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Citations for "Time series analysis and simultaneous equation econometric models"

by Zellner, Arnold & Palm, Franz

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  1. Gebhard Kirchgässner, 1985. "Die Schweiz im internationalen Zinszusammenhang. Eine zeitreihenanalytische Untersuchung für die Zeit von 1974 bis 1983," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 121(IV), pages 329-351, December.
  2. Debabrata Bagchi & Georgios E. Chortareas & Stephen M. Miller, 2004. "The Real Exchange Rate in Small, Open, Developed Economies: Evidence from Cointegration Analysis," The Economic Record, The Economic Society of Australia, vol. 80(248), pages 76-88, 03.
  3. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2015. "Intraday return and volatility spillover mechanism from Chinese to Japanese stock market," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 23-42.
  4. Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
  5. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers 201018, University of Pretoria, Department of Economics.
  6. Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics.
  7. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
  8. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
  9. Zheng, Fei & Xu, Li Da & Tang, Bingyong, 2000. "Forecasting regional income inequality in China," European Journal of Operational Research, Elsevier, vol. 124(2), pages 243-254, July.
  10. Tilak Abeysinghe & Kristin J. Forbes, 2001. "Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia," NBER Working Papers 8600, National Bureau of Economic Research, Inc.
  11. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
  12. Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Staff Paper Series 452, University of Wisconsin, Agricultural and Applied Economics.
  13. Sherwin Rosen & Robert H. Topel, 1986. "A Time-Series Model of Housing Investment in the U.S," NBER Working Papers 1818, National Bureau of Economic Research, Inc.
  14. Pami Dua & Stephen M. Miller & David J. Smyth, 1996. "Using Leading Indicators to Forecast US Home Sales in a Bayesian VAR Framework," Working papers 1996-08, University of Connecticut, Department of Economics.
  15. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
  16. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
  17. Giacomo Sbrana, 2012. "Aggregation and marginalization of GARCH processes: some further results," METRON, Springer, vol. 70(2), pages 165-172, August.
  18. Richard Hartman & John H. Makin, 1982. "Inflation Uncertainty and Interest Rates: Theory and Empirical Tests," NBER Working Papers 0906, National Bureau of Economic Research, Inc.
  19. Rangan Gupta & Stephen M. Miller, 2009. ""Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working papers 2009-05, University of Connecticut, Department of Economics, revised Jun 2009.
  20. Yin, Runsheng & Baek, Jungho, 2004. "The US-Canada softwood lumber trade dispute: what we know and what we need to know," Forest Policy and Economics, Elsevier, vol. 6(2), pages 129-143, March.
  21. J. S. Mehta & G. V. L. Narasimham & P. A. V. B. Swamy, 1975. "Estimation of a dynamic demand function for gasoline with different schemes of parameter variation," International Finance Discussion Papers 70, Board of Governors of the Federal Reserve System (U.S.).
  22. Anirvan Banerji & Pami Dua & Stephen M. Miller, 2002. "Performance Evaluation of the New Connecticut Leading Employment Index Using Lead Profiles and BVAR Models," Working papers 2002-34, University of Connecticut, Department of Economics, revised Jun 2005.
  23. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  24. James L. Heckman, 1999. "Causal Parameters and Policy Analysis in Economcs: A Twentieth Century Retrospective," NBER Working Papers 7333, National Bureau of Economic Research, Inc.
  25. Biørn, Erik, 2012. "An Econometric Market Model of Capital and Investment Inspired by Haavelmo," Memorandum 11/2012, Oslo University, Department of Economics.
  26. Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
  27. Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
  28. Sharon Kozicki & P.A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.
  29. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
  30. Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," NCER Working Paper Series 57, National Centre for Econometric Research.
  31. Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012. "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper 224, Tor Vergata University, CEIS, revised 27 Feb 2012.
  32. Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Economics, Australian National University.
  33. Rausser, Gordon C. & Carter, Colin, 1981. "Futures market efficiency in the soybean complex," CUDARE Working Paper Series 139R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  34. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
  35. Pablo Marshall, 1998. "Prediccion De Series De Ventas: Un Analisis De Cointegracion Con El Pib," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 1(1), pages 89-109.
  36. René Capitelli, 1985. "Eine empirische Untersuchung über den Zusammenhang von kurz-, mittel- und langfristigen schweizerischen Zinssätzen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 121(I), pages 1-22, March.
  37. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.
  38. John McDonald & Houston Stokes, 2013. "Monetary Policy and the Housing Bubble," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 437-451, April.
  39. Hecq Alain & Laurent Sébastien & Palm Franz C., 2012. "On the Univariate Representation of BEKK Models with Common Factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  40. Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
  41. Gianluca Cubadda & Umberto Triacca, 2011. "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper 184, Tor Vergata University, CEIS, revised 24 Jan 2011.
  42. Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
  43. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January.
  44. Hecq Alain & Laurent Sébastien & Palm Franz, 2011. "On the Univariate Representation of Multivariate Volatility Models with Common Factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  45. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 1106, University of Nevada, Las Vegas , Department of Economics.
  46. Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, 02.
  47. Franses, Philip Hans, 2008. "Merging models and experts," International Journal of Forecasting, Elsevier, vol. 24(1), pages 31-33.
  48. Thomas M Fullerton Jr & Richard A Hirth & Mark B Smith, 2004. "Inflationary Dynamics and the Angell-Johnson Proposals," Macroeconomics 0409009, EconWPA.
  49. Roberto ESPOSTI, 2007. "On the Decline of Agriculture. Evidence from Italian Regions in the Post-WWII Period," Working Papers 300, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  50. Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS) 971, University of Warwick, Department of Economics.
  51. Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  52. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008. "Macro-panels and reality," Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
  53. Özer Karagedikli & Rishab Sethi & Christie Smith & Aaron Drew, 2008. "Changes in the transmission mechanism of monetary policy in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/03, Reserve Bank of New Zealand.
  54. John McDonald, 1979. "A time series approach to forecasting Australian total live-births," Demography, Springer, vol. 16(4), pages 575-601, November.
  55. Walter Wasserfallen & Jean-Marie Gassmann & Andreas Gfeller, 1986. "Die Nachfrage nach Telefongesprächen - Erklärung und Prognose Eine empirische Untersuchung für die Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 122(II), pages 187-197, June.
  56. Bahram Adrangi & Richard D. Gritta & Kambiz Raffiee, 2013. "Volatility Spillovers and Nonlinear Dynamics between Jet Fuel Prices and Air Carrier Revenue Passenger Miles in the US," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 01-18, August.
  57. Jurgen Doornik & H. Peter Boswijk, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Series Working Papers 2003-W10, University of Oxford, Department of Economics.
  58. Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, EconWPA.
  59. Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
  60. Walter Wasserfallen & Hans Kyburz, 1985. "The behavior of flexible exchange rates in the short run — A systematic investigation," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 121(4), pages 646-660, December.
  61. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2009. "VARMA models for Malaysian Monetary Policy Analysis," Monash Econometrics and Business Statistics Working Papers 6/09, Monash University, Department of Econometrics and Business Statistics.
  62. Tony Hall & Jan Jacobs & Adrian Pagan, 2013. "Macro-Econometric System Modelling @75," CAMA Working Papers 2013-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  63. Hsiao, Cheng & Fujiki, Hiroshi, 1998. "Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 57-79, May.
  64. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer, vol. 94(3), pages 273-305, September.
  65. Bolkesjø, Torjus F. & Buongiorno, Joseph, 2006. "Short- and long-run exchange rate effects on forest product trade: Evidence from panel data," Journal of Forest Economics, Elsevier, vol. 11(4), pages 205-221, January.
  66. Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
  67. Benjamin M. Friedman, 1981. "The Roles of Money and Credit in Macroeconomic Analysis," NBER Working Papers 0831, National Bureau of Economic Research, Inc.
  68. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
  69. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2013. "Canadian Monetary Policy Analysis using a Structural VARMA Model," Monash Econometrics and Business Statistics Working Papers 4/13, Monash University, Department of Econometrics and Business Statistics.
  70. Zhou, Mo & Buongiorno, Joseph, 2005. "Price transmission between products at different stages of manufacturing in forest industries," Journal of Forest Economics, Elsevier, vol. 11(1), pages 5-19, June.
  71. Antoni Espasa & Daniel Peña, 1990. "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, vol. 14(2), pages 191-211, May.
  72. Ibrahim L. Awad, 2011. "The Impact of Recent Innovations in Monetary Policy on the Monetary Transmission Mechanism in Egypt," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 186-209.
  73. Claudio Lupi, . "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, vol. 32(i02).
  74. Victor Zarnowitz, 1982. "Expectations and Forecasts from Business Outlook Surveys," NBER Working Papers 0845, National Bureau of Economic Research, Inc.
  75. Rodney L. Jacobs, 1976. "Data Errors and Data Differences," UCLA Economics Working Papers 082, UCLA Department of Economics.
  76. Stephen K. McNees & Geoffrey M. B. Tootell, 1991. ""Whither New England"?," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 11-26.
  77. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
  78. Zellner, Arnold & Israilevich, Guillermo, 2005. "The Marshallian macroeconomic model: A progress report," International Journal of Forecasting, Elsevier, vol. 21(4), pages 627-645.
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