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Citations for "Evidence on structural instability in macroeconomic times series relations"

by James H. Stock & Mark W. Watson

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  1. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
  2. Mésonnier, J-S. & Renne, J-P., 2004. "A Time-Varying Natural Rate for the Euro Area," Working papers 115, Banque de France.
  3. Kevin Lansing, 2009. "Time Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 304-326, April.
  4. 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.
  5. Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  6. Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
  7. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  8. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 0151, European Central Bank.
  9. Batchelor, Roy & Alizadeh, Amir & Visvikis, Ilias, 2007. "Forecasting spot and forward prices in the international freight market," International Journal of Forecasting, Elsevier, vol. 23(1), pages 101-114.
  10. repec:dgr:uvatin:2011023 is not listed on IDEAS
  11. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  12. van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2002. "Changes in variability of the business cycle in the G7 countries," Econometric Institute Research Papers EI 2002-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  13. Chew Lian Chua & Chin Nam Low, 2007. "Permanent Structural Change in the US Short-Term and Long-Term Interest Rates," Melbourne Institute Working Paper Series wp2007n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  14. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
  15. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
  16. Jean Boivin & Marc P. Giannoni, 2006. "Has Monetary Policy Become More Effective?," The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 445-462, August.
  17. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
  18. Jim Malley & Ulrich Woitek, 2009. "Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model," CESifo Working Paper Series 2626, CESifo Group Munich.
  19. Elliott, Graham & Mueller, Ulrich K., 2004. "Optimally Testing General Breaking Processes in Linear Time Series Models," University of California at San Diego, Economics Working Paper Series qt58n33447, Department of Economics, UC San Diego.
  20. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
  21. BAUWENS, Luc & ROMBOUTS, Jeroen, 2009. "On marginal likelihood computation in change-point models," CORE Discussion Papers 2009061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2013. "Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics," Journal of Econometrics, Elsevier, vol. 177(2), pages 265-284.
  23. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
  24. M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting Economic and Financial Variables with Global VARs," CESifo Working Paper Series 2263, CESifo Group Munich.
  25. Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
  26. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2013. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," CEPR Discussion Papers 9313, C.E.P.R. Discussion Papers.
  27. Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0661, Faculty of Economics, University of Cambridge.
  28. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
  29. Branch, William A., 2007. "Sticky information and model uncertainty in survey data on inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 245-276, January.
  30. Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Department of Economics, University of Leicester.
  31. David F. Hendry & Kirstin Hubrich, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 216-227, April.
  32. Benati, Luca & Goodhart, Charles, 2007. "Investigating time-variation in the marginal predictive power of the yield spread," Working Paper Series 0802, European Central Bank.
  33. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus.
  34. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  35. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013. "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, 01.
  36. Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.
  37. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
  38. Evzen Kocenda, 1999. "Detecting Structural Breaks: Exchange Rates in Transition Economies," CERGE-EI Working Papers wp149, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  39. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Economics Papers from University Paris Dauphine 123456789/6969, Paris Dauphine University.
  40. Smith, Ron, 2009. "EMU and the Lucas Critique," Economic Modelling, Elsevier, vol. 26(4), pages 744-750, July.
  41. Jorge Selaive ; Vicente Tuesta, 2004. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Econometric Society 2004 Latin American Meetings 90, Econometric Society.
  42. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
  43. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]," Discussion Papers 09/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  44. Heather M. Anderson & Chin Nam Low, 2004. "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers 22/04, Monash University, Department of Econometrics and Business Statistics, revised May 2005.
  45. Agostino Consolo, 2006. "Forecasting measures of inflation for the Estonian economy," Bank of Estonia Working Papers 2006-03, Bank of Estonia, revised 12 Nov 2006.
  46. Pesaran, M Hashem & Timmermann, Allan G, 2004. "Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks," CEPR Discussion Papers 4401, C.E.P.R. Discussion Papers.
  47. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Unit root testing under a local break in trend," Discussion Papers 10/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  48. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper Series 06_14, The Rimini Centre for Economic Analysis.
  49. Bakhodir A Ergashev, 2004. "Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures," Econometrics 0402001, EconWPA, revised 16 Mar 2004.
  50. Serena Ng & Timothy J. Vogelsang, 1997. "Analysis of Vector Autoregressions in the Presence of Shifts in Mean," Boston College Working Papers in Economics 379, Boston College Department of Economics.
  51. 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.
  52. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  53. Wiliam Branch & George W. Evans, 2005. "A Simple Recursive Forecasting Model," University of Oregon Economics Department Working Papers 2005-3, University of Oregon Economics Department, revised 01 Feb 2005.
  54. Boivin, Jean, 2006. "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1149-1173, August.
  55. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo Group Munich.
  56. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 8/13, Monash University, Department of Econometrics and Business Statistics.
  57. Yunus Aksoy & Miguel A. Leon-Ledesma, 2007. "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance 0710, Birkbeck, Department of Economics, Mathematics & Statistics.
  58. Benati, Luca, 2007. "Drift and breaks in labor productivity," Working Paper Series 0718, European Central Bank.
  59. Philip Rothman, 2000. "Review of Forecasting Non-Stationary Economic Time Series, by Michael P. Clements and David F. Hendry," Working Papers 0016, East Carolina University, Department of Economics.
  60. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  61. M. Hashem Pesaran & Allan Timmermann, 2002. "Market timing and return prediction under model instability," LSE Research Online Documents on Economics 24932, London School of Economics and Political Science, LSE Library.
  62. repec:dgr:kubcen:199874 is not listed on IDEAS
  63. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
  64. Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2008. "Testing for Granger (non-)causality in a time-varying coefficient VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 293-303.
  65. Vincenzo Cassino & Michael Joyce, 2003. "Forecasting inflation using labour market indicators," Bank of England working papers 195, Bank of England.
  66. Charl Jooste, Guangling (Dave) Liu and Ruthira Naraidoo, 2013. "Analysing the Effects of Fiscal Policy Shocks in the South African Economy," Working Papers 351, Economic Research Southern Africa.
  67. Todd E. Clark & Michael W. McCracken, 2008. "Improving forecast accuracy by combining recursive and rolling forecasts," Working Papers 2008-028, Federal Reserve Bank of St. Louis.
  68. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2009. "Have Structural Changes Eliminated the Out-of-Sample Ability of Financial Variables To Forecast Real Activity After the Mid-1980s? Evidence From the Canadian Economy," Working Papers 0910, Brock University, Department of Economics, revised Oct 2010.
  69. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  70. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013. "Housing and the Great Depression," Working Papers 1301, University of Nevada, Las Vegas , Department of Economics.
  71. Christian Hellwig, 2005. "Knowing What Others Know: Coordination Motives in Information Acquisition (March 2007, with Laura Veldkamp)," UCLA Economics Online Papers 369, UCLA Department of Economics.
  72. Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013. "Adaptive forecasting in the presence of recent and ongoing structural change," Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
  73. Bozani, Vasiliki & Drydakis, Nick, 2011. "Studying the NAIRU and its Implications," IZA Discussion Papers 6079, Institute for the Study of Labor (IZA).
  74. Massimiliano Marcellino, . "Forecast pooling for short time series of macroeconomic variables," Working Papers 212, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  75. D'Agostino, Antonello & Surico, Paolo, 2011. "A Century of Inflation Forecasts," CEPR Discussion Papers 8292, C.E.P.R. Discussion Papers.
  76. Sensier, M. & van Dijk, D.J.C., 2001. "Short-term volatility versus long-term growth: evidence in US macroeconomic time series," Econometric Institute Research Papers EI 2001-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  77. Miguel, Belmonte & Gary, Koop & Dimitris, Korobilis, 2011. "Hierarchical shrinkage in time-varying parameter models," MPRA Paper 31827, University Library of Munich, Germany.
  78. Jörg Polzehl & Vladimir Spokoiny & Catalin Starica, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers SFB649DP2006-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  79. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  80. Georgios KOURETAS & Mark E. WOHAR, . "The Dynamics of Inflation: A Study of a Large Number of Countries," EcoMod2010 259600097, EcoMod.
  81. Mestre, Ricardo & McAdam, Peter, 2008. "Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts," Working Paper Series 0950, European Central Bank.
  82. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  83. Dobromil Serwa, 2008. "Larger crises cost more: impact of banking sector instability on output growth," Working Papers 25, Department of Applied Econometrics, Warsaw School of Economics.
  84. Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014. "Have standard VARs remained stable since the crisis?," Working Paper 2014/13, Norges Bank.
  85. Gary Koop & Dimitris Korompilis, 2009. "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," Working Papers 0917, University of Strathclyde Business School, Department of Economics.
  86. Leybourne, Stephen J. & Taylor, A.M. Robert, 2006. "Persistence change tests and shifting stable autoregressions," Economics Letters, Elsevier, vol. 91(1), pages 44-49, April.
  87. Junttila, Juha, 2001. "Structural breaks, ARIMA model and Finnish inflation forecasts," International Journal of Forecasting, Elsevier, vol. 17(2), pages 203-230.
  88. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  89. Ramzi Issa & Robert Lafrance & John Murray, 2006. "The Turning Black Tide: Energy Prices and the Canadian Dollar," Working Papers 06-29, Bank of Canada.
  90. Kwakwa, Paul Adjei, 2014. "Energy-growth nexus and energy demand in Ghana: A review of empirical studies," MPRA Paper 54971, University Library of Munich, Germany, revised 01 Apr 2014.
  91. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  92. Craig, Lee A. & Holt, Matthew T., 2008. "Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940," Explorations in Economic History, Elsevier, vol. 45(1), pages 30-50, January.
  93. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  94. Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  95. Marcellino, Massimiliano, 2002. "Instability and Non-Linearity in the EMU," CEPR Discussion Papers 3312, C.E.P.R. Discussion Papers.
  96. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012. "Mis-specification Testing: Non-Invariance of Expectations Models of Inflation," Working Paper Series 50_12, The Rimini Centre for Economic Analysis.
  97. Athanasios Orphanides & Simon van Norden, 2003. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CIRANO Working Papers 2003s-01, CIRANO.
  98. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
  99. Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82, pages 1799-1851, 09.
  100. Emanuela Ciapanna & Marco Taboga, 2011. "Bayesian analysis of coefficient instability in dynamic regressions," Temi di discussione (Economic working papers) 836, Bank of Italy, Economic Research and International Relations Area.
  101. DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," CORE Discussion Papers 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  102. Gutierrez, Luciano & Piras, Francesco, 2014. "A global VAR model for the analysis of wheat export prices," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182723, European Association of Agricultural Economists.
  103. Haiyan Song & Egon Smeral & Gang Li & Jason L. Chen, 2008. "Tourism Forecasting: Accuracy of Alternative Econometric Models Revisited," WIFO Working Papers 326, WIFO.
  104. Raul Ramos & Miquel Clar & Jordi Suri?ach, 1998. "Specialization in Europe and asymmetric shocks: Potential risks of EMU," ERSA conference papers ersa98p86, European Regional Science Association.
  105. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
  106. Christiane Baumeister & Luca Benati, 2012. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," Working Papers 12-21, Bank of Canada.
  107. Berardi, Michele & Galimberti, Jaqueson K., 2013. "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Economics Letters, Elsevier, vol. 118(1), pages 139-142.
  108. Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
  109. Michal Franta & Roman Horvath & Marek Rusnak, 2011. "Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic," Working Papers 2011/13, Czech National Bank, Research Department.
  110. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  111. Giordani, Paolo & Villani, Mattias, 2010. "Forecasting macroeconomic time series with locally adaptive signal extraction," International Journal of Forecasting, Elsevier, vol. 26(2), pages 312-325, April.
  112. Amado Peiró, 2002. "Macroeconomic Synchronization Between G3 Countries," German Economic Review, Verein für Socialpolitik, vol. 3(2), pages 137-153, 05.
  113. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  114. Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha, 2006. "Markov-Switching Structural Vector Autoregressions: Theory and Application," Computing in Economics and Finance 2006 69, Society for Computational Economics.
  115. Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005. "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series 0568, European Central Bank.
  116. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  117. He, Changli & Sandberg, Rickard, 2005. "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance 579, Stockholm School of Economics, revised 08 Feb 2005.
  118. repec:wyi:journl:002213 is not listed on IDEAS
  119. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CESifo Working Paper Series 1237, CESifo Group Munich.
  120. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economics Papers from University Paris Dauphine 123456789/6970, Paris Dauphine University.
  121. Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007. "A time-varying "natural" rate of interest for the euro area," European Economic Review, Elsevier, vol. 51(7), pages 1768-1784, October.
  122. Michael A. Flor, 2014. "Post Reunification Economic Fluctuations in Germany: A Real Business Cycle Interpretation," Discussion Paper Series 324, Universitaet Augsburg, Institute for Economics.
  123. Song, Haiyan & Witt, Stephen F. & Jensen, Thomas C., 2003. "Tourism forecasting: accuracy of alternative econometric models," International Journal of Forecasting, Elsevier, vol. 19(1), pages 123-141.
  124. Siklos, Pierre L. & Granger, Clive W.J., 1997. "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, vol. 1(03), pages 640-657, September.
  125. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
  126. Amado Peiró, 2002. "Macroeconomic Synchronization Between G3 Countries," Working Papers. Serie EC 2002-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  127. J. Huston McCulloch, 2005. "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005 239, Society for Computational Economics.
  128. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Businesss School.
  129. Norman R. Swanson & Nii Ayi Armah, 2011. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers 201105, Rutgers University, Department of Economics.
  130. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  131. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper 9684, University Library of Munich, Germany.
  132. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  133. Jean-Yves Pitarakis, 2003. "Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification," Econometrics 0312004, EconWPA.
  134. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2008. "How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37620, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  135. Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2014. "Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach," Working Papers 2014-476, Department of Research, Ipag Business School.
  136. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo Group Munich.
  137. Ghosal, Vivek, 2006. "Discovering Cartels: Dynamic Interrelationships between Civil and Criminal Antitrust Investigations," MPRA Paper 5499, University Library of Munich, Germany.
  138. Khiabani, Nasser, 2010. "How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran," MPRA Paper 34041, University Library of Munich, Germany, revised 01 Mar 2011.
  139. 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.
  140. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  141. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
  142. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers 10/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  143. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, vol. 26(2), pages 326-347, April.
  144. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, School of Economics and Management, University of Aarhus.
  145. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich.
  146. Yu-Fu Chen & Michael Funke, 2004. "Cyclical Uncertainty And Physical Investment Decisions," Money Macro and Finance (MMF) Research Group Conference 2004 89, Money Macro and Finance Research Group.
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  149. Jean Boivin & Marc Giannoni & Ilian Mihov, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data," NBER Working Papers 12824, National Bureau of Economic Research, Inc.
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  160. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," Ifo Working Paper Series Ifo Working Paper No. 48, Ifo Institute for Economic Research at the University of Munich.
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  162. Marcellino, Massimliano, 2004. "Forecasting EMU macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 20(2), pages 359-372.
  163. Ghosal, Vivek, 2007. "Regime Shift in Antitrust," MPRA Paper 5460, University Library of Munich, Germany.
  164. Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009. "Inflation Risk And Optimal Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 58-75, May.
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  181. Jean Boivin & Marc Giannoni, 2002. "Has monetary policy become less powerful?," Staff Reports 144, Federal Reserve Bank of New York.
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