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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. Aksoy, Yunus & Piskorski, Tomasz, 2006. "U.S. domestic money, inflation and output," Journal of Monetary Economics, Elsevier, vol. 53(2), pages 183-197, March.
  2. Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers 96, Center for Policy Research, Maxwell School, Syracuse University.
  3. Jamel JOUINI & Karim BARHOUMI, 2008. "Revisiting the decline in the exchange rate pass-through: further evidence from developing countries," Economics Bulletin, AccessEcon, vol. 3(20), pages 1-10.
  4. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  5. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  6. González, Andrés & Teräsvirta, Timo & van Dijk, Dick, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics.
  7. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
  8. Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December.
  9. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  10. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  11. 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.
  12. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
  13. 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.
  14. Ghysels, Eric & Guay, Alain, 2003. "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
  15. Marcos Sanso-Navarro, 2011. "Broken trend stationarity of hours worked," Post-Print hal-00712742, HAL.
  16. Enders, Walter & Holt, Matthew T., 2011. "Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals," MPRA Paper 31461, University Library of Munich, Germany.
  17. Gerlach, Stefan & Tillmann, Peter, 2010. "Inflation Targeting and Inflation Persistence in Asia," CEPR Discussion Papers 8046, C.E.P.R. Discussion Papers.
  18. 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.
  19. Gerhard Reitschuler & Ludger J. Löning, 2004. "Modeling the Defense-Growth Nexus in a Post-Conflict Country - A Piecewise Linear Approach," Ibero America Institute for Econ. Research (IAI) Discussion Papers 097, Ibero-America Institute for Economic Research.
  20. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM.
  21. Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 307-326.
  22. Yavuz, Nilgun Cil & Guris, Burak & Yilanci, Veli, 2007. "Searching threshold effects in the interest rate: An application to Turkey case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 621-627.
  23. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2015. "Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 286-327, March.
  24. 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.
  25. 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.
  26. Peter Tillmann, 2010. "The changing nature of inflation persistence in Switzerland," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(4), pages 445-453, November.
  27. repec:spr:qualqt:v:51:y:2017:i:3:d:10.1007_s11135-016-0341-2 is not listed on IDEAS
  28. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  29. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
  30. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  31. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
  32. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
  33. 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.
  34. Dees, Stéphane, 2016. "Credit, asset prices and business cycles at the global level," Economic Modelling, Elsevier, vol. 54(C), pages 139-152.
  35. Anne Morrison Piehl & Suzanne J. Cooper & Anthony A. Braga & David M. Kennedy, 2003. "Testing for Structural Breaks in the Evaluation of Programs," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 550-558, August.
  36. 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.
  37. Slimani, Slah & Bakari, Sayef & Othmani, Abdelhafidh, 2015. "Croissance et Soutenabilité de la Dette Extérieure Tunisienne pour la Période 1970-2012 : Une Analyse Dynamique
    [Growth and Sustainability of Tunisian External Debt for the Period 1970-2012: A Dyna
    ," MPRA Paper 80954, University Library of Munich, Germany.
  38. Zhang, Chengsi & Clovis, Joel, 2010. "China inflation dynamics: Persistence and policy regimes," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 373-388, May.
  39. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
  40. Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, vol. 84(1), pages 155-199, May.
  41. Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
  42. 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.
  43. Hervé Le Bihan, 2004. "Tests de rupture : une application au PIB tendanciel français," Economie & Prévision, La Documentation Française, vol. 163(2), pages 133-154.
  44. Boschi, Melisso & Girardi, Alessandro, 2011. "The contribution of domestic, regional and international factors to Latin America's business cycle," Economic Modelling, Elsevier, vol. 28(3), pages 1235-1246, May.
  45. Max Gillman & Anton Nakov, 2004. "Granger causality of the inflation-growth mirror in accession countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(4), pages 653-681, December.
  46. Dayong Zhang & Yu Wu, 2012. "Household Savings, the Stock Market, and Economic Growth in China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(2), pages 44-58, March.
  47. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  48. Le Pen, Yannick, 2011. "A pair-wise approach to output convergence between European regions," Economic Modelling, Elsevier, vol. 28(3), pages 955-964, May.
  49. Octavio Fernández Amador & Josef Baumgartner & Jesús Crespo Cuaresma, "undated". "Milking the Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," WIFO Working Papers 378, WIFO.
  50. Orley Ashenfelter & Daniel Hosken & Matthew Weinberg, 2009. "Generating Evidence to Guide Merger Enforcement," CPI Journal, Competition Policy International, vol. 5.
  51. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  52. 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.
  53. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  54. Michael Ehrmann & Marcel Fratzscher, 2005. "Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States," Economic Journal, Royal Economic Society, vol. 115(506), pages 928-948, October.
  55. Zhiwei Zhang, 2002. "Corporate Bond Spreads and the Business Cycle," Staff Working Papers 02-15, Bank of Canada.
  56. Aye, Goodness C. & Balcilar, Mehmet & El Montasser, Ghassen & Gupta, Rangan & Manjez, Nangamso C., 2016. "Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del b," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(1), pages 11-32.
  57. Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, 07.
  58. 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.
  59. Gerard O'Reilly & Karl Whelan, 2005. "Has Euro-Area Inflation Persistence Changed Over Time?," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 709-720, November.
  60. Graham Elliott & Michael Jansson & Elena Pesavento, 2005. "Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 34-48, January.
  61. Jondeau, E. & Le Bihan, H., 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data," Working papers 86, Banque de France.
  62. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production," Globalization and Monetary Policy Institute Working Paper 295, Federal Reserve Bank of Dallas.
  63. Camarero, Mariam & Carrion-i-Silvestre, Josep Lluís & Tamarit, Cecilio, 2013. "Global imbalances and the intertemporal external budget constraint: A multicointegration approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5357-5372.
  64. Jan Gottschalk & Ulrich Fritsche, 2005. "The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?," Discussion Papers of DIW Berlin 521, DIW Berlin, German Institute for Economic Research.
  65. Brenda L. Boetel & Ruben Hoffmann & Donald J. Liu, 2007. "Estimating Investment Rigidity within a Threshold Regression Framework: The Case of U.S. Hog Production Sector," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(1), pages 36-51.
  66. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.
  67. Thomas Laubach & John C. Williams, 2003. "Measuring the Natural Rate of Interest," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November.
  68. 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.
  69. Francisco Estrada & Víctor Guerrero & Carlos Gay-García & Benjamín Martínez-López, 2013. "A cautionary note on automated statistical downscaling methods for climate change," Climatic Change, Springer, vol. 120(1), pages 263-276, September.
  70. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
  71. Duarte, A. & Venetis, I. & Payá, I., 2004. "Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-21, Abril.
  72. Raffaella Giacomini & Barbara Rossi, 2009. "Detecting and Predicting Forecast Breakdowns," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 669-705.
  73. M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," The School of Economics Discussion Paper Series 0103, Economics, The University of Manchester.
  74. 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.
  75. Woon Gyu Choi & Michael B. Devereux, 2006. "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," IMF Staff Papers, Palgrave Macmillan, vol. 53(si), pages 1-8.
  76. Maki, Daiki, 2010. "An alternative procedure to test for cointegration in STAR models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(5), pages 999-1006.
  77. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
  78. William Miles, 2009. "Housing Investment and the U.S. Economy: How Have the Relationships Changed?," Journal of Real Estate Research, American Real Estate Society, vol. 31(3), pages 329-350.
  79. Davinson Stev Abril Salcedo & Luis Fernando Melo Velandia & Daniel Parra Amado, 2015. "Heterogeneidad de los Índices de Producción Sectoriales de la Industria Colombiana," BORRADORES DE ECONOMIA 012973, BANCO DE LA REPÚBLICA.
  80. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“On the bi-directional causal relationship between public debt and economic growth in EMU countries”," IREA Working Papers 201512, University of Barcelona, Research Institute of Applied Economics, revised May 2015.
  81. 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.
  82. Czech, Katarzyna, 2016. "Structural Changes in Wheat Market," Problems of World Agriculture / Problemy Rolnictwa Światowego, Wydział Nauk Ekonomicznych, Uniwersytet Warszawski, vol. 16(31).
  83. Vaona, Andrea, 2012. "Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: The (ir)relevance of structural breaks," Energy Policy, Elsevier, vol. 45(C), pages 226-236.
  84. John G. Fernald, 2005. "Trend breaks, long-run restrictions, and the contractionary effects of technology improvements," Working Paper Series 2005-21, Federal Reserve Bank of San Francisco.
  85. Fracasso, Andrea & Vittucci Marzetti, Giuseppe, 2015. "International trade and R&D spillovers," Journal of International Economics, Elsevier, vol. 96(1), pages 138-149.
  86. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
  87. Guidolin, Massimo & Tam, Yu Man, 2013. "A yield spread perspective on the great financial crisis: Break-point test evidence," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 18-39.
  88. Cashin, Paul & Mohaddes, Kamiar & Raissi, Maziar & Raissi, Mehdi, 2014. "The differential effects of oil demand and supply shocks on the global economy," Energy Economics, Elsevier, vol. 44(C), pages 113-134.
  89. 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.
  90. Hammami, Yacine & Bahri, Maha, 2016. "On the determinants of expected corporate bond returns in Tunisia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 224-235.
  91. González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
  92. Franses, Philip Hans & van Oest, Rutger, 2007. "On the econometrics of the geometric lag model," Economics Letters, Elsevier, vol. 95(2), pages 291-296, May.
  93. Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
  94. Ayako Saiki, 2015. "The Endogeneity of Exchange Rate Pass-Through: Some European Evidence," Open Economies Review, Springer, vol. 26(5), pages 893-909, November.
  95. Taniya Ghosh & Soumya Bhadury, 2017. "Money's causal role in exchange rate: Do Divisia monetary aggregates explain more?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2017-010, Indira Gandhi Institute of Development Research, Mumbai, India.
  96. Kurozumi Eiji, 2015. "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 1-35, January.
  97. Serena Ng & Timothy Vogelsang, 2002. "Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 353-381.
  98. Giancarlo Corsetti & Michael P. Devereux & John Hassler & Tim Jenkinson & Gilles Saint-Paul & Hans-Werner Sinn & Jan-Egbert Sturm & Xavier Vives, 2009. "Chapter 1: The European Economy: Macroeconomic Outlook and Policy," EEAG Report on the European Economy, CESifo Group Munich, vol. 0, pages 11-57, 02.
  99. Arusha Cooray & Antonio Paradiso, 2012. "The level and growth effects in empirical growth models for the Nordic countries: A knowledge economy approach," CAMA Working Papers 2012-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  100. Albert J.F. Yang & William N. Trumbull & Chin Wei Yang & Bwo‐Nung Huang, 2011. "On The Relationship Between Military Expenditure, Threat, And Economic Growth: A Nonlinear Approach," Defence and Peace Economics, Taylor & Francis Journals, vol. 22(4), pages 449-457, April.
  101. 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.
  102. Marcellino, Massimliano, 2004. "Forecasting EMU macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 20(2), pages 359-372.
  103. Youngki Shin, 2009. "Misspecified Markov Switching Model," Economics Bulletin, AccessEcon, vol. 29(2), pages 957-963.
  104. Charles Ka Yui Leung & Patrick Wai Yin Cheung & Edward Chi Ho Tang, 2013. "Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis?," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 68-118.
  105. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  106. Million, N., 2008. "Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d.intérêt réel américain," Working papers 201, Banque de France.
  107. Raihan, Selim & Abdullah, S M & Barkat, Aroni & Siddiqua, Salina, 2017. "Mean Reversion of the Real Exchange Rate and the validity of PPP Hypothesis in the context of Bangladesh: A Holistic Approach," MPRA Paper 77172, University Library of Munich, Germany.
  108. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 505-528, December.
  109. Zagaglia, Paolo, 2006. "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics 2006:5, Stockholm University, Department of Economics.
  110. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
  111. Kevin J. Stiroh, 2002. "Information Technology and the U.S. Productivity Revival: What Do the Industry Data Say?," American Economic Review, American Economic Association, vol. 92(5), pages 1559-1576, December.
  112. repec:ebl:ecbull:v:3:y:2008:i:46:p:1-18 is not listed on IDEAS
  113. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
  114. Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
  115. 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.
  116. Gerlach, Stefan & Tillmann, Peter, 2012. "Inflation targeting and inflation persistence in Asia–Pacific," Journal of Asian Economics, Elsevier, vol. 23(4), pages 360-373.
  117. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  118. Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
  119. Peter Tillmann, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers bgse27_2003, University of Bonn, Germany.
  120. Yélou, Clément & Larue, Bruno & Tran, Kien C., 2010. "Threshold effects in panel data stochastic frontier models of dairy production in Canada," Economic Modelling, Elsevier, vol. 27(3), pages 641-647, May.
  121. 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.
  122. repec:eee:rujoec:v:1:y:2015:i:4:p:386-403 is not listed on IDEAS
  123. Ogura, Manami, 2011. "Testing for structural break in Japanese demand system after the bubble era," Structural Change and Economic Dynamics, Elsevier, vol. 22(3), pages 277-286, September.
  124. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  125. Han, Xu & Inoue, Atsushi, 2015. "Tests For Parameter Instability In Dynamic Factor Models," Econometric Theory, Cambridge University Press, vol. 31(05), pages 1117-1152, October.
  126. Olmo, Jose & Pilbeam, Keith & Pouliot, William, 2011. "Detecting the presence of insider trading via structural break tests," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2820-2828, November.
  127. Guntram B. Wolff & Alexander Schulz, 2008. "Sovereign bond market integration: the euro, trading platforms and globalisation," European Economy - Economic Papers 2008 - 2015 332, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  128. 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.
  129. Helge Berger & Jakob de Haan & Jan‐Egbert Sturm, 2011. "Does money matter in the ECB strategy? New evidence based on ECB communication," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(1), pages 16-31, 01.
  130. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  131. repec:fgv:epgrbe:v:68:n:3:a:6 is not listed on IDEAS
  132. Miljkovic, Dragan & Dalbec, Nathan & Zhang, Lei, 2016. "Estimating dynamics of US demand for major fossil fuels," Energy Economics, Elsevier, vol. 55(C), pages 284-291.
  133. Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015. "Temporal causality between house prices and output in the US: A bootstrap rolling-window approach," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 55-73.
  134. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  135. Amr S. Hosny & N. Kundan Kishor & Mohsen Bahmani-Oskooee, 2015. "Understanding the dynamics of the macroeconomic trilemma," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 32-64, January.
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  825. Dima Bogda & Pirtea Marilen & Murgea Aurora & Mura Petru Ovidiu, 2008. "Recent Changes On Romanian Capital Market’S Volatility In The Framework Of A Component Garch Model," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(10), pages 1-25.
  826. Douglas Hodgson, 2011. "A test for the presence of central bank intervention in the foreign exchange market with an application to the Bank of Canada," Empirical Economics, Springer, vol. 41(3), pages 681-701, December.
  827. repec:pri:cepsud:183ashenfelter is not listed on IDEAS
  828. Aßmann, Christian & Boysen-Hogrefe, Jens, 2009. "A bayesian approach to model-based clustering for panel probit models," Economics Working Papers 2009,03, Christian-Albrechts-University of Kiel, Department of Economics.
  829. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
  830. Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2008. "Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(4), pages 507-513.
  831. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group.
  832. Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(1), pages 111-128.
  833. James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed and Why?," NBER Chapters,in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230 National Bureau of Economic Research, Inc.
  834. Daiki Maki & Shin-ichi Kitasaka, 2015. "Residual-based tests for cointegration with three-regime TAR adjustment," Empirical Economics, Springer, vol. 48(3), pages 1013-1054, May.
  835. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  836. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  837. Kam Leong Szeto & Melody Guy, 2004. "Estimating a New Zealand NAIRU," Treasury Working Paper Series 04/10, New Zealand Treasury.
  838. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  839. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, 07.
  840. Larsen, E.Roed., 2005. "Are rich countries immune to the resource curse? Evidence from Norway's management of its oil riches," Resources Policy, Elsevier, vol. 30(2), pages 75-86, June.
  841. Abhijit Sharma & Kelvin G Balcombe & Iain M Fraser, 2009. "Non-renewable resource prices: Structural breaks and long term trends," Economics Bulletin, AccessEcon, vol. 29(2), pages 805-819.
  842. Priyanshi Gupta & Anurag Goyal, 2015. "Impact of oil price fluctuations on Indian economy," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 39(2), pages 141-161, 06.
  843. Luis Fernando Melo Velandia & Héctor M. Núñez Amortegui, 2004. "Combinación de pronósticos de la inflación en presencia de cambios estructurales," BORRADORES DE ECONOMIA 002153, BANCO DE LA REPÚBLICA.
  844. Natalya Ketenci, 2016. "The bilateral trade flows of the EU in the presence of structural breaks," Empirical Economics, Springer, vol. 51(4), pages 1369-1398, December.
  845. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  846. Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82, pages 1799-1851, 09.
  847. Esmeralda Ramalho & Joaquim Ramalho & Jose M.R. Murteira, 2012. "A supremum-type RESET test for binary choice models," Economics Bulletin, AccessEcon, vol. 32(1), pages 905-912.
  848. Thas, Olivier & Yuan, Ao & Ng, Hon Keung Tony & Zheng, Gang, 2015. "A proportional score test over the nuisance parameter space: Properties and applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 295-300.
  849. Smith Aaron, 2012. "Markov Breaks in Regression Models," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-35, May.
  850. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2008. "Economic and financial crises and the predictability of U.S. stock returns," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 468-480, June.
  851. Achim Zeileis & Torsten Hothorn, 2013. "A toolbox of permutation tests for structural change," Statistical Papers, Springer, vol. 54(4), pages 931-954, November.
  852. Fazzari Steven M. & Morley James & Panovska Irina, 2015. "State-dependent effects of fiscal policy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 285-315, June.
  853. Millet, Kobe & Lamey, Lien & Van den Bergh, Bram, 2012. "Avoiding negative vs. achieving positive outcomes in hard and prosperous economic times," Organizational Behavior and Human Decision Processes, Elsevier, vol. 117(2), pages 275-284.
  854. Xu Han & Atsushi Inoue, 2013. "Tests for Parameter Instability in Dynamic Factor Models," DSSR Discussion Papers 10, Graduate School of Economics and Management, Tohoku University.
  855. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
  856. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The Univeristy of Manchester.
  857. 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.
  858. Valentyna Ozimkovska, 2016. "Volatility of industrial production growth and characteristics of optimal currency areas in EU-12 countries," International Economics and Economic Policy, Springer, vol. 13(4), pages 563-591, October.
  859. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
  860. Chortareas Georgios E & Kapetanios George & Uctum Merih, 2004. "An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-19, March.
  861. Yoichi Arai & Takeo Hoshi, 2004. "Monetary Policy in the Great Recession," Discussion papers 04024, Research Institute of Economy, Trade and Industry (RIETI).
  862. George Kapetanios & Yongcheol Shin, 2003. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," ESE Discussion Papers 108, Edinburgh School of Economics, University of Edinburgh.
  863. Terence Mills & Kerry Patterson, 2013. "Carmichael's Arctan Trend: Precursor of Smooth Transition Functions," Economics & Management Discussion Papers em-dp2013-06, Henley Business School, Reading University.
  864. Giulio Cainelli & Andrea Fracasso & Giuseppe Vittucci Marzetti, 2015. "Spatial agglomeration and productivity in Italy: A panel smooth transition regression approach," Papers in Regional Science, Wiley Blackwell, vol. 94, pages 39-67, November.
  865. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
  866. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.
  867. Alam, Mohammad Jahangir & McKenzie, Andrew M. & Buysse, Jeroen & Begum, Ismat Ara & Wailes, Eric J. & Van Huylenbroeck, Guido, 2012. "Measuring Market Integration in the Presence of Threshold Effect: The Case of Bangladesh Rice Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124435, Agricultural and Applied Economics Association.
  868. Marwan Chacra & Maral Kichian, 2004. "A Forecasting Model for Inventory Investments in Canada," Staff Working Papers 04-39, Bank of Canada.
  869. repec:hal:journl:halshs-00119051 is not listed on IDEAS
  870. Roman Frydman & Michael D. Goldberg, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank).
  871. Pierre Perron & Francisco Estrada & Carlos Gay-García & Benjamín Martínez-López, 2011. "A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4," Boston University - Department of Economics - Working Papers Series WP2011-051, Boston University - Department of Economics.
  872. Gabreyohannes, Emmanuel, 2010. "A nonlinear approach to modelling the residential electricity consumption in Ethiopia," Energy Economics, Elsevier, vol. 32(3), pages 515-523, May.
  873. Robert W. Rich & Donald Rissmiller, 2001. "Structural change in U.S. wage determination," Staff Reports 117, Federal Reserve Bank of New York.
  874. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
  875. repec:sbe:breart:v:31:y:2011:i:1:a:3630 is not listed on IDEAS
  876. Ozgen Sayginsoy & Tim Vogelsang, 2004. "Powerful Tests of Structural Change That are Robust to Strong Serial Correlation," Discussion Papers 04-08, University at Albany, SUNY, Department of Economics.
  877. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  878. 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.
  879. Nektarios Aslanidis & Anastasios Xepapadeas, 2004. "Smooth ‘inverted-V-shaped’ & smooth ‘N-shaped’ pollution-income paths," Working Papers 0405, University of Crete, Department of Economics.
  880. Schauten, M.B.J. & van Dijk, D.J.C., 2010. "Corporate Governance and the Cost of Debt of Large European Firms," ERIM Report Series Research in Management ERS-2010-025-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  881. Jesús Crespo Cuaresma & Maria Antoinette Silgoner, 2004. "Groth effects of inflation in Europe: How low is too low, how high is too high?," Vienna Economics Papers 0411, University of Vienna, Department of Economics.
  882. 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.
  883. Jorge M. L. G. Andraz & Paulo M.M. Rodrigues, 2015. "A Reappraisal of Eurozone Countries Output Differentials," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  884. Zhang, Chengsi & Murasawa, Yasutomo, 2012. "Multivariate model-based gap measures and a new Phillips curve for China," China Economic Review, Elsevier, vol. 23(1), pages 60-70.
  885. 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.
  886. Chauvet, Marcelle & Senyuz, Zeynep, 2016. "A dynamic factor model of the yield curve components as a predictor of the economy," International Journal of Forecasting, Elsevier, vol. 32(2), pages 324-343.
  887. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2012. "Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 465-482.
  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. Giovanni Forchini, "undated". "The Geometry of Similar Tests for Structural Change," Discussion Papers 00/55, Department of Economics, University of York.
  890. Kapetanios, George & Yates, Tony, 2011. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Bank of England working papers 434, Bank of England.
  891. Sobreira, Nuno & Nunesz, Luis C. & Rodriguesz, Paulo M. M., 2012. "Neoclassical, semi-endogenous or endogenous growth theory? Evidence based on new structural change tests," Insper Working Papers wpe_291, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  892. Boysen-Hogrefe, Jens & Dovern, Jonas & Gern, Klaus-Jürgen & Jannsen, Nils & van Roye, Björn & Scheide, Joachim, 2010. "Weltkonjunktur kommt nach kräftiger Erholung in schwierigeres Fahrwasser," Open Access Publications from Kiel Institute for the World Economy 45600, Kiel Institute for the World Economy (IfW).
  893. 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.
  894. Filippo Lechthaler & Lisa Leinert, 2012. "Moody Oil - What is Driving the Crude Oil Price?," CER-ETH Economics working paper series 12/168, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  895. Bohl, Martin T. & Kaufmann, Philipp & Siklos, Pierre L., 2015. "What drove the mid-2000s explosiveness in alternative energy stock prices? Evidence from U.S., European and global indices," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 194-206.
  896. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
  897. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  898. 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.
  899. 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.
  900. 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.
  901. 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.
  902. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
  903. Serletis, Apostolos & Xu, Libo, 2016. "Volatility and a century of energy markets dynamics," Energy Economics, Elsevier, vol. 55(C), pages 1-9.
  904. repec:eee:reveco:v:49:y:2017:i:c:p:149-167 is not listed on IDEAS
  905. 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).
  906. 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.
  907. 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.
  908. Anthony Makin & Paresh Narayan, 2013. "Re-examining the “twin deficits” hypothesis: evidence from Australia," Empirical Economics, Springer, vol. 45(2), pages 817-829, October.
  909. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  910. Pierangelo De Pace, 2005. "Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe," Econometrics 0509011, EconWPA, revised 07 Sep 2005.
  911. Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006. "Structural breaks in labor productivity growth: the United States vs. the European Union," Working Papers 0625, Banco de España;Working Papers Homepage.
  912. Al-Zoubi, Haitham A., 2009. "Short-term spot rate models with nonparametric deterministic drift," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 731-747, August.
  913. Michael Princ, 2016. "Structural Distress Index: Structural Break Analysis of the Czech and Polish Stock Markets," European Financial and Accounting Journal, University of Economics, Prague, vol. 2016(3), pages 125-137.
  914. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
  915. Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin, 2016. "The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 55(C), pages 30-41.
  916. Hans KREMERS & Andreas LOESCHEL, "undated". "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
  917. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
  918. Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003. "On SETAR non-linearity and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
  919. 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.
  920. Mélika Ben Salem & Corinne Perraudin, 2001. "Tests de linéarité, spécification et estimation de modèles à seuil : une analyse comparée des méthodes de Tsay et de Hansen," Économie et Prévision, Programme National Persée, vol. 148(2), pages 157-176.
  921. Yan Sun & Frigyes F Heinz & Giang Ho, 2013. "Cross-Country Linkages in Europe; A Global VAR Analysis," IMF Working Papers 13/194, International Monetary Fund.
  922. Philipp Wegmueller, 2015. "International Evidence on Time-Variation in Trend Labor Productivity Growth," Diskussionsschriften dp1602, Universitaet Bern, Departement Volkswirtschaft.
  923. Andrés David Pinchao Rosero & Jorge Mario Uribe Gil, 2016. "Crecimiento económico colombiano y quiebres estructurales endógenos," ENSAYOS DE ECONOMÍA 015537, UNIVERSIDAD NACIONAL DE COLOMBIA SEDE MEDELLIN.
  924. Doyle, Matthew, 2006. "Empirical Phillips Curves in OECD Countries: Has There Been A Common Breakdown?," Staff General Research Papers Archive 12684, Iowa State University, Department of Economics.
  925. 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.
  926. 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.
  927. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
  928. repec:spr:scient:v:100:y:2014:i:1:d:10.1007_s11192-014-1257-z is not listed on IDEAS
  929. 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.
  930. repec:spr:italej:v:3:y:2017:i:2:d:10.1007_s40797-017-0056-0 is not listed on IDEAS
  931. 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.
  932. 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 193-212.
  933. Ayako Saiki, 2011. "Exchange Rate Pass-Through and Monetary Integration in the Euro Area," DNB Working Papers 308, Netherlands Central Bank, Research Department.
  934. 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.
  935. 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.
  936. Njindan Iyke, Bernard, 2015. "Asymmetries, Structural Breaks, and Nonlinear Persistence: Evidence and Implications for Uncovering the Energy-Growth Nexus in Selected African Countries," MPRA Paper 67163, University Library of Munich, Germany.
  937. Carneiro,Francisco Galrao & Garrido,Leonardo, 2015. "New evidence on the cyclicality of fiscal policy," Policy Research Working Paper Series 7293, The World Bank.
  938. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.
  939. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW).
  940. Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York.
  941. González Gómez, Andrés, 2004. "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
  942. Mardi Dungey & Vitali Alexeev & Jing Tian & Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91, pages 1-24, 06.
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