approach to crude oil price and exchange rate dependence," Economic Modelling, Elsevier, vol. 32(C), pages 42-57.
  128. Bolt, Wilko & de Haan, Leo & Hoeberichts, Marco & van Oordt, Maarten R.C. & Swank, Job, 2012. "Bank profitability during recessions," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2552-2564.
  129. Narayan, Paresh Kumar & Narayan, Seema, 2010. "Modelling the impact of oil prices on Vietnam's stock prices," Applied Energy, Elsevier, vol. 87(1), pages 356-361, January.
  130. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
  131. Luca Benati, 2004. "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England.
  132. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
  133. Öğünç, Fethi & Akdoğan, Kurmaş & Başer, Selen & Chadwick, Meltem Gülenay & Ertuğ, Dilara & Hülagü, Timur & Kösem, Sevim & Özmen, Mustafa Utku & Tekatlı, Necati, 2013. "Short-term inflation forecasting models for Turkey and a forecast combination analysis," Economic Modelling, Elsevier, vol. 33(C), pages 312-325.
  134. Rebeca Jiménez-Rodríguez, 2015. "Oil price shocks and stock markets: testing for non-linearity," Empirical Economics, Springer, vol. 48(3), pages 1079-1102, May.
  135. Ana Maria Herrero & Elena Pesavento, 2003. "The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment," Emory Economics 0301, Department of Economics, Emory University (Atlanta).
  136. Mutafoglu, Takvor H. & Tokat, Ekin & Tokat, Hakki A., 2012. "Forecasting precious metal price movements using trader positions," Resources Policy, Elsevier, vol. 37(3), pages 273-280.
  137. Giancarlo Marini & Alessandro Piergallini, 2008. "Indicators and Tests of Fiscal Sustainability: An Integrated Approach," CEIS Research Paper 111, Tor Vergata University, CEIS, revised 11 Jul 2008.
  138. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
  139. André Luis Squarize Chagas, 2013. "The Impact of Tax Substitution on the price of pharmaceutical products in the state of São Paulo," Working Papers, Department of Economics 2013_19, University of São Paulo (FEA-USP).
  140. Isengildina-Massa, Olga & MacDonald, Stephen, 2009. "U.S. Cotton Prices and the World Cotton Market: Forecasting and Structural Change," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49324, Agricultural and Applied Economics Association.
  141. Al-Zoubi, Haitham A., 2009. "Short-term spot rate models with nonparametric deterministic drift," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 731-747, August.
  142. Jean Boivin & Marc Giannoni, 2002. "Has monetary policy become less powerful?," Staff Reports 144, Federal Reserve Bank of New York.
  143. Naifar, Nader, 2012. "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis," Economic Modelling, Elsevier, vol. 29(2), pages 119-131.
  144. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
  145. 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.
  146. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.
  147. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
  148. David Cook & Woon Gyu Choi, 2007. "Financial Market Risk and U.S. Money Demand," IMF Working Papers 07/89, International Monetary Fund.
  149. Fang, Chung-Rou & You, Shih-Yi, 2014. "The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 330-338.
  150. Thomas Goda & Alejandro Torres, 2013. "Tasa de cambio real y recomposición sectorial en Colombia," DOCUMENTOS DE TRABAJO CIEF 010936, UNIVERSIDAD EAFIT.
  151. Makin, Anthony J. & Ratnasiri, Shyama, 2015. "Competitiveness and government expenditure: The Australian example," Economic Modelling, Elsevier, vol. 49(C), pages 154-161.
  152. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  153. Jose Manuel Campa & Linda S. Goldberg, 2002. "Exchange rate pass-through into import prices: a macro or micro phenomenon?," Staff Reports 149, Federal Reserve Bank of New York.
  154. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
  155. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  156. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
  157. Alejandro Gaytán González & Jesús R. González García, 2006. "Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach," Working Papers 2006-06, Banco de México.
  158. Reboredo, Juan Carlos & Rivera-Castro, Miguel A. & Zebende, Gilney F., 2014. "Oil and US dollar exchange rate dependence: A detrended cross-correlation approach," Energy Economics, Elsevier, vol. 42(C), pages 132-139.
  159. Pourazarm, Elham & Cooray, Arusha, 2013. "Estimating and forecasting residential electricity demand in Iran," Economic Modelling, Elsevier, vol. 35(C), pages 546-558.
  160. Achim Zeileis & Torsten Hothorn, 2013. "A toolbox of permutation tests for structural change," Statistical Papers, Springer, vol. 54(4), pages 931-954, November.
  161. Frederik Kunze & Mario Gruppe, 2014. "Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier?," Social Sciences, MDPI, Open Access Journal, vol. 3(1), pages 128-139, February.
  162. 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.
  163. Jürgen Kromphardt & Camille Logeay, 2007. "Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU," Kiel Working Papers 1354, Kiel Institute for the World Economy.
  164. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
  165. Matsypura, Dmytro & Pauwels, Laurent L., 2016. "Does portfolio margining make borrowing more attractive?," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 128-134.
  166. Jagjit S Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The interest rate effects of government debt maturity," BIS Working Papers 415, Bank for International Settlements.
  167. Hayat, Aziz & Narayan, Paresh Kumar, 2010. "The oil stock fluctuations in the United States," Applied Energy, Elsevier, vol. 87(1), pages 178-184, January.
  168. Ivan Mendieta-Muñoz, 2014. "Is there any relationship between the rates of interest and profit in the U.S. economy?," Studies in Economics 1416, School of Economics, University of Kent.
  169. Nagayasu, Jun, 2012. "The Forward Premium Puzzle And Risk Premiums," MPRA Paper 42472, University Library of Munich, Germany.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.