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Citations for "Small sample properties of GMM for business cycle analysis"

by Lawrence J. Christiano & Wouter Den Haan

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  1. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
  2. Wouter J. Den Haan & Andrew Levin, 1996. "Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures," NBER Technical Working Papers 0195, National Bureau of Economic Research, Inc.
  3. M-A. Letendre, 2002. "Semi-Parametric Predictions of the Intertemporal Approach to the Current Account," Department of Economics Working Papers 2002-01, McMaster University.
  4. BOUAKEZ, Hafed & CARDIA Emanuela & RUGE-MURCIA, Francisco, 2005. "The Transmission of Monetary Policy in a Multi-Sector Economy," Cahiers de recherche 2005-16, Universite de Montreal, Departement de sciences economiques.
  5. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
  6. Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
  7. Otrok, Christopher, 2001. "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
  8. Den Haan, Wouter & Sumner, Steven, 2001. "The Comovements between Real Activity and Prices in the G7," CEPR Discussion Papers 2801, C.E.P.R. Discussion Papers.
  9. Olivier Coibion & Daniel Goldstein, 2007. "One for Some or One for All? Taylor Rules and Interregional Heterogeneity," Working Papers 58, Department of Economics, College of William and Mary, revised 19 Sep 2011.
  10. Pakko, Michael R, 2000. "The Cyclical Relationship between Output and Prices: An Analysis in the Frequency Domain," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 382-99, August.
  11. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
  12. Craig Burnside & Martin Eichenbaum, 1994. "Small sample properties of generalized method of moments based Wald tests," Working Paper Series, Macroeconomic Issues 94-12, Federal Reserve Bank of Chicago.
  13. Leung, Charles Ka Yui & Chow, Kenneth & Yiu, Matthew & Tam, Dickson, 2010. "House Market in Chinese Cities: Dynamic Modeling, In-Sampling Fitting and Out-of-Sample Forecasting," MPRA Paper 27367, University Library of Munich, Germany.
  14. Welz, Peter, 2006. "Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach," Working Paper Series 0621, European Central Bank.
  15. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
  16. repec:wyi:journl:002162 is not listed on IDEAS
  17. Serigne N. Lo & Elvezio Ronchetti, 2006. "Robust Small Sample Accurate Inference in Moment Condition Models," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2006.04, Institut d'Economie et Econométrie, Université de Genève.
  18. Michael Artis & Toshihiro Okubo, 2010. "The UK intranational business cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 71-93.
  19. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  20. Candelon, Bertrand & Piplack, Jan & Straetmans, Stefan, 2008. "On measuring synchronization of bulls and bears: The case of East Asia," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1022-1035, June.
  21. Lô, Serigne N. & Ronchetti, Elvezio, 2012. "Robust small sample accurate inference in moment condition models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3182-3197.
  22. Luke Hartigan, 2016. "Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties," Discussion Papers 2016-06, School of Economics, The University of New South Wales.
  23. Alok Johri and Marc-André Letendre, 2006. "What do “residuals” from first-order conditions reveal about DGE models?," Department of Economics Working Papers 2006-01, McMaster University.
  24. Paul Levine & Joseph Pearlman & Peter Welz, 2008. "Robust Inflation-Targeting Rules and the Gains from International Policy Coordination," School of Economics Discussion Papers 0208, School of Economics, University of Surrey.
  25. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
  26. A. Johri & M-A. Letendre, 2001. "Labour Market Dynamics in RBC Models," Department of Economics Working Papers 2001-03, McMaster University.
  27. Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
  28. Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
  29. Craig Burnside & Martin Eichenbaum, 1994. "Factor Hoarding and the Propagation of Business Cycles Shocks," NBER Working Papers 4675, National Bureau of Economic Research, Inc.
  30. Qihui Chen & Yu Ren, 2013. "Improvement in finite-sample properties of GMM-based Wald tests," Computational Statistics, Springer, vol. 28(2), pages 735-749, April.
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