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Michael McAleer

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First Name: Michael
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Last Name: McAleer
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RePEc Short-ID: pmc90

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Lists

This author is among the top 5% authors according to these criteria:
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This author is featured on the following reading lists or publication compilations:
  1. Queen's Economics Department PhD Graduates

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]

  2. Sinha, Dipendra & Macri, Joseph & McAleer, Michael, 2007. "On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002," MPRA Paper 2881, University Library of Munich, Germany. [Downloadable!]

  3. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

  4. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]

  5. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives," DEA Working Papers 11, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]

  6. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]

  7. Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005. "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers 2005.137, Fondazione Eni Enrico Mattei. [Downloadable!]

  8. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
    Published as:

  9. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2004. "Modelling Environmental Risk," HEI Working Papers 08-2004, Economics Section, The Graduate Institute of International Studies. [Downloadable!]

  10. Felix Chan & Michael McAleer, 2003. "On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models," CIRJE F-Series CIRJE-F-216, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  11. Christine Lim & Michael McAleer, 2003. "Modelling International Travel Demand from Singapore to Australia," CIRJE F-Series CIRJE-F-214, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  12. Baiding Hu & Michael McAleer, 2003. "Input-output Structure and Growth in China," CIRJE F-Series CIRJE-F-209, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  13. Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2003. "Asian Monetary Integration: A Structural VAR Approach," CIRJE F-Series CIRJE-F-212, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  14. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  15. Robert L. Basmann & Michael McAleer & Daniel Slottje, 2003. "Patent Activity and Technical Change," CIRJE F-Series CIRJE-F-217, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
    Published as:

  16. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," CIRJE F-Series CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  17. Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Published as:

  18. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  19. John M. Sequeira & Pang Chia Chiat & Michael McAleer, 2003. "Volatility Models of Currency Futures in Developed and Emerging Markets," CIRJE F-Series CIRJE-F-210, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  20. Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:

  21. Felix Chan & Dora Marinova & Michael McAleer, 2003. "Modelling the Asymmetric Volatility of Electronics Patents in the USA," CIRJE F-Series CIRJE-F-208, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  22. Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," CIRJE F-Series CIRJE-F-215, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Published as:

  23. Dora Marinova & Michael McAleer, 2003. "Environmental Technology Strengths: International Rankings Based on US Patent Data," CIRJE F-Series CIRJE-F-204, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  24. Lee Kian Lim & Michael McAleer, 2003. "Convergence and Catching Up in ASEAN: A Comparative Analysis," CIRJE F-Series CIRJE-F-218, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Published as:

  25. Christine Lim & Michael McAleer, 2003. "Ecologically Sustainable Tourism Management," CIRJE F-Series CIRJE-F-206, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  26. Clinton WATKINS & Michael McALEER, 2002. "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002 18, Society for Computational Economics. [Downloadable!]

  27. Franses, P.H. & McAleer, M., 1995. "Testing Nested and Non-Nested Periodically Integrated Autoregressive Models," Papers 9510, Tilburg - Center for Economic Research.
    Other versions:

  28. Franses, P.H. & McAleer, M., 1995. "Testing for Unit Roots and Non-Linear Transformations," Papers 9507/a, Erasmus University of Rotterdam - Econometric Institute.

  29. McAleer, M. & McKenzie, C.R. & Pesaren, M.H., 1993. "Cointegration and Direct Tests of the Rational Expectations Hypothesis," Cambridge Working Papers in Economics 9306, Faculty of Economics, University of Cambridge.
    Published as:

  30. Barten, A.P. & Mcaleer, M., 1991. "Comparing The Empirical Perfomance Of Alternative Demand Systems," Papers 9002a, Tilburg - Center for Economic Research.
    Other versions:

  31. McAleer, M. & Smith, J., 1990. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Papers 219, Australian National University - Department of Economics.
    Published as:

  32. Smith, J. & Mcaleer, M., 1990. "On The Robustness Of Barro'S New Classical Unemployment Model," Papers 206, Australian National University - Department of Economics.
    Published as:

  33. Mckensi, C.R. & Mcaleer, M. & Gill, L., 1990. "Simple Procedures For Testing Autoregressive Versus Moving Average Errors In Regression Models," Papers 210, Australian National University - Department of Economics.

  34. Bai, J. & Jakeman, A.J. & Mcaleer, M., 1990. "Estimation And Discrimination Of Alternative Air Pollution Models," Papers 209, Australian National University - Department of Economics.

  35. Mcaleer, M. & Pesaran, M.H. & Bera, A.K., 1990. "Alternative Approaches To Testing Non-Nested Models With Autocorrelated Disturbances: An Application To Models Of U.S. Unemployment," Papers 10, California Los Angeles - Applied Econometrics.
    Other versions:

  36. McKensie, C.R. & McAleer, M., 1990. "On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach," Papers 211, Australian National University - Department of Economics.

  37. Mcaleer, M. & Mckenzie, C.R., 1990. "Keynesian And New Classical Models Of Unemployment Revisited," Papers 9006, Tilburg - Center for Economic Research.
    Published as:

  38. Bai, J. & Jakeman, A.J. & Mcaleer, M., 1990. "Discrimination Between Nested Two- And Three-Parameter Distributions: An Application To Models Of Air Pollution," Papers 9028, Tilburg - Center for Economic Research.
    Other versions:

  39. Mcaleer, M. & Smith, J., 1990. "A Mote Carlo Comparison Of Ols,Iv,Fiml And Bootstrap Standard Errors In Linear Models With Generated Regressors," Papers 207, Australian National University - Department of Economics.

  40. Bai, J. & Jakeman, A. & Mcaleer, M., 1990. "Discrimination Procedures For Fitting Nested And Non-Nested Distributions To Environmental Quality Data," Papers 200, Australian National University - Department of Economics.

  41. Bera, A.K. & Mcaleer, M. & Pesaran, M.H., 1989. "Joint Test Of Non-Nested Models And General Erro Specifications," Papers 3, California Los Angeles - Applied Econometrics.
    Published as:

  42. Beraq, A.K. & Mcaleer, M. & Pesaran, M.H., 1989. "Joint Tests Of Non-Nested Modls And General Error Specifications," Papers 197, Osaka - Institute of Social and Economic Research.
    Published as:

  43. Mcaleer, M. & Tse, Y.K., 1989. "On The Robustness Of Tests Of Outliers And Functional Form," Papers 179, Osaka - Institute of Social and Economic Research.

  44. Bai, J. & Jakeman, J. & Mcaleer, M., 1989. "The Effects Of Misspecification In Estimating The Percentiles Of Some Two -And Three-Parameter Distributions," Papers 196, Osaka - Institute of Social and Economic Research.
    Other versions:

  45. Bai, J. & Jakeman, A.J. & Mcaleer, M., 1989. "Estimating The Percentiles Of Some Misspecified Non-Nested Distributions," Papers 193, Australian National University - Department of Economics.

  46. Bai, J. & Jakeman, A.J. & Mcaleer, M., 1989. "A New Approach To Maximum Likelihood Estimation Of The Three-Paramater Gamma And Weibull Distributions," Papers 191, Australian National University - Department of Economics.

  47. McALEER, M. & DASTOOR, N.K., 1988. "Some Power Comparisons Of Joint And Paired Tests For Non-Nested Models Under Local Hypotheses," Papers 168, Australian National University - Department of Economics.

  48. Naorayex K. Dastoor & Michael McAleer, 1985. "On the Consistency of Joint and Paired Tests for Non-Nested Regression Models," Working Papers 614, Queen's University, Department of Economics.

  49. McAleer, Michael & Pagan, Adrian, 1985. "What Will Take the Con Out of Econometrics?," CEPR Discussion Papers 39, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  50. Fisher, G. & Mcaleer, M. & Whistler, D., 1982. "A Note on Identifiability in the Linear Expenditure Family," Cahiers de recherche 8215, Universite de Montreal, Departement de sciences economiques.
    Published as:

  51. Mcaleer, M. & Fisher, G. & Volker, P., 1982. "Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function," Cahiers de recherche 8217, Universite de Montreal, Departement de sciences economiques.
    Published as:

  52. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
    Published as:

  53. Michael McAleer & Gordon Fisher, 1981. "Testing Separate Regression Models Subject to Specification Error," Working Papers 441, Queen's University, Department of Economics.
    Other versions:
    Published as:

  54. Michael McAleer, 1981. "Exact Tests of a Model Against Non-Nested Alternatives," Working Papers 431, Queen's University, Department of Economics.

  55. Michael McAleer & Gordon Fisher, 1981. "Separate Misspecified Regressions," Working Papers 424, Queen's University, Department of Economics.

  56. Gordon Fisher & Michael McAleer, 1980. "The Interpretation of the Cox Test in Econometrics," Working Papers 371, Queen's University, Department of Economics.

  57. Gordon Fisher & Allan W. Gregory & Michael McAleer, 1980. "Two Papers on Linear Models," Working Papers 411, Queen's University, Department of Economics.

  58. Gordon Fisher & Michael McAleer, 1980. "Two Papers on Model Testing and Discrimination," Working Papers 416, Queen's University, Department of Economics.

  59. Gordon Fisher & Michael McAleer & Diana Whistler, 1980. "Interest Rates and Durability in the Linear Expenditure Family," Working Papers 399, Queen's University, Department of Economics.
    Published as:

  60. Gordon Fisher & Michael McAleer, 1980. "Principles and Methods in the Testing of Alternative Models," Working Papers 400, Queen's University, Department of Economics.

  61. Allan W. Gregory & Michael McAleer, 1980. "Exogeneity and Money Demand in a Small Open Economy: The Canadian Case," Working Papers 401, Queen's University, Department of Economics.

  62. Michael McAleer & Gordon Fisher & Diana Whistler, 1979. "Problems of Estimating the Linear Expenditure System and its Related Forms," Working Papers 355, Queen's University, Department of Economics.

  63. Gordon Fisher & Michael McAleer, 1979. "Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case," Working Papers 367, Queen's University, Department of Economics.

  64. Michael McAleer & Alan A. Powell & Peter Dixon & Tony Lawson, 1979. "Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables," Working Papers 349, Queen's University, Department of Economics.

  65. Michael McAleer & Ian E. Gorman, 1979. "Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal," Working Papers 333, Queen's University, Department of Economics.

  66. Alan Gregory & Michael McAleer, 1978. "Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada," Working Papers 316, Queen's University, Department of Economics.

Articles

  1. Massimiliano Caporin & Michael McAleer, 2008. "Scalar BEKK and indirect DCC," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 537-549. [Downloadable!]

  2. Esfandiar Maasoumi & Michael McAleer, 2008. "Realized Volatility and Long Memory: An Overview," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 1-9. [Downloadable!] (restricted)

  3. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September. [Downloadable!] (restricted)

  4. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
    Other versions:

  5. Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19. [Downloadable!]

  6. Michael McAleer & Bernardo da Veiga, 2008. "Single-index and portfolio models for forecasting value-at-risk thresholds," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 217-235. [Downloadable!]

  7. Asai, Manabu & McAleer, Michael, 2008. "A Portfolio Index GARCH model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 449-461. [Downloadable!] (restricted)

  8. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August. [Downloadable!] (restricted)

  9. Basmann, Robert L. & McAleer, Michael & Slottje, Daniel, 2007. "Patent activity and technical change," Journal of Econometrics, Elsevier, vol. 139(2), pages 355-375, August. [Downloadable!] (restricted)
    Other versions:

  10. Manabu Asai & Michael McAleer, 2007. "Non-trading day effects in asymmetric conditional and stochastic volatility models," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 113-123, 03. [Downloadable!] (restricted)

  11. Suhejla Hoti & Michael McAleer & Laurent L. Pauwels, 2007. "Measuring Risk In Environmental Finance," Journal of Economic Surveys, Blackwell Publishing, vol. 21(5), pages 970-998, December. [Downloadable!] (restricted)

  12. McAleer, Michael, 2007. "The econometrics of intellectual property: An overview," Journal of Econometrics, Elsevier, vol. 139(2), pages 237-241, August. [Downloadable!] (restricted)

  13. Suhejla Hoti & Michael McAleer, 2006. "How Does Country Risk Affect Innovation? An Application To Foreign Patents Registered In The Usa," Journal of Economic Surveys, Blackwell Publishing, vol. 20(4), pages 691-714, 09. [Downloadable!] (restricted)

  14. Suhejla Hoti & Michael McAleer & Daniel Slottje, 2006. "Intellectual Property Litigation Activity In The Usa," Journal of Economic Surveys, Blackwell Publishing, vol. 20(4), pages 715-729, 09. [Downloadable!] (restricted)

  15. Clinton Watkins & Michael McAleer, 2006. "Pricing of non-ferrous metals futures on the London Metal Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 853-880, August. [Downloadable!] (restricted)
    Other versions:

  16. Michael McAleer & Les Oxley, 2006. "Intellectual Property And Economic Incentives," Journal of Economic Surveys, Blackwell Publishing, vol. 20(4), pages 483-491, 09. [Downloadable!] (restricted)

  17. Matteo Manera & Michael McAleer & Margherita Grasso, 2006. "Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 525-533, April. [Downloadable!] (restricted)

  18. Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006. "Modeling dynamic conditional correlations in WTI oil forward and futures returns," Finance Research Letters, Elsevier, vol. 3(2), pages 114-132, June. [Downloadable!] (restricted)
    Other versions:

  19. Massimiliano Caporin & Michael McAleer, 2006. "Dynamic Asymmetric GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 385-412. [Downloadable!] (restricted)

  20. Michael McAleer, 2005. "The ten commandments for ranking university quality," Journal of Economic Surveys, Blackwell Publishing, vol. 19(4), pages 649-653, 09. [Downloadable!] (restricted)

  21. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February. [Downloadable!]

  22. Michael McAleer & Les Oxley, 2005. "The Ten Commandments for Academics," Journal of Economic Surveys, Blackwell Publishing, vol. 19(5), pages 823-826, December. [Downloadable!] (restricted)

  23. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non-ferrous metal prices," Journal of Economic Surveys, Blackwell Publishing, vol. 18(5), pages 651-701, December. [Downloadable!] (restricted)

  24. M. McAleer & J. M. Sequeira, 2004. "Efficient estimation and testing of oil futures contracts in a mutual offset system," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 953-962, September. [Downloadable!] (restricted)

  25. Ng, Hock Guan & McAleer, Michael, 2004. "Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations," International Journal of Forecasting, Elsevier, vol. 20(1), pages 115-129. [Downloadable!] (restricted)

  26. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 585-592, April. [Downloadable!] (restricted)

  27. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Blackwell Publishing, vol. 18(4), pages 539-588, 09. [Downloadable!] (restricted)

  28. Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2004. "Is a monetary union feasible for East Asia?," Applied Economics, Taylor and Francis Journals, vol. 36(10), pages 1031-1043, June. [Downloadable!] (restricted)

  29. Lee Kian Lim & Michael McAleer, 2004. "Convergence and catching up in ASEAN: a comparative analysis," Applied Economics, Taylor and Francis Journals, vol. 36(2), pages 137-153, February. [Downloadable!] (restricted)
    Other versions:

  30. Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors," The Japanese Economic Review, Japanese Economic Association, vol. 54(4), pages 420-438. [Downloadable!] (restricted)
    Other versions:

  31. Felix Chan & Michael McAleer, 2003. "Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers," Applied Financial Economics, Taylor and Francis Journals, vol. 13(8), pages 581-592, January. [Downloadable!] (restricted)

  32. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, January. [Downloadable!]

  33. McAleer, Michael & McKenzie, Colin, 2002. " The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999," Journal of Economic Surveys, Blackwell Publishing, vol. 16(1), pages 111-21, February. [Downloadable!] (restricted)

  34. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 245-69, July. [Downloadable!] (restricted)

  35. McAleer, Michael & Oxley, Les, 2002. " The Econometrics of Financial Time Series," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 237-43, July. [Downloadable!] (restricted)

  36. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534. [Downloadable!]

  37. Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424. [Downloadable!]

  38. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January. [Downloadable!] (restricted)

  39. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, May. [Downloadable!]

  40. McAleer, Michael & Oxley, Les, 2002. " The Ten Commandments for Presenting a Conference Paper," Journal of Economic Surveys, Blackwell Publishing, vol. 16(2), pages 215-18, April. [Downloadable!] (restricted)

  41. McAleer, Michael & Oxley, Les, 2001. " The Ten Commandments for Attending a Conference," Journal of Economic Surveys, Blackwell Publishing, vol. 15(5), pages 671-78, December. [Downloadable!] (restricted)

  42. Sequeira, John M & McAleer, Michael & Chow, Ying-Foon, 2001. "Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 77(238), pages 270-82, September. [Downloadable!] (restricted)

  43. Lim, Christine & McAleer, Michael, 2001. "Cointegration Analysis of Quarterly Tourism Demand by Hong Kong and Singapore for Australia," Applied Economics, Taylor and Francis Journals, vol. 33(12), pages 1599-1619, October. [Downloadable!] (restricted)

  44. Kazumitsu Nawata & Michael McAleer, 2001. "Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 105-112. [Downloadable!] (restricted)

  45. Madsen, Jakob B. & McAleer, Michael, 2001. "Consumption, liquidity constraints, uncertainty and temptation: An international comparison," Journal of Economic Psychology, Elsevier, vol. 22(1), pages 61-89, February. [Downloadable!] (restricted)

  46. Leong, Kenneth & McAleer, Michael, 2000. "Testing Long-Run Neutrality Using Intra-year data," Applied Economics, Taylor and Francis Journals, vol. 32(1), pages 25-37, January. [Downloadable!] (restricted)

  47. Chow, Ying-Foon & McAleer, Michael & Sequeira, John M, 2000. " Pricing of Forward and Futures Contracts," Journal of Economic Surveys, Blackwell Publishing, vol. 14(2), pages 215-53, April. [Downloadable!] (restricted)

  48. Lim, Christine & McAleer, Michael, 2000. "A Seasonal Analysis of Asian Tourist Arrivals to Australia," Applied Economics, Taylor and Francis Journals, vol. 32(4), pages 499-509, March. [Downloadable!] (restricted)

  49. Sequeira, John M & McAleer, Michael, 2000. "A Market-Augmented Model for SIMEX Brent Crude Oil Futures Contracts," Applied Financial Economics, Taylor and Francis Journals, vol. 10(5), pages 543-52, October. [Downloadable!] (restricted)

  50. Madsen, Jakob B. & Mcaleer, Michael, 2000. "Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 229-252, April. [Downloadable!] (restricted)

  51. Sequeira, John M & McAleer, Michael, 2000. "Testing the Risk Premium and Cost-of-Carry Hypotheses for Currency Futures Contracts," Applied Financial Economics, Taylor and Francis Journals, vol. 10(3), pages 277-89, June. [Downloadable!] (restricted)

  52. Kobayashi, Masahito & McAleer, Michael, 1999. "Analytical Power Comparisons Of Nested And Nonnested Tests For Linear And Loglinear Regression Models," Econometric Theory, Cambridge University Press, vol. 15(01), pages 99-113, February. [Downloadable!]

  53. Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 651-78, December. [Downloadable!] (restricted)

  54. McAleer, Michael & McKenzie, Colin & Oxley, Les, 1998. " The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997," Journal of Economic Surveys, Blackwell Publishing, vol. 12(4), pages 399-415, September. [Downloadable!] (restricted)

  55. Morimune, Kimio & McAleer, Michael, 1998. "Switching Orthogonality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(1), pages 171-82, February.

  56. McAleer, Michael & Oxley, Les, 1998. " Cointegration in Practice," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 417-22, December. [Downloadable!] (restricted)

  57. McAleer, Michael & McKenzie, Colin R & Oxley, Les, 1998. " The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia," Journal of Economic Surveys, Blackwell Publishing, vol. 12(1), pages 111-24, February. [Downloadable!] (restricted)

  58. Michael McAleer & Y. K. Tse, 1998. "A sequential testing procedure for outliers and structural change," Econometric Reviews, Taylor and Francis Journals, vol. 7(1), pages 103-111. [Downloadable!] (restricted)

  59. Michael McAleer, 1998. "Some comments on testing time series models," Econometric Reviews, Taylor and Francis Journals, vol. 7(1), pages 49-57. [Downloadable!] (restricted)

  60. McAleer, Michael, 1997. " The Ten Commandments for Organizing a Conference," Journal of Economic Surveys, Blackwell Publishing, vol. 11(2), pages 231-33, June. [Downloadable!] (restricted)

  61. McAleer, Michael, 1997. "Revisiting Tobin's 1950 Study of Food Expenditure: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 553-57, Sept.-Oct. [Downloadable!]

  62. McAleer, Michael, 1997. " Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996," Journal of Economic Surveys, Blackwell Publishing, vol. 11(4), pages 419-32, December. [Downloadable!] (restricted)

  63. McAleer, Michael, 1997. "Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 587-89, Sept.-Oct. [Downloadable!]

  64. McAleer, Michael, 1997. "Statistical Demand Functions for Food in the USA and the Netherlands: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 640-42, Sept.-Oct. [Downloadable!]

  65. McAleer, Michael, 1996. " The Osaka Econometrics Conference: Osaka, Japan, 1995," Journal of Economic Surveys, Blackwell Publishing, vol. 10(1), pages 115-22, March.

  66. McAleer, Michael & McKenzie, Colin, 1996. " The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995," Journal of Economic Surveys, Blackwell Publishing, vol. 10(1), pages 105-14, March.

  67. Keuzenkamp, Hugo A & McAleer, Michael, 1995. "Simplicity, Scientific Interference and Econometric Modelling," Economic Journal, Royal Economic Society, vol. 105(428), pages 1-21, January. [Downloadable!] (restricted)

  68. Smith, Jeremy & McAleer, Michael, 1995. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 165-85, April-Jun. [Downloadable!] (restricted)
    Other versions:

  69. McAleer, Michael, 1995. "The significance of testing empirical non-nested models," Journal of Econometrics, Elsevier, vol. 67(1), pages 149-171, May. [Downloadable!] (restricted)

  70. Michae McAleer, 1994. "Cointegrated systems II," Econometric Reviews, Taylor and Francis Journals, vol. 13(3), pages 287-289. [Downloadable!] (restricted)
    Published as:

  71. McKenzie, C R & McAleer, Michael, 1994. "On the Effects of Misspecification Errors in Models with Generated Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 441-55, November.

  72. Michael McAleer & C. R. McKenzie & M. Hashem Pesaran, 1994. "Cointegration and direct tests of the rational expectations hypothesis," Econometric Reviews, Taylor and Francis Journals, vol. 13(2), pages 231-258. [Downloadable!] (restricted)
    Other versions:

  73. Smith, Jeremy & McAleer, Michael, 1994. "Newey-West Covariance Matrix Estimates for Models with Generated Regressors," Applied Economics, Taylor and Francis Journals, vol. 26(6), pages 635-40, June.

  74. McAleer, Michael & Smith, Jeremy, 1994. "A note on the unbiasedness test of rationality using survey data," Journal of Macroeconomics, Elsevier, vol. 16(2), pages 369-374. [Downloadable!] (restricted)

  75. McAleer, Michael, 1994. " Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Blackwell Publishing, vol. 8(4), pages 317-70, December.

  76. Oxley, Les & McAleer, Michael, 1993. " Econometric Issues in Macroeconomic Models with Generated Regressors," Journal of Economic Surveys, Blackwell Publishing, vol. 7(1), pages 1-40.

  77. Smith, Jeremy & McAleer, Michael, 1993. "On the Robustness of Barro's New Classical Unemployment Model," Applied Economics, Taylor and Francis Journals, vol. 25(3), pages 349-60, March.
    Other versions:

  78. Anil Bera & Michael McAleer & M. Hashem Pesaran & Mann Yoon, 1992. "Joint tests of non-nested models and general error specifications," Econometric Reviews, Taylor and Francis Journals, vol. 11(1), pages 97-117. [Downloadable!] (restricted)
    Other versions:

  79. Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert, 1992. "Properties of ordinary least squares estimators in regression models with nonspherical disturbances," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 321-334. [Downloadable!] (restricted)

  80. McAleer, Michael & McKenzie, C. R., 1992. "Recursive estimation and generated regressors," Economics Letters, Elsevier, vol. 39(1), pages 1-5, May. [Downloadable!] (restricted)

  81. McAleer, Michael, 1992. "Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(200), pages 65-72, March.

  82. McAleer, Michael & McKenzie, C R, 1991. "Keynesian and New Classical Models of Unemployment Revisited," Economic Journal, Royal Economic Society, vol. 101(406), pages 359-81, May. [Downloadable!] (restricted)
    Other versions:

  83. Michael McAleer & C. R. McKenzie, 1991. "When are two step estimators efficient?," Econometric Reviews, Taylor and Francis Journals, vol. 10(2), pages 235-252. [Downloadable!] (restricted)

  84. McAleer, Michael & Veall, Michael R, 1989. "How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 99-106, February. [Downloadable!] (restricted)

  85. Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.

  86. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August. [Downloadable!] (restricted)

  87. King, Maxwell L & McAleer, Michael, 1987. "Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model," Review of Economic Studies, Blackwell Publishing, vol. 54(4), pages 649-63, October. [Downloadable!] (restricted)

  88. McAleer, Michael & Pagan, Adrian & Visco, Ignazio, 1986. "A further result on the sign of restricted least-squares estimates," Journal of Econometrics, Elsevier, vol. 32(2), pages 287-290, July. [Downloadable!] (restricted)

  89. Dastoor, Naorayex K. & McAleer, Michael, 1985. "Testing separate models with stochastic regressors," Economic Modelling, Elsevier, vol. 2(4), pages 331-338, October. [Downloadable!] (restricted)

  90. McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985. "What Will Take the Con out of Econometrics?," American Economic Review, American Economic Association, vol. 75(3), pages 293-307, June. [Downloadable!] (restricted)
    Other versions:

  91. Michael McAleer & Anil Bera, 1983. "Comment," Econometric Reviews, Taylor and Francis Journals, vol. 2(1), pages 121-130. [Downloadable!] (restricted)

  92. Allan W. Gregory & Michael McAleer, 1983. "Testing Non-Nested Specifications of Money Demand for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 16(4), pages 593-602, November. [Downloadable!] (restricted)

  93. Bera, Anvil K & McAleer, Michael, 1983. "Some Exact Tests for Model Specification," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 351-54, May. [Downloadable!] (restricted)

  94. McAleer, Michael & Fisher, Gordon, 1982. "Testing separate regression models subject to specification error," Journal of Econometrics, Elsevier, vol. 19(1), pages 125-145, May. [Downloadable!] (restricted)
    Other versions:

  95. McAleer, Michael & Fisher, Gordon & Volker, Paul, 1982. "Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 572-83, November. [Downloadable!] (restricted)
    Other versions:

  96. Fisher, Gordon & McAleer, Michael & Whistler, Diana, 1982. "A Note on Identifiability in the Linear Expenditure Family," Australian Economic Papers, Blackwell Publishing, vol. 21(39), pages 416-20, December.
    Other versions:

  97. McAleer, Michael, 1981. "A small sample test for non-nested regression models," Economics Letters, Elsevier, vol. 7(4), pages 335-338. [Downloadable!] (restricted)

  98. Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May. [Downloadable!] (restricted)
    Other versions:

  99. Allan W. Gregory & Michael McAleer, 1981. "Simultaneity and the Demand for Money in Canada: Comments and Extensions," Canadian Journal of Economics, Canadian Economics Association, vol. 14(3), pages 488-96, August. [Downloadable!] (restricted)

  100. Gordon Fisher & Michael McAleer & Diana Whistler, 1981. "Interest Rates and Durability in the Linear Expenditure Family," Canadian Journal of Economics, Canadian Economics Association, vol. 14(2), pages 331-41, May. [Downloadable!] (restricted)
    Other versions:

  101. McAleer, Michael, 1980. "The minimum error variance rule for non-linear regression models," Economics Letters, Elsevier, vol. 6(1), pages 17-21. [Downloadable!] (restricted)

  102. Fisher, Gordon & McAleer, Michael, 1979. "On the interpretation of the cox test in econometrics," Economics Letters, Elsevier, vol. 4(2), pages 145-150. [Downloadable!] (restricted)

NEP Fields

27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2003-04-02
  2. NEP-CMP: Computational Economics (1) 2003-03-25
  3. NEP-COM: Industrial Competition (2) 2003-03-25 2003-04-02
  4. NEP-ECM: Econometrics (9) 2003-03-19 2003-03-19 2003-03-25 2003-04-04 2003-04-04 2003-04-04 2006-04-08 2006-12-01 2008-03-15 Author is listed
  5. NEP-EEC: European Economics (1) 2003-04-02
  6. NEP-ENE: Energy Economics (1) 2003-03-19
  7. NEP-ETS: Econometric Time Series (10) 2003-03-19 2003-03-25 2003-04-02 2003-04-02 2003-04-02 2003-10-20 2006-04-08 2006-04-08 2006-12-01 2008-03-15 Author is listed
  8. NEP-FIN: Finance (4) 2003-04-02 2003-04-02 2005-12-09 2006-04-08
  9. NEP-FMK: Financial Markets (3) 2003-04-02 2003-04-02 2006-04-08
  10. NEP-FOR: Forecasting (1) 2006-04-08
  11. NEP-ICT: Information & Communication Technologies (1) 2006-04-08
  12. NEP-IFN: International Finance (4) 2003-04-02 2003-04-02 2003-04-02 2003-04-02
  13. NEP-IND: Industrial Organization (2) 2003-03-25 2003-04-02
  14. NEP-INO: Innovation (1) 2007-08-08
  15. NEP-IPR: Intellectual Property Rights (1) 2007-08-08
  16. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2007-05-12
  17. NEP-LAW: Law & Economics (1) 2007-08-08
  18. NEP-MAC: Macroeconomics (2) 2003-03-25 2006-04-08
  19. NEP-MST: Market Microstructure (1) 2006-12-01
  20. NEP-RMG: Risk Management (7) 2003-03-19 2003-04-02 2003-04-02 2003-04-02 2003-04-02 2003-10-20 2005-12-09 Author is listed
  21. NEP-SOG: Sociology of Economics (1) 2007-05-12
  22. NEP-TRA: Transition Economics (1) 2003-03-25
  23. NEP-TUR: Tourism Economics (2) 2005-12-09 2006-04-08
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