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Citations of
Serena Ng

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Olivier Coibion & Yuriy Gorodnichenko, 2008. "Strategic Interaction Among Heterogeneous Price-Setters In An Estimated DSGE Model," NBER Working Papers 14323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    Published as:

    Cited by:

    1. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    2. Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany. [Downloadable!]
    3. Eberhardt, Markus & Bond, Stephen, 2009. "Cross-section dependence in nonstationary panel models: a novel estimator," MPRA Paper 17692, University Library of Munich, Germany, revised 14 Oct 2009. [Downloadable!]
    4. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, 2008. "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Department of Economics, University of Glasgow. [Downloadable!]

  3. Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," NBER Working Papers 11285, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. James H. Stock & Mark W. Watson, 2008. "Phillips Curve Inflation Forecasts," NBER Working Papers 14322, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    3. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    4. D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006. "(Un)Predictability and Macroeconomic Stability," Research Technical Papers 5/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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    5. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth centre Working Paper Series 0802, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    6. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    7. Boris Hofmann, 2008. "Do monetary indicators lead euro area inflation?," Working Paper Series 867, European Central Bank. [Downloadable!]
    8. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    9. Riccardo Cristadoro & Fabrizio Venditti & Giuseppe Saporito, 2008. "Forecasting inflation and tracking monetary policy in the euro area - does national information help?," Working Paper Series 900, European Central Bank. [Downloadable!]
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    10. William T. Gavin & Kevin L. Kliesen, 2008. "Forecasting inflation and output: comparing data-rich models with simple rules," Review, Federal Reserve Bank of St. Louis, issue May, pages 175-192. [Downloadable!]
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    11. Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    12. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    13. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    14. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008. [Downloadable!]
    15. Clive Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series 2008fe24, Oxford Financial Research Centre. [Downloadable!]
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    16. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers 05-2009, Singapore Management University, School of Economics. [Downloadable!]
    17. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, BANCO DE LA REPÚBLICA. [Downloadable!]
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    18. D'Agostino, Antonello & Giannone, Domenico, 2006. "Comparing Alternative Predictors Based on Large-Panel Factor Models," Research Technical Papers 14/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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    19. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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      • Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    20. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers 07-8, Bank of Canada. [Downloadable!]
    21. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston. [Downloadable!]
    22. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia. [Downloadable!]
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    23. Boivin, Jean & Giannoni, Marc & Mihov, Ilian, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data," CEPR Discussion Papers 6101, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    24. Ard den Reijer, 2007. "Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle," DNB Working Papers 153, Netherlands Central Bank, Research Department. [Downloadable!]
    25. Eklund, Jana & Karlsson, Sune, 2007. "An Embarrassment of Riches: Forecasting Using Large Panels," Working Papers 2007:1, Örebro University, Swedish Business School. [Downloadable!]
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    26. George Kapetanios & Vincent Labhard & Simon Price, . "Forecast combination and the Bank of England’s suite of statistical forecasting models," Bank of England working papers 323, Bank of England. [Downloadable!]
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    27. Emanuel Mönch, 2005. "Forecasting the yield curve in a data-rich environment - a no-arbitrage factor-augmented VAR approach," Working Paper Series 544, European Central Bank. [Downloadable!]
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    28. Jean Boivin & Marc P. Giannoni & Ilian Mihov, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data," CFS Working Paper Series 2007/14, Center for Financial Studies. [Downloadable!]
    29. Davor Kunovac, 2007. "Factor Model Forecasting of Inflation in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 31(4), pages 371-393. [Downloadable!]
    30. Laurent Maurin & Matthieu Darracq Pariès, 2008. "The role of country-specific trade and survey data in forecasting euro area manufacturing production. Perspective from Large Panel factor models," Working Paper Series 894, European Central Bank. [Downloadable!]
    31. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," ECARES Working Papers 2008_033, Université Libre de Bruxelles, Ecares. [Downloadable!]
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    32. Dimitris Korobilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Papers 09-14, University of Strathclyde Business School, Department of Economics. [Downloadable!]
    33. Hofmann, Boris, 2006. "Do monetary indicators (still) predict euro area inflation?," Discussion Paper Series 1: Economic Studies 2006,18, Deutsche Bundesbank, Research Centre. [Downloadable!]
    34. Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis. [Downloadable!]
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    35. Günter W. Beck & Kirstin Hubrich & Massimiliano Marcellino, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank. [Downloadable!]
    36. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "A Dynamic Factor Analysis of Business Cycle on Firm-Level Data," LEM Papers Series 2006/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    37. Altissimo, Filippo & Cristadoro, Riccardo & Forni, Mario & Lippi, Marco & Veronese, Giovanni, 2006. "New EuroCOIN: Tracking Economic Growth in Real Time," CEPR Discussion Papers 5633, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Sydeny C. Ludvigson & Serena Ng, 2005. "Macro Factors in Bond Risk Premia," NBER Working Papers 11703, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Frank A.G. den Butter & Pieter W. Jansen, 2008. "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers 08-102/3, Tinbergen Institute. [Downloadable!]
    2. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," ESE Discussion Papers 157, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    3. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December. [Downloadable!]
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    4. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco. [Downloadable!]
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    5. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany. [Downloadable!]
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    6. Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    2. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]
    4. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
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    5. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198. [Downloadable!]
    6. Anisha Ghosh & Oliver Linton, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," Economics Working Papers we094928, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    7. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, School of Economics and Management, University of Aarhus. [Downloadable!]
    8. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]

  6. Jushan Bai & Serena Ng, 2004. "Evaluating Latent and Observed Factors in Macroeconomics and Financ," Econometrics 0408007, EconWPA. [Downloadable!]
    Published as:

    Cited by:

    1. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    2. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre. [Downloadable!]
    3. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    4. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia. [Downloadable!]
    5. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    6. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund. [Downloadable!]
    7. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    8. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    9. Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September. [Downloadable!] (restricted)
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    10. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Issler, João Victor & Lima, Luiz Renato Regis de Oliveira, 2007. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 642, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    12. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany. [Downloadable!]

  7. Jushan Bai & Serena Ng, 2004. "Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor," Econometrics 0408006, EconWPA. [Downloadable!]

    Cited by:

    1. 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. [Downloadable!] (restricted)
    2. Marcellino, Massimiliano, 2005. "Pooling-based data interpolation and backdating," CEPR Discussion Papers 5295, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  8. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Martin Schneider & Martin Spitzer, 2004. "Forecasting Austrian GDP using the generalized dynamic factor model," Working Papers 89, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    2. James H. Stock & Mark W. Watson, 2008. "Phillips Curve Inflation Forecasts," NBER Working Papers 14322, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Simone Elmer & Thomas Maag, 2009. "The Persistence of Inflation in Switzerland: Evidence from Disaggregate Data," Working papers 09-235, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
    4. Rangan Gupta & Alain Kabundi, 2008. "A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 200815, University of Pretoria, Department of Economics. [Downloadable!]
    5. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand. [Downloadable!]
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    6. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    7. Heather M. Anderson & Farshid Vahid, 2003. "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers 19/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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    8. Troy Matheson, 2005. "Factor model forecasts for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2005/01, Reserve Bank of New Zealand. [Downloadable!]
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    9. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    10. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany. [Downloadable!]
    11. Frank A.G. den Butter & Pieter W. Jansen, 2008. "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers 08-102/3, Tinbergen Institute. [Downloadable!]
    12. Elena Angelini & Massimiliano Marcellino, 2007. "Econometric analyses with backdated data - unified Germany and the euro area," Working Paper Series 752, European Central Bank. [Downloadable!]
    13. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka. [Downloadable!]
    14. Xavier Boutin & Lionel Janin, 2008. "Are Prices Really Affected by Mergers?," Documents de Travail de la DESE - Working Papers of the DESE 2008-08, Institut National de la Statistique et des Etudes Economiques, D3E, revised Jul 2008. [Downloadable!]
    15. Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    16. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    17. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research. [Downloadable!]
    18. Mototsugu Shintani, 2003. "Nonlinear Analysis of Business Cycles Using Diffusion Indexes: Applications to Japan and the U.S," Levine's Bibliography 506439000000000168, UCLA Department of Economics. [Downloadable!]
    19. Christophe Van Nieuwenhuyze, 2006. "A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts," Research series 200603-2, National Bank of Belgium. [Downloadable!]
    20. Kelly, Logan J, 2008. "The Currency Equivalent Index and the Current Stock of Money," MPRA Paper 7176, University Library of Munich, Germany. [Downloadable!]
    21. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    22. Lennard van Gelder & Ad Stokman, 2006. "Regime transplants in GDP growth forecasting: A recipe for better predictions?," DNB Working Papers 106, Netherlands Central Bank, Research Department. [Downloadable!]
    23. A.H.J. den Reijer, 2005. "Forecasting Dutch GDP using Large Scale Factor Models," DNB Working Papers 028, Netherlands Central Bank, Research Department. [Downloadable!]
    24. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," ECARES Working Papers 2008_012, Université Libre de Bruxelles, Ecares. [Downloadable!]
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    25. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," ECARES Working Papers 2008_036, Université Libre de Bruxelles, Ecares. [Downloadable!]
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    26. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    27. Jackwerth, Jens Carsten & Kolokolova, Olga & Hodder, James E., 2008. "Recovering Delisting Returns of Hedge Funds," MPRA Paper 11641, University Library of Munich, Germany, revised 31 Oct 2008. [Downloadable!]
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    28. Álvaro Aguirre R. & Luis Felipe Céspedes C., 2004. "Uso de Análisis Factorial Dinámico para Proyecciones Macroeconómicas," Working Papers Central Bank of Chile 274, Central Bank of Chile. [Downloadable!]
    29. Marta Banbura & Gerhard Rünstler, 2007. "A look into the factor model black box - publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 751, European Central Bank. [Downloadable!]
    30. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston. [Downloadable!]
    31. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia. [Downloadable!]
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    32. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund. [Downloadable!]
    33. Greg Tkacz, 2007. "Gold Prices and Inflation," Working Papers 07-35, Bank of Canada. [Downloadable!]
    34. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank. [Downloadable!]
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    35. Katja Drechsel & Laurent Maurin, 2008. "Flow on conjunctural information and forecast of euro area economic activity," Working Paper Series 925, European Central Bank. [Downloadable!]
    36. Schumacher, Christian, 2009. "Factor forecasting using international targeted predictors: the case of German GDP," Discussion Paper Series 1: Economic Studies 2009,10, Deutsche Bundesbank, Research Centre. [Downloadable!]
    37. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City. [Downloadable!]
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    38. Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    39. Gary Koop & Simon Potter, 2003. "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports 163, Federal Reserve Bank of New York. [Downloadable!]
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    40. Wayne A. Grove & Tim Wasserman & Andrew Grodner, 2006. "Choosing a Proxy for Academic Aptitude," Journal of Economic Education, Helen Dwight Reid Foundation, vol. 37(2), pages 131-147. [Downloadable!]
    41. Maximo Camacho & Gabriel Perez-Quiros, 2008. "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Banco de España Working Papers 0807, Banco de España. [Downloadable!]
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    42. Marco Aiolfi & Allan Timmermann & Luis Catão, 2006. "Common Factors in Latin America's Business Cycles," IMF Working Papers 06/49, International Monetary Fund. [Downloadable!]
    43. Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 15-23, June. [Downloadable!] (restricted)
    44. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers 6706, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    45. Laurent Maurin & Matthieu Darracq Pariès, 2008. "The role of country-specific trade and survey data in forecasting euro area manufacturing production. Perspective from Large Panel factor models," Working Paper Series 894, European Central Bank. [Downloadable!]
    46. Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York. [Downloadable!]
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    47. Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics. [Downloadable!]
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    48. Eickmeier, Sandra & Moll, Katharina, 2008. "The global dimension of inflation: evidence from factor-augmented Phillips curves," Discussion Paper Series 1: Economic Studies 2008,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    49. Audrone Jakaitiene & Stéphane Dées, 2009. "Forecasting the World Economy in the Short-Term," Working Paper Series 1059, European Central Bank. [Downloadable!]
    50. Sandra Eickmeier & Katharina Moll, 2009. "The global dimension of inflation - evidence from factor-augmented Phillips curves," Working Paper Series 1011, European Central Bank. [Downloadable!]
    51. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions, Second Version," PIER Working Paper Archive 08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008. [Downloadable!]
    52. Maximo Camacho & Gabriel Perez-Quiros, 2009. "Ñ-STING: España Short Term INdicator of Growth," Banco de España Working Papers 0912, Banco de España. [Downloadable!]
    53. Magdalena Morgese Borys & Roman Horvath, 2008. "The Effects of Monetary Policy in the Czech Republic: An Empirical Study," Working Papers 2008/4, Czech National Bank, Research Department. [Downloadable!]
      Other versions:
    54. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany. [Downloadable!]
    55. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    56. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society. [Downloadable!]
      Other versions:
    57. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany. [Downloadable!]
    58. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009. "Survey Data as Coicident or Leading Indicators," Economics Working Papers ECO2009/19, European University Institute. [Downloadable!]
      Other versions:
    59. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    60. Bettina Becker & Stephen G. Hall, 2009. "A new look at economic convergence in Europe: a common factor approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 85-97. [Downloadable!]
      Other versions:

  9. Jushan Bai & Serena Ng, 2001. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics 501, Boston College Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO. [Downloadable!]
    2. McKay, Alisdair & Reis, Ricardo, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    4. Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Emory Economics 0806, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:

  10. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    2. Christian Dreger & Hans-Eggert Reimers, 2006. "Hysteresis and Persistence in the Course of Unemployment: The EU and US Experience," Discussion Papers of DIW Berlin 572, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    3. Olaf, POSCH & Klaus, WAELDE, 2005. "Natural volatility, welfare and taxation," Discussion Papers (ECON - Département des Sciences Economiques) 2005009, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    4. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009. "Forecasting with Factor-Augmented Error Correction Models," Discussion Papers 09-06, Department of Economics, University of Birmingham. [Downloadable!]
      Other versions:
    5. António Afonso & Christophe Rault, 2008. "3-Step Analysis of Public Finances Sustainability: the Case of the European Union," Working Papers hal-00322086_v1, HAL. [Downloadable!]
      Other versions:
    6. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
      Other versions:
    7. Westerlund, Joakim & Edgerton, David, 2006. "Simple Tests for Cointegration in Dependent Panels with Structural Breaks," Working Papers 2006:13, Lund University, Department of Economics, revised 28 Jan 2007.
    8. Moon, H.R. & Perron, B., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    9. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April. [Downloadable!]
    10. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004. [Downloadable!]
    11. Yannick LE PEN & Benoît SEVI, 2008. "On the non-convergence of energy intensities: evidence from a pair-wise econometric approach," Cahiers du CREDEN (CREDEN Working Papers) 08.12.79, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1. [Downloadable!]
    12. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre. [Downloadable!]
    13. Gutierrez, Luciano & Erickson, Kenneth & Westerlund, Joakim, 2005. "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24702, European Association of Agricultural Economists. [Downloadable!]
    14. Georges Bresson & Badi H. Baltagi & Alain Pirotte, 2007. "Panel unit root tests and spatial dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 339-360. [Downloadable!]
      Other versions:
    15. Timothy K. Chue & In Choi, 2007. "Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 233-264. [Downloadable!]
    16. Ron Smith & Gylfi Zoega, 2004. "Global Shocks and Unemployment Adjustment," DEGIT Conference Papers c009_003, DEGIT, Dynamics, Economic Growth, and International Trade. [Downloadable!]
      Other versions:
    17. de Bandt, Olivier & Banerjee, Anindya & Kozluk, Tomasz, 2007. "Measuring Long-Run Exchange Rate Pass-Through," Economics Discussion Papers 2007-32, Kiel Institute for the World Economy. [Downloadable!]
      Other versions:
    18. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
      Other versions:
    19. Christian Dreger & Reinhold Kosfeld, 2007. "Do Regional Price Levels Converge?: Paneleconometric Evidence Based on German Districts," Discussion Papers of DIW Berlin 754, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    20. Westerlund, Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    21. Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
      Other versions:
    22. Jinyong Hahn & Hyungsik Roger Moon, 2005. "Reducing Bias of MLE in a Dynamic Panel Model," IEPR Working Papers 05.36, Institute of Economic Policy Research (IEPR). [Downloadable!]
      Other versions:
    23. Smith, Ron & Zoega, Gylfi, 2008. "Global Factors, Unemployment Adjustment and the Natural Rate," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(22), pages 1-29. [Downloadable!]
    24. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    25. Basher, Syed A. & Westerlund, Joakim, 2006. "Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models," MPRA Paper 136, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    26. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    27. Pesaran, M.H. & Tosetti, E., 2007. "Large Panels with Common Factors and Spatial Correlations," Cambridge Working Papers in Economics 0743, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    28. Ulrich Fritsche & Vladimir Kuzin, 2007. "Unit Labor Cost Growth Differentials in the Euro Area, Germany, and the US: Lessons from PANIC and Cluster Analysis," Discussion Papers of DIW Berlin 667, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    29. Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, Department of Economics, University of Bristol, UK. [Downloadable!]
    30. Harb, Nasri, 2008. "Oil Exports, Non Oil GDP and Investment in the GCC Countries," MPRA Paper 15576, University Library of Munich, Germany. [Downloadable!]
    31. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522_v1, HAL. [Downloadable!]
    32. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
      Other versions:
    33. Gengenbach,Christian & Palm,Franz & Urbain,Jean-Pierre, 2004. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    34. Joakim Westerlund & Syed Basher, 2008. "Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 40(1), pages 109-120, May. [Downloadable!] (restricted)
      Other versions:
    35. Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics. [Downloadable!]
    36. Antonia López Villavicencio, 2006. "Real equilibrium exchange rates. A panel data approach for advanced and emerging economies," Working Papers wpdea0605, Department of Applied Economics at Universitat Autonoma of Barcelona. [Downloadable!]
      Other versions:
    37. Stefano Fachin, 2005. "Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units," Econometrics 0507002, EconWPA. [Downloadable!]
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    38. Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008. "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers 200805, University of Barcelona, Research Institute of Applied Economics, revised Apr 2008. [Downloadable!]
    39. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend," Center for Policy Research Working Papers 92, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    40. Gengenbach,Christian & Palm,Franz C. & Urbain,Jean-Pierre, 2005. "Panel Cointegration Testing in the Presence of Common Factors," Research Memoranda 050, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    41. Somchai Amornthum & Carl Bonham, 2008. "Financial Integration in the Pacific Basin Region: RIP by PANIC Attack?," Working Papers 200802, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
    42. Eberhardt, Markus & Teal, Francis, 2009. "A Common Factor Approach to Spatial Heterogeneity in Agricultural Productivity Analysis," MPRA Paper 15810, University Library of Munich, Germany. [Downloadable!]
    43. Westerlund, Joakim & Costantini, Mauro, 2006. "Panel Cointegration and the Neutrality of Money," Working Papers 2006:18, Lund University, Department of Economics. [Downloadable!]
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    44. Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    45. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers 2008_28, Department of Economics, University of Glasgow. [Downloadable!]
    46. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2008. "The Global Side of the Investments-Savings Puzzle," Working Papers 2008_14, Department of Economics, University of Glasgow. [Downloadable!]
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    47. Kapetanios, George & Marcellino, Massimiliano, 2006. "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers 5621, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    48. Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany. [Downloadable!]
    49. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
    50. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    51. Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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    52. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312. [Downloadable!]
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    53. Urbain, Jean-Pierre & Westerlund, Joakim, 2006. "Spurious Regression in Nonstationary Panels with Cross-Unit Cointegration," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    54. Dong He & Laurent Pauwels, 2008. "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers 0806, Hong Kong Monetary Authority. [Downloadable!]
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    55. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
      Other versions:
    56. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2008. "Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests," Research Memoranda 048, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    57. Pham Van Ha & Tom Kompas, 2008. "Productivity and Exchange Rate Dynamics: Supporting the Harrod-Balassa-Samuelson Hypothesis through an ‘Errors in Variables’ Analysis," International and Development Economics Working Papers idec08-03, International and Development Economics. [Downloadable!]
    58. Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    59. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    60. Martin Wagner & Georg Müller-Fürstenberger, 2004. "The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?," Diskussionsschriften dp0418, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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    61. Westerlund, Joakim, 2007. "A Note on the Pooling of Individual PANIC Unit Root Tests," Working Papers 2007:5, Lund University, Department of Economics. [Downloadable!]
    62. Christian Dreger & Eric Girardin, 2007. "Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?," Discussion Papers of DIW Berlin 746, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    63. Christian Dreger, 2008. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Working Paper / FINESS 1.1c, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    64. Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September. [Downloadable!] (restricted)
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    65. Hanck, Christoph, 2008. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," MPRA Paper 11988, University Library of Munich, Germany. [Downloadable!]
    66. Dong Shin & Oesook Lee, 2008. "Unit root tests for panel MTAR model with cross-sectionally dependent error," Metrika, Springer, vol. 67(3), pages 315-326, April. [Downloadable!] (restricted)
    67. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute. [Downloadable!]
    68. Westerlund, Joakim, 2006. "Some Cautions on the Use of the LLC Panel Unit Root Test," Research Memoranda 055, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    69. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400. [Downloadable!]
    70. Ron Smith & Gylfi Zoega, 2007. "Global Factors, Unemployment Adjustment and the Natural Rate," Kiel Working Papers 1367, Kiel Institute for the World Economy. [Downloadable!]
    71. Johan Lyhagen, 2008. "Why not use standard panel unit root test for testing PPP," Economics Bulletin, Economics Bulletin, vol. 3(26), pages 1-11. [Downloadable!]
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    72. Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005. "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers 05.38, Institute of Economic Policy Research (IEPR). [Downloadable!]
      Other versions:
    73. Andrea Cerasa, 2008. "Panel Unit Root Tests and the Specification of Cross-sectional Dependence," Economics Bulletin, Economics Bulletin, vol. 3(37), pages 1-13. [Downloadable!]
    74. António Afonso & Christophe Rault, 2009. "Budgetary and External Imbalances Relationship: A Panel Data Diagnostic," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    75. Okey, Mawussé Komlagan Nézan, 2009. "Consommation d’énergies et croissance du PIB dans les pays de l’UEMOA : Une analyse en données de panel
      [Energy consumption and GDP growth in WAEMU countries : A panel data analysis]      ," MPRA Paper 15521, University Library of Munich, Germany, revised 02 Jun 2009. [Downloadable!]
    76. Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 15-23, June. [Downloadable!] (restricted)
    77. João Sousa Andrade, 2006. "Mobilidade do Capital e Sustentabilidade Externa: uma aplicação da tese de F-H a Portugal (1910-2004)," GEMF Working Papers 2006-04, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
    78. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research. [Downloadable!]
    79. Yongfu Huang, 2006. "Private investment and financial development in a globalized world," Bristol Economics Discussion Papers 06/589, Department of Economics, University of Bristol, UK. [Downloadable!]
    80. Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation, Yale University. [Downloadable!]
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    81. Samarjit Das & Kaushik Bhattacharya, 2004. "Price Convergence across Regions in India," Bonn Econ Discussion Papers bgse1_2005, University of Bonn, Germany. [Downloadable!]
      Other versions:
    82. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233. [Downloadable!]
    83. Jarko Fidrmuc, 2009. "Gravity models in integrated panels," Empirical Economics, Springer, vol. 37(2), pages 435-446, October. [Downloadable!] (restricted)
    84. Kaddour Hadri & Eiji Kurozumi, 2008. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Global COE Hi-Stat Discussion Paper Series gd08-016, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
      Other versions:
    85. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Price level convergence, purchasing power parity and multiple structural breaks: An application to US cities," Working Papers XREAP2008-8, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008. [Downloadable!]
    86. Francesco Corielli & Massimiliano Marcellino, . "Factor Based Index Trading," Working Papers 209, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    87. Marcus Kappler, 2009. "Do hours worked contain a unit root? Evidence from panel data," Empirical Economics, Springer, vol. 36(3), pages 531-555, June. [Downloadable!] (restricted)
    88. Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2008. "Panel Error Correction Testing with Global Stochastic Trends," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    89. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    90. Westerlund, Joakim, 2005. "Pooled Unit Root Tests in Panels with a Common Factor," Working Papers 2005:9, Lund University, Department of Economics. [Downloadable!]
    91. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    92. Jushan Bai & Chihwa Kao, 2005. "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers 75, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    93. Günter W. Beck & Kirstin Hubrich & Massimiliano Marcellino, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank. [Downloadable!]
    94. Wagner, Martin & Hlouskova, Jaroslava, 2007. "The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study," Economics Series 210, Institute for Advanced Studies. [Downloadable!]
    95. Mónica Fuentes & Sergio Godoy, 2005. "Sovereign Spread in Emerging Markets: A Principal Component Analysis," Working Papers Central Bank of Chile 333, Central Bank of Chile. [Downloadable!]
    96. Josep Carrion-i-Silvestre & Vicente German-Soto, 2009. "Panel data stochastic convergence analysis of the Mexican regions," Empirical Economics, Springer, vol. 37(2), pages 303-327, October. [Downloadable!] (restricted)
    97. Guenter Beck & Massimiliano Marcellino, 2006. "Regional Inflation Dynamics within and across Euro Area and a Comparison with the US," Computing in Economics and Finance 2006 338, Society for Computational Economics. [Downloadable!]
    98. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007. [Downloadable!]
    99. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004. "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance 0403, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
      Other versions:
    100. Kula, Ferit & Aslan, Alper, 2008. "Hysteresis vs. natural rate of unemployment: One, the other, or both?," MPRA Paper 14054, University Library of Munich, Germany. [Downloadable!]
    101. Anindya Banerjee & Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank. [Downloadable!]
    102. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, 2008. "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Department of Economics, University of Glasgow. [Downloadable!]
    103. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, Economics Bulletin, vol. 3(38), pages 1-17. [Downloadable!]

  11. Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Tiia Püss & Mare Viies & Reet Maldre, 2007. "Convergence Analysis of the Structure of Tax Revenue and Tax Burden in EU," Working Papers 166, School of Economics and Business Administration, Tallinn University of Technology. [Downloadable!]
    2. Claus Brand & Hans-Eggert Reimers & Franz Seitz, 2003. "Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence," Macroeconomics 0303012, EconWPA. [Downloadable!]
    3. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November. [Downloadable!] (restricted)
    4. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    5. Barbier de la Serre, A. & Frappa, S. & Montornès, J. & Murez, M., 2008. "La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises," Documents de Travail 194, Banque de France. [Downloadable!]
    6. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
      Other versions:

  12. Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics. [Downloadable!]

    Cited by:

    1. Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, Göteborg University, Department of Economics. [Downloadable!]
    2. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation, Yale University. [Downloadable!]
    3. César Calderón & Roberto Duncan, 2003. "Purchasing Power Parity in an Emerging Market Economy: A Long-Span Study for Chile," Working Papers Central Bank of Chile 215, Central Bank of Chile. [Downloadable!]
      Other versions:
    4. J.J.J. Groen, 2000. "New multi-country evidence on purchasing power parity," Econometric Institute Report 188, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    5. Gawon Yoon, 2003. "The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 627-631, August. [Downloadable!] (restricted)
    6. Fischer, Christoph & Porath, Daniel, 2006. "A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications," Discussion Paper Series 1: Economic Studies 2006,23, Deutsche Bundesbank, Research Centre. [Downloadable!]
    7. P.H. Franses & D.J. van Dijk, 2002. "A simple test for PPP among traded goods," Econometric Institute Report 255, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    8. Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group. [Downloadable!]

  13. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
      Other versions:
    2. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April. [Downloadable!]
    3. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004. [Downloadable!]
    4. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2002. "A Principal Components Approach to Cross-Section Dependence in Panels," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-3, International Conferences on Panel Data. [Downloadable!]
    6. Simón Sosvilla-Rivero & Emma García, . "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA. [Downloadable!]

  14. Serena Ng, 2001. "Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?," Economics Working Paper Archive 468, The Johns Hopkins University,Department of Economics.
    Published as:

    Cited by:

    1. Georgios Chortareas & George Kapetanios, 2005. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005 36, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    2. Hafedh Bouakez, 2003. "Real Exchange Rate Persistence in Dynamic General-Equilibrium Sticky-Price Models: An Analytical Characterization," Working Papers 03-35, Bank of Canada. [Downloadable!]

  15. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    2. Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008. "Sectoral vs. aggregate shocks : a structural factor analysis of industrial production," Working Paper 08-07, Federal Reserve Bank of Richmond. [Downloadable!]
      Other versions:
    3. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto. [Downloadable!]
    4. Rangan Gupta & Alain Kabundi, 2008. "A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 200815, University of Pretoria, Department of Economics. [Downloadable!]
    5. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009. "Forecasting with Factor-Augmented Error Correction Models," Discussion Papers 09-06, Department of Economics, University of Birmingham. [Downloadable!]
      Other versions:
    6. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    7. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    8. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
      Other versions:
    9. Cristina Brasili & Luciano Gutierrez, 2004. "Regional convergence across European Union," Development and Comp Systems 0402002, EconWPA. [Downloadable!]
    10. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers 3550, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    11. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research. [Downloadable!]
      Other versions:
    12. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    13. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Moon, H.R. & Perron, B., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    15. Jorge Selaive C. & Valentín Délano T., 2006. "Sovereign Spreads: A Factorial Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(1), pages 49-67, April. [Downloadable!]
    16. Troy Matheson, 2005. "Factor model forecasts for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2005/01, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    17. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2007. "Change in persistence tests for panels," Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. SEGeS. [Downloadable!]
    18. Beyer, Andreas & Farmer, Roger E A & Henry, Jérôme & Marcellino, Massimiliano, 2005. "Factor Analysis in a New-Keynesian Model," CEPR Discussion Papers 5266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    19. Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005. "Large dimension forecasting models and random singular value spectra," Science & Finance (CFM) working paper archive 500066, Science & Finance, Capital Fund Management. [Downloadable!]
    20. Vulpes, Giuseppe & Brasili, Andrea, 2006. "Banking integration and co-movements in EU banks’ fragility," MPRA Paper 1964, University Library of Munich, Germany. [Downloadable!]
    21. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth centre Working Paper Series 0802, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    22. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre. [Downloadable!]
    23. Cerqueti, Roy & Costantini, Mauro & Gutierrez, Luciano, 2008. "Change in persistence tests for panels: An update and some new results," Economics & Statistics Discussion Papers esdp08043, University of Molise, Dept. SEGeS. [Downloadable!]
    24. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales. [Downloadable!]
    25. Gutierrez, Luciano & Erickson, Kenneth & Westerlund, Joakim, 2005. "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24702, European Association of Agricultural Economists. [Downloadable!]
    26. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    27. Marie Brière & Florian Ielpo, 2007. "Yield curve reaction to macroeconomic news in Europe : disentangling the US influence," Working Papers CEB 07-038.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    28. Elena Angelini & Massimiliano Marcellino, 2007. "Econometric analyses with backdated data - unified Germany and the euro area," Working Paper Series 752, European Central Bank. [Downloadable!]
    29. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    30. Christine De Mol & Domenico Giannone & Lucrezia Reichlin, 2006. "Forecasting using a large number of predictors - Is Bayesian regression a valid alternative to principal components?," Working Paper Series 700, European Central Bank. [Downloadable!]
      Other versions:
    31. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007. [Downloadable!]
    32. Necati Tekatli, 2007. "Understanding Sources of the Change in International Business Cycles," UFAE and IAE Working Papers 731.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    33. George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute for the Study of Labor (IZA). [Downloadable!]
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    34. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    35. Brasili, Cristina & Fanfani, Roberto & Gutierrez, Luciano, 2007. "Convergence in the Agricultural Incomes: a Comparison between the US and EU," 103rd Seminar, April 23-25, 2007, Barcelona, Spain 9397, European Association of Agricultural Economists. [Downloadable!]
      Other versions:
    36. Elena Angelini & Gonzalo Camba-Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2008. "Short-Term Forecasts of Euro Area GDP Growth," ECARES Working Papers 2008_035, Université Libre de Bruxelles, Ecares. [Downloadable!]
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    37. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York. [Downloadable!]
    38. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
      Other versions:
    39. Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    40. Christian Dreger & Reinhold Kosfeld, 2007. "Do Regional Price Levels Converge?: Paneleconometric Evidence Based on German Districts," Discussion Papers of DIW Berlin 754, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    41. Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2006. "A Spatio-Temporal Model of House Prices in the US," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    42. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    43. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Consistent noisy independent component analysis," CeMMAP working papers CWP04/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    44. Xavier Boutin & Lionel Janin, 2008. "Are Prices Really Affected by Mergers?," Documents de Travail de la DESE - Working Papers of the DESE 2008-08, Institut National de la Statistique et des Etudes Economiques, D3E, revised Jul 2008. [Downloadable!]
    45. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
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    46. Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany : a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    47. Breitung, Jörg & Eickmeier, Sandra, 2009. "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies 2009,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
    48. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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    49. Seung C. Ahn & Young H. Lee & Peter Schmidt, 2006. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers 0702, University of Crete, Department of Economics. [Downloadable!]
    50. Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, Department of Economics, University of Bristol, UK. [Downloadable!]
    51. Gabriel Moser & Fabio Rumler & Johann Scharler, 2004. "Forecasting Austrian Inflation," Working Papers 91, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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    52. Harb, Nasri, 2008. "Oil Exports, Non Oil GDP and Investment in the GCC Countries," MPRA Paper 15576, University Library of Munich, Germany. [Downloadable!]
    53. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522_v1, HAL. [Downloadable!]
    54. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008. [Downloadable!]
    55. Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
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    56. Felix Chan Tommaso Mancini-Griffoli Laurent L. Pauwels, 2006. "Stability Tests for Heterogeneous Panel Data," HEI Working Papers 24-2006, Economics Section, The Graduate Institute of International Studies, revised Dec 2006. [Downloadable!]
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    57. Gengenbach,Christian & Palm,Franz & Urbain,Jean-Pierre, 2004. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    58. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September. [Downloadable!] (restricted)
    59. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies. [Downloadable!]
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    60. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, . "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England. [Downloadable!]
    61. Mototsugu Shintani, 2003. "Nonlinear Analysis of Business Cycles Using Diffusion Indexes: Applications to Japan and the U.S," Levine's Bibliography 506439000000000168, UCLA Department of Economics. [Downloadable!]
    62. M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    63. Luciano Gutierrez, 2003. "Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison," Econometrics 0310004, EconWPA. [Downloadable!]
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    64. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    65. Ben S. Bernanke & Jean Boivin, 2001. "Monetary Policy in a Data-Rich Environment," NBER Working Papers 8379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    66. Kelly, Logan J, 2008. "The Currency Equivalent Index and the Current Stock of Money," MPRA Paper 7176, University Library of Munich, Germany. [Downloadable!]
    67. Consolo, Agostino & Favero, Carlo A & Paccagnini, Alessia, 2009. "On the Statistical Identification of DSGE Models," CEPR Discussion Papers 7176, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    68. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers 05-2009, Singapore Management University, School of Economics. [Downloadable!]
    69. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, BANCO DE LA REPÚBLICA. [Downloadable!]
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    70. Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008. "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers 200805, University of Barcelona, Research Institute of Applied Economics, revised Apr 2008. [Downloadable!]
    71. T. Berger & F. Heylen, 2009. "Differences in hours worked in the OECD: institutions or fiscal policies?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/601, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    72. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus. [Downloadable!]
    73. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    74. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    75. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend," Center for Policy Research Working Papers 92, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    76. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    77. Somchai Amornthum & Carl Bonham, 2008. "Financial Integration in the Pacific Basin Region: RIP by PANIC Attack?," Working Papers 200802, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
    78. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia. [Downloadable!]
    79. Chris Heaton & Victor Solo, 2006. "Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?," Research Papers 0605, Macquarie University, Department of Economics. [Downloadable!]
    80. Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers 2008_28, Department of Economics, University of Glasgow. [Downloadable!]
    81. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2008. "The Global Side of the Investments-Savings Puzzle," Working Papers 2008_14, Department of Economics, University of Glasgow. [Downloadable!]
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    82. Kapetanios, George & Marcellino, Massimiliano, 2006. "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers 5621, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    83. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    84. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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    85. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," ECARES Working Papers 2008_012, Université Libre de Bruxelles, Ecares. [Downloadable!]
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    86. Eberhardt, Markus & Teal, Francis, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," MPRA Paper 15813, University Library of Munich, Germany. [Downloadable!]
    87. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September. [Downloadable!]
    88. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
    89. Luciano Gutierrez, 2003. "Common and idiosyncratic shocks to labor productivity across sectors and countries: Is climate relevant?," Macroeconomics 0311008, EconWPA. [Downloadable!]
    90. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," ECARES Working Papers 2008_036, Université Libre de Bruxelles, Ecares. [Downloadable!]
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    91. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    92. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    93. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers 07-8, Bank of Canada. [Downloadable!]
    94. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    95. Jushan Bai & Serena Ng, 2009. "Boosting diffusion indices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 607-629. [Downloadable!]
    96. Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Working Papers 0322, Department of Economics, Vanderbilt University, revised Apr 2004. [Downloadable!]
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    97. Christian M. Dahl & Henrik Hansen & John Smidt, 2008. "The cyclical component factor model," CREATES Research Papers 2008-44, School of Economics and Management, University of Aarhus. [Downloadable!]
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    98. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, . "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    99. Jackwerth, Jens Carsten & Kolokolova, Olga & Hodder, James E., 2008. "Recovering Delisting Returns of Hedge Funds," MPRA Paper 11641, University Library of Munich, Germany, revised 31 Oct 2008. [Downloadable!]
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    100. Claudio Morana, 2006. "The End of the Japanese Stagnation: an Assessment of the Policy Solutions," ICER Working Papers 27-2006, ICER - International Centre for Economic Research. [Downloadable!]
    101. Michael Artis & Christian Dreger & Konstantin Kholodilin, 2009. "Common and Spatial Drivers in Regional Business Cycles," SERC Discussion Papers 0022, Spatial Economics Research Centre, LSE. [Downloadable!]
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    102. Dreger, Christian & Schumacher, Christian, 2002. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Discussion Paper Series 26321, Hamburg Institute of International Economics. [Downloadable!]
    103. Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
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    104. Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent) 020, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
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    105. Dong He & Laurent Pauwels, 2008. "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers 0806, Hong Kong Monetary Authority. [Downloadable!]
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    106. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    107. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    108. Pesaran, M.H. & Pick, A. & Timmermann, A., 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," Cambridge Working Papers in Economics 0901, Faculty of Economics, University of Cambridge. [Downloadable!]
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    109. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    110. Eric Bataille & Catherine Bruneau & Frederic Michaud, 2007. "Business cycle and corporate failure in France: Is there a link?," Computational Economics, Springer, vol. 29(2), pages 173-197, March. [Downloadable!] (restricted)
    111. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANUCBE School of Economics Working Papers 2005-451, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
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    112. Ricardo Reis & Mark W. Watson, 2007. "Measuring changes in the value of the numeraire," Kiel Working Papers 1364, Kiel Institute for the World Economy. [Downloadable!]
    113. Hwee Kwan Chow & Keen Meng Choy, 2009. "Monetary Policy and Asset Prices in a Small Open Economy: A Factor-Augmented VAR Analysis for Singapore," Working Papers 11-2009, Singapore Management University, School of Economics. [Downloadable!]
    114. Michal Brzoza-Brzezina & Jacek Kotlowski, 2009. "Estimating pure inflation in the Polish economy," Working Papers 37, Department of Applied Econometrics, Warsaw School of Economics. [Downloadable!]
    115. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
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    116. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2008. "A robust criterion for determining the number of static factors in approximate factor models," Working Paper Series 903, European Central Bank. [Downloadable!]
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    117. Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    118. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics. [Downloadable!]
    119. Claus Brand & Daniel Buncic & Jarkko Turunen, 2008. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Discussion Papers 2008-11, School of Economics, The University of New South Wales. [Downloadable!]
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    120. Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
    121. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    122. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    123. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    124. Christian Dreger & Eric Girardin, 2007. "Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?," Discussion Papers of DIW Berlin 746, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    125. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute. [Downloadable!]
    126. Sonali Das & Rangan Gupta & Alain Kabundi, 2008. "Could We Have Predicted The Recent Downturn In The South African Housing Market?," Working Papers 200831, University of Pretoria, Department of Economics.
    127. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports 363, Federal Reserve Bank of New York. [Downloadable!]
    128. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Quantitative Finance Papers physics/0608284, arXiv.org. [Downloadable!]
    129. Ard den Reijer, 2007. "Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle," DNB Working Papers 153, Netherlands Central Bank, Research Department. [Downloadable!]
    130. Andrew Grodner & Thomas J. Kniesner, 2007. "Labor Supply with Social Interactions: Econometric Estimates and Their Tax Policy Implications," IZA Discussion Papers 3034, Institute for the Study of Labor (IZA). [Downloadable!]
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    131. Hein Roelfsema & Martijn Boermans & Yi Zhang, 2009. "Regional determinants of FDI in China: A new approach with recent data," Working Papers 09-23, Utrecht School of Economics. [Downloadable!]
    132. Christian Dreger, 2008. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Working Paper / FINESS 1.1c, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    133. Cheng Hsiao, 2007. "Panel data analysis—advantages and challenges," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 1-22, May. [Downloadable!] (restricted)
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    134. Schumacher, Christian, 2009. "Factor forecasting using international targeted predictors: the case of German GDP," Discussion Paper Series 1: Economic Studies 2009,10, Deutsche Bundesbank, Research Centre. [Downloadable!]
    135. Andrea Brasili & Giuseppe Vulpes, 2004. "Co-movements in EU banks’ fragility: a dynamic factor model approach," Finance 0411011, EconWPA, revised 02 Nov 2005.
    136. Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September. [Downloadable!] (restricted)
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    137. García Solanes, José & Torrejón-Flores, Fernando, 2009. "The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(2), pages 1-24. [Downloadable!]
    138. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
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    139. Samarjit Das & Kaushik Bhattacharya, 2008. "Price convergence across regions in India," Empirical Economics, Springer, vol. 34(2), pages 299-313, March. [Downloadable!] (restricted)
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    140. Etienne B. Yehoue & Gilles J. Dufrénot, 2005. "Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis," IMF Working Papers 05/164, International Monetary Fund. [Downloadable!]
    141. Troy Matheson, 2007. "An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys," Reserve Bank of New Zealand Discussion Paper Series DP2007/13, Reserve Bank of New Zealand. [Downloadable!]
    142. Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute. [Downloadable!]
    143. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
    144. Rangan Gupta & Alain Kabundi, 2008. "Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs," Working Papers 200816, University of Pretoria, Department of Economics. [Downloadable!]
    145. Kozluk, Tomasz, 2008. "Global and Regional Links between Stock Markets - the Case of Russia and China," BOFIT Discussion Papers 4/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    146. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, . "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    147. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    148. Gary Koop & Simon Potter, 2003. "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports 163, Federal Reserve Bank of New York. [Downloadable!]
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    149. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    150. Claude Lopez, 2005. "A Panel Unit Root Test with Good Power in Small Samples," University of Cincinnati, Economics Working Papers Series 2005-01, University of Cincinnati, Department of Economics, revised 2007. [Downloadable!]
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    151. Alexei Onatski, 2005. "Determining the number of factors from empirical distribution of eigenvalues," Discussion Papers 0405-19, Columbia University, Department of Economics. [Downloadable!]
    152. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York. [Downloadable!]
    153. Haluk Erlat, . "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW. [Downloadable!]
    154. Peter C.B. Phillips & Donggyu Sul, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers 1438, Cowles Foundation, Yale University, revised Jun 2004. [Downloadable!]
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    155. Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," NBER Working Papers 14863, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    156. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219. [Downloadable!]
    157. Elena Angelini & Jerome Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 061, European Central Bank. [Downloadable!]
    158. Holly, S. & Petrella, I., 2008. "Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations," Cambridge Working Papers in Economics 0827, Faculty of Economics, University of Cambridge. [Downloadable!]
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    159. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society. [Downloadable!]
    160. Domenico Giannone & Michele Lenza, 2008. "The Feldstein-Horioka fact," Working Paper Series 873, European Central Bank. [Downloadable!]
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    161. Jurlin, Kresimir & Malekovic, Sanja & Puljiz, Jaksa & Cziraky, Dario & Polic, Mario, 2002. "Covariance structure analysis of regional development data: an application to municipality development assessment," ERSA conference papers ersa02p469, European Regional Science Association. [Downloadable!]
    162. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    163. Alain N. Kabundi & Francisco Nadal-De Simone, 2007. "France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 07/129, International Monetary Fund. [Downloadable!]
    164. Romain Houssa, 2004. "Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach," Development and Comp Systems 0409063, EconWPA. [Downloadable!]
    165. Laurent Maurin & Matthieu Darracq Pariès, 2008. "The role of country-specific trade and survey data in forecasting euro area manufacturing production. Perspective from Large Panel factor models," Working Paper Series 894, European Central Bank. [Downloadable!]
    166. Eickmeier, Sandra & Moll, Katharina, 2008. "The global dimension of inflation: evidence from factor-augmented Phillips curves," Discussion Paper Series 1: Economic Studies 2008,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    167. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas. [Downloadable!]
    168. John Galbraith & Douglas James Hodgson, 2009. "Dimension Reduction and Model Averaging for Estimation of Artists’ Age-Valuation Profiles," CIRANO Working Papers 2009s-41, CIRANO. [Downloadable!]
    169. Seung Ahn & Young Lee & Peter Schmidt, 2007. "Stochastic frontier models with multiple time-varying individual effects," Journal of Productivity Analysis, Springer, vol. 27(1), pages 1-12, February. [Downloadable!] (restricted)
    170. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
    171. Yin-Wong Cheung & Matthew S. Yiu & Kenneth K. Chow, 2009. "A Factor Analysis of Trade Integration: The Case of Asian and Oceanic Economies," Working Papers 132009, Hong Kong Institute for Monetary Research. [Downloadable!]
    172. Audrone Jakaitiene & Stéphane Dées, 2009. "Forecasting the World Economy in the Short-Term," Working Paper Series 1059, European Central Bank. [Downloadable!]
    173. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group. [Downloadable!]
    174. Sandra Eickmeier & Katharina Moll, 2009. "The global dimension of inflation - evidence from factor-augmented Phillips curves," Working Paper Series 1011, European Central Bank. [Downloadable!]
    175. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, School of Economics and Management, University of Aarhus. [Downloadable!]
    176. Francesco Corielli & Massimiliano Marcellino, . "Factor Based Index Trading," Working Papers 209, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    177. Marcus Kappler, 2009. "Do hours worked contain a unit root? Evidence from panel data," Empirical Economics, Springer, vol. 36(3), pages 531-555, June. [Downloadable!] (restricted)
    178. Chris Heaton & Victor Solo, 2003. "Asymptotic Principal Components Estimation Of Large Factor Models," Research Papers 0303, Macquarie University, Department of Economics. [Downloadable!]
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    179. Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2008. "Panel Error Correction Testing with Global Stochastic Trends," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    180. Huiyu Huang & Tae-Hwy Lee, 2006. "To Combine Forecasts or to Combine Information?," Working Papers 200806, University of California at Riverside, Department of Economics, revised Feb 2009. [Downloadable!]
    181. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    182. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
    183. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    184. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    185. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    186. Sean Holly & Mehdi Raissi, 2009. "The Macroeconomic Effects of European Financial Development: A Heterogenous Panel Analysis," Working Paper / FINESS 1.4, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    187. Jushan Bai & Chihwa Kao, 2005. "On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence," Center for Policy Research Working Papers 75, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    188. Tapas K. Mishra, 2006. "A Further Look into the Demography-based GDP Forecasting Method," Working Papers of BETA 2006-17, Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg. [Downloadable!]
    189. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
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    190. Nelson C. Mark & Donggyu Sul, 2002. "Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand," NBER Technical Working Papers 0287, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    191. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany. [Downloadable!]
    192. Günter W. Beck & Kirstin Hubrich & Massimiliano Marcellino, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank. [Downloadable!]
    193. Emil Stavrev, 2009. "Forces Driving Inflation in the New EU10 Members," IMF Working Papers 09/51, International Monetary Fund. [Downloadable!]
    194. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    195. Josep Carrion-i-Silvestre & Vicente German-Soto, 2009. "Panel data stochastic convergence analysis of the Mexican regions," Empirical Economics, Springer, vol. 37(2), pages 303-327, October. [Downloadable!] (restricted)
    196. Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings 148, Econometric Society. [Downloadable!]
    197. Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December. [Downloadable!]
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    198. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany. [Downloadable!]
    199. De Bandt. O. & Bruneau, C. & Flageollet, B., 2006. "Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area," Documents de Travail 145, Banque de France. [Downloadable!]
    200. Bruneau, C. & De Bandt, O. & Flageollet, A. & Michaux, E., 2003. "Forecasting Inflation using Economic Indicators: the Case of France," Documents de Travail 101, Banque de France. [Downloadable!]
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    201. Barhoumi, K. & Rünstler, G. & Cristadoro, R. & Den Reijer, A. & Jakaitiene, A. & Jelonek, P. & Rua, A. & Ruth, K. & Benk, S. & Van Nieuwenhuyze, C., 2008. "Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise," Documents de Travail 215, Banque de France. [Downloadable!]
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    202. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? : Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank, Research Centre. [Downloadable!]
    203. Chang, Yoosoon & Song, Wonho, 2005. "Unit Root Tests for Panels in the Presence of Short-run and Long-run Dependencies: Nonlinear IV Approach with Fixed N and Large T," Working Papers 2002-06, Rice University, Department of Economics. [Downloadable!]
    204. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007. [Downloadable!]
    205. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004. "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance 0403, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
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    206. Anindya Banerjee & Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank. [Downloadable!]
    207. Joseph P. Byrne & Norbert Fiess & Ronald MacDonald, 2008. "The Global Dimension to Fiscal Sustainability," Working Papers 2008_10, Department of Economics, University of Glasgow. [Downloadable!]
    208. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics. [Downloadable!]
    209. Bettina Becker & Stephen G. Hall, 2009. "A new look at economic convergence in Europe: a common factor approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 85-97. [Downloadable!]
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    210. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, Economics Bulletin, vol. 3(38), pages 1-17. [Downloadable!]
    211. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    212. Yongcheol Shin & Laura Serlenga, 2007. "Gravity models of intra-EU trade: application of the CCEP-HT estimation in heterogeneous panels with unobserved common time-specific factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 361-381. [Downloadable!]

  16. Arthur Lewbel & Serena Ng, 2000. "Demand Systems With Nonstationary Prices," Boston College Working Papers in Economics 441, Boston College Department of Economics, revised 07 Jun 2002. [Downloadable!]
    Published as:

    Cited by:

    1. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," MPRA Paper 8413, University Library of Munich, Germany. [Downloadable!]
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    2. Barnett, William A. & Serletis, Apostolos, 2008. "The Differential Approach to Demand Analysis and the Rotterdam Model," MPRA Paper 12319, University Library of Munich, Germany. [Downloadable!]
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    3. D. Aristei & Luca Pieroni, 2008. "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Discussion Papers 0809, University of the West of England, Department of Economics. [Downloadable!]
    4. Holt, Matthew T. & Goodwin, Barry K., 2009. "The Almost Ideal and Translog Demand Systems," MPRA Paper 15092, University Library of Munich, Germany. [Downloadable!]
    5. David Aristei & Luca Pieroni, 2005. "Estimating the Role of Government Expenditure in Long-run Consumption," Quaderni del Dipartimento di Economia, Finanza e Statistica 13/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica. [Downloadable!]
    6. Arthur Lewbel & Serena Ng, 2000. "Demand Systems With Nonstationary Prices," Boston College Working Papers in Economics 441, Boston College Department of Economics, revised 07 Jun 2002. [Downloadable!]
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    7. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER). [Downloadable!]

  17. Donald Cox & Serena Ng & Andreas Waldkirch, 2000. "Intergenerational Linkages in Consumption Behavior," Boston College Working Papers in Economics 482, Boston College Department of Economics. [Downloadable!]
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    Published as:

    Cited by:

    1. Olga gorbachev, 2007. "Did Household Consumption Become More Volatile?," ESE Discussion Papers 161, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    2. Andrés Romeu & M. Dolores Collado & Ignacio Ortuño Ortín, 2006. "Vertical Transmission Of Consumption Behavior And The Distribution Of Surnames," Working Papers. Serie AD 2006-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    3. Kerwin Kofi Charles & Erik Hurst, 2002. "The Correlation of Welath Across Generations," NBER Working Papers 9314, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    4. Jordi Caballé & Ana I. Moro Egido, 2008. "The Effect of Aspirations, Habits, and Social Security on the Distribution of Wealth," ThE Papers 08/02, Department of Economic Theory and Economic History of the University of Granada.. [Downloadable!]
    5. Richard Blundell & Luigi Pistaferri & Ian Preston, 2004. "Imputing consumption in the PSID using food demand estimates from the CEX," IFS Working Papers W04/27, Institute for Fiscal Studies. [Downloadable!]
    6. Jürgen Maurer & André Meier, 2008. "Smooth it Like the “Joneses?” Estimating Peer-Group Effects in Intertemporal Consumption Choice," MEA discussion paper series 08167, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    7. Maria L. Loureiro & Anna Sanz-de-Galdeano & Daniela Vuri, 2006. "Smoking Habits: Like Father, Like Son, Like Mother, Like Daughter," IZA Discussion Papers 2279, Institute for the Study of Labor (IZA). [Downloadable!]
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  18. Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society. [Downloadable!]
    2. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 41-69, March. [Downloadable!] (restricted)
    3. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January. [Downloadable!] (restricted)
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    4. Sitzia, Bruno & Iovino, Doriana, 2008. "Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility," MPRA Paper 8661, University Library of Munich, Germany. [Downloadable!]
    5. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The Univeristy of Manchester. [Downloadable!]
    6. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

  19. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics. [Downloadable!]

    Cited by:

    1. Francisco J. Ruge-Murcia, 2001. "Inflation Targeting Under Asymmetric Preferences," Banco de España Working Papers 0106, Banco de España. [Downloadable!]
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  20. Eric Ghysels & Serena Ng, 1998. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics 403, Boston College Department of Economics. [Downloadable!]
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    Published as:

    Cited by:

    1. Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001. "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices," NBER Working Papers 8682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The Univeristy of Manchester. [Downloadable!]
    3. Dong Heon Kim, 2004. "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings 440, Econometric Society. [Downloadable!]
      Other versions:
    4. D H Kim, 2004. "Nonlinearity in the Term Structure," The School of Economics Discussion Paper Series 0401, Economics, The University of Manchester. [Downloadable!]
    5. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    6. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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    7. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO. [Downloadable!]
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  21. 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. [Downloadable!]
    Published as:

    Cited by:

    1. Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics. [Downloadable!]
      Other versions:
    2. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Structural Breaks in the International Transmission of Inflation," Centre for Growth and Business Cycle Research Discussion Paper Series 119, Economics, The Univeristy of Manchester. [Downloadable!]
    3. Alfredo M. Pereira & Martin B. Schmidt, 2007. "Structural Breaks in Public Infrastructure Investment in the U.S," Working Papers 55, Department of Economics, College of William and Mary. [Downloadable!]
    4. Thierno A. Baldé & Gabriel Rodríguez, 2005. "Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru," Applied Economics Letters, Taylor and Francis Journals, vol. 12(13), pages 841-844, October. [Downloadable!] (restricted)

  22. Serena Ng, 1997. "Accounting for Trends in the Almost Ideal Demand System," Boston College Working Papers in Economics 368, Boston College Department of Economics. [Downloadable!]

    Cited by:

    1. Luca Pieroni, 2007. "How Strong is the Relationship between Defence Expenditure and Private Consumption? Evidence from the United States," Discussion Papers 0705, University of the West of England, Department of Economics. [Downloadable!]

  23. Angus Deaton & Serena Ng, 1997. "Parametric and non-parametric approaches to price and tax reform," Boston College Working Papers in Economics 376, Boston College Department of Economics. [Downloadable!]
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    Cited by:

    1. Nakar Djindil Syntiche & Tabo Symphorien Ndang & Toinar Mogota Anatole, 2007. "A qui profitent les dépenses sociales au Tchad? Une analyse d'incidence à partir des données d'enquête," Cahiers de recherche PMMA 2007-11, PEP-PMMA. [Downloadable!]
    2. Maura P. Doyle, 1997. "The effects of interest rates and taxes on new car prices," Finance and Economics Discussion Series 1997-38, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  24. Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Michael Haliassos, 2002. "Stockholding: Recent Lessons from Theory and Computations," University of Cyprus Working Papers in Economics 0206, University of Cyprus Department of Economics. [Downloadable!]
    2. Xavier Fairise & Patrick Fève, 2002. "Asymmetric Adjustment Costs and Aggregate Job Flows: Specification, Estimation and Testing with French Data," Economics Bulletin, Economics Bulletin, vol. 3(11), pages 1-13. [Downloadable!]
    3. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479–500, December. [Downloadable!]
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    4. Fabrice Collard & Patrick Fève & François Langot & Corinne Perraudin, 2002. "A structural model of US aggregate job flows," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 197-223. [Downloadable!]
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    5. Peterson, Hikaru H. & Tomek, William G., 2003. "How Much Of Commodity Price Behavior Can A Rational Expectations Storage Model Explain?," Staff Papers 30712, Kansas State University, Department of Agricultural Economics. [Downloadable!]
    6. Kelly, Clare & Gauthier Lanot, 2002. "Consumption Patterns Over Pay Periods," The Warwick Economics Research Paper Series (TWERPS) 656, University of Warwick, Department of Economics. [Downloadable!]
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    7. Laurini, Márcio P. & Hotta, Luiz K., 2008. "Inferência indireta em modelos fracionários de taxas de juros de curto prazo," Ibmec Working Papers wpe_119, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    8. Christopher D. Carroll, 1997. "Death to the Log-Linearized Consumption Euler Equation! (And Very Poor Health to the Second-Order Approximation)," NBER Working Papers 6298, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008. [Downloadable!]
    10. Panos Pashardes & Soteroula Hajispyrou, 2002. "Consumer Demand and Welfare under Increasing Block Pricing," University of Cyprus Working Papers in Economics 0207, University of Cyprus Department of Economics. [Downloadable!]
    11. Veronika Czellar & Eric Zivot, 2008. "Improved small sample inference for efficient method of moments and indirect inference estimators," Working Papers UWEC-2008-04, University of Washington, Department of Economics. [Downloadable!]
    12. Paul Beaudry & Fabrice Collard & Franck Portier, 2006. "Gold Rush Fever in Business Cycles," NBER Working Papers 12710, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Rómulo Chumacero, 2001. "Estimating ARMA Models Efficiently," Working Papers Central Bank of Chile 92, Central Bank of Chile. [Downloadable!]
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    14. Panos Hatzipanayotou & Sajal Lahiri & Michael S. Michael, 2002. "Reforms of Environmental Policies in the Presence of Cross-border Pollution and two Stage Clean Up," University of Cyprus Working Papers in Economics 0203, University of Cyprus Department of Economics. [Downloadable!]
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    15. Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics. [Downloadable!]

  25. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
    Published as:

    Cited by:

    1. Óscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, . "Us Deficit Sustainability Revisited: A Multiple Structural Change Approach," Working Papers 19-05 Classification-JEL , Instituto de Estudios Fiscales. [Downloadable!]
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    2. Daiki Maki, 2005. "Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate," Economics Bulletin, Economics Bulletin, vol. 3(9), pages 1-8. [Downloadable!]
    3. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer, vol. 33(4), pages 364-375, October. [Downloadable!] (restricted)
    4. David O. Cushman, 2008. "Real exchange rates may have nonlinear trends," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 158-173. [Downloadable!]
    5. Michael Jansson & Morten Ørregaard Nielsen, 2009. "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," CREATES Research Papers 2009-37, School of Economics and Management, University of Aarhus. [Downloadable!]
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    6. Gabriella Legrenzi, 2006. "The Permanent Effect of Domestic Income on the Growth of Governments," Keele Economics Research Papers KERP 2006/19, Centre for Economic Research, Keele University. [Downloadable!]
    7. David Peel & Ivan Paya & Ioannis A. Venetis, 2009. "ESTAR model with multiple fixed points. Testing and Estimation," Working Papers 005916, Lancaster University Management School, Economics Department. [Downloadable!]
    8. Ricardo Reis, 2005. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuation," NBER Working Papers 11297, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    9. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers 06-18, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    10. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
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    11. António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers 2007/20, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
    12. Rubaszek, Michał, 2008. "Economic convergence and the fundamental equilibrium exchange rate in Poland," MPRA Paper 12910, University Library of Munich, Germany. [Downloadable!]
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    13. Kleopatra Nikolaou, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 667, European Central Bank. [Downloadable!]
    14. Eva Vicente Martinez, 2006. "Properties Of Two U.S. Inflation Measures (1985-2005)," Statistics and Econometrics Working Papers ws066818, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    15. Vadym Volosovych, 2005. "Financial Market Integration Over the Long Run: Is there a U-shape?," Working Papers 05001, Department of Economics, College of Business, Florida Atlantic University, revised Feb 2007. [Downloadable!]
    16. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group. [Downloadable!]
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    17. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2006. "Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates," DNB Working Papers 098, Netherlands Central Bank, Research Department. [Downloadable!]
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    18. ben Kaabia, Monia & Gil, Jose M., 2005. "Asymetric Price Transmission in the Spanish Lamb Sector," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24631, European Association of Agricultural Economists. [Downloadable!]
    19. Baek, Jungho & Koo, Won W., 2006. "Price Dynamics in the North American Wheat Market," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 35(2), October. [Downloadable!]
    20. SINHA, Dipendra, 2008. "Patents, Innovations And Economic Growth In Japan And South Korea: Evidence From Individual Country And Panel Data," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 181-188. [Downloadable!] (restricted)
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    21. Mark J. Holmes & Theodore Panagiotidis, 2009. "Cointegration and asymmetric adjustment: Some new evidence concerning the behaviour of the US current account," Discussion Paper Series 2009_11, Department of Economics, University of Macedonia, revised May 2009. [Downloadable!]
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    22. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June. [Downloadable!] (restricted)
    23. CASTRO, Rui & DeRESENDE, Carlos & RUGE-MURCIA, Francisco J., 2003. "The Backing of Government Debt and the Price Level," Cahiers de recherche 16-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
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    24. Elena Pesavento, 2006. "Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size," Economics Working Papers ECO2006/18, European University Institute. [Downloadable!]
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    25. Chien-Chiang Lee & Chun-Ping Chang, 2006. "The Long-Run Relationship Between Defence Expenditures And Gdp In Taiwan," Defence and Peace Economics, Taylor and Francis Journals, vol. 17(4), pages 361-385, August. [Downloadable!] (restricted)
    26. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
    27. Tavares, Jose & Valkanov, Rossen, 2001. "The neglected effect of fiscal policy on stock and bond returns," FEUNL Working Paper Series wp413, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
    28. Thomas A. Garrett & Russell M. Rhine, 2007. "Does government spending really crowd out charitable contributions? new time series evidence," Working Papers 2007-012, Federal Reserve Bank of St. Louis. [Downloadable!]
    29. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales. [Downloadable!]
    30. jair Ojeda Joya, 2009. "Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate," BORRADORES DE ECONOMIA 005521, BANCO DE LA REPÚBLICA. [Downloadable!]
    31. Hsiao-chuan Chang, 2004. "Budget Balance And Trade Balance:Kin Or Strangers. A Case Study Of Taiwan," Department of Economics - Working Papers Series 893, The University of Melbourne. [Downloadable!]
    32. Rocha, Roberto & Morales, Marco & Thorburn, Craig, 2006. "An empirical analysis of the annuity rate in Chile," Policy Research Working Paper Series 3929, The World Bank. [Downloadable!]
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    33. Peter Wilson & Choy Keen Meng, 2006. "Prospects For Enhanced Exchange Rate Cooperation in East Asia: Some Preliminary Findings from Generalized PPP Theory," SCAPE Policy Research Working Paper Series 0601, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
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    34. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642. [Downloadable!]
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    35. Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," Econometrics 0310006, EconWPA, revised 24 Oct 2003. [Downloadable!]
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    36. 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, School of Economics, Mathematics & Statistics. [Downloadable!]
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    37. Alejandro Justiniano & Bruce Preston, 2008. "Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?," NBER Working Papers 14547, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    38. Timothy K. Chue & In Choi, 2007. "Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 233-264. [Downloadable!]
    39. Andreas Beyer & Alfred A. Haug & William G. Dewald, 2009. "Structural Breaks, Cointegration and the Fisher Effect," Working Paper Series 1013, European Central Bank. [Downloadable!]
    40. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    41. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24. [Downloadable!]
    42. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 19(1), pages 3-29, June. [Downloadable!]
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    43. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    44. Zsolt Darvas & Zoltán Schepp, 2006. "Long maturity forward rates of major currencies are stationary," Working Papers 0603, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest. [Downloadable!]
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    45. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
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    46. Adriana Z. Fernandez & Robert W. Gilmer & Jonathon L. Story, 2007. "Gasoline content regulation as a trade barrier: do boutique fuels discourage fuel imports?," Working Papers 0709, Federal Reserve Bank of Dallas. [Downloadable!]
    47. Dimitris K. Christopoulos & Miguel León-Ledesma, 2004. "Current Account Sustainability in the US: What Do We Really Know About It?," Studies in Economics 0412, Department of Economics, University of Kent. [Downloadable!]
    48. Joseph P. Byrne & E. Philip Davis, 2003. "Panel Estimation Of The Impact Of Exchange Rate Uncertainty On Investment In The Major Industrial Countries," Economics and Finance Discussion Papers 03-05, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    49. Ang, James & Madsen, Jakob, 2009. "Can Second-Generation Endogenous Growth Models Explain The Productivity Trends and Knowledge Production In the Asian Miracle Economies?," MPRA Paper 17543, University Library of Munich, Germany. [Downloadable!]
    50. Juan Carlos Cuestas, 2007. "Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities," Working Papers. Serie AD 2007-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    51. Juan Carlos Cuestas & Barry Harrison, 2009. "Further evidence on the Real Interest Rate Parity hypothesis in Central and Eastern European Countries: unit roots and nonlinearities," Working Papers 2009/1, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    52. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2004. "Monetary Sovereignty, Exchange Rates, and Capital Controls: The Trilemma in the Interwar Period," International Finance 0407008, EconWPA. [Downloadable!]
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    53. Liew , Venus Khim-Sen & Chia, Ricky Chee-Jiun & Puah, Chin-Hong, 2009. "Does Hysteresis in Unemployment Occur in OECD Countries? Evidence from Parametric and Non-Parametric Panel Unit Roots Tests," MPRA Paper 9915, University Library of Munich, Germany. [Downloadable!]
    54. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group. [Downloadable!]
    55. William J. Crowder & Mark E. Wohar, 2004. "A cointegrated structural VAR model of the Canadian economy," Applied Economics, Taylor and Francis Journals, vol. 36(3), pages 195-213, February. [Downloadable!] (restricted)
    56. Markus Mentz, & Steffen P. Sebastian, 2003. "Inflation convergence after the introduction of the Euro," CFS Working Paper Series 2003/30, Center for Financial Studies. [Downloadable!]
    57. Chia-Lin Chang & Biing-Wen Huang & Meng-Gu Chen & Michael McAleer, 2009. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO," CIRJE F-Series CIRJE-F-642, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    58. Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany. [Downloadable!]
    59. Juan Carlos Cuestas & Dean Garratt, 2008. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Working Papers 2008/12, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    60. Jose Angelo Divino & Michael McAleer, 2009. "Modelling and Forecasting Daily International Mass Tourism to Peru," CIRJE F-Series CIRJE-F-651, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    61. David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 95-111, June. [Downloadable!] (restricted)
    62. Sinha, Dipendra & Sinha, Tapen, 2007. "Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India," MPRA Paper 2564, University Library of Munich, Germany. [Downloadable!]
    63. Doyle, Matthew & Falk, Barry L., 2004. "Testing Commitment Models of Monetary Policy: Evidence from OECD Economies," Staff General Research Papers 11995, Iowa State University, Department of Economics. [Downloadable!]
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    64. Luciano Gutierrez, 2005. "Tests for cointegration in panels with regime shifts," Econometrics 0505007, EconWPA. [Downloadable!]
    65. David E. Rapach & Jack K. Strauss, 2006. "The long-run relationship between consumption and housing wealth in the Eighth District states," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Oct, pages 140-147. [Downloadable!]
    66. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004. [Downloadable!]
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    67. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512. [Downloadable!]
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    68. Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    69. Sinha, Dipendra, 2007. "Does the Wagner’s Law hold for Thailand? A Time Series Study," MPRA Paper 2560, University Library of Munich, Germany. [Downloadable!]
    70. Daiki Maki, 2005. "The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-7. [Downloadable!]
    71. 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. [Downloadable!]
    72. Antonio David, 2005. "Do controls on capital inflows insulate domestic variables against external shocks?," Money Macro and Finance (MMF) Research Group Conference 2005 9, Money Macro and Finance Research Group. [Downloadable!]
    73. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September. [Downloadable!] (restricted)
    74. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies. [Downloadable!]
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    75. Jose Angelo Divino, 2006. "Cross-Country Evidence On Monetary Policy Rules," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 178, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    76. Jair Ojeda Joya, . "Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate," Borradores de Economia 564, Banco de la Republica de Colombia. [Downloadable!]
    77. Kim, Hyeongwoo & Moh, Young-Kyu, 2009. "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity," MPRA Paper 17488, University Library of Munich, Germany. [Downloadable!]
    78. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    79. George Athanasopoulos & Rob J. Hyndman, 2006. "Modelling and forecasting Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers 19/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    80. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
    81. Yunus Aksoy & Miguel A. Leon-Ledesma, 2004. "Interest Rates and Output in the Long Run," Money Macro and Finance (MMF) Research Group Conference 2004 92, Money Macro and Finance Research Group. [Downloadable!]
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    82. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics, Finance and Accounting Department Working Paper Series n1480105, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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    83. Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 13(1), pages 111-128, February. [Downloadable!] (restricted)
    84. Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers) 575, Bank of Italy, Economic Research Department. [Downloadable!]
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    85. Rodolfo Cermeño & Bernardo D. Roth & F. Alejandro Villagómez, 2008. "Fiscal Policy and National Saving in Mexico, 1980-2006," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 23(2), pages 281-312. [Downloadable!]
    86. Lokshin, Boris, 2006. "Monte-Carlo comparison of alternative estimators for dynamic panel data models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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    87. Claudia Kwapil & Johann Scharler, 2006. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Working Papers 118, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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    88. Alberto Montagnoli & Andros Gregoriou & Alexandros Kontonikas, 2007. "Euro Area Inflation Differentials: Unit Roots, Structural Breaks and Non-Linear Adjustment," Working Papers 2007_13, Department of Economics, University of Glasgow. [Downloadable!]
    89. Claude Lopez, 2004. "Evidence of Purchasing Power Parity for the Floating Regime Period," University of Cincinnati, Economics Working Papers Series 2004-01, University of Cincinnati, Department of Economics, revised Mar 2006. [Downloadable!]
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    90. Jeremy Rudd & Karl Whelan, 2005. "Modelling inflation dynamics: a critical review of recent research," Finance and Economics Discussion Series 2005-66, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    91. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, School of Economics and Management, University of Aarhus. [Downloadable!]
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    92. Guneratne B. Wickremasinghe, 2005. "Purchasing Power Parity of Papua New Guinea: evidence from the floating exchange rate regime," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 335-338, November. [Downloadable!] (restricted)
    93. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA. [Downloadable!]
    94. António Afonso & Christophe Rault, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Working Papers hal-00322091_v1, HAL. [Downloadable!]
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    95. Hwee Kwan Chow & Keen Meng Choy, 2004. "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Working Papers 16-2004, Singapore Management University, School of Economics. [Downloadable!]
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    96. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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    97. David E. Rapach & Mark E. Wohar, 2004. "The persistence in international real interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 339-346. [Downloadable!]
    98. Bassem Kamar & Jean-Etienne Carlotti & Russell C. Krueger, 2009. "Establishing Conversion Values for New Currency Unions: Method and Application to the planned Gulf Cooperation Council (GCC) Currency Union," IMF Working Papers 09/184, International Monetary Fund. [Downloadable!]
    99. Yilmazkuday, Hakan, 2009. "Inflation Targeting and Inflation Convergence within Turkey," MPRA Paper 16770, University Library of Munich, Germany. [Downloadable!]
    100. David E. Rapach & Jack K. Strauss, 2005. "Forecasting employment growth in Missouri with many potentially relevant predictors: an analysis of forecast combining methods," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 97-112. [Downloadable!]
    101. Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(17), pages 1301-1307, November. [Downloadable!] (restricted)
    102. Ana-Maria Fuertes & Shelagh A. Heffernan, 2009. "Interest rate transmission in the UK: a comparative analysis across financial firms and products," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 45-63. [Downloadable!]
    103. Christoph Hanck, 2009. "For which countries did PPP hold? A multiple testing approach," Empirical Economics, Springer, vol. 37(1), pages 93-103, September. [Downloadable!] (restricted)
    104. Elena Pesavento & Barbara Rossi, 2003. "Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure," Emory Economics 0326, Department of Economics, Emory University (Atlanta). [Downloadable!]
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    105. Martin B. Schmidt, 2006. "Institutional Change and Factor Movement: A Test of the Coase Theorem's Invariance Principle," Working Papers 47, Department of Economics, College of William and Mary. [Downloadable!]
    106. Patrick Kline, 2008. "Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis of the Oil and Gas Field Services Industry," Cowles Foundation Discussion Papers 1645, Cowles Foundation, Yale University. [Downloadable!]
    107. Shu-Chen Chang, 2008. "Asymmetric cointegration relationship among Asian exchange rates," Economic Change and Restructuring, Springer, vol. 41(2), pages 125-141, June. [Downloadable!] (restricted)
    108. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June. [Downloadable!]
    109. Hong Li & Vince Daly, 2009. "Testing the balanced growth hypothesis: evidence from China," Empirical Economics, Springer, vol. 37(1), pages 185-200, September. [Downloadable!] (restricted)
    110. Gomez Zaldivar, M. & Ventosa-Santaularia, D., 2009. "Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
    111. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39. [Downloadable!]
    112. Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics. [Downloadable!]
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    113. Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587. [Downloadable!]
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    114. Andre Varella Mollick & Joao Ricardo Faria & Pedro H. Albuquerque & Miguel A. Leon-Ledesma, 2005. "Can Globalisation Stop the Decline in Commodities' Terms of Trade? The Prebisch-Singer Hypothesis Revisited"," Studies in Economics 0510, Department of Economics, University of Kent. [Downloadable!]
    115. Claude Lopez & Christian J. Murray & David H. Papell, 2004. "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series 2004-04, University of Cincinnati, Department of Economics. [Downloadable!]
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    116. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society. [Downloadable!]
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    117. Dimitrios Malliaropulos & Ekaterini Panopoulou & Nikitas Pittis & Theologos Pantelidis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp135, IIIS. [Downloadable!]
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    118. Kim, Hyeongwoo & Thompson, Henry, 2009. "Factor Proportions Wages in a Structural Vector Autoregression," MPRA Paper 17798, University Library of Munich, Germany. [Downloadable!]
    119. Benbouziane, Mohamed & Benamar, abdelhak, 2006. "The Purchasing Power Parity in The Maghreb Countries : A Nonlinear Perspective," MPRA Paper 13853, University Library of Munich, Germany, revised 2007. [Downloadable!]
    120. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics. [Downloadable!]
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    121. Olivier Darné & Jean-François Hoarau, 2006. "Testing the purchasing power parity in China," EconomiX Working Papers 2006-18, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    122. Zagaglia, Paolo, 2009. "Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model," Research Papers in Economics 2009:7, Stockholm University, Department of Economics. [Downloadable!]
    123. Luis Alberiko Gil-Alana & Pedro Garcia-del-Barrio, . "New Revelations about Unemployment Persistence in Spain," Faculty Working Papers 10/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    124. Maurice Obstfeld & Jay C.Shambaugh & Alan M.Taylor, 2003. "The Trilemma in History:Tradeoffs among Exchange Rates, Monetary Policies,and Capital Mobility," DNB Staff Reports (discontinued) 94, Netherlands Central Bank. [Downloadable!]
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    125. Whelan, Karl, 2006. "New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations," MPRA Paper 5910, University Library of Munich, Germany. [Downloadable!]
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    126. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    127. Christian J. Murray & Hatice Ozer-Balli & David H. Papell, 2006. "PPP Persistence within Sectoral Real Exchange Rate Panels," Papers of the Annual IUE-SUNY Cortland Conference in Economics, in: Proceedings of the Conference on Human and Economic Resources, pages 388-398 Izmir University of Economics. [Downloadable!]
    128. Colin Hunt, 2005. "Discretion and Cyclicality in Irish Budgetary Management 1969-2003," The Economic and Social Review, Economic and Social Studies, vol. 36(3), pages 295-321. [Downloadable!]
    129. Menelaos Karananos & S.H Sekioua & N Zeng, 2005. "On the order of integration of monthly US ex-ante and ex-post real interest rates new evidence from over a century of data," Money Macro and Finance (MMF) Research Group Conference 2005 21, Money Macro and Finance Research Group. [Downloadable!]
    130. T. Jayaraman & Chee-Keong Choong, 2009. "How does monetary policy transmission mechanism work in Fiji?," International Review of Economics, Springer, vol. 56(2), pages 145-161, June. [Downloadable!] (restricted)
    131. Macri, Joseph & Sinha, Dipendra, 2007. "Does Black’s Hypothesis for Output Variability Hold for Mexico?," MPRA Paper 4021, University Library of Munich, Germany. [Downloadable!]
    132. Vicente Esteve & Juan Sanchis, . "Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001," Studies on the Spanish Economy 161, FEDEA. [Downloadable!]
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    133. Aikaterini Karadimitropoulou & Miguel A. León-Ledesma, 2009. "Sources of Current Account Fluctuations in Industrialized Countries," Studies in Economics 0910, Department of Economics, University of Kent. [Downloadable!]
    134. Rossen Valkanov, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management 1099, Anderson Graduate School of Management, UCLA. [Downloadable!]
    135. Serineh Najarian & H. L. Leon, 2003. "Time-Varying Thresholds: An Application to Purchasing Power Parity," IMF Working Papers 03/181, International Monetary Fund. [Downloadable!]
    136. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006. "International dynamic risk sharing," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna. [Downloadable!]
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    137. Jakob Madsen & Shishir Saxena & James Ang, 2008. "The Indian Growth Miracle And Endogenous Growth," Monash Economics Working Papers 17/08, Monash University, Department of Economics. [Downloadable!]
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    138. Ines Perez-Soba Aguilar & Elena Marquez de la Cruz & Ana Rosa Martinez-Canete & Alfonso Palacio-Vera, 2006. "Capital Stock and Unemployment Searching for the Missing Link," Economics Working Paper Archive wp_475, Levy Economics Institute, The. [Downloadable!]
    139. Zagaglia, Paolo, 2006. "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics 2006:4, Stockholm University, Department of Economics. [Downloadable!]
    140. Karsten Ruth, 2007. "Interest rate reaction functions for the euro area," Empirical Economics, Springer, vol. 33(3), pages 541-569, November. [Downloadable!] (restricted)
    141. Juan Carlos Cuestas & Javier Ordóñez, 2007. "Testing for convergence among Mercosur countries," Working Papers 2007/1, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    142. Cleomar Gomes da Silva & Maria Carolina da Silva Leme, 2008. "Inflation and Interest Rate: Which one is more persistent in Brazil?," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807181224190, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    143. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany. [Downloadable!]
    144. GRENADE, Kari & MOORE, Winston, 2008. "Co-Movements Between Foreign And Domestic Interest Rates In A Fixed Exchange Rate Regime: The Case Of The Eccu And The Us," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 119-130. [Downloadable!] (restricted)
    145. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
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    146. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    147. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rat," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    148. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series 2003-07, University of Cincinnati, Department of Economics. [Downloadable!]
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    149. Isabel Cortes Jimenez & Manuel Artis Ortuno, 2006. "The role of the tourism sector in economic development. Lessons from the Spanish experience," Working Papers in Economics 158, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    150. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    151. Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based orthogonality tests for regressors with unknown persistence," Working Papers 1122, Queen's University, Department of Economics. [Downloadable!]
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    152. Renu Kohli, 2004. "Real Exhange Rate Stationarity in Managed Floats: Evidence From India," International Finance 0405014, EconWPA. [Downloadable!]
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    153. Albrecht, Peter & Kantar, Cemil, 2003. "Random Walk oder Mean Reversion? Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt," Sonderforschungsbereich 504 Publications 03-31, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    154. Hakan Çetintaş & Salih Barişik, 2009. "Export, Import and Economic Growth: The Case of Transition Economies," Transition Studies Review, Springer, vol. 15(4), pages 636-649, February. [Downloadable!] (restricted)
    155. Muhammad Shahbaz & Naveed Aamir, 2007. "Rural-Urban Income Inequality under Financial Development and Trade Openness in Pakistan: The Econometric Evidence," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 46(4), pages 657-672. [Downloadable!]
    156. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    157. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists. [Downloadable!]
    158. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns," CIRJE F-Series CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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    159. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
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    160. Antonio Noriega & Matias Fontenla, 2005. "Public Infrastructure and Economic Growth in Mexico," DEGIT Conference Papers c010_058, DEGIT, Dynamics, Economic Growth, and International Trade. [Downloadable!]
    161. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    162. Gawon Yoon, 2003. "The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 627-631, August. [Downloadable!] (restricted)
    163. G. K. Randolph TAN, 2004. "Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade," Econometric Society 2004 Far Eastern Meetings 732, Econometric Society. [Downloadable!]
    164. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November. [Downloadable!] (restricted)
    165. Kim, Hyeongwoo & Durmaz, Nazif, 2009. "Bias Correction and Out-of-Sample Forecast Accuracy," MPRA Paper 16780, University Library of Munich, Germany. [Downloadable!]
    166. Abu Wahid & Muhammad Shahbaz, 2009. "Does Nominal Devaluation Precede Real Devaluation? The Case of The Philippines," Transition Studies Review, Springer, vol. 16(1), pages 47-61, May. [Downloadable!] (restricted)
    167. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics. [Downloadable!]
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    168. ben Kaabia, Monia & Gil, Jose M. & Chebbi, Houssem E., 2005. "Macroeconomics and Agriculture in Tunisia," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24597, European Association of Agricultural Economists. [Downloadable!]
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    169. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics. [Downloadable!]
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    170. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," CIRJE F-Series CIRJE-F-650, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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    171. Claude Lopez, 2005. "A Panel Unit Root Test with Good Power in Small Samples," University of Cincinnati, Economics Working Papers Series 2005-01, University of Cincinnati, Department of Economics, revised 2007. [Downloadable!]
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    172. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    173. Joao Ricardo Faria & Juan Carlos Cuestas & Estefania Mourelle, 2008. "Entrepreneurship and unemployment: a nonlinear bidirectional causality," Working Papers 2008/6, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    174. Ling, Tai-Hu & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Real interest rates equalization: The case of Malaysia and Singapore," MPRA Paper 515, University Library of Munich, Germany. [Downloadable!]
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    175. Arghyrou, Michael G & Gadea, Maria Dolores, 2008. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Cardiff Economics Working Papers E2008/23, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    176. Marco Barassi & Matthew Cole & Robert Elliott, 2008. "Stochastic Divergence or Convergence of Per Capita Carbon Dioxide Emissions: Re-examining the Evidence," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 40(1), pages 121-137, May. [Downloadable!] (restricted)
    177. Filippo Cesarano & Giulio Cifarelli & Gianni Toniolo, 2009. "Exchange Rate Regimes and Reserve Policy on the Periphery: The Italian Lira 1883-1911," Working Papers Series wp2009_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
    178. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Documents de Travail 234, Banque de France. [Downloadable!]
    179. Christopher J. Neely & David E. Rapach, 2008. "Is inflation an international phenomenon?," Working Papers 2008-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    180. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research. [Downloadable!]
    181. Robert Sollis, 2006. "Testing for bubbles: an application of tests for change in persistence," Applied Financial Economics, Taylor and Francis Journals, vol. 16(6), pages 491-498, March. [Downloadable!] (restricted)
    182. Jesús Clemente & Carmen Marcuello & Antonio Montañés, 2008. "Pharmaceutical expenditure, total health-care expenditure and GDP," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1187-1206. [Downloadable!]
    183. Marcelo Mello & Roberto Guimaraes-Filho, 2007. "A note on fractional stochastic convergence," Economics Bulletin, Economics Bulletin, vol. 3(16), pages 1-14. [Downloadable!]
    184. Juan Carlos Cuestas & Estefania Mourelle, 2008. "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," Working Papers 2008/8, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    185. Barbara Rossi & Elena Pesavento, 2004. "Do Technology Shocks Drive Hours Up or Down?," Econometric Society 2004 North American Summer Meetings 96, Econometric Society. [Downloadable!]
    186. William Miles, 2009. "Irreversibility, Uncertainty and Housing Investment," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 173-182, February. [Downloadable!] (restricted)
    187. Patrick Richard, 2008. "Modified Fast Double Sieve Bootstraps for ADF Tests," Cahiers de recherche 08-17, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke. [Downloadable!]
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    188. Carlos de Resende, 2007. "Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence," Working Papers 07-36, Bank of Canada. [Downloadable!]
    189. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics. [Downloadable!]
    190. Andrea Cerasa, 2008. "CIPS test for Unit Root in Panel Data: further Monte Carlo results," Economics Bulletin, Economics Bulletin, vol. 3(16), pages 1-13. [Downloadable!]
    191. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003. "Is the Budget Deficit Sustainable when Fiscal Policy is nonlinear? The Case of Spain, 1961-2001," Economic Working Papers at Centro de Estudios Andaluces E2003/32, Centro de Estudios Andaluces. [Downloadable!]
    192. Baharumshah, Ahmad Zubaidi & Aggarwal, Raj & Chan, Tze-Haw, 2005. "East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests," MPRA Paper 2023, University Library of Munich, Germany, revised 2007. [Downloadable!]
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    193. Lahura, Erick, 2006. "El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 13. [Downloadable!]
    194. Tsangyao Chang & Kuei-Chiu Lee & Chien-Chung Nieh & Ching-Chun Wei, 2005. "An empirical note on testing hysteresis in unemployment for ten European countries: panel SURADF approach," Applied Economics Letters, Taylor and Francis Journals, vol. 12(14), pages 881-886, November. [Downloadable!] (restricted)
    195. Ning-Jun Zhang & Peirchyi Lii & Yi-Sung Huang & Chi-Wei Su, 2007. "IS Per Capita Real GDP Stationary in China¡H Evidence Based on A Panel SURADF Approach," Economics Bulletin, Economics Bulletin, vol. 3(31), pages 1-12. [Downloadable!]
    196. Maurizio Bovi, 2004. "The Dark, And Independent, Side Of Italy," ISAE Working Papers 46, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    197. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Bounds testing approach: an examination of foreign direct investment, trade, and growth relationships," MPRA Paper 352, University Library of Munich, Germany, revised 09 Oct 2006. [Downloadable!]
    198. Rao, B. Bhaskara & Hassan, Gazi, 2009. "How can we double per capita incomes in Bangladesh in 15 years?," MPRA Paper 17302, University Library of Munich, Germany. [Downloadable!]
    199. Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, School of Economics and Management, University of Aarhus. [Downloadable!]
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    200. Tung Liu & Lee C. Spector, 2003. "Dynamic employment adjustments over business cycles," Working Papers 200302, Ball State University, Department of Economics, revised Jan 2005. [Downloadable!]
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    201. Arthur Lewbel & Serena Ng, 2000. "Demand Systems With Nonstationary Prices," Boston College Working Papers in Economics 441, Boston College Department of Economics, revised 07 Jun 2002. [Downloadable!]
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    202. Wojciech W. Charemza & Daniela Hristova & Peter Burridge, 2005. "Is inflation stationary?," Applied Economics, Taylor and Francis Journals, vol. 37(8), pages 901-903, May. [Downloadable!] (restricted)
    203. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics. [Downloadable!]
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    204. Kline, Patrick, 2008. "Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis of the Oil and Gas Field Services Industry," Working Papers 43, Yale University, Department of Economics. [Downloadable!]
    205. Hamizun Ismail & Ahmad Baharumshah, 2008. "Malaysia’s current account deficits: an intertemporal optimization perspective," Empirical Economics, Springer, vol. 35(3), pages 569-590, November. [Downloadable!] (restricted)
    206. Dimitrios Sideris, 2008. "Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939," Working Papers 66, Bank of Greece. [Downloadable!]
    207. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics. [Downloadable!]
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    208. McQuinn, Kieran & O'Reilly, Gerard, 2006. "Assessing the Role of Income and Interest Rates in Determining House Prices," Research Technical Papers 15/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    209. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22. [Downloadable!]
    210. ALTINAY, Galip, 2005. "Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4). [Downloadable!]
    211. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    212. Tsangyao Chang & Chien-Chung Nieh & Ching-Chun Wei, 2005. "Is Per Capita Real GDP Stationary? Evidence from Selected African Countries Based on More Powerful Nonlinear (Logistic) Unit Root Tests," Economics Bulletin, Economics Bulletin, vol. 3(24), pages 1-9. [Downloadable!]
    213. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics. [Downloadable!]
    214. Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group. [Downloadable!]
    215. Tino Berger & Gerdie Everaert, 2009. "A replication note on unemployment in the OECD since the 1960s: what do we know?," Empirical Economics, Springer, vol. 36(2), pages 479-485, May. [Downloadable!] (restricted)
    216. Graham Elliott & Elena Pesavento, 2005. "Higher Power Tests for Bilateral Failure of PPP after 1973," Emory Economics 0502, Department of Economics, Emory University (Atlanta). [Downloadable!]
    217. J. Easaw J. & R. Golinelli, 2009. "Households Forming Inflation Expectations: Who Are the 'Active' and 'Passive' Learners?," Working Papers 675, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
    218. Willem Boshoff, 2006. "Quantitative competition analysis: Stationarity tests in geographic market definition," Working Papers 17/2006, Stellenbosch University, Department of Economics. [Downloadable!]
    219. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 43-58, March. [Downloadable!] (restricted)
    220. Kris James Mitchener & nd Mari Ohnuki, 2007. "Capital Market Integration In Japan," IMES Discussion Paper Series 07-E-17, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    221. L. Arnaut, Javier, 2008. "Demanda de dinero y liberalizacion financiera en Mexico: Un enfoque de cointegracion
      [Money demand and financial liberalization in Mexico: A cointegration approach]      ," MPRA Paper 8680, University Library of Munich, Germany. [Downloadable!]
    222. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics. [Downloadable!]
    223. Ugur Soytas, 2006. "Long run relationship between entry and exit: time series evidence from Turkish manufacturing industry," Economics Bulletin, Economics Bulletin, vol. 12(11), pages 1-12. [Downloadable!]
    224. Shyh-Wei Chen, 2007. "Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan," Economics Bulletin, Economics Bulletin, vol. 3(64), pages 1-18. [Downloadable!]
    225. Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York. [Downloadable!]
    226. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    227. Joseph P. Byrne & E. Philip Davis, 2005. "Investment and Uncertainty in the G7," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 141(1), pages 1-32, April. [Downloadable!] (restricted)
      Other versions:
    228. Gervais, Jean-Philippe & Khraief, Naceur, 2007. "AJAE Appendix: Is Exchange Rate Pass-Through in Pork Meat Export Prices Constrained by the Supply of Live Hogs?," American Journal of Agricultural Economics Appendices, Agricultural and Applied Economics Association, vol. 89(4), November. [Downloadable!]
    229. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," cege – Center for European, Governance and Economic Development Research Discussion Papers 76, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008. [Downloadable!]
    230. Panayiotis F. Diamandis & Georgios P. Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 667-677, June. [Downloadable!] (restricted)
    231. BAUMONT, Catherine & ERTUR, Cem & LE GALLO, Julie, 2000. "Convergence des régions européennes. Une approche par l'économétrie spatiale," LATEC - Document de travail - Economie (1991-2003) 2000-03, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne. [Downloadable!]

  26. Emanuela Cardia & Serena Ng, 1997. "How Important are Intergenerational Transfers of Time? A Macroeconomic Analysis," Boston College Working Papers in Economics 395, Boston College Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Jesus Fernandez-Villaverde & Dirk Krueger, 2002. "Consumption over the Life Cycle: Facts from Consumer Expenditure Survey Data," NBER Working Papers 9382, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Fang Yang, 2006. "Consumption along the life cycle: how different is housing?," Working Papers 635, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    3. Jesus Fernandez-Villaverde & Dirk Krueger, 2002. "Consumption over the Life Cycle: Some Facts from Consumer Expenditure Survey Data," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP) 7, Centro de Altisimos Estudios Rios Perez (CAERP). [Downloadable!]
      Other versions:
    4. Fang Yang, 2005. "Accounting for the heterogeneity in retirement wealth," Working Papers 638, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:

  27. Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics 374, Boston College Department of Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Luca Pieroni & Matteo Ricciarelli, 2005. "Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence," Quaderni del Dipartimento di Economia, Finanza e Statistica 11/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica. [Downloadable!]
      Other versions:
    2. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics. [Downloadable!]
    3. Moledina, Amyaz & Roe, Terry L. & Shane, Mathew, 2004. "Measuring Commodity Price Volatility And The Welfare Consequences Of Eliminating Volatility," 2004 Annual meeting, August 1-4, Denver, CO 19963, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    4. Power, Gabriel J. & Turvey, Calum G., 2008. "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37608, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
    5. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Loening, Josef L. & Durevall, Dick & Birru, Yohannes A., 2009. "Inflation dynamics and food prices in an agricultural economy : the case of Ethiopia," Policy Research Working Paper Series 4969, The World Bank. [Downloadable!]
      Other versions:

  28. Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
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    Cited by:

    1. Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
      Other versions:
    3. Ana Katarina Campêlo & Francisco Cribari-Neto, 2003. "Inflation Inertia and Inliers: The Case of Brazil," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]
    4. van Binh T. & Dumont M., 2008. "A Fishing Expedition in the Mekong Delta: Market Volatility and Price Substitutes for Vietnamese Fresh Water Fish," Working Papers 2008002, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
    5. Arghyrou, Michael G & Gadea, Maria Dolores, 2008. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Cardiff Economics Working Papers E2008/23, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    6. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
      Other versions:

  29. Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO. [Downloadable!]
    Other versions:

    Cited by:

    1. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics. [Downloadable!]
      Other versions:

  30. Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    Published as:

    Cited by:

    1. Adrian Pagan & M. Hashem Pesaran, 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    2. Jeon, Yongil & Shields, Michael P., 2008. "The Impact of Relative Cohort Size on U.S. Fertility, 1913-2001," IZA Discussion Papers 3587, Institute for the Study of Labor (IZA). [Downloadable!]
    3. Hugo Oliveros & Carlos Huertas, . "Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia," Borradores de Economia 220, Banco de la Republica de Colombia. [Downloadable!]
    4. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Dept. SEGeS. [Downloadable!]
      Other versions:
    5. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    6. Ben S.C. Fung & Marcel Kasumovich, 1997. "Monetary Shocks in the G-6 Countries: Is There a Puzzle?," Working Papers 97-7, Bank of Canada. [Downloadable!]
    7. Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research. [Downloadable!]
    8. Adrian R. Pagan & M. Hashem Pesaran, 2008. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers 2008-04, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
    9. Emmanuel De Veirman & Ashley Dunstan, 2008. "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/05, Reserve Bank of New Zealand. [Downloadable!]
    10. Helmut Lütkepohl, 2006. "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 75-88, March. [Downloadable!] (restricted)
      Other versions:
    11. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    12. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics. [Downloadable!]
    13. Enzo Weber, 2006. "Common and Uncommon Sources of Growth in Asia Pacific," SFB 649 Discussion Papers SFB649DP2006-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    14. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
    15. Helmut Luetkepohl, 2005. "Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models," Economics Working Papers ECO2005/15, European University Institute. [Downloadable!]
      Other versions:
    16. N. Kundan Kishor, 2007. "Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth? If So, Why?," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 427-448, November. [Downloadable!] (restricted)
    17. Winkelried Quezada, Diego, 2004. "Tendencias comunes y análisis de la política monetaria en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 11. [Downloadable!]
    18. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    19. Rita Duarte & Carlos Robalo Marques, 2009. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Paper Series 1067, European Central Bank. [Downloadable!]
    20. Simon Price & Andrew Blake, 2004. "Consumers' expenditure, durables and dynamics: the UK consumption ECM redux," Money Macro and Finance (MMF) Research Group Conference 2003 75, Money Macro and Finance Research Group. [Downloadable!]
    21. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007. [Downloadable!]
    22. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics. [Downloadable!]
    23. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
      Other versions:
    24. Haluk Erlat & Guzin Erlat, 1998. "Permanent and transitory shocks on real and nominal exchange rates in Turkey during the post-1980 period," Atlantic Economic Journal, International Atlantic Economic Society, vol. 26(4), pages 379-396, December. [Downloadable!] (restricted)
    25. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    26. Pierre Lafourcade, 2008. "Are Asset Returns Predictable from the National Accounts?," DNB Working Papers 189, Netherlands Central Bank, Research Department. [Downloadable!]
    27. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, . "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England. [Downloadable!]
    28. Jorge Herrera Hernández & Ramón A. Castillo Ponce, 2003. "Trends and cycles: How important are long- and short-run restictions? The case of Mexico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(1), pages 133-155. [Downloadable!]
    29. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada. [Downloadable!]
      Other versions:

  31. Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    Published as:

    Cited by:

    1. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006,04, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    2. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer, vol. 33(4), pages 393-409, October. [Downloadable!] (restricted)
    3. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    4. Dixon, R. & Shepherd, D., 2000. "Trends and Cycles in Australian State and Territory Unemployment Rates," Department of Economics - Working Papers Series 730, The University of Melbourne. [Downloadable!]
      Other versions:
    5. Taner Yigit & Neil Arnwine, 2007. "What Fisher Knew About His Relation, We Sometimes Forget," Departmental Working Papers 0707, Bilkent University, Department of Economics. [Downloadable!]
      Other versions:
    6. Richard G. Anderson & Hailong Qian & Robert H. Rasche, 2006. "Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators," Working Papers 2006-050, Federal Reserve Bank of St. Louis. [Downloadable!]
    7. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    8. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    9. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
      Other versions:
    10. Westerlund, Joakim, 2006. "Some Cautions on the Use of the LLC Panel Unit Root Test," Research Memoranda 055, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    11. Yum K. Kwan, 2006. "The Direct Substitution Between Government and Private Consumption in East Asia," NBER Working Papers 12431, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233. [Downloadable!]

  32. Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Sangeeta Pratap & Silvio Rendon, 2003. "Firm Investment in Imperfect Capital Markets: A Structural Estimation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 513-545, July. [Downloadable!] (restricted)
      Other versions:
    2. Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    3. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Universite de Montreal, Departement de sciences economiques. [Downloadable!]

  33. René Garcia & Annamaria Lusardi & Serena Ng, 1995. "Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation," CIRANO Working Papers 95s-09, CIRANO. [Downloadable!]
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    Published as:

    Cited by:

    1. Yasuyuki Sawada & Sung Jin Kang, 2004. "Credit Crunches and Household Welfare: The Case of Korean Financial Crisis," Econometric Society 2004 Far Eastern Meetings 751, Econometric Society. [Downloadable!]
    2. Tutino, Antonella, 2008. "The rigidity of choice: lifetime savings under information-processing constraints," MPRA Paper 16744, University Library of Munich, Germany, revised 24 Jul 2009. [Downloadable!]
    3. Luigi Pistaferri & Tullio Jappelli, 1998. "Using Subjective Income Expectations to Test for Excess Sensitivity of Consumption to Predicted Income Growth," CSEF Working Papers 12, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
      Other versions:
    4. James X. Sullivan, 2005. "Borrowing during unemployment: unsecured debt as a safety net," Proceedings, Federal Reserve Bank of Chicago, issue Apr. [Downloadable!]
      Other versions:
    5. Jeong-Joon Lee & Yasuyuki Sawada, 2005. "Precautionary Saving under LiquidityConstraints: Evidence from Rural Pakistan," CIRJE F-Series CIRJE-F-377, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    6. Sheng Guo, 2009. "Rich Dad, Rich Kid? Switching Regression Estimates of Intergenerational Mobility of Consumption," Working Papers 0904, Florida International University, Department of Economics. [Downloadable!]
    7. Yasuyuki Sawada & Kazumitsu Nawata & Masako Ii & Jeong-Joon Lee, 2007. "Did the Credit Crunch in Japan Affect Household Welfare? An Augmented Euler Equation Approach Using Type 5 Tobit Model," CIRJE F-Series CIRJE-F-498, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    8. Sun Jin Kang & Yasuyuki Sawada, 2003. "Credit Crunches and Household Welfare: The Case of the Korean Financial Crisis," CIRJE F-Series CIRJE-F-234, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    9. Adda, Jérôme & Eaton, Jonathan, 1998. "Borrowing with unobserved liquidity constraints structural estimation with an application to sovereign debt," CEPREMAP Working Papers (Couverture Orange) 9806, CEPREMAP. [Downloadable!]
      Other versions:
    10. Andrew Benito & Haroon Mumtaz, . "Consumption excess sensitivity, liquidity constraints and the collateral role of housing," Bank of England working papers 306, Bank of England. [Downloadable!]
    11. Jonathan Fisher & Larry Filer & Angela Lyons, . "Is the Bankruptcy Flag Binding? Access to Credit Markets for Post-Bankruptcy Households," American Law & Economics Association Annual Meetings 1041, American Law & Economics Association. [Downloadable!]
    12. Charles GRANT, 2003. "Estimating Credit Constraints among US Households," Economics Working Papers ECO2003/14, European University Institute. [Downloadable!]
    13. Sònia Muñoz, 2006. "Wealth Effects in Europe: A Tale of Two Countries (Italy and the United Kingdom)," IMF Working Papers 06/30, International Monetary Fund. [Downloadable!]

  34. Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    Cited by:

    1. Balcombe, Kelvin & Bailey, Alastair, 2006. "Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US," MPRA Paper 17305, University Library of Munich, Germany. [Downloadable!]
    2. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236. [Downloadable!]
    3. Fofana, Abdulai & Jaffray, Shabbar, 2006. "Measuring Market Power in the UK Retail Salmon Industry," Working Papers 45873, Scottish Agricultural College, Land Economy Research Group. [Downloadable!]
    4. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," MPRA Paper 8413, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    5. Douglas Fisher & Adrian R. Fleissig & Apostolos Serletis, 2001. "An empirical comparison of flexible demand system functional forms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 59-80. [Downloadable!]
      Other versions:
    6. Clifford Attfield, 2004. "Stochastic Trends, Demographics and Demand Systems," Bristol Economics Discussion Papers 04/563, Department of Economics, University of Bristol, UK. [Downloadable!]
    7. Raymond Y.C. Tse, Sivaguru Ganesan, 1997. "Causal relationship between construction flows and GDP: evidence from Hong Kong," Construction Management & Economics, Taylor and Francis Journals, vol. 15(4), pages 371-376, July. [Downloadable!] (restricted)
    8. Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    9. D. Aristei & Luca Pieroni, 2008. "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Discussion Papers 0809, University of the West of England, Department of Economics. [Downloadable!]
    10. Chang, Hui-Shung Christie, 2000. "An econometric analysis of the competitive position of Australian cotton in the Japanese market," Working Papers 12940, University of New England, School of Economics. [Downloadable!]
    11. Holt, Matthew T. & Goodwin, Barry K., 2009. "The Almost Ideal and Translog Demand Systems," MPRA Paper 15092, University Library of Munich, Germany. [Downloadable!]
    12. Vittorio Nicolardi, 2009. "The effects of the new 1995 ESA methodologies of estimation on the structural analysis of Italian consumption," Statistical Methods and Applications, Springer, vol. 18(1), pages 125-149, March. [Downloadable!] (restricted)
    13. Sulgham, Anil K. & Zapata, Hector O., 2006. "A Dynamic Approach to Estimate Theoretically Consistent US Meat Demand System," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35441, Southern Agricultural Economics Association. [Downloadable!]
    14. Luca Pieroni, 2007. "How Strong is the Relationship between Defence Expenditure and Private Consumption? Evidence from the United States," Discussion Papers 0705, University of the West of England, Department of Economics. [Downloadable!]
    15. Sean Collins & Richard G. Anderson, 1997. "Modeling U.S. households' demand for liquid wealth in an era of financial change," Working Papers 1997-014, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    16. Tiffin, Richard & Balcombe, Kelvin, 2003. "Testing Symmetry And Homogeneity In The Aids With Cointegrated Data Using Fully-Modified Estimation And The Bootstrap," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25845, International Association of Agricultural Economists. [Downloadable!]
    17. Nzuma, Jonathan & Sarker, Rakhal, 2008. "An Error Corrected Almost Ideal Demand System for Major Cereals in Kenya," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6443, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    18. Arthur Lewbel & Serena Ng, 2000. "Demand Systems With Nonstationary Prices," Boston College Working Papers in Economics 441, Boston College Department of Economics, revised 07 Jun 2002. [Downloadable!]
      Other versions:
    19. Clifford Attfield, 2004. "A Comparison of the Translog and Almost Ideal Demand Models," Bristol Economics Discussion Papers 04/564, Department of Economics, University of Bristol, UK. [Downloadable!]

  35. Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Cesar Revoredo, 2000. "On The Solution Of The Dynamic Rational Expectations Commodity Storage Model In The Presence Of Stockholding By Speculators And Processors," Computing in Economics and Finance 2000 42, Society for Computational Economics. [Downloadable!]
    2. Peterson, Hikaru H. & Tomek, William G., 2003. "How Much Of Commodity Price Behavior Can A Rational Expectations Storage Model Explain?," Staff Papers 30712, Kansas State University, Department of Agricultural Economics. [Downloadable!]
    3. Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    4. Kausik Chaudhuri, 2000. "Long Run Prices of Primary Commodities and Oil Prices," Working Papers 2000-2, University of Sydney, Department of Economics. [Downloadable!]
      Other versions:
    5. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Universite de Montreal, Departement de sciences economiques. [Downloadable!]

  36. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:

    Cited by:

    1. Daiki Maki, 2005. "Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate," Economics Bulletin, Economics Bulletin, vol. 3(9), pages 1-8. [Downloadable!]
    2. Huayu Sun & Yue Ma, 2004. "Money and price relationship in China," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 2(3), pages 225-247, September. [Downloadable!] (restricted)
    3. Kyung So Im & Junsoo Lee, 2000. "LM Unit Root Test with Panel Data: A Test Robust To Structural Changes," Econometric Society World Congress 2000 Contributed Papers 0648, Econometric Society. [Downloadable!]
    4. Alain DeSerres & Alain Guay, 1995. "Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions," Econometrics 9510001, EconWPA. [Downloadable!]
    5. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 547-556, May. [Downloadable!] (restricted)
    6. Juan de Dios Tena & A. R. Tremayne, 2006. "Modelling Monetary Transmission In Uk Manufacturing Industry," Statistics and Econometrics Working Papers ws062911, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    7. Westerlund, Joakim, 2006. "Testing for Error Correction in Panel Data," Research Memoranda 056, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    8. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
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    9. Kausik Chaudhuri & Yangru Wu, 2000. "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets," Working Papers 2000-3, University of Sydney, Department of Economics. [Downloadable!]
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    10. van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Working Paper Series in Economics and Finance 0429, Stockholm School of Economics, revised 16 May 2002. [Downloadable!]
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    11. Michael T. K. Horvath & Mark W. Watson, 1994. "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers 0171, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," Econometrics 0310006, EconWPA, revised 24 Oct 2003. [Downloadable!]
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    13. Kocenda, Evzen, 1999. "Limited Macroeconomic Convergence in Transition Countries," CEPR Discussion Papers 2285, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    14. Dan Ben-David & David H. Papell, 1997. "International Trade and Structural Change," NBER Working Papers 6096, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    15. Juan-Carlos Candeal & Antonio Montañés & Irene Olloqui, 2003. "Spurious Zipf's Law," ERSA conference papers ersa03p67, European Regional Science Association. [Downloadable!]
    16. Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    17. Robert A. Amano, . "Empirical Evidence on the Cost of Adjustment and Dynamic Labour Demand," Working Papers 95-3, Bank of Canada. [Downloadable!]
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    18. I.S. Meister, 2002. "Is Eastern Europe ready for the Euro? A Cointegration Analysis for the Maastricht Criteria," WO Research Memoranda (discontinued) 699, Netherlands Central Bank, Research Department. [Downloadable!]
    19. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001. [Downloadable!]
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    20. Clemente, Jesus & Lanaspa, Luis & Montañés, Antonio, 2002. "The unemployment structure of the US States," ERSA conference papers ersa02p081, European Regional Science Association. [Downloadable!]
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    21. Fábio Augusto Reis Gomes & Cleomar Gomes da Silva, 2006. "Hysteresis Vs. Nairu And Convergence Vs. Divergence: The Behavior Of Regional Unemployment Rates In Brazil," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 161, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    22. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004. [Downloadable!]
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    23. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb.. [Downloadable!]
    24. Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA. [Downloadable!]
    25. Robert E. Cumby, 1996. "Forecasting Exchange Rates and Relative Prices with the Hamburger Standard: Is What You Want What You Get With McParity?," NBER Working Papers 5675, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Steven Cook, 2003. "The stylized approach to unit root testing: neglected contributions and the cost of simplicity," Journal of Applied Statistics, Taylor and Francis Journals, vol. 30(3), pages 267-272, April. [Downloadable!] (restricted)
    27. Daiki Maki, 2005. "The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-7. [Downloadable!]
    28. Diebold & Senhadji, . "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania. [Downloadable!]
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    29. Denise Côté & Christopher Graham, 2004. "Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization," Working Papers 04-23, Bank of Canada. [Downloadable!]
    30. David Papell, 1998. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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    31. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    32. Taiji Harashima, 2004. "A More Realistic Endogenous Time Preference Model and the Slump in Japan," Macroeconomics 0402015, EconWPA, revised 09 Feb 2004. [Downloadable!]
    33. Andre Mollick, 2002. "Effects Of U.S. Interest Rates On The Real Exchange Rate In Mexico," Economics Bulletin, Economics Bulletin, vol. 6, pages 1-15. [Downloadable!]
    34. Stefano Fachin, 2005. "Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units," Econometrics 0507002, EconWPA. [Downloadable!]
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    35. Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance 9509001, EconWPA. [Downloadable!]
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    36. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
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    37. Ajit Dayanandan & Mukesh Ralhan, 2005. "Price Index Convergence Among Provinces and Cities of Canada: 1978 - 2001," Econometrics Working Papers 0504, Department of Economics, University of Victoria. [Downloadable!]
    38. Gabriel Rodríguez & Yiagadeesen Samy, 2003. "Analysing the effects of labour standards on US export performance. A time series approach with structural change," Applied Economics, Taylor and Francis Journals, vol. 35(9), pages 1043-1051, January. [Downloadable!] (restricted)
    39. Cheung, Yin-Wong & Lai, Kon S., 1999. "On Cross-Country Differences in the Persistence of Real Exchange Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    40. Roberto Golinelli & Riccardo Rovelli, 2002. "Monetary Policy Transmission, Interest Rate Rules and Inflation Targeting in Three Transition Countries," Eastward Enlargement of the Euro-zone Working Papers wp10, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002. [Downloadable!]
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    41. Judith A. Giles, Cara L. Williams, 2000. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(4), pages 445-470, December. [Downloadable!] (restricted)
    42. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529. [Downloadable!]
    43. Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(17), pages 1301-1307, November. [Downloadable!] (restricted)
    44. Fillion, J.F., 1996. "L'endettement du Canada et ses effets sur les taux d'interet reels de long term," Working Papers 96-14, Bank of Canada. [Downloadable!]
    45. Murray, J. & Van Norden, S. & Vigfusson, R., 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports 76, Bank of Canada. [Downloadable!]
    46. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    47. Martin B. Schmidt, 2006. "Institutional Change and Factor Movement: A Test of the Coase Theorem's Invariance Principle," Working Papers 47, Department of Economics, College of William and Mary. [Downloadable!]
    48. Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999. "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers 84, CREFE, Université du Québec à Montréal. [Downloadable!]
    49. Elena Pesavento, 2006. "Near-Optimal Unit Root Test with Stationary Covariate with Better Finite Sample Size," Emory Economics 0606, Department of Economics, Emory University (Atlanta). [Downloadable!]
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    50. José L. Torres, 2004. "A Non-parametric analysis of ERM exchange rate fundamentals," Economic Working Papers at Centro de Estudios Andaluces E2004/25, Centro de Estudios Andaluces. [Downloadable!]
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    51. Evan Lau & Ahmad Zubaidi Baharumshah, 2005. "Assessing The Mean Reversion Behavior Of Fiscal Policy: The Case Of Asian Countries," Macroeconomics 0504002, EconWPA. [Downloadable!]
    52. Michael Dotsey & Carl D. Lantz & Lawrence Santucci, 2000. "Is money useful in the conduct of monetary policy?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 23-48. [Downloadable!]
    53. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    54. Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics. [Downloadable!]
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    55. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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    56. Kausik Chaudhuri, 2000. "Long Run Prices of Primary Commodities and Oil Prices," Working Papers 2000-2, University of Sydney, Department of Economics. [Downloadable!]
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    57. Vicente Esteve & Juan Sanchis, . "Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001," Studies on the Spanish Economy 161, FEDEA. [Downloadable!]
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    58. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics. [Downloadable!]
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    59. Rossen Valkanov, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management 1099, Anderson Graduate School of Management, UCLA. [Downloadable!]
    60. R.P. Berben & D. van Dijk, 1999. "Unit roots and asymetric adjustment - a reassessment," Econometric Institute Report 101, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    61. Jean Imbs & Haroon Mumtaz & Morton O. Ravn & Helene Rey, 2002. "PPP Strikes Back: Aggregation and the Real Exchange Rate," NBER Working Papers 9372, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    62. Pedro Gouveia & Paulo Rodrigues, 2004. "Threshold Cointegration and the PPP Hypothesis," Journal of Applied Statistics, Taylor and Francis Journals, vol. 31(1), pages 115-127, January. [Downloadable!] (restricted)
    63. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington. [Downloadable!]
    64. Kausik Chaudhuri, 2000. "Is Devaluation working? Evidence from India in phase of Economic Liberalization," Working Papers 2000-1, University of Sydney, Department of Economics. [Downloadable!]
    65. Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences econo