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Citations for "Tests for Parameter Instability and Structural Change with Unknown Change Point"

by Andrews, Donald W K

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  1. Algan, Yann & Cahuc, Pierre & Sangnier, Marc, 2014. "Trust and the Welfare State: the Twin Peaks Curve," CEPR Discussion Papers 10061, C.E.P.R. Discussion Papers.
  2. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  3. Hsu, Chih-Chiang, 2001. "Change point estimation in regressions with I(d) variables," Economics Letters, Elsevier, vol. 70(2), pages 147-155, February.
  4. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper 06-05, Federal Reserve Bank of Richmond.
  5. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
  6. 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.
  7. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "Housing and the Great Depression," Working papers 2012-47, University of Connecticut, Department of Economics.
  8. Elliott, Graham & Timmermann, Allan G, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
  9. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo Group Munich.
  10. Candelon Bertrand & Lieb Lenard, 2011. "Fiscal Policy in Good and Bad Times," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  11. César A. Calderón, 2004. "Real exchange rates in the long and short run: a panel co-integration approach," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 19(2), pages 41-83, December.
  12. Javier Hidalgo & Myunghwan Seo, 2011. "Testing For Structural Stability In The Whole Sample," STICERD - Econometrics Paper Series 558, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  13. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
  14. Colarossi, Silvio & Zaghini, Andrea, 2007. "Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission," CFS Working Paper Series 2007/16, Center for Financial Studies (CFS).
  15. Peter Tillmann, 2003. "The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials," German Economic Review, Verein für Socialpolitik, vol. 4, pages 409-431, November.
  16. repec:ipg:wpaper:2014-476 is not listed on IDEAS
  17. Cappelli, Carmela & Penny, Richard N. & Rea, William S. & Reale, Marco, 2008. "Detecting multiple mean breaks at unknown points in official time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 351-356.
  18. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.
  19. Spiegel, M.M. & Yamori, N., 2000. "Financial Turbulence and the Japanese Main Bank Relationship," Papers pb00-04, Economisch Institut voor het Midden en Kleinbedrijf-.
  20. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers 11/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  21. Adam, Christopher & Hoddinott, John & Ligon, Ethan A., 2011. "Dynamic intrahousehold bargaining, matrimonial property law and suicide in Canada," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt4dm5w8v1, Department of Agricultural & Resource Economics, UC Berkeley.
  22. Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series 875, CESifo Group Munich.
  23. Antonio E. Noriega & Araceli Ramírez-Zamora, 1999. "Unit roots and multiple structural breaks in real output," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(2), pages 163-188.
  24. Jesper Roine & Daniel Waldenström, 2011. "Common Trends and Shocks to Top Incomes: A Structural Breaks Approach," The Review of Economics and Statistics, MIT Press, vol. 93(3), pages 832-846, August.
  25. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014. "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
  26. Heidari, Hassan & Katircioglu, Salih Turan & Davoudi, Narmin, 2012. "Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationships," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 6, pages 1-18.
  27. repec:fgv:epgrbe:v:68:n:3:a:6 is not listed on IDEAS
  28. Auray, Stéphane & Eyquem, Aurélien & Jouneau-Sion, Frédéric, 2014. "Modeling tails of aggregate economic processes in a stochastic growth model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 76-94.
  29. Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The Univeristy of Manchester.
  30. Mohitosh Kejriwal & Pierre Perron, 2007. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series wp2008-020, Boston University - Department of Economics, revised Nov 2008.
  31. Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015. "Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests," Journal of Developing Areas, Tennessee State University, College of Business, vol. 49(2), pages 163-181, April-Jun.
  32. Linda S. Goldberg & Michael W. Klein, 2005. "Establishing Credibility: Evolving Perceptions of the European Central Bank," NBER Working Papers 11792, National Bureau of Economic Research, Inc.
  33. Jing Zhou & Pierre Perron, 2008. "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series wp2008-010, Boston University - Department of Economics.
  34. Lise Pichette, 2000. "Les effets réels du cours des actions sur la consommation," Staff Working Papers 00-21, Bank of Canada.
  35. Yelena Takhtamanova, 2008. "Understanding changes in exchange rate pass-through," Working Paper Series 2008-13, Federal Reserve Bank of San Francisco.
  36. Mark A. Hooker, 1999. "Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime," Finance and Economics Discussion Series 1999-65, Board of Governors of the Federal Reserve System (U.S.).
  37. Svetlana Maslyuk & Dinusha Dharmaratna, 2012. "Impact of Shocks on Australian Coal Mining," Monash Economics Working Papers 37-12, Monash University, Department of Economics.
  38. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
  39. Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011. "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics 19953, University of Munich, Department of Economics.
  40. Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
  41. Jürgen Jerger & Oke Röhe, 2012. "Testing for Parameter Stability in DSGE Models. The Cases of France, Germany, Italy, and Spain," Working Papers 118, Bavarian Graduate Program in Economics (BGPE).
  42. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  43. Guochen Pan & Seng-Sung Chen & Tsangyao Chang, 2012. "Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 56-67, December.
  44. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
  45. Dae-Wook Kim & Christopher R. Knittel, 2004. "Biases in Static Oligopoly Models? Evidence from the California Electricity Market," NBER Working Papers 10895, National Bureau of Economic Research, Inc.
  46. Abbassi, Puriya & Nautz, Dieter, 2011. "Monetary transmission right from the start: On the information content of the eurosystem's main refinancing operations," Discussion Paper Series 1: Economic Studies 2011,24, Deutsche Bundesbank, Research Centre.
  47. Donald W.K. Andrews & Liu, Xuemei Liu & Werner Ploberger, 1996. "Tests of Seasonal and Non-Seasonal Serial Correlation," Cowles Foundation Discussion Papers 1124, Cowles Foundation for Research in Economics, Yale University.
  48. Kevin D. Hoover & Oscar Jorda, "undated". "Measuring Systematic Monetary Policy," Department of Economics 00-05, California Davis - Department of Economics.
  49. Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2014. "The role of education in equity portfolios during the recent financial crisis," Working Papers 2014_17, Business School - Economics, University of Glasgow.
  50. John McDermott & Viv B. Hall, "undated". "A quarterly Post-World War II Real GDP Series for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/12, Reserve Bank of New Zealand.
  51. LanFen Chu & Michael McAleer & Chi-Chung Chen, 2009. "How Volatile is ENSO?," CIRJE F-Series CIRJE-F-635, CIRJE, Faculty of Economics, University of Tokyo.
  52. Marotta, Giuseppe, 2009. "Structural breaks in the lending interest rate pass-through and the euro," Economic Modelling, Elsevier, vol. 26(1), pages 191-205, January.
  53. Tkacz, Greg, 2001. "Endogenous thresholds and tests for asymmetry in US prime rate movements," Economics Letters, Elsevier, vol. 73(2), pages 207-211, November.
  54. Russell Cooper & John Haltiwanger, 1992. "Autos and the National Industrial Recovery Act: Evidence on Industry Complementarities," NBER Working Papers 4100, National Bureau of Economic Research, Inc.
  55. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
  56. Agenor, Pierre-Richard & Aizenman, Joshua & Hoffmaister, Alexander W., 2004. "The credit crunch in East Asia: what can bank excess liquid assets tell us?," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 27-49, February.
  57. Smith, Jennifer C, 2013. "Pay Growth, Fairness and Job Satisfaction: Implications for Nominal and Real Wage Rigidity," CAGE Online Working Paper Series 130, Competitive Advantage in the Global Economy (CAGE).
  58. Mark Crosby & Philip Bodman, 2005. "When the US Sneezes, Do We Need to Catch a Cold? Historical and Future Linkages between the Australian and US Business Cycles," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  59. René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.
  60. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis.
  61. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(01), pages 39-66, April.
  62. Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2008. "Testing for Granger (non-)causality in a time-varying coefficient VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 293-303.
  63. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  64. Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  65. Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
  66. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
  67. Todd E. Clark & Sharon Kozicki, 2004. "Estimating equilibrium real interest rates in real time," Research Working Paper RWP 04-08, Federal Reserve Bank of Kansas City.
  68. Drelichman, Mauricio, 2005. "The curse of Moctezuma: American silver and the Dutch disease," Explorations in Economic History, Elsevier, vol. 42(3), pages 349-380, July.
  69. Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
  70. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  71. Matthieu Crozet & Federico Trionfetti, 2008. "Trade costs and the Home Market Effect," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00497693, HAL.
  72. Richard Luger & Maral Kichian, 2001. "On Inflation and the Persistence of Shocks to Output," Staff Working Papers 01-22, Bank of Canada.
  73. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2013. "The Role of Financial Depth on the Asymmetric Impact of Monetary Policy," Working Papers 2013007, The University of Sheffield, Department of Economics.
  74. Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
  75. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
  76. Glenn D. Rudebusch, 2000. "Assessing nominal income rules for monetary policy with model and data uncertainty," Working Paper Series 2000-03, Federal Reserve Bank of San Francisco.
  77. Seo, Myung Hwan & Hidalgo-Moreno, Javier, 2012. "Testing for structural stability in the whole sample," UC3M Working papers. Economics we1236, Universidad Carlos III de Madrid. Departamento de Economía.
  78. 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.
  79. Nuno Sobreira & Luís Catela Nunes & Paulo M.M. Rodrigues, 2013. "Characterizing economic growth paths based on new structural change tests," Working Papers w201313, Banco de Portugal, Economics and Research Department.
  80. Edgar Merkle & Achim Zeileis, 2013. "Tests of Measurement Invariance Without Subgroups: A Generalization of Classical Methods," Psychometrika, Springer;The Psychometric Society, vol. 78(1), pages 59-82, January.
  81. Bagliano, Fabio-Cesare & Favero, Carlo A., 1997. "Measuring Monetary Policy with VAR Models: An Evaluation," CEPR Discussion Papers 1743, C.E.P.R. Discussion Papers.
  82. PKG HARISCHANDRA & George CHOULIARAKIS, "undated". "Do Exchange Rate Regimes Matter for Inflation Persistence? Theory and Evidence from the History of UK and US Inflation," EcoMod2008 23800100, EcoMod.
  83. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.
  84. Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012. "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  85. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
  86. David Card & Alexandre Mas & Jesse Rothstein, 2007. "Tipping and the Dynamics of Segregation," NBER Working Papers 13052, National Bureau of Economic Research, Inc.
  87. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
  88. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  89. Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
  90. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
  91. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 46-61.
  92. Athanasios Orphanides, 1998. "Monetary policy evaluation with noisy information," Finance and Economics Discussion Series 1998-50, Board of Governors of the Federal Reserve System (U.S.).
  93. Robert J. Hodrick & Xiaoyan Zhang, 2000. "Evaluating the Specification Errors of Asset Pricing Models," NBER Working Papers 7661, National Bureau of Economic Research, Inc.
  94. Nasseh, Alireza & Strauss, Jack, 2004. "Stock prices and the dividend discount model: did their relation break down in the 1990s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 191-207, May.
  95. Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 487, University of Warwick, Department of Economics.
  96. Pitarakis, Jean-Yves, 2011. "Joint Detection of Structural Change and Nonstationarity in Autoregressions," MPRA Paper 29189, University Library of Munich, Germany.
  97. Rangan Gupta & Mampho P. Modise, 2012. "Valuation Ratios and Stock Return Predictability in South Africa: Is It There?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(1), pages 70-82, January.
  98. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  99. Monica Giulietti, Luigi Grossi, and Michael Waterson, 2012. "A Rough Analysis: Valuing Gas Storage," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  100. Pedro Galeano, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 455-458, September.
  101. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2015. "Long Run Relationship between IFDI and Domestic Investment in GCC Countries," MPRA Paper 72668, University Library of Munich, Germany, revised Jun 2016.
  102. A. Nazif Çatik & A. Özlem Önder, 2011. "Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(5), pages 125-140, September.
  103. Luis Eduardo Arango & Wilmar Cabrera & Esteban Gómez & Juan Carlos Mendoza, 2013. "Tasa de interés de largo plazo, interés técnico y pasivo pensional," BORRADORES DE ECONOMIA 011101, BANCO DE LA REPÚBLICA.
  104. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 551-576, December.
  105. Marcel Schroder, 2013. "Should developing countries undervalue their currencies?," Departmental Working Papers 2013-12, The Australian National University, Arndt-Corden Department of Economics.
  106. Zahid Asghar, 2011. "A Structural Approach for Testing Causality," International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 1-12, September.
  107. O'Hagan-Luff, Martha & Berrill, Jenny, 2016. "US firms – How global are they? A longitudinal study," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 205-216.
  108. Fatum, Rasmus & Yamamoto, Yohei, 2014. "Large versus small foreign exchange interventions," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 114-123.
  109. Ekaterini Panopoulou, 2006. "PPP over a century: Co-integration and structural change," Economics, Finance and Accounting Department Working Paper Series n1650306, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  110. Caporale, Guglielmo Maria & Ciferri, Davide & Girardi, Alessandro, 2011. "Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 709-723, September.
  111. Bacchetta, Philippe & van Wincoop, Eric, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," CEPR Discussion Papers 7309, C.E.P.R. Discussion Papers.
  112. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
  113. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  114. Luis Fernando melo V. & Martha Misas A., "undated". "Modelos Estructurales de Inflación en Colombia: Estimación a traves de Minimos Cuadrados Flexibles," Borradores de Economia 282, Banco de la Republica de Colombia.
  115. Caraballo Pou, M. Angeles & Dabus, Carlos, 2008. "Nominal rigidities, skewness and inflation regimes," Research in Economics, Elsevier, vol. 62(1), pages 16-33, March.
  116. Travaglini, Guido, 2008. "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper 7108, University Library of Munich, Germany.
  117. Grote, Claudia & Bertram, Philip, 2015. "A comparative Study of Volatility Breaks," Hannover Economic Papers (HEP) dp-558, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  118. 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.
  119. Thomas Straubhaar & Marc Suhrcke & Dieter Urban, 2002. "Divergence – Is it Geography?," Development Working Papers 158, Centro Studi Luca d'Agliano, University of Milano.
  120. Rudebusch, Glenn D & Svensson, Lars E O, 2000. "Eurosystem Monetary Targeting: Lessons from US Data," CEPR Discussion Papers 2522, C.E.P.R. Discussion Papers.
  121. Liu Hongyu & Yun W. Park & Zheng Siqi, 2002. "The Interaction between Housing Investment and Economic Growth in China," International Real Estate Review, Asian Real Estate Society, vol. 5(1), pages 40-60.
  122. Kodongo, Odongo & Ojah, Kalu, 2014. "Conditional pricing of currency risk in Africa's equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 133-155.
  123. Benedetto Molinari, 2014. "Sticky information and inflation persistence: evidence from the U.S. data," Empirical Economics, Springer, vol. 46(3), pages 903-935, May.
  124. Philip Marey & Arnaud Dupuy, 2004. "Shifts and Twists in the Relative Productivity of Skilled Labor: Reconciling Accelerated SBTC with the Productivity Slowdown," Econometric Society 2004 North American Summer Meetings 118, Econometric Society.
  125. Kwapil, Claudia & Scharler, Johann, 2013. "Expected monetary policy and the dynamics of bank lending rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 542-551.
  126. Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," NBER Working Papers 13901, National Bureau of Economic Research, Inc.
  127. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
  128. Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo, 2016. "Detection of intensity bursts using Hawkes processes: an application to high frequency financial data," Papers 1610.05383, arXiv.org.
  129. 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.
  130. Bürgin, Reto & Ritschard, Gilbert, 2015. "Tree-based varying coefficient regression for longitudinal ordinal responses," Computational Statistics & Data Analysis, Elsevier, vol. 86(C), pages 65-80.
  131. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  132. Vendrik, Maarten C.M. & Cörvers, Frank, 2009. "Male and Female Labour Force Participation: The Role of Dynamic Adjustments to Changes in Labour Demand, Government Policies and Autonomous Trends," IZA Discussion Papers 4397, Institute for the Study of Labor (IZA).
  133. Guastella, G. & Moro, D. & Sckokai, P. & Veneziani, M., 2013. "CAP Effects on Agricultural Investment Demand in Europe," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150619, Agricultural and Applied Economics Association.
  134. Campa, Jose M. & Goldberg, Linda S., 2002. "Exchange rate pass-through into import prices: A macro or micro phenomenon?," IESE Research Papers D/475, IESE Business School.
  135. Dennis Gaertner & Daniel Halbheer, 2004. "Are There Waves in Merger Activity After All?," SOI - Working Papers 0414, Socioeconomic Institute - University of Zurich, revised Feb 2006.
  136. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
  137. Edmonds, Radcliffe Jr. & So, Jacky Y. C., 2004. "Is exchange rate volatility excessive? An ARCH and AR approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 122-154, February.
  138. Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
  139. Rossi, Barbara & Sekhposyan, Tatevik, 2013. "Conditional predictive density evaluation in the presence of instabilities," Journal of Econometrics, Elsevier, vol. 177(2), pages 199-212.
  140. Allan Drazen & Paul R. Masson, 1994. "Credibility of Policies Versus Credibility of Policymakers," The Quarterly Journal of Economics, Oxford University Press, vol. 109(3), pages 735-754.
  141. Daniel Dias & Carlos Robalo Marques, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers w200503, Banco de Portugal, Economics and Research Department.
  142. Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, EconWPA.
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  1125. Aye, Goodness C., 2016. "Causality between Oil Price and South Africa's Food Price: Time Varying Approach - Relazione di causalità tra prezzo del petrolio e pr ezzo dei prodotti alimentari in Sud Africa: un approccio time var," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(3), pages 189-207.
  1126. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Reboredo, Juan Carlos & Wen, Xiaoqian, 2014. "Dependence of stock and commodity futures markets in China: Implications for portfolio investment," Emerging Markets Review, Elsevier, vol. 21(C), pages 183-200.
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  1128. Jie He & Patrick Richard, 2009. "Environmental Kuznets Curve for CO2 in Canada," Cahiers de recherche 09-13, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
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  1133. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
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  1137. Strikholm, Birgit, 2006. "Determining the number of breaks in a piecewise linear regression model," SSE/EFI Working Paper Series in Economics and Finance 648, Stockholm School of Economics.
  1138. Guetat, Imene & Serranito, Francisco, 2007. "Income convergence within the MENA countries: A panel unit root approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(5), pages 685-706, February.
  1139. 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.
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  1141. Carsten-Patrick Meier, 1999. "Predicting Real Exchange Rates from Real Interest Rate Differentials and Net Foreign Asset Stocks: Evidence for the Mark/Dollar Parity," Kiel Working Papers 962, Kiel Institute for the World Economy.
  1142. Cheong, Chin Wen, 2008. "Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 889-898.
  1143. Maury, T-P. & Pluyaud, B., 2004. "Les ruptures de tendance de la productivité par employé de quelques grands pays industrialisés," Bulletin de la Banque de France, Banque de France, issue 121, pages 70-86.
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  1145. Julien Chevallier, 2012. "Cointegration between carbon spot and futures prices: from linear to nonlinear modeling," Economics Bulletin, AccessEcon, vol. 32(1), pages 160-181.
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  1150. Koen Pauwels & Shuba Srinivasan, 2004. "Who Benefits from Store Brand Entry?," Marketing Science, INFORMS, vol. 23(3), pages 364-390, July.
  1151. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
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  1153. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers.
  1154. KUROZUMI, Eiji & SKROBOTOV, Anton, 2016. "Confidence Sets for the Break Date in Cointegrating Regressions," Discussion Papers 2016-07, Graduate School of Economics, Hitotsubashi University.
  1155. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2013. "Do Sales of Foreign Exchange Reserves Lead to Currency Appreciation?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 867-890, 08.
  1156. Bilbiie, Florin O., 2004. "The great inflation, limited asset markets participation and aggregate demand: FED policy was better than you think," Working Paper Series 0408, European Central Bank.
  1157. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers 15-086/III, Tinbergen Institute.
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  1160. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
  1161. Jörg Rahn, 2004. "Bilaterial equilibrium exchange rates of EU accession countries against the euro," Macroeconomics 0401010, EconWPA.
  1162. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
  1163. Mueller, Ulrich & Petalas, Philippe-Emmanuel, 2007. "Efficient Estimation of the Parameter Path in Unstable Time Series Models," MPRA Paper 2260, University Library of Munich, Germany.
  1164. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2015. "Revisiting the relationship between exchange rates and fundamentals," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 1-22.
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  1166. Chan, Felix & Pauwels, Laurent L. & Wongsosaputro, Johnathan, 2013. "The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 175-189.
  1167. Leonardo Chaves Borges Cardoso & Maurício Vaz Lobo Bittencourt, 2016. "Price Volatility Transmission From Oil To Energy And Non-Energy Agricultural Commodities," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 181, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  1168. Stimel Derek, 2009. "A Statistical Analysis of NFL Quarterback Rating Variables," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 5(2), pages 1-26, May.
  1169. Meier, Carsten-Patrick, 1999. "Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity," Kiel Working Papers 962, Kiel Institute for the World Economy (IfW).
  1170. Tai-leung Chong, Terence, 1999. "Asymptotic distribution of the sup-Wald statistic under specification errors," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 421-430, December.
  1171. Sharma, Abhijit & Balcombe, Kelvin & Fraser, Iain, 2009. "Non-renewable Resource Prices: Structural Breaks and Long Term Trends," MPRA Paper 16948, University Library of Munich, Germany.
  1172. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
  1173. João Pedro Pereira & Vasco Pesquita & Paulo M.M. Rodrigues & António Rua, 2016. "Market integration and the persistence of electricity prices," Working Papers w201609, Banco de Portugal, Economics and Research Department.
  1174. Holtemöller Oliver, 2013. "Explosive Preisentwicklung und spekulative Blasen auf Rohstoffmärkten / Explosive behavior and speculative bubbles on commodity markets," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 64(1), pages 405-420, January.
  1175. Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni, 2013. "On the use of cross-sectional measures of forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 29(3), pages 367-377.
  1176. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  1177. Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
  1178. B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2016. "The Dynamics Between Inflation and Inflation Uncertainty: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 1-14, June.
  1179. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," IHEID Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  1180. KUROZUMI, Eiji & YAMAMOTO, Yohei, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
  1181. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
  1182. Nakaota, Hiroshi, 2005. "The term structure of interest rates in Japan: the predictability of economic activity," Japan and the World Economy, Elsevier, vol. 17(3), pages 311-326, August.
  1183. Philip N. Jefferson, 2005. "Does Monetary Policy Affect Relative Educational Unemployment Rates?," American Economic Review, American Economic Association, vol. 95(2), pages 76-82, May.
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  1185. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 0002, European Central Bank.
  1186. Medema, Lydian & Koning, Ruud H. & Lensink, Robert, 2009. "A practical approach to validating a PD model," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 701-708, April.
  1187. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  1188. Galvao Ana Beatriz & Marcellino Massimiliano, 2014. "The effects of the monetary policy stance on the transmission mechanism," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 20-20, May.
  1189. Muscatelli, V. Anton & Spinelli, Franco, 2000. "The long-run stability of the demand for money: Italy 1861-1996," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 717-739, June.
  1190. Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
  1191. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  1192. Chen, Shiu-Sheng, 2009. "Oil price pass-through into inflation," Energy Economics, Elsevier, vol. 31(1), pages 126-133, January.
  1193. Wu, Jilin, 2016. "A test for changing trends with monotonic power," Economics Letters, Elsevier, vol. 141(C), pages 15-19.
  1194. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Department of Economics, University of Leicester.
  1195. Francis X. Diebold & Celia Chen, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
  1196. Jamel Jouini, 2006. "Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration," Working Papers halshs-00410759, HAL.
  1197. Sharma, Abhijit & di Falco, Salvatore & Fraser, Iain, 2015. "Consumption of Salt Rich Products in the UK: Impact of The Reduced Salt Campaign," MPRA Paper 62359, University Library of Munich, Germany.
  1198. Fay Dunkerley & Amihai Glazer & Stef Proost, 2010. "What Drives Gasoline Prices?," Working Papers 091005, University of California-Irvine, Department of Economics.
  1199. Joe Lange & Brian P. Sack & William C. Whitesell, 2001. "Anticipations of monetary policy in financial markets," Finance and Economics Discussion Series 2001-24, Board of Governors of the Federal Reserve System (U.S.).
  1200. Fabio Clementi & Marco Gallegati & Mauro Gallegati, 2015. "Growth and Cycles of the Italian Economy Since 1861: The New Evidence," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(1), pages 25-59, March.
  1201. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  1202. Simone Elmer & Thomas Maag, 2009. "The Persistence of Inflation in Switzerland: Evidence from Disaggregate Data," KOF Working papers 09-235, KOF Swiss Economic Institute, ETH Zurich.
  1203. St-Amant, P. & Tessier, D., 1998. "Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis," Staff Working Papers 98-3, Bank of Canada.
  1204. Wichita State University, 2016. "Contagion, Interdependence and Diversification across Regional UK Housing Markets," International Real Estate Review, Asian Real Estate Society, vol. 19(3), pages 327-351.
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  1206. Li, Jing, 2006. "Testing Granger Causality in the presence of threshold effects," International Journal of Forecasting, Elsevier, vol. 22(4), pages 771-780.
  1207. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
  1208. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  1209. Abbas, Syed Kanwar & Sgro, Pasquale M., 2011. "New Keynesian Phillips Curve and inflation dynamics in Australia," Economic Modelling, Elsevier, vol. 28(4), pages 2022-2033, July.
  1210. 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.
  1211. Kosei Fukuda, 2007. "Simulated real-time detection of multiple structural changes: Evidence from Japanese economic growth," Statistical Papers, Springer, vol. 48(4), pages 559-580, October.
  1212. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  1213. Thomas Lagoarde-Segot & Brian M. Lucey, 2007. "Capital Market Integration in the Middle East and North Africa," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(3), pages 34-57, June.
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  1216. Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.
  1217. Pauwels Laurent L. & Chan Felix & Mancini Griffoli Tommaso, 2012. "Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
  1218. Manner, Hans & Blatt, Dominik & Candelon, Bertrand, 2014. "Detecting financial contagion in a multivariate system," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100411, Verein für Socialpolitik / German Economic Association.
  1219. Bhar, Ramaprasad & Hamori, Shigeyuki, 2008. "Information content of commodity futures prices for monetary policy," Economic Modelling, Elsevier, vol. 25(2), pages 274-283, March.
  1220. Balogun, Emmanuel Dele, 2007. "Effects of exchange rate policy on bilateral export trade of WAMZ countries," MPRA Paper 6234, University Library of Munich, Germany.
  1221. Frauke Schleer, 2015. "Finding Starting-Values for the Estimation of Vector STAR Models," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 65-65, January.
  1222. Kleimeier,Stefanie & Sander,Harald, 2002. "European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market," Research Memorandum 060, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  1223. Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
  1224. Corina Saman, 2015. "Asymmetric Interaction between Stock Price Index and Exchange Rates: Empirical Evidence for Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 90-109, December.
  1225. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  1226. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
  1227. Gozalo, Pedro & Linton, Oliver, 2000. "Local nonlinear least squares: Using parametric information in nonparametric regression," Journal of Econometrics, Elsevier, vol. 99(1), pages 63-106, November.
  1228. Masahiko Shibamoto & Ryuzo Miyao, 2008. "Understanding Output and Price Dynamics in Japan: Why Have Japan's Price Movements Been Relatively Stable Since the 1990s?," Discussion Paper Series 219, Research Institute for Economics & Business Administration, Kobe University.
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  1230. Lange, Ronald H., 2015. "International long-term yields and monetary policy in a small open economy: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 292-310.
  1231. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers Archive 12694, Iowa State University, Department of Economics.
  1232. Hayat, Aziz & Narayan, Paresh Kumar, 2010. "The oil stock fluctuations in the United States," Applied Energy, Elsevier, vol. 87(1), pages 178-184, January.
  1233. Ting Wang & Carolin Strobl & Achim Zeileis & Edgar C. Merkle, 2016. "Score-Based Tests of Differential Item Functioning in the Two-Parameter Model," Working Papers 2016-05, Faculty of Economics and Statistics, University of Innsbruck.
  1234. Eduardo Loría & Emmanuel Salas, 2015. "Mexico and the United States: cycle synchronization,1980.1-2013.4," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 75-102, May.
  1235. Goetz, Linde & von Cramon-Taubadel, Stephan, 2008. "Considering threshold effects in the long-run equilibrium in a vector error correction model: An application to the German apple market," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44247, European Association of Agricultural Economists.
  1236. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
  1237. 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.
  1238. Ryan Compton & Syeed Khan, 2010. "An examination of the stability of short-run Canadian stock predictability," Economics Bulletin, AccessEcon, vol. 30(2), pages 1293-1306.
  1239. Yiannis Karavias & Elias Tzavalis, "undated". "Generalized fixed-T panel unit root tests allowing for structural breaks," Discussion Papers 12/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  1240. Pinar Evrim-Mandaci & Hakan Kahyaoglu & Efe Caglar Cagli, 2011. "Stock and bond market interactions with two regime shifts: evidence from Turkey," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1355-1368.
  1241. Maghyereh, Aktham I. & Awartani, Basel, 2016. "Dynamic transmissions between Sukuk and bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 246-261.
  1242. Reboredo, Juan C. & Ugando, Mikel, 2014. "US dollar exchange rate and food price dependence: Implications for portfolio risk management," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 72-89.
  1243. León Fernández Bujanda, 2008. "Midiendo la tasa natural de desempleo en Venezuela," Investigación Conjunta - español, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 15, pages 465-491 Centro de Estudios Monetarios Latinoamericanos, CEMLA.
  1244. Hashmat Khan & John Tsoukalas, 2005. "Technology Shocks and UK Business Cycles," Macroeconomics 0512006, EconWPA.
  1245. Todd E. Clark & Taisuke Nakata, 2006. "The trend growth rate of employment : past, present, and future," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 43-85.
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  1247. Giovanni Mastrobuoni & Paolo Pinotti, 2011. "Legal status of immigrants and criminal behavior: evidence from a natural experiment," Temi di discussione (Economic working papers) 813, Bank of Italy, Economic Research and International Relations Area.
  1248. Qian, Junhui & Su, Liangjun, 2014. "Structural change estimation in time series regressions with endogenous variables," Economics Letters, Elsevier, vol. 125(3), pages 415-421.
  1249. Meller, Barbara & Metiu, Norbert, 2015. "The synchronization of European credit cycles," Discussion Papers 20/2015, Deutsche Bundesbank, Research Centre.
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