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Citations for "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative"

by Andrews, Donald W K & Ploberger, Werner

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  1. Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre.
  2. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1719-1760, December.
  3. Rebeca Jimenez-Rodriguez & Marcelo Sanchez, 2005. "Oil price shocks and real GDP growth: empirical evidence for some OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 201-228.
  4. Renee Fry-McKibbin & Sumila Wanaguru, 2012. "Currency Intervention: A Case Study of an Emerging Market," CAMA Working Papers 2012-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. 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.
  6. Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
  7. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
  8. Alam, Mohammad Jahangir & Begum, Ismat Ara, 2012. "World and Bangladesh Rice Market Integration: An Application of Threshold Cointegration and Threshold Vector Error Correction Model (TVECM)," 86th Annual Conference, April 16-18, 2012, Warwick University, Coventry, UK 135119, Agricultural Economics Society.
  9. Hansen, Bruce E., 1996. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 12(02), pages 347-359, June.
  10. repec:kie:kieliw:1235 is not listed on IDEAS
  11. Mohitosh Kejriwal & Claude Lopez, 2009. "Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation," Purdue University Economics Working Papers 1227, Purdue University, Department of Economics.
  12. Chakraborty, Avik, 2009. "Learning, The Forward Premium Puzzle, And Market Efficiency," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 31-57, May.
  13. Ulrich Fritsche & Vladimir Kuzin, 2005. "Declining Output Volatility in Germany: Impulses, Propagation, and the Role of the Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2005 70, Money Macro and Finance Research Group.
  14. Maria-Helena A. Dias & Joilson Dias & Charles L. Evans, 2004. "Estimation Of The Cyclical Component Of Economic Time Series," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 104, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  15. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
  16. Helmut Lütkepohl & George Milunivich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers of DIW Berlin 1632, DIW Berlin, German Institute for Economic Research.
  17. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
  18. Kurozumi, Eiji & Arai, Yoichi, 2005. "Efficient Estimation and Inference in Cointegrating Regressions with Structural Change," Discussion Papers 2004-09, Graduate School of Economics, Hitotsubashi University.
  19. Barhoumi, K. & Jouini, J., 2008. "Revisiting the Decline i he Exchange Rate Pass-Through: Further Evidence from Developing Countries," Working papers 213, Banque de France.
  20. Yunjong Eo & James Morley, 2013. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," Discussion Papers 2013-12, School of Economics, The University of New South Wales.
  21. Huang, Bwo-Nung & Hwang, M.J. & Yang, C.W., 2008. "Does more energy consumption bolster economic growth An application of the nonlinear threshold regression model," Energy Policy, Elsevier, vol. 36(2), pages 755-767, February.
  22. Lamarche, Jean-Francois, 2003. "A robust bootstrap test under heteroskedasticity," Economics Letters, Elsevier, vol. 79(3), pages 353-359, June.
  23. D van Dijk & D R Osborn & M Sensier, 2002. "Changes in variability of the business cycle in the G7 countries," The School of Economics Discussion Paper Series 0204, Economics, The University of Manchester.
  24. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2014. "The relationship between debt level and fiscal sustainability in OECD countries," Working Papers 1402, Department of Applied Economics II, Universidad de Valencia.
  25. Boetel, Brenda L. & Hoffmann, Ruben & Liu, Donald J., 2004. "Estimating Investment Rigidity Within A Threshold Regression Framework: The Case Of U.S. Hog Production Sector," Staff Papers 13790, University of Minnesota, Department of Applied Economics.
  26. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  27. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
  28. Dong Jin Lee, 2011. "Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary," Working papers 2011-05, University of Connecticut, Department of Economics.
  29. Amalia Morales Zumaquero & Simón Sosvilla Rivero, 2006. "Macroeconomic Instability in the European Monetary System?," Economic Working Papers at Centro de Estudios Andaluces E2006/06, Centro de Estudios Andaluces.
  30. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  31. Jamie Emerson & Chihwa Kao, 2000. "Testing for Structural Change of a Time Trend Regression in Panel Data," Center for Policy Research Working Papers 15, Center for Policy Research, Maxwell School, Syracuse University.
  32. Seong Yeon Chang & Pierre Perron, 2014. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series wp2015-011, Boston University - Department of Economics, revised 20 Sep 2015.
  33. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
  34. Jammazi, Rania & Reboredo, Juan C., 2016. "Dependence and risk management in oil and stock markets. A wavelet-copula analysis," Energy, Elsevier, vol. 107(C), pages 866-888.
  35. Curtis, Charles E., Jr. & Isengildina-Massa, Olga & Hummel, Andrew, 2007. "Is there a "Right" Time to Buy Options Pre-Harvest?," 2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama 34941, Southern Agricultural Economics Association.
  36. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  37. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models," Economics Working Papers 1476, Department of Economics and Business, Universitat Pompeu Fabra.
  38. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2000. "Does Institutional Change Really Matter? Inflation Targets, Central Bank Reform and Interest Rate Policy in the OECD Countries," CESifo Working Paper Series 278, CESifo Group Munich.
  39. Camacho Maximo & Perez Quiros Gabriel, 2007. "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(4), pages 1-39, December.
  40. Donald W. K. Andrews & Xu Cheng, 2012. "Estimation and Inference With Weak, Semi‐Strong, and Strong Identification," Econometrica, Econometric Society, vol. 80(5), pages 2153-2211, 09.
  41. Roy Cerqueti & Mauro Costantini & Luciano Gutierrez, 2009. "New panel tests to assess inflation persistence," Working Papers 54-2009, Macerata University, Department of Finance and Economic Sciences, revised Oct 2009.
  42. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
  43. Abbas, Syed K. & Bhattacharya, Prasad Sankar & Sgro, Pasquale, 2016. "The new Keynesian Phillips curve: An update on recent empirical advances," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 378-403.
  44. 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.
  45. Mehmet Balcilar & İsmail H. Genç & Rangan Gupta, 2016. "The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests," Working Papers 201644, University of Pretoria, Department of Economics.
  46. Su, Liangjun & White, Halbert, 2014. "Testing conditional independence via empirical likelihood," Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
  47. Gallego, Francisco & Montero, Juan-Pablo & Salas, Christian, 2013. "The effect of transport policies on car use: Evidence from Latin American cities," Journal of Public Economics, Elsevier, vol. 107(C), pages 47-62.
  48. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(4), pages 324-346, September.
  49. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2006. "The New Keynesian Phillips Curve: from Sticky Inflation to Sticky Prices," Centre for Growth and Business Cycle Research Discussion Paper Series 78, Economics, The Univeristy of Manchester.
  50. Octavio Fern?ndez-Amador & Josef Baumgartner & Jes?s Crespo-Cuaresma, 2010. "Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," Working Papers 2010-21, Faculty of Economics and Statistics, University of Innsbruck.
  51. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
  52. 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.
  53. Bian, G. & McAleer, M.J. & Wong, W-K., 2010. "A Trinomial Test for Paired Data When There are Many Ties," Econometric Institute Research Papers EI 2010-68, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  54. Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega, 2007. "Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience," Working Papers 2007-01, Banco de México.
  55. Clark, Todd E. & McCracken, Michael W., 2006. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1127-1148, August.
  56. 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.
  57. 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.
  58. Jin, Hao & Tian, Zheng & Qin, Ruibing, 2009. "Subsampling tests for the mean change point with heavy-tailed innovations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2157-2166.
  59. 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.
  60. Beggs, Alan & Graddy, Kathryn, 2005. "Testing for Reference Dependence: An Application to the Art Market," CEPR Discussion Papers 4982, C.E.P.R. Discussion Papers.
  61. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
  62. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.
  63. Khundrakpam, Jeevan Kumar, 2008. "Have Economic Reforms Affected Exchange Rate Pass-Through to Prices in India?," MPRA Paper 51658, University Library of Munich, Germany, revised Apr 2008.
  64. Bussiere Matthieu & Chudik Alexander & Mehl Arnaud, 2013. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro’s creation?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 1-48, April.
  65. Serletis, Apostolos & Xu, Libo, 2016. "Volatility and a century of energy markets dynamics," Energy Economics, Elsevier, vol. 55(C), pages 1-9.
  66. Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta, 2013. "Housing and the Business Cycle in South Africa," Working Papers 201323, University of Pretoria, Department of Economics.
  67. Yunus Aksoy & Tomasz Piskorski, 2004. "U.S. Domestic Money, Inflation and Output," Macroeconomics 0401007, EconWPA.
  68. Gabreyohannes, Emmanuel, 2010. "A nonlinear approach to modelling the residential electricity consumption in Ethiopia," Energy Economics, Elsevier, vol. 32(3), pages 515-523, May.
  69. Andrés González & Timo Teräsvirta, 2006. "Simulation-based Finite Sample Linearity Test against Smooth Transition Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 797-812, December.
  70. Lin Chang-Ching & Ng Serena, 2012. "Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 1-14, August.
  71. Jaya Krishnakumar & David Neto, 2005. "Partial Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2005.04, Institut d'Economie et Econométrie, Université de Genève, revised Aug 2006.
  72. Carolina Osorio & Filiz D Unsal, 2011. "Inflation Dynamics in Asia; Causes, Changes, and Spillovers From China," IMF Working Papers 11/257, .
  73. Ray C. Fair, 1996. "Testing the Standard View of the Long-Run Unemployment-Inflation Relationship," Cowles Foundation Discussion Papers 1121, Cowles Foundation for Research in Economics, Yale University.
  74. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  75. Thomas Laubach and John C. Williams, 2001. "Measuring the Natural Rate of Interest," Computing in Economics and Finance 2001 35, Society for Computational Economics.
  76. Alastair R. Hall & Sanggohn Han & Otilia Boldea, 2009. "Inference regarding multiple structural changes in linear models with endogenous regressors," Centre for Growth and Business Cycle Research Discussion Paper Series 125, Economics, The Univeristy of Manchester.
  77. Carlos Santos & Maria Alberta Oliveira, 2010. "Assessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modelling," Applied Economics, Taylor & Francis Journals, vol. 42(12), pages 1577-1589.
  78. Richard S. J. Tol & Francisco Estrada & Carlos Gay-García, 2012. "The persistence of shocks in GDP and the estimation of the potential economic costs of climate change," Working Paper Series 4312, Department of Economics, University of Sussex.
  79. Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  80. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(3), pages 439-456, September.
  81. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  82. Bystrov, Victor, 2013. "A factor-augemented model of markup on mortgage loans in Poland," MPRA Paper 49683, University Library of Munich, Germany.
  83. Ming-Hsien YANG & Chih-She WU, 2015. "Revisit Export and GDP Nexus in China and Taiwan: A Rolling Window Granger Causality Test," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(604), A), pages 75-92, Autumn.
  84. Rania Hentati Kaffel & Philippe De Peretti, 2015. "Generalized Runs Tests to Detect Randomness in Hedge Funds Returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01161666, HAL.
  85. Steven Fazzari & James Morley & Irina Panovska, 2013. "State-Dependent Effects of Fiscal Policy," Discussion Papers 2012-27A, School of Economics, The University of New South Wales.
  86. 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.
  87. 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.
  88. Javier Hidalgo & Marcia M Schafgans, 2015. "Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence," STICERD - Econometrics Paper Series /2015/583, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  89. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
  90. Giulio Cainelli & Andrea Fracasso & Giuseppe Vittucci Marzetti, 2012. "Spatial agglomeration and productivity in Italy: a panel smooth transition regression approach," Openloc Working Papers 1204, Public policies and local development.
  91. Kim Chang-Jin & Kim Yunmi, 2008. "Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-20, September.
  92. Gonzalo, Jesús & Dolado, Juan José & Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de Economía.
  93. Rafael González-Val & Jose Olmo, 2011. "Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?," Working Papers XREAP2011-21, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2011.
  94. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
  95. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
  96. 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.
  97. 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.
  98. Cooper, Suzanne & Piehl, Anne Morrison & Braga, Anthony & Kennedy, David, 2001. "Testing for Structural Breaks in the Evaluation of Programs," Working Paper Series rwp01-019, Harvard University, John F. Kennedy School of Government.
  99. 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.
  100. Xu Han & Atsushi Inoue, 2011. "Tests for Parameter Instability in Dynamic Factor Models," TERG Discussion Papers 306, Graduate School of Economics and Management, Tohoku University, revised May 2013.
  101. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
  102. Paolo Zagaglia, 2010. "Informed Trading in the Euro Money Market for Term Lending," Working Paper Series 02_10, The Rimini Centre for Economic Analysis.
  103. Crespo-Cuaresma, Jesus, 2000. "Forecasting European GDP Using Self-Exciting Threshold Autoregressive Models. A Warning," Economics Series 79, Institute for Advanced Studies.
  104. Nagayasu, Jun, 2016. "Commonality and Heterogeneity in Real Effective Exchange Rates: Evidence from Advanced and Developing Countries," MPRA Paper 70078, University Library of Munich, Germany.
  105. Haghani, Shermineh, 2014. "Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 291-320.
  106. António Afonso & João Tovar Jalles, 2011. "A Longer-run Perspective on Fiscal Sustainability," Working Papers Department of Economics 2011/17, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  107. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
  108. Z. Yejim Giirbiiz & Thomas Jobert & Ruhi Tuncer, 2008. "The Turkish Experience in Inflation Targeting: Uncertainties and the Efficiency of Monetary Policy," Economie Internationale, CEPII research center, issue 116, pages 127-146.
  109. 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.
  110. Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
  111. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  112. Helge Berger & Jakob de Haan & Jan-Egbert Sturm, 2006. "Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication," KOF Working papers 06-125, KOF Swiss Economic Institute, ETH Zurich.
  113. M. Hashem Pesaran & Allan Timmermann, 2006. "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series 1770, CESifo Group Munich.
  114. Bluhm R & Crombrugghe D.P.I. de & Szirmai A., 2013. "Do weak institutions prolong crises? : On the identification, characteristics, and duration of declines during economic slumps," MERIT Working Papers 069, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  115. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
  116. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
  117. Pierre Perron & Tomoyoshi Yabu, 2007. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-025, Boston University - Department of Economics.
  118. repec:fgv:epgrbe:v:68:n:3:a:6 is not listed on IDEAS
  119. P. Indira Devi & K.R. Shanmugam & M.G. Jayasree, 2012. "Compensating Wages for Occupational Risks of Farm Workers in India," Working Papers 2012-071, Madras School of Economics,Chennai,India.
  120. Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis.
  121. Matteo Manera & Margherita Grasso, 2005. "Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship," Working Papers 2005.75, Fondazione Eni Enrico Mattei.
  122. Forchini, Giovanni, 2005. "Optimal weighted average power similar tests for the covariance structure in the linear regression model," Journal of Econometrics, Elsevier, vol. 124(2), pages 253-267, February.
  123. Claudio Soto & Luis F. Céspedes, 2006. "Credibility and Inflation Targeting in Chile," Working Papers Central Bank of Chile 408, Central Bank of Chile.
  124. González Gómez, Andrés, 2004. "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
  125. 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".
  126. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  127. Marcos Sanso-Navarro, 2011. "Broken trend stationarity of hours worked," Post-Print hal-00712742, HAL.
  128. Anh D. M. Nguyen & Jemma Dridi & Filiz D Unsal & Oral Williams, 2015. "On the Drivers of Inflation in Sub-Saharan Africa," IMF Working Papers 15/189, .
  129. José M. Campa & Linda S. Goldberg & José M. González-Mínguez, 2005. "Exchange rate pass through to import prices in the euro area," Working Papers 0538, Banco de España;Working Papers Homepage.
  130. Yonghui Zhang & Liangjun Su & Peter C.B. Phillips, 2011. "Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects," Cowles Foundation Discussion Papers 1832, Cowles Foundation for Research in Economics, Yale University.
  131. Takatoshi Ito & Kimie Harada, 2005. "Japan premium and stock prices: two mirrors of Japanese banking crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 195-211.
  132. Robert W. Rich & Donald Rissmiller, 2001. "Structural change in U.S. wage determination," Staff Reports 117, Federal Reserve Bank of New York.
  133. Giovanni Forchini, 2005. "Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model," Monash Econometrics and Business Statistics Working Papers 20/05, Monash University, Department of Econometrics and Business Statistics.
  134. Olusegun A. Omisakin & Abimbola M. Oyinlola & Oluwatosin A. Adeniyi, 2012. "Modeling Gasoline Demand with Structural Breaks:New Evidence from Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 2(1), pages 1-9.
  135. Amusa, Kafayat & Gupta, Rangan & Karolia, Shaakira & Simo-Kengne, Beatrice D., 2013. "The long-run impact of inflation in South Africa," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 798-812.
  136. Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics.
  137. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," The School of Economics Discussion Paper Series 1326, Economics, The University of Manchester.
  138. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016. "Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries," Working Papers 201608, University of Pretoria, Department of Economics.
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  831. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  832. Jesús Crespo Cuaresma & Gerhard Reitschuler, 2004. "A non-linear defence-growth nexus? evidence from the US economy," Defence and Peace Economics, Taylor & Francis Journals, vol. 15(1), pages 71-82, February.
  833. Lee, Dong Jin & Son, Jong Chil, 2013. "Nonlinearity and structural breaks in monetary policy rules with stock prices," Economic Modelling, Elsevier, vol. 31(C), pages 1-11.
  834. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  835. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
  836. Kandemir Kocaaslan, Ozge, 2013. "The causal link between energy and output growth: Evidence from Markov switching Granger causality," Energy Policy, Elsevier, vol. 63(C), pages 1196-1206.
  837. Song, Peter X.-K. & Freeland, R. Keith & Biswas, Atanu & Zhang, Shulin, 2013. "Statistical analysis of discrete-valued time series using categorical ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 112-124.
  838. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
  839. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  840. Nagayasu, Jun, 2015. "Global and country-specific factors in real effective exchange rates," MPRA Paper 64217, University Library of Munich, Germany.
  841. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  842. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
  843. repec:dau:papers:123456789/7936 is not listed on IDEAS
  844. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  845. repec:onb:oenbwp:y:2004:i:1:b:1 is not listed on IDEAS
  846. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  847. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  848. Zaklan, Aleksandar & Abrell, Jan & Neumann, Anne, 2016. "Stationarity changes in long-run energy commodity prices," Energy Economics, Elsevier, vol. 59(C), pages 96-103.
  849. Ralf Becker & Denise R. Osborn, 2012. "Weighted Smooth Transition Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 795-811, 08.
  850. Carneiro,Francisco Galrao & Garrido,Leonardo, 2015. "New evidence on the cyclicality of fiscal policy," Policy Research Working Paper Series 7293, The World Bank.
  851. Hsu, Chih-Chiang, 2001. "Change point estimation in regressions with I(d) variables," Economics Letters, Elsevier, vol. 70(2), pages 147-155, February.
  852. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  853. David Berger, 2012. "Countercyclical Restructuring and Jobless Recoveries," 2012 Meeting Papers 1179, Society for Economic Dynamics.
  854. Philip Borkin, 2006. "Past, Present and Future Developments in New Zealand’s Terms of Trade," Treasury Working Paper Series 06/09, New Zealand Treasury.
  855. Perron, Pierre, 1997. "L’estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 457-505, mars-juin.
  856. 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.
  857. Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
  858. 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.
  859. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  860. Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
  861. Zhang, Chengsi & Clovis, Joel, 2010. "China inflation dynamics: Persistence and policy regimes," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 373-388, May.
  862. Herrerias, M.J. & Liu, G., 2013. "Electricity intensity across Chinese provinces: New evidence on convergence and threshold effects," Energy Economics, Elsevier, vol. 36(C), pages 268-276.
  863. Jürgen Kromphardt & Camille Logeay, 2011. "Flattening of the Phillips Curve: Estimations and consequences for economic policy," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 8(1), pages 43-67.
  864. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris West - Nanterre la Défense, EconomiX.
  865. Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
  866. 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.
  867. 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.
  868. Hu Liang & Shin Yongcheol, 2008. "Optimal Test for Markov Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-27, September.
  869. 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.
  870. Ines TROJETTE, 2016. "The Effect Of Foreign Direct Investment On Economic Growth: The Institutional Threshold," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 43, pages 111-138.
  871. Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
  872. Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien, 2008. "Nonparametric simultaneous testing for structural breaks," Journal of Econometrics, Elsevier, vol. 143(1), pages 123-142, March.
  873. Fabio ALESSANDRINI, 2003. "Some Additional Evidence from the Credit Channel on the Response to Monetary Shocks: Looking for Asymmetries," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.04, Université de Lausanne, Faculté des HEC, DEEP.
  874. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
  875. Begum, Nelufa & King, Maxwell L., 2005. "Most mean powerful test of a composite null against a composite alternative," Computational Statistics & Data Analysis, Elsevier, vol. 49(4), pages 1079-1104, June.
  876. D.K. Srivastava & K.R. Shanmugam, 2012. "Stationarity Test for Aggregate Outputs in the Presence of Structural Breaks," Working Papers 2012-072, Madras School of Economics,Chennai,India.
  877. Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
  878. Mugera, Harriet & Gilbert, Christopher, 2015. "Structural Change in the Relationship Between Energy and Food Prices," 2015 Conference, August 9-14, 2015, Milan, Italy 212505, International Association of Agricultural Economists.
  879. Delgado, Miguel A. & Hidalgo, Javier, 2000. "Nonparametric inference on structural breaks," Journal of Econometrics, Elsevier, vol. 96(1), pages 113-144, May.
  880. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001. "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, vol. 72(1), pages 11-18, July.
  881. Artur Tarassow, 2015. "Financial Investment Constraints. A Panel Threshold Application to German Firm Level Data," Macroeconomics and Finance Series 201405, Hamburg University, Department Wirtschaft und Politik.
  882. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
  883. Chengsi Zhang & Joel Clovis, 2009. "Modeling China Inflation Persistence," Annals of Economics and Finance, Society for AEF, vol. 10(1), pages 89-110, May.
  884. 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.
  885. 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.
  886. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
  887. Timo Bettendorf, 2012. "Investigating Global Imbalances: Empirical Evidence from a GVAR Approach," Studies in Economics 1217, School of Economics, University of Kent.
  888. John W. Keating, 2013. "What Do We Learn from Blanchard and Quah Decompositions If Aggregate Demand May Not be Long-Run Neutral?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201302, University of Kansas, Department of Economics.
  889. 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.
  890. Anthony Makin & Paresh Narayan, 2013. "Re-examining the “twin deficits” hypothesis: evidence from Australia," Empirical Economics, Springer, vol. 45(2), pages 817-829, October.
  891. Heeho Kim & SaeWoon Park & Sun Hye Lee, 2012. "House Price and Bank Lending in a Premium Submarket in Korea," International Real Estate Review, Asian Real Estate Society, vol. 15(1), pages 1-42.
  892. repec:kie:kieliw:1354 is not listed on IDEAS
  893. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  894. Harounan Kazianga & Leigh Linden & Ali Protik & Matt Sloan, 2016. "The Medium-Term Impacts of Girl-Friendly Schools: Seven-Year Evidence from School Construction in Burkina Faso," Development Working Papers 406, Centro Studi Luca d'Agliano, University of Milano, revised 11 Nov 2016.
  895. repec:onb:oenbwp:y::i:50:b:1 is not listed on IDEAS
  896. Chunpeng Fan & Jason Fine & Jong-Hyeon Jeong, 2012. "Optimal inferences for proportional hazards model with parametric covariate transformations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 715-736, August.
  897. Caglayan, Mustafa & Kandemir Kocaaslan, Ozge & Mouratidis, Kostas, 2016. "Financial Depth and the Asymmetric Impact of Monetary Policy," MPRA Paper 75250, University Library of Munich, Germany, revised Aug 2016.
  898. Harvey, David I. & Leybourne, Stephen J., 2015. "Confidence sets for the date of a break in level and trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 184(2), pages 262-279.
  899. Julian Ramajo & Miguel A. Marquez, 1998. "Structural change in regional economies: A varying coefficients econometric modeling approach," ERSA conference papers ersa98p189, European Regional Science Association.
  900. Jamel Jouini, 2010. "Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration," Statistical Papers, Springer, vol. 51(1), pages 85-109, January.
  901. Samih Antoine Azar & Angelic Salha, 2017. "The Bias in the Long Run Relation between the Prices of BRENT and West Texas Intermediate Crude Oils," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 44-54.
  902. Gonzalo, Jesús & Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
  903. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.
  904. Jeon, Jin Q. & Lee, Cheolwoo, 2015. "A new measure for heated negotiation in the IPO syndicate," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 278-304.
  905. Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
  906. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
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