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The Econometric Analysis of Time Series, 2nd Edition

Citations

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Cited by:

  1. Stefan Gerlach & Matthew S. Yiu, 2004. "A Dynamic Factor Model for Current-Quarter Estimates of Economic Activity in Hong Kong," Working Papers 162004, Hong Kong Institute for Monetary Research.
  2. Pål Boug & Andreas Fagereng, 2010. "Exchange rate volatility and export performance: a cointegrated VAR approach," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 851-864.
  3. Gannon, Gerard L. & Choi, Daniel F. S., 1998. "Structural models: Intra/Inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 19-36.
  4. Khelifa Mazouz & Michael Bowe, 2009. "Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 203-212.
  5. Sen, Kunal & Roy, Tirthankar & Krishnan, R. & Mundlay, Arundhati, 1996. "A flow of funds model for India and its implications," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 469-494, October.
  6. Sebastian Jensen & Siem Jan Koopman, 2026. "Neural networks for nonlinear regression with serially correlated disturbances: Evidence from cloud cover," Papers 2606.22483, arXiv.org, revised Aug 2026.
  7. Nick Johnstone & Jaime Echeverria & Ina Porras & Ronald Mejias, 2001. "The Environmental Consequences of Tax Differentiation by Vehicle Age in Costa Rica," Journal of Environmental Planning and Management, Taylor & Francis Journals, vol. 44(6), pages 803-814.
  8. Raul Anibal Feliz & John H. Welch, 1992. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, And Peru," Working Papers 9210, Federal Reserve Bank of Dallas.
  9. Rocha, Roberto de Rezende, 1991. "Inflation and stabilization in Yugoslavia," Policy Research Working Paper Series 752, The World Bank.
  10. Kahouli, Sondès, 2011. "Re-examining uranium supply and demand: New insights," Energy Policy, Elsevier, vol. 39(1), pages 358-376, January.
  11. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
  12. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  13. Sturm, Jan-Egbert & Jacobs, Jan & Groote, Peter, 1995. "Productivity impacts of infrastructure investment in the Netherlands 1853-1913," Research Report 95D30, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  14. Campos, Nauro & Nugent, Jeffrey B, 2000. "Investment and Instability," CEPR Discussion Papers 2609, Centre for Economic Policy Research.
  15. Wier, Mette & Hansen, Lars Gårn & Smed, Sinne, 2001. "Explaining Demand for Organic Foods," MPRA Paper 48363, University Library of Munich, Germany.
  16. Stella Kitromilidou & Konstantinos Fokianos, 2016. "Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions," Statistical Inference for Stochastic Processes, Springer, vol. 19(3), pages 337-361, October.
  17. Torstein Bye & Alexandra Katz, 1995. "Returns to Publicly Owned Transport Infrastructure Investment . A Cost Function/Cost Share Approach for Norway, 1971-1991," Discussion Papers 154, Statistics Norway, Research Department.
  18. repec:aen:journl:ej36-1-07 is not listed on IDEAS
  19. Eric Neumayer, 2004. "The Impact of Political Violence on Tourism," Journal of Conflict Resolution, Peace Science Society (International), vol. 48(2), pages 259-281, April.
  20. Anna-Maria Mouza & Antonis Targoutzidis, 2012. "The impact of the economic cycle on fatal injuries. The case of UK 1971–2007," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(6), pages 1917-1929, October.
  21. Steen, Frode & Sorgard, Lars, 1999. "Semicollusion in the Norwegian cement market," European Economic Review, Elsevier, vol. 43(9), pages 1775-1796, October.
  22. Seale, James L. & Solano, Alexis A., 2012. "The changing demand for energy in rich and poor countries over 25years," Energy Economics, Elsevier, vol. 34(6), pages 1834-1844.
  23. Thomas Glauben & Jens-Peter Loy & Julia Körner, 2007. "Der Einfluss der Euro-Einführung auf die Preisentwicklung bei frischen Lebensmitteln in Deutschland," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 127(3), pages 457-485.
  24. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 49-81, January.
  25. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
  26. Brian W. Sloboda, 2003. "Assessing the Effects of Terrorism on Tourism by Use of Time Series Methods," Tourism Economics, , vol. 9(2), pages 179-190, June.
  27. Chadwick, Meltem, 2010. "Modelling Time-varying Bond Risk Premia for Utilities Industry," MPRA Paper 75840, University Library of Munich, Germany.
  28. George Tawadros, 2007. "A structural time series test of the P-star model: evidence from the middle east," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 463-467.
  29. McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012. "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 782-795.
  30. Sassi, M., 2013. "Child Nutritional Status in the Malawian District of Salima: A Capability Approach," 2013 Second Congress, June 6-7, 2013, Parma, Italy 149892, Italian Association of Agricultural and Applied Economics (AIEAA).
  31. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
  32. Guy V. G. Stevens, 1995. "On the inverse of the covariance matrix in portfolio analysis," International Finance Discussion Papers 528, Board of Governors of the Federal Reserve System (U.S.).
  33. Joan Mileski & Christopher Clott & Cassia Bomer Galvao & Taliese Laverne, 2020. "Technical analysis: the psychology of the market of dry bulk freight rates," Journal of Shipping and Trade, Springer, vol. 5(1), pages 1-15, December.
  34. George Halkos & Kyriaki Tsilika, 2015. "Programming Identification Criteria in Simultaneous Equation Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 157-170, June.
  35. Eduardo Pontual Ribeiro & Kamaiaji Castor, 2019. "Inferring bank-to-bank competition from dynamic time series analysis of price correlations," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 62-73.
  36. Klapper, Daniel & Herwartz, Helmut, 1998. "Forecasting performance of market share attraction models: A comparison of different models assuming that competitors' actions are forecasts," SFB 373 Discussion Papers 1998,103, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  37. Maier, Philipp & Knaap, Thijs, 2002. "Who supported the Deutsche Bundesbank?: An empirical investigation," Journal of Policy Modeling, Elsevier, vol. 24(9), pages 831-851, December.
  38. Paschen, Marius, 2016. "Dynamic analysis of the German day-ahead electricity spot market," Energy Economics, Elsevier, vol. 59(C), pages 118-128.
  39. Salies, Evens, 2004. "On the stability of recursive least squares in the Gauss-Markov model," MPRA Paper 52116, University Library of Munich, Germany, revised 10 Dec 2013.
  40. Stephen Lee, 2008. "Is The Uk Real Estate Market Converging With The Rest Of Europe?," ERES eres2008_192, European Real Estate Society (ERES).
  41. Barend Abeln & Jan P.A.M. Jacobs, 2015. "Seasonal adjustment with and without revisions: A comparison of X-13ARIMA-SEATS and CAMPLET," CIRANO Working Papers 2015s-35, CIRANO.
  42. Holm, Pasi & Honkapohja, Seppo & Koskela, Erkki, 1990. "A monopoly union model of wage determination with taxes and endogenous capital stock : an empirical application to the finnish manufacturing industry," Research Discussion Papers 24/1990, Bank of Finland.
  43. Salvanes, Kjell G. & Steen, Frode & Sorgard, Lars, 2005. "Hotelling in the air? Flight departures in Norway," Regional Science and Urban Economics, Elsevier, vol. 35(2), pages 193-213, March.
  44. Jacobs, Jan & Sterken, Elmer, 1995. "The IBS-CCSO quarterly model of the Netherlands Specification, simulation and analysis," Economic Modelling, Elsevier, vol. 12(2), pages 111-163, April.
  45. Kung, James Kai-sing & Lin, Yi-min, 2007. "The Decline of Township-and-Village Enterprises in China's Economic Transition," World Development, Elsevier, vol. 35(4), pages 569-584, April.
  46. Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
  47. Beck, Guenter W. & Wieland, Volker, 2008. "Central bank misperceptions and the role of money in interest-rate rules," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 1-17, October.
  48. Wiliam P. Forbes, 1993. "The Integration Of European Stock Markets: The Case Of The Banks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 20(3), pages 427-439, April.
  49. Isabel Figuerola-Ferretti, 2005. "Prices and production cost in aluminium smelting in the short and the long run," Applied Economics, Taylor & Francis Journals, vol. 37(8), pages 917-928.
  50. Eduardo Sandoval, 2015. "Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con Vs Sin Crisis Financiera," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 8(4), pages 27-44.
  51. John T. Cuddington & Leila Dagher, 2015. "Estimating Short and Long-Run Demand Elasticities: A Primer with Energy-Sector Applications," The Energy Journal, , vol. 36(1), pages 185-210, January.
  52. Adam Creighton, 2006. "Labour Mobility And Trans‐Tasman Currency Union," Australian Economic Papers, Wiley Blackwell, vol. 45(1), pages 38-56, March.
  53. Prema-Chandra Athukorala & James Riedel, 1996. "Modelling NIE exports: Aggregation, quantitative restrictions and choice of econometric methodology," Journal of Development Studies, Taylor & Francis Journals, vol. 33(1), pages 81-98.
  54. Seale, James L. & Vorotnikova, Ekaterina & Asci, Serhat, 2014. "An empirical input allocation model for the multiproduct firm," Economics Letters, Elsevier, vol. 124(3), pages 367-369.
  55. Gerard Keogh, 2013. "Modelling Asylum Migration Pull-Force Factors in the EU-15," The Economic and Social Review, Economic and Social Studies, vol. 44(3), pages 371-399.
  56. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
  57. Mao, Xiuping & Ruiz Ortega, Esther & Veiga, Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
  58. LaFrance, Jeffrey T., "undated". "U.S. Food and Nutrient Demand and the Effects of Agricultural Policies," New Economic Approaches to Consumer Welfare and Nutrition - FAMC 1999 Conference 260289, Food and Agricultural Marketing Consortium (FAMC).
  59. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "The fundamental determinants of financial integration in the European Union," Other publications TiSEM 0090a2e9-4071-45da-9fca-b, Tilburg University, School of Economics and Management.
  60. Kahouli, Sondès, 2011. "Effects of technological learning and uranium price on nuclear cost: Preliminary insights from a multiple factors learning curve and uranium market modeling," Energy Economics, Elsevier, vol. 33(5), pages 840-852, September.
  61. Shunsuke Managi & SJames J. Opaluch & Di Jin & Thomas A. Grigalunas, 2005. "Environmental Regulations and Technological Change in the Offshore Oil and Gas Industry," Land Economics, University of Wisconsin Press, vol. 81(2).
  62. Jacques Mairesse & Bronwyn H. Hall & Benoît Mulkay, 1999. "Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years," Annals of Economics and Statistics, GENES, issue 55-56, pages 27-67.
  63. Ronald A. Babula & Fred J. Ruppel & David A. Bessler, 1995. "U.S. corn exports: the role of the exchange rate," Agricultural Economics, International Association of Agricultural Economists, vol. 13(2), pages 75-88, November.
  64. Chris Gardiner & John Henneberry, 1995. "Analysing the property-gilts yield differential," Applied Economics Letters, Taylor & Francis Journals, vol. 2(1), pages 12-15.
  65. LaFrance, Jeffrey T., 1999. "An Econometric Model Of The Demand For Food And Nutrition," CUDARE Working Papers 25004, University of California, Berkeley, Department of Agricultural and Resource Economics.
  66. Maza, Adolfo & Sanchez-Robles, Blanca, 2002. "EMU and macroeconomic shocks: some evidence on Spanish regions," ERSA conference papers ersa02p391, European Regional Science Association.
  67. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2009. "Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach," Economic Modelling, Elsevier, vol. 26(1), pages 155-166, January.
  68. Garsztka Przemysław & Hołubowicz Krzysztof, 2015. "The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment," Folia Oeconomica Stetinensia, Paradigm, vol. 15(1), pages 83-100, June.
  69. Hautsch, Nikolaus & Ou, Yangguoyi, 2012. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
  70. Antonio Fernandois & Carlos A. Medel, 2020. "Geopolitical tensions, OPEC news, and the oil price: A granger causality analysis," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 35(2), pages 57-90, October.
  71. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  72. Lauridsen, J. & Kosfeld, R., 2004. "A wald Test for Spatial Nonstationarity," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 1-12, Diciembre.
  73. Daniele Coin, 2017. "A goodness-of-fit test for Generalized Error Distribution," Temi di discussione (Economic working papers) 1096, Bank of Italy, Economic Research and International Relations Area.
  74. Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, 1996. "Noise Trader Demand in Futures Markets," Finance 9609001, University Library of Munich, Germany.
  75. Jimmy Ran & Ronald Balvers, 2000. "Exchange Rate Shocks and the Speed of Trade Price Adjustment," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 200-211, July.
  76. Paul Downward, 1995. "A Post Keynesian Perspective of U.K. Manufacturing Pricing," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 17(3), pages 403-426, March.
  77. Schmitz, Troy G. & Seale, James L., 2002. "Import Demand for Disaggregated Fresh Fruits in Japan," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 34(3), pages 585-602, December.
  78. Laopodis, Nikiforos T. & Merika, Anna A. & Triantafillou, Annie, 2016. "Unraveling the political budget cycle nexus in Greece," Research in International Business and Finance, Elsevier, vol. 36(C), pages 13-27.
  79. Aka, F.B. & Decaluwe, B., 1999. "Causality and Comovement Between Tax Rate and Budget Deficits: Further Evidence from Developing Countries," Papers 9911, Laval - Recherche en Politique Economique.
  80. Charles Engel & James Morley, 2000. "The Adjustment of Prices and the Adjustment of the Exchange Rate," Working Papers 0009, University of Washington, Department of Economics.
  81. Agenor, Pierre-Richard & Khan, Mohsin S., 1996. "Foreign currency deposits and the demand for money in developing countries," Journal of Development Economics, Elsevier, vol. 50(1), pages 101-118, June.
  82. Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Yield curve factors, term structure volatility, and bond risk premia," SFB 649 Discussion Papers 2008-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  83. Mishra, Sagarika & Dhole, Sandip, 2014. "Least squares learning and the US Treasury bill rate," Economic Systems, Elsevier, vol. 38(2), pages 194-204.
  84. Gunnar Bårdsen & Stan Hurn & Zoë Mchugh, 2007. "Modelling Wages and Prices in Australia," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 143-158, June.
  85. Muhammad, Andrew & Meade, Birgit Gisela Saager & Regmi, Anita & Seale, James L., 2011. "International Evidence on Food Consumption Patterns: An Update Using 2005 International Comparison Program Data," Technical Bulletins 120252, United States Department of Agriculture, Economic Research Service.
  86. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
  87. David M. Walsh, 1997. "Orders vs Trades: Price Effects and Size Measures," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 47-69, June.
  88. Gallo, John G. & Apilado, Vincent P. & Kolari, James W., 1996. "Commercial bank mutual fund activities: Implications for bank risk and profitability," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1775-1791, December.
  89. Jacques Mairesse & Bronwyn H. Hall & Benoît Mulkay, 1999. "Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years," Annals of Economics and Statistics, GENES, issue 55-56, pages 27-67.
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