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Time series analysis and simultaneous equation econometric models
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Cited by:
- Nijman, Theo & Sentana, Enrique, 1996.
"Marginalization and contemporaneous aggregation in multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 395cb9d2-89a8-4cbf-923e-c, Tilburg University, School of Economics and Management.
- Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
- Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
- Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management.
- Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
- Li, Jian & Chavas, Jean-Paul, 2020. "The Impacts of African Swine Fever on Vertical and Spatial Hog Pricing and Market Integration in China," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304516, Agricultural and Applied Economics Association.
- Jean‐Paul Chavas & Giorgia Rivieccio & Salvatore Di Falco & Giovanni De Luca & Fabian Capitanio, 2022. "Agricultural diversification, productivity, and food security across time and space," Agricultural Economics, International Association of Agricultural Economists, vol. 53(S1), pages 41-58, November.
- Benjamin M. Friedman, 1981. "The Roles of Money and Credit in Macroeconomic Analysis," NBER Working Papers 0831, National Bureau of Economic Research, Inc.
- Tony Hall & Jan Jacobs & Adrian Pagan, "undated".
"Macro-Econometric System Modelling @75,"
NCER Working Paper Series
95, National Centre for Econometric Research.
- Tony Hall & Jan Jacobs & Adrian Pagan, 2013. "Macro-Econometric System Modelling @75," CAMA Working Papers 2013-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023.
"Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019. "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure," Papers 1902.10991, arXiv.org, revised Dec 2020.
- Francesca Di Iorio & Umberto Triacca, 2022. "A comparison between VAR processes jointly modeling GDP and Unemployment rate in France and Germany," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 617-635, September.
- Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018.
"Generating univariate fractional integration within a large VAR(1),"
Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
- Hashem Pesaran, M. & Smith, Ron P., 2016.
"Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing,"
Research in Economics, Elsevier, vol. 70(2), pages 262-280.
- Pesaran, M. Hashem & Smith, Ron P., 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," IZA Discussion Papers 6618, Institute of Labor Economics (IZA).
- M. Hashem Pesaran & Ron P Smith, 2014. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Birkbeck Working Papers in Economics and Finance 1406, Birkbeck, Department of Economics, Mathematics & Statistics.
- M. Hashem Pesaran & Ron P. Smith, 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," CESifo Working Paper Series 3879, CESifo.
- M. Hashem Pesaran & Ron P. Smith, 2012. "Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing," Working Paper series 37_12, Rimini Centre for Economic Analysis.
- Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
- Rangan Gupta & Stephen Miller, 2012.
"“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix,"
The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 763-782, June.
- Rangan Gupta & Stephen M. Miller, 2009. ""Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working papers 2009-05, University of Connecticut, Department of Economics, revised Jun 2009.
- Rangan Gupta & Stephen M. Miller, 2009. "“Ripple Effects” and Forecasting Home Prices In Los Angeles, Las Vegas, and Phoenix," Working Papers 200901, University of Pretoria, Department of Economics.
- Rangan Gupta & Stephen M. Miller, 2009. ""Ripple Effects” and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working Papers 0902, University of Nevada, Las Vegas , Department of Economics.
- Hecq Alain & Laurent Sébastien & Palm Franz C., 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
- E. Philip Howrey, 1980. "The Role of Time Series Analysis in Econometric Model Evaluation," NBER Chapters, in: Evaluation of Econometric Models, pages 275-307, National Bureau of Economic Research, Inc.
- John McDonald & Houston Stokes, 2013. "Monetary Policy and the Housing Bubble," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 437-451, April.
- Terrence Kinal & Jonathan Ratner, 1986. "A VAR Forecasting Model of a Regional Economy: Its Construction and Comparative Accuracy," International Regional Science Review, , vol. 10(2), pages 113-126, August.
- Gebhard Kirchgässner, 1985. "Die Schweiz im internationalen Zinszusammenhang. Eine zeitreihenanalytische Untersuchung für die Zeit von 1974 bis 1983," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 121(IV), pages 329-351, December.
- Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011. "On the univariate representation of multivariate volatility models with common factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Georgiadis, Georgios, 2015.
"To bi, or not to bi? Differences in spillover estimates from bilateral and multilateral multi-country models,"
Working Paper Series
1868, European Central Bank.
- Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
- Bolkesjø, Torjus F. & Buongiorno, Joseph, 2006. "Short- and long-run exchange rate effects on forest product trade: Evidence from panel data," Journal of Forest Economics, Elsevier, vol. 11(4), pages 205-221, January.
- Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
- Adrian Pagan, 2001.
"The Getting of Macroeconomic Wisdom,"
International Economic Association Series, in: Jacques Drèze (ed.), Advances in Macroeconomic Theory, chapter 11, pages 219-235,
Palgrave Macmillan.
- Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Economics, Australian National University.
- Claude Montmarquette, 1977. "Ramdom Walk Behavior of Finished Goods Inventory Investment : Some Theoretical and Empirical Considerations," Revue Économique, Programme National Persée, vol. 28(3), pages 352-375.
- Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014.
"Using large data sets to forecast sectoral employment,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(2), pages 229-264, June.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 201101, University of Pretoria, Department of Economics.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working papers 2011-02, University of Connecticut, Department of Economics, revised Aug 2012.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 1106, University of Nevada, Las Vegas , Department of Economics.
- David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
- H. Peter Boswijk & Jurgen A. Doornik, 2004.
"Identifying, estimating and testing restricted cointegrated systems: An overview,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465, November.
- H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford.
- Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
- Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016.
"Canadian monetary policy analysis using a structural VARMA model,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 347-373, February.
- Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016. "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 347-373, February.
- Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2013. "Canadian Monetary Policy Analysis using a Structural VARMA Model," Monash Econometrics and Business Statistics Working Papers 4/13, Monash University, Department of Econometrics and Business Statistics.
- Raghavan, Mala & Athanasopoulos, George & Silvapulle, Param, 2014. "Canadian monetary policy analysis using a structural VARMA model," Working Papers 2014-06, University of Tasmania, Tasmanian School of Business and Economics, revised 2014.
- Robert Topel & Sherwin Rosen, 1985.
"A Time Series Model of Housing Investment in the U.S,"
UCLA Economics Working Papers
387, UCLA Department of Economics.
- Sherwin Rosen & Robert H. Topel, 1986. "A Time-Series Model of Housing Investment in the U.S," NBER Working Papers 1818, National Bureau of Economic Research, Inc.
- Umberto Triacca, 2016. "Measuring the Distance between Sets of ARMA Models," Econometrics, MDPI, vol. 4(3), pages 1-11, July.
- Renée Fry & Adrian Pagan, 2011.
"Sign Restrictions in Structural Vector Autoregressions: A Critical Review,"
Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
- Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," NCER Working Paper Series 57, National Centre for Econometric Research.
- Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers 2010-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- McNulty, Mark S., 1985. "Information usage in the formation of price expectations: theory and econometric tests," ISU General Staff Papers 1985010108000013085, Iowa State University, Department of Economics.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Rausser, Gordon C & Carter, Colin, 1983.
"Futures Market Efficiency in the Soybean Complex,"
The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
- Rausser, Gordon C. & Carter, Colin A., 1982. "Futures market efficiency in the soybean complex," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
- Rausser, Gordon & Carter, Colin A., 1982. "Futures Market Efficiency in the Soybean Complex," CUDARE Working Papers 198214, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020.
"Liquidity and volatility in the U.S. Treasury market,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
- Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity and volatility in the U.S. treasury market," Staff Reports 590, Federal Reserve Bank of New York.
- Chavas, Jean-Paul, 2024. "Economic resilience:Measurement and assessment across time and space," Research in Economics, Elsevier, vol. 78(2).
- Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
- Bahram Adrangi & Mary Allender, 1998. "Budget deficits and stock prices: International evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 57-66, June.
- Stephan Smeekes & Jean-Pierre Urbain, 2014.
"On the Applicability of the Sieve Bootstrap in Time Series Panels,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
- Smeekes, S. & Urbain, J.R.Y.J., 2011. "On the applicability of the sieve bootstrap in time series panels," Research Memorandum 055, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2017. "Crude Oil Price Volatility Spillovers and Agricultural Commodities: A Study in Time and Frequency Domains," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 42-56, August.
- Neumann, Todd C. & Fishback, Price V. & Kantor, Shawn, 2010.
"The Dynamics of Relief Spending and the Private Urban Labor Market During the New Deal,"
The Journal of Economic History, Cambridge University Press, vol. 70(1), pages 195-220, March.
- Todd C. Neumann & Price V. Fishback & Shawn Kantor, 2007. "The Dynamics of Relief Spending and the Private Urban Labor Market During the New Deal," NBER Working Papers 13692, National Bureau of Economic Research, Inc.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Alessandra Luati & Tommaso Proietti, 2010.
"Hyper‐spherical and elliptical stochastic cycles,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 169-181, May.
- Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
- Lutkepohl, Helmut & Poskitt, D S, 1996.
"Specification of Echelon-Form VARMA Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
- D.S. Poskitt, "undated". "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.
- Kozicki, Sharon & Tinsley, P. A., 2001.
"Shifting endpoints in the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
- Sharon Kozicki & Peter A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.
- repec:jss:jstsof:32:i02 is not listed on IDEAS
- Dietmar Bauer & Lukas Matuschek & Patrick de Matos Ribeiro & Martin Wagner, 2020. "A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing," Econometrics, MDPI, vol. 8(4), pages 1-54, November.
- Roque B. Fernandez, 1979. "The Short-Run Output-Inflation Tradeoff in Argentina and Brazil," NBER Chapters, in: Short-Term Macroeconomic Policy in Latin America, pages 133-168, National Bureau of Economic Research, Inc.
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
- Sood, Ashish & Kappe, Eelco & Stremersch, Stefan, 2014. "The commercial contribution of clinical studies for pharmaceutical drugs," International Journal of Research in Marketing, Elsevier, vol. 31(1), pages 65-77.
- Mardi Dungey & Adrian Pagan, 2009.
"Extending a SVAR Model of the Australian Economy,"
The Economic Record, The Economic Society of Australia, vol. 85(268), pages 1-20, March.
- Mardi Dungey & Adrian Pagan, 2008. "Extending an SVAR Model of the Australian Economy," NCER Working Paper Series 21, National Centre for Econometric Research.
- Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011.
"Forecasting the US real house price index: Structural and non-structural models with and without fundamentals,"
Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
- Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008.
"Macro-panels and reality,"
Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
- Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Macro-panels and reality," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Raghavan, Mala & Athanasopoulos, George, 2019.
"Analysis of shock transmissions to a small open emerging economy using a SVARMA model,"
Economic Modelling, Elsevier, vol. 77(C), pages 187-203.
- Raghavan, Mala & Athanasopoulos, George, 2018. "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Working Papers 2018-02, University of Tasmania, Tasmanian School of Business and Economics.
- Victor Zarnowitz, 1992. "References," NBER Chapters, in: Business Cycles: Theory, History, Indicators, and Forecasting, pages 535-576, National Bureau of Economic Research, Inc.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen Miller, 2013.
"Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes,"
Empirical Economics, Springer, vol. 44(2), pages 387-417, April.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers 15-01, Eastern Mediterranean University, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2011. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers 1103, University of Nevada, Las Vegas , Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working papers 2010-21, University of Connecticut, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers 201018, University of Pretoria, Department of Economics.
- Pami Dua & Nishita Raje & Satyananda Sahoo, 2004.
"Interest Rate Modeling and Forecasting in India,"
Occasional papers
3, Centre for Development Economics, Delhi School of Economics.
- Pami Dua, 2008. "Interest Rate Modeling and Forecasting in India," Working Papers id:1521, eSocialSciences.
- Marco Reale & Granville Tunnicliffe Wilson, 2001. "Identification of vector AR models with recursive structural errors using conditional independence graphs," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 10(1), pages 49-65, January.
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- Jean-Paul Chavas & Aashish Mehta, 2004.
"Price Dynamics in a Vertical Sector: The Case of Butter,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(4), pages 1078-1093.
- Chavas, Jean- Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Working Papers 201555, University of Wisconsin-Madison, Department of Agricultural and Applied Economics, Food System Research Group.
- Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Staff Paper Series 452, University of Wisconsin, Agricultural and Applied Economics.
- Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics In A Vertical Sector: The Case Of Butter," Staff Papers 12676, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
- Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010.
"Cointegration in a historical perspective,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 2009. "Cointegration in a historical perspective," Econometric Institute Research Papers EI 2009-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Ronayne, David, 2011.
"Which Impulse Response Function?,"
The Warwick Economics Research Paper Series (TWERPS)
971, University of Warwick, Department of Economics.
- Ronayne, David, 2011. "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
- Zellner, Arnold & Israilevich, Guillermo, 2005.
"Marshallian Macroeconomic Model: A Progress Report,"
Macroeconomic Dynamics, Cambridge University Press, vol. 9(2), pages 220-243, April.
- Zellner, Arnold & Israilevich, Guillermo, 2005. "The Marshallian macroeconomic model: A progress report," International Journal of Forecasting, Elsevier, vol. 21(4), pages 627-645.
- Marc Nerlove, 1979.
"The Dynamics of Supply: Retrospect and Prospect,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(5), pages 874-888.
- Nerlove, Marc, 1979. "The Dynamics Of Supply: Retrospect And Prospect," 1979 Annual Meeting, July 29-August 1, Pullman, Washington 277829, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Marc Nerlove, 1979. "The Dynamics of Supply: Retrospect and Prospect," Discussion Papers 394, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Antoni Espasa & Daniel Peña, 1990. "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, vol. 14(2), pages 191-211, May.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015.
"Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence,"
ESSEC Working Papers
WP1507, ESSEC Research Center, ESSEC Business School.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
- Bahram Adrangi & Richard D. Gritta & Kambiz Raffiee, 2013. "Volatility Spillovers and Nonlinear Dynamics between Jet Fuel Prices and Air Carrier Revenue Passenger Miles in the US," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 01-18, August.
- Kapetanios, G. & Pagan, A. & Scott, A., 2007.
"Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling,"
Journal of Econometrics, Elsevier, vol. 136(2), pages 565-594, February.
- G. Kapetanios & A. Pagan & A. Scott, 2005. "Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling," CAMA Working Papers 2005-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics.
- Franses, Philip Hans, 2008. "Merging models and experts," International Journal of Forecasting, Elsevier, vol. 24(1), pages 31-33.
- Weaver, Robert D., 1979. "Survey of Promising Developments in Supply Response: Pre- and Post-Data Econometric Methods for Integration of Neo-Classical Theory with Sample Evidence," Staff Paper Series 256836, Pennsylvania State University, Department of Agricultural Economics and Rural Sociology.
- Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
- J. S. Mehta & G. V. L. Narasimham & P. A. V. B. Swamy, 1975. "Estimation of a dynamic demand function for gasoline with different schemes of parameter variation," International Finance Discussion Papers 70, Board of Governors of the Federal Reserve System (U.S.).
- Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, University Library of Munich, Germany.
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