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Citations for "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form"

by Gonçalves, Sílvia & KILIAN, Lutz

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  1. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2014. "The impact of oil price shocks on U.S. bond market returns," Energy Economics, Elsevier, vol. 44(C), pages 248-258.
  2. Davis, Lucas W & Kilian, Lutz, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," CEPR Discussion Papers 7161, C.E.P.R. Discussion Papers.
  3. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 519-552, Diciembre.
  4. Morten Ravn & Karel Mertens, 2012. "The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States," 2012 Meeting Papers 638, Society for Economic Dynamics.
  5. Ahdi Noomen Ajmi & Shawkat Hammoudeh & Duc Khuong Nguyen & Soodabeh Sarafrazi, 2013. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Working Papers 2013-035, Department of Research, Ipag Business School.
  6. Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers 6559, C.E.P.R. Discussion Papers.
  7. Timo Teräsvirta & Yukai Yang, 2014. "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models," CREATES Research Papers 2014-04, School of Economics and Management, University of Aarhus.
  8. Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models," The School of Economics Discussion Paper Series 1118, Economics, The University of Manchester.
  9. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April.
  10. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the Price of Oil," Working Papers 11-15, Bank of Canada.
  11. Ji, Philip Inyeob & Kim, Jae H., 2009. "Real interest rate linkages in the Pacific-Basin region," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 440-448, June.
  12. Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
  13. Dées, Stéphane & Güntner, Jochen, 2014. "Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach," Working Paper Series 1724, European Central Bank.
  14. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
  15. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
  16. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics.
  17. Lutz Kilian & Daniel P. Murphy, 2012. "Why Agnostic Sign Restrictions Are Not Enough: Understanding The Dynamics Of Oil Market Var Models," Journal of the European Economic Association, European Economic Association, vol. 10(5), pages 1166-1188, October.
  18. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  19. Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society.
  20. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation for Research in Economics, Yale University.
  21. Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2014. "What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis," Working Papers 716, Queen Mary University of London, School of Economics and Finance.
  22. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers 4333, C.E.P.R. Discussion Papers.
  23. Stuermer, Martin, 2013. "150 Years of Boom and Bust: What Drives Mineral Commodity Prices?," MPRA Paper 51859, University Library of Munich, Germany.
  24. repec:lan:wpaper:2454 is not listed on IDEAS
  25. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1719-1760, December.
  26. David O. Cushman, 2012. "Mankiw vs. DeLong and Krugman on the CEA's Real GDP Forecasts in Early 2009: What Might a Time Series Econometrician Have Said?," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 309-349, September.
  27. Gao, Liping & Kim, Hyeongwoo & Saba, Richard, 2014. "How Do Oil Price Shocks Affect Consumer Prices?," MPRA Paper 57259, University Library of Munich, Germany.
  28. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Papers 0021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  29. Lutz Kilian & Logan T. Lewis, 2011. "Does the Fed Respond to Oil Price Shocks?," Economic Journal, Royal Economic Society, vol. 121(555), pages 1047-1072, 09.
  30. Mertens, Karel & Ravn, Morten O., 2014. "A reconciliation of SVAR and narrative estimates of tax multipliers," Journal of Monetary Economics, Elsevier, vol. 68(S), pages S1-S19.
  31. Baumeister, Christiane & Kilian, Lutz, 2013. "Do Oil Price Increases Cause Higher Food Prices?," CEPR Discussion Papers 9689, C.E.P.R. Discussion Papers.
  32. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
  33. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank, Research Centre.
  34. Marcus J Chambers, 2010. "Jackknife Estimation of Stationary Autoregressive Models," Economics Discussion Papers 684, University of Essex, Department of Economics.
  35. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," Working Papers 400, Barcelona Graduate School of Economics.
  36. Kilian, Lutz & Park, Cheolbeom, 2007. "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers 6166, C.E.P.R. Discussion Papers.
  37. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market," SFB 649 Discussion Papers SFB649DP2014-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  38. Steffen Henzel & Malte Rengel, 2014. "Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis," CESifo Working Paper Series 4991, CESifo Group Munich.
  39. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers 1309, Queen's University, Department of Economics.
  40. repec:hal:journl:halshs-00175914 is not listed on IDEAS
  41. JAMES G. MacKINNON, 2006. "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S2-S18, 09.
  42. Adrian Alter & Yves Stephan Schüler, 2011. "Credit Spead Interdependencies of European States and Banks during the Financial Crisis," Working Paper Series of the Department of Economics, University of Konstanz 2011-24, Department of Economics, University of Konstanz.
  43. Ajay Shah & Ila Patnaik & Matthieu Stigler, 2010. "Understanding the ADR premium under market segmentation," Working Papers id:2826, eSocialSciences.
  44. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester.
  45. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 219-241.
  46. Herwartz, Helmut & Lütkepohl, Helmut, 2014. "Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks," Journal of Econometrics, Elsevier, vol. 183(1), pages 104-116.
  47. Kang, Wensheng & Ratti, Ronald A., 2013. "Structural oil price shocks and policy uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 314-319.
  48. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, Open Access Journal, vol. 2(1), pages 72-91, March.
  49. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
  50. repec:dgr:uvatin:20130187 is not listed on IDEAS
  51. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
  52. Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
  53. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
  54. Chris D. Orme & Takashi Yamagata, 2011. "A Heteroskedasticity-Robust F-Test Statistic for Individual Effects," The School of Economics Discussion Paper Series 1124, Economics, The University of Manchester.
  55. Goodhart, Charles & Hofmann, Boris, 2008. "House Prices, Money, Credit and the Macroeconomy," Working Paper Series 0888, European Central Bank.
  56. Richard A. Ashley & Christopher F. Parmeter, 2013. "Sensitivity Analysis of Inference in GMM Estimation With Possibly-Flawed Moment Conditions," Working Papers e07-40, Virginia Polytechnic Institute and State University, Department of Economics.
  57. Russell Davidson & James G. MacKinnon, 2008. "Wild Bootstrap Tests for IV Regression," Working Papers 1135, Queen's University, Department of Economics.
  58. Russell Davidson & James G. MacKinnon, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Working Papers 1044, Queen's University, Department of Economics.
  59. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  60. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," Centre for Growth and Business Cycle Research Discussion Paper Series 132, Economics, The Univeristy of Manchester.
  61. Kim, Jae H., 2006. "Wild bootstrapping variance ratio tests," Economics Letters, Elsevier, vol. 92(1), pages 38-43, July.
  62. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2009. "Oil shocks and external balances," Journal of International Economics, Elsevier, vol. 77(2), pages 181-194, April.
  63. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
  64. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
  65. Ralf Brüggemann & Carsten Jentsch & Carsten Trenkler, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Paper Series of the Department of Economics, University of Konstanz 2014-13, Department of Economics, University of Konstanz.
  66. Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF - Faculdade de Economia, Universidade de Coimbra.
  67. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
  68. Giulio Cainelli & Andrea Fracasso & Giuseppe Vittucci Marzetti, 2012. "Spatial agglomeration and productivity in Italy: a panel smooth transition regression approach," Openloc Working Papers 1204, Public policies and local development.
  69. Karel Mertens, 2013. "Marginal Tax Rates and Income: New Time Series Evidence," NBER Working Papers 19171, National Bureau of Economic Research, Inc.
  70. repec:lan:wpaper:2375 is not listed on IDEAS
  71. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
  72. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(05), pages 957-991, October.
  73. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," MPRA Paper 49008, University Library of Munich, Germany.
  74. Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
  75. repec:lan:wpaper:2596 is not listed on IDEAS
  76. Leslie G. Godrey, 2010. "Robust Nonnested Testing for Ordinary Least Squares Regression When Some of the Regressors are Lagged Dependent Variables," Discussion Papers 10/22, Department of Economics, University of York.
  77. repec:ipg:wpaper:35 is not listed on IDEAS
  78. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  79. Benjamin Wong, 2014. "Inflation Expectations and How it Explains the Inflationary Impact of Oil Price Shocks: Evidence from the Michigan Survey," CAMA Working Papers 2014-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  80. Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June.
  81. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor, 2014. "Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models," Working Papers 1324, Queen's University, Department of Economics.
  82. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  83. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers.
  84. Kilian, Lutz, 2008. "Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," CEPR Discussion Papers 6919, C.E.P.R. Discussion Papers.
  85. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.
  86. Jochen H. F. Güntner, 2011. "How do international stock markets respond to oil demand and supply shocks?," FEMM Working Papers 110028, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  87. Adjemian, Michael K. & Janzen, Joseph & Carter, Colin & Smith, Aaron, 2014. "Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement," Economic Research Report 167369, United States Department of Agriculture, Economic Research Service.
  88. Wai Choi & Anindya Sen & Adam White, 2011. "Response of industrial customers to hourly pricing in Ontario’s deregulated electricity market," Journal of Regulatory Economics, Springer, vol. 40(3), pages 303-323, December.
  89. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
  90. Daniel P. Murphy, 2013. "How does government spending stimulate consumption?," Globalization and Monetary Policy Institute Working Paper 157, Federal Reserve Bank of Dallas.
  91. Jae H. Kim & Philip I. Ji, 2004. "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings 124, Econometric Society.
  92. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  93. Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers.
  94. Elstner, Steffen, 2012. "Uncertainty, heterogeneous expectation errors and economic activity: evidence from business survey data," Munich Dissertations in Economics 14037, University of Munich, Department of Economics.
  95. A. Melander & G. Sismanidis & D. Grenouilleau, 2007. "The track record of the Commission's forecasts - an update," European Economy - Economic Papers 291, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.
  96. Richard Ashley, 2010. "On the Granger Causality between Median Inflation and Price Dispersion," Working Papers e07-24, Virginia Polytechnic Institute and State University, Department of Economics.
  97. Miles Parker & Benjamin Wong, 2014. "Exchange rate and commodity price pass‐through in New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2014/01, Reserve Bank of New Zealand.
  98. Anton Velinov & Wenjuan Chen, 2014. "Are There Bubbles in Stock Prices? Testing for Fundamental Shocks," Discussion Papers of DIW Berlin 1375, DIW Berlin, German Institute for Economic Research.
  99. Li, Gaorong & Peng, Heng & Tong, Tiejun, 2013. "Simultaneous confidence band for nonparametric fixed effects panel data models," Economics Letters, Elsevier, vol. 119(3), pages 229-232.
  100. Ji, Philip Inyeob & In, Francis, 2010. "The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 575-589, December.
  101. International Monetary Fund, 2007. "A Simple Dge Model for Inflation Targeting," IMF Working Papers 07/197, International Monetary Fund.
  102. Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, vol. 28(4), pages 1959-1966, July.
  103. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  104. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  105. Arghyrou, Michael G. & Gregoriou, Andros, 2007. "Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap," Economics Letters, Elsevier, vol. 95(2), pages 285-290, May.
  106. Ioannidis, C. & Peel, D.A., 2005. "Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap," Economics Letters, Elsevier, vol. 87(2), pages 221-226, May.
  107. Andrea Fracasso & Giuseppe Vittucci Marzetti, 2012. "International R&D spillovers, absorptive capacity and relative backwardness: a panel smooth transition regression model," Department of Economics Working Papers 1203, Department of Economics, University of Trento, Italia.
  108. repec:lan:wpaper:2373 is not listed on IDEAS
  109. I Paya & D Peel, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 565953, Lancaster University Management School, Economics Department.
  110. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  111. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
  112. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  113. Surach Tanboon, 2008. "The Bank of Thailand Structural Model for Policy Analysis," Working Papers 2008-06, Economic Research Department, Bank of Thailand.
  114. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  115. Everaert, Gerdie & Pozzi, Lorenzo, 2007. "Bootstrap-based bias correction for dynamic panels," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1160-1184, April.
  116. Ralf Becker & Denise Osborn, 2007. "Weighted smooth transition regressions," The School of Economics Discussion Paper Series 0724, Economics, The University of Manchester.
  117. Bachmeier, Lance, 2013. "Identification in models of gasoline pricing," Economics Letters, Elsevier, vol. 120(1), pages 71-73.
  118. 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.
  119. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
  120. Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
  121. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  122. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
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