Printed from https://ideas.repec.org/s/bpj/sndecm4.html
Content
June 2005, Volume 9, Issue 2
- 1-9 A Note on the Hiemstra-Jones Test for Granger Non-causality
by Diks Cees & Panchenko Valentyn - 1-18 Economic Growth and Revealed Social Preference
by Day Richard H. & Yang Chengyu - 1-24 What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
by Bessec Marie & Bouabdallah Othman - 1-30 Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
by Smallwood Aaron D - 1-32 A Test of the Martingale Hypothesis
by Park Joon Y. & Whang Yoon-Jae - 1-38 Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model
by Goldman Elena & Tsurumi Hiroki - 1-38 Solving Ramsey Problems with Nonlinear Projection Methods
by Gapen Michael T. & Cosimano Thomas F.
March 2005, Volume 9, Issue 1
- 1-5 A Video Interview of Buz Brock
by Mizrach Bruce - 1-15 Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
by Hristova Daniela - 1-15 Inflation Dynamics of Turkey: A Structural Estimation
by Yazgan M. Ege & Yilmazkuday Hakan - 1-20 Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
by Ramalho Joaquim J.S. - 1-20 Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D
by Gómez Manuel A - 1-22 Wavelet Transforms and Commodity Prices
by Connor Jeff & Rossiter Rosemary - 1-36 A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
by Ivanov Ventzislav & Kilian Lutz - 1-43 Nonlinear Error-Correction Models for the FF/DM Rate
by Baghli Mustapha
December 2004, Volume 8, Issue 4
- 1-9 Linearizations and Equilibrium Correction Models
by Bårdsen Gunnar & Hurn Stan & Lindsay Kenneth A. - 1-11 An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
by Brannas Kurt & Nordstrom Jonas - 1-18 Combining Forecasts with Nonparametric Kernel Regressions
by Li Fuchun & Tkacz Greg - 1-25 A Stochastic Version of Zeeman's Market Model
by Rheinlaender Thorsten & Steinkamp Marcus - 1-26 A New Test of the Martingale Difference Hypothesis
by Kuan Chung-Ming & Lee Wei-Ming - 1-28 Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
by Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles
September 2004, Volume 8, Issue 3
- 1-23 Working Time and Employment Under Uncertainty
by Chen Yu-Fu & Funke Michael - 1-24 Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
by de Peretti Christian & Siani Carole - 1-28 A Nonparametric Dimension Test of the Term Structure
by Gil-Bazo Javier & Rubio Gonzalo - 1-33 Household Income Dynamics in Two Transition Economies
by Lokshin Michael & Ravallion Martin - 1-34 Nonlinear Monetary Policy Rules: Some New Evidence for the U.S
by Dolado Juan & Pedrero Ramón María-Dolores & Ruge-Murcia Francisco J. - 1-35 The Long Memory of the Efficient Market
by Lillo Fabrizio & Farmer J. Doyne
May 2004, Volume 8, Issue 2
- 1-5 Introduction
by Dagum Estela Bee & Proietti Tommaso - 1-9 On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
by Fonseca Giovanni - 1-15 Analyzing Financial Time Series through Robust Estimators
by Grossi Luigi - 1-16 Experimental Design for Time-Dependent Models with Correlated Observations
by Ucinski Dariusz & Atkinson Anthony C. - 1-17 Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
by Lee Kai Ming & Koopman Siem Jan - 1-18 Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
by Dagum Estela Bee & Luati Alessandra - 1-19 Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
by Cleveland William P. - 1-19 GARCH-type Models with Generalized Secant Hyperbolic Innovations
by Palmitesta Paola & Provasi Corrado - 1-19 Statistical Tests for Lyapunov Exponents of Deterministic Systems
by Wolff Rodney & Yao Qiwei & Tong Howell - 1-20 Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
by Vidoni Paolo - 1-20 Mixture Processes for Financial Intradaily Durations
by De Luca Giovanni & Gallo Giampiero M. - 1-22 Seasonal Specific Structural Time Series
by Proietti Tommaso - 1-23 Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
by Laurini Fabrizio - 1-25 Extensions of the Forward Search to Time Series
by Riani Marco - 1-25 Assessing Chaos in Time Series: Statistical Aspects and Perspectives
by Giannerini Simone & Rosa Rodolfo - 1-25 Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
by Doornik Jurgen A & Ooms Marius - 1-31 MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
by Cappuccio Nunzio & Lubian Diego & Raggi Davide
March 2004, Volume 8, Issue 1
- 1-19 An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
by Chortareas Georgios E & Kapetanios George & Uctum Merih - 1-26 Inferring the Forward Looking Equity Risk Premium from Derivative Prices
by Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J. - 1-30 Private Information and High-Frequency Stochastic Volatility
by Kelly David L. & Steigerwald Douglas G - 1-41 Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?
by Vázquez Jesús - 1-44 The ARAR Error Model for Univariate Time Series and Distributed Lag
by Carter Richard A. L. & Zellner Arnold
December 2003, Volume 7, Issue 4
- 1-15 Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
by Westerhoff Frank H. & Reitz Stefan - 1-18 The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
by Kim Sangbae & In Francis Haeuck - 1-22 Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach
by Atanasova Christina - 1-26 Bootstrapping Macroeconometric Models
by Fair Ray C - 1-26 An Information Theoretic Approach for Estimating Nonlinear Dynamic Models
by Golan Amos
October 2003, Volume 7, Issue 3
- 1-18 Long Memory Inflationary Dynamics: The Case of Brazil
by Reisen Valderio A & Cribari-Neto Francisco & Jensen Mark J - 1-30 Testing Serial Independence against Time Irreversibility
by Chen Yi-Ting - 1-31 Determinism in Financial Time Series
by Small Michael & Tse Chi K. - 1-32 An Empirical Evaluation of Non-Linear Trading Rules
by Andrada-Félix Julián & Fernadez-Rodriguez Fernando & Garcia-Artiles Maria-Dolores & Sosvilla-Rivero Simon - 1-39 Industrial Sector Mode-Locking and Business Cycle Formation
by Selover David D. & Jensen Roderick V. & Kroll John
July 2003, Volume 7, Issue 2
- 1-13 Stochastic Growth with Increasing Returns: Stability and Path Dependence
by Stachurski John - 1-15 Globally-Stabilizing Fiscal Policy Rules
by Guo Jang-Ting & Lansing Kevin J - 1-16 Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses
by Kapetanios George - 1-20 Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
by Snyder Ralph D & Forbes Catherine S - 1-20 A Nonlinear Approach to Forecasting with Leading Economic Indicators
by Jagric Timotej
August 2003, Volume 7, Issue 2
- 1-4 Erratum
by Kapetanios George
April 2003, Volume 7, Issue 1
- 1-11 Terror Cycles
by Faria Joao Ricardo - 1-19 Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
by Belaire-Franch Jorge & Peiro Amado - 1-35 Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle
by Dahl Christian M. & Gonzalez-Rivera Gloria - 1-40 Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle
by Driffill John & Raybaudi Marzia & Sola Martin
March 2003, Volume 6, Issue 4
- 1-11 An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach
by Belaire-Franch Jorge & Contreras Dulce - 1-18 Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
by Akdeniz Levent & Altay-Salih Aslihan & Caner Mehmet - 1-18 The Asymmetric Reverting Property of Stock Returns
by Nam Kiseok
May 2003, Volume 6, Issue 3
- 1-3 Erratum
by Morana Claudio
November 2002, Volume 6, Issue 3
- 1-16 Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
by Psaradakis Zacharias & Spagnolo Nicola - 1-21 On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach
by Iregui Ana María & Milas Costas & Otero Jesus - 1-29 Wavelets in Economics and Finance: Past and Future
by Ramsey James B. - 1-40 Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
by Morana Claudio
July 2002, Volume 6, Issue 2
- 1-18 My Experiences with Nonlinear Dynamic Models in Economics
by Zellner Arnold - 1-22 Tests for Serial Independence and Linearity Based on Correlation Integrals
by Diks Cees & Manzan Sebastiano - 1-22 Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks
by Bec Frédérique & Ben Salem Mélika & Collard Fabrice
April 2002, Volume 6, Issue 1
- 1-19 Characterizing the Degree of Stability of Non-linear Dynamic Models
by Bask Mikael & de Luna Xavier - 1-29 Nonlinear Trends and Co-trending in Canadian Money Demand
by Cushman David O. - 1-39 Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
by Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan - 1-55 Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
by Chen Xiaohong & White Halbert
January 2002, Volume 5, Issue 4
- 1-13 Macrostructures in Microeconomic Dynamics
by Iimura Takuya - 1-20 Growth, Saving, Financial Markets, and Markov Switching Regimes
by Jacobson Tor & Lindh Thomas & Warne Anders - 1-21 Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence
by Corrado Luisa & Holly Sean & Turner Paul - 1-23 Microeconomic Models for Long Memory in the Volatility of Financial Time Series
by Kirman Alan & Teyssière Gilles
October 2001, Volume 5, Issue 3
- 1-11 Energy Shocks and Financial Markets: Nonlinear Linkages
by Ciner Cetin - 1-25 Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
by Coakley Jerry & Fuertes Ana-María & Zoega Gylfi - 1-26 Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
by Taylor Mark P. & Sarno Lucio - 1-29 EVIM: A Software Package for Extreme Value Analysis in MATLAB
by Gençay Ramazan & Selçuk Faruk & Ulugülyagci Abdurrahman
July 2001, Volume 5, Issue 2
- 1-14 Estimating ARMA Models Efficiently
by Chumacero Rómulo A. - 1-19 Detecting Equilibrium Correction with Smoothly Time-Varying Strength
by Eliasson Ann-Charlotte - 1-22 Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market
by Garrett Ian & Taylor Nicholas
April 2001, Volume 5, Issue 1
- 1-9 On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Mode
by Slobodyan Sergey - 1-13 Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series
by Schenk-Hoppé Klaus Reiner - 1-15 Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
by Tkacz Greg - 1-17 The Inflationary Consequences of Fiscal Policy In Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities
by Salomon Marcelo F. - 1-17 Wavelet Analysis of the Cost-of-Carry Model
by Lin Shinn-Juh & Stevenson Maxwell - 1-18 Nonlinearity in High-Frequency Financial Data and Hierarchical Models
by McCulloch Robert E. & Tsay Ruey S. - 1-18 Stabilizing Endogenous Fluctuations with Fiscal Policies: Global Analysis on Piecewise Continuous Dynamical Systems
by Augeraud-Veron E. & Augier L.
January 2001, Volume 4, Issue 4
- 1-6 Time-to-Expiry Seasonalities in Eurofutures
by Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara - 1-15 Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models
by Lee Tae-Hwy - 1-15 Efficient Estimation of Dynamical Systems
by Iacus Stefano Maria - 1-31 The Formation of Inflation Expectations under Changing Inflation Regimes
by Dahl Christian M. & Hansen Niels L.
October 2000, Volume 4, Issue 3
- 1-8 p-Value Adjustments for Multiple Tests for Nonlinearity
by Psaradakis Zacharias - 1-15 Nonlinear Models for U.K. Macroeconomic Time Series
by Öcal Nadir - 1-23 On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series
by Schittenkopf Christian & Dorffner Georg & Dockner Engelbert J. - 1-34 An Algorithm for Estimating Multivariate Catastrophe Models: GEMCAT II
by Lange Rense & Oliva Terence A. & McDade Sean R.
July 2000, Volume 4, Issue 2
- 1-11 A Nonlinear Model of the Business Cycle
by Potter Simon M. - 1-14 Seasonal Adjustment and the Business Cycle in Unemployment
by Franses Philip Hans & de Bruin Paul - 1-23 Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe
by Bradley Michael D. & Jansen Dennis W.
April 2000, Volume 4, Issue 1
- 1-7 A Generalized Fast Algorithm for BDS-Type Statistics
by Mayer-Foulkes David - 1-11 Time-Series Near-Neighbor Regression
by Jaditz Ted & Riddick Leigh A. - 1-17 The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series
by Reeves Jonathan J. & Blyth Conrad A. & Triggs Christopher M. & Small John P. - 1-18 A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems
by Mantalos Panagiotis
January 1999, Volume 3, Issue 4
- 1-12 Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP
by Bidarkota Prasad V. - 1-17 Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss
by Tambakis Demosthenes N. - 1-17 An Approximate Wavelet MLE of Short- and Long-Memory Parameters
by Jensen Mark J. - 1-20 Should Policy Makers Worry about Asymmetries in the Business Cycle?
by Boldin Michael D. - 1-22 Stability Analysis of Continuous-Time Macroeconometric Systems
by Barnett William A. & He Yijun
October 1998, Volume 3, Issue 3
- 1-13 A Visual Goodness-of-Fit Test for Econometric Models
by Gençay Ramazan & Selçuk Faruk - 1-18 Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models
by Proietti Tommaso - 1-24 Information-Theoretic Analysis of Serial Dependence and Cointegration
by Aparicio F. M. & Escribano A.
July 1998, Volume 3, Issue 2
- 1-13 A Markov-Chain Sampling Algorithm for GARCH Models
by Nakatsuma Teruo - 1-20 Smooth-Transition GARCH Models
by González-Rivera Gloria - 1-29 Using Long-, Medium-, and Short-Term Trends to Forecast Turning Points in the Business Cycle: Some International Evidence
by García-Ferrer Antonio & Queralt Ricardo A.
April 1998, Volume 3, Issue 1
- 1-19 Nonlinear Dynamics and European GNP Data
by Delli Gatti Domenico & Gallegati Mauro & Mignacca Domenico - 1-22 The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
by Ramsey James B. & Lampart Camille - 1-24 Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
by van Norden Simon & Vigfusson Robert
January 1998, Volume 2, Issue 4
- 1-8 Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules
by Franses Philip Hans & van Griensven Kasper - 1-10 The Current Depth-of-Recession and Unemployment-Rate Forecasts
by Parker Randall E. & Rothman Philip - 1-16 Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
by Chao John C. & Chiao Chaoshin - 1-19 Early News is Good News: The Effects of Market Opening on Market Volatility
by Gallo Giampiero M. & Pacini Barbara - 1-19 GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
by Ghysels Eric & Jasiak Joanna - 1-21 Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
by Zeng Tian & Swanson Norman R.
October 1997, Volume 2, Issue 3
- 1-18 Nonlinearity and Endogeneity in Macro-Asset Pricing
by Hiemstra Craig & Kramer Charles - 1-20 EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
by van der Sluis Pieter J.
July 1997, Volume 2, Issue 2
- 1-9 A Fast Algorithm for the BDS Statistic
by LeBaron Blake - 1-14 Technical Trading Rules and the Size of the Risk Premium in Security Returns
by Gencay Ramazan & Stengos Thanasis - 1-19 Finite Sample Properties of the Efficient Method of Moments
by Chumacero Rómulo A.
April 1997, Volume 2, Issue 1
- 1-10 Investigating Cyclical Asymmetries
by Randal Verbrugge Randal Verbrugge - 1-16 Inference in TAR Models
by Hansen Bruce E.
January 1997, Volume 1, Issue 4
- 1-8 FORTRAN Programs for Running the TR Test: A Guide and Examples
by Rothman Philip - 1-13 Endogenous Cycles in Competitive Models: An Overview
by Reichlin Pietro - 1-17 A Nonlinear Analysis of Forward Premium and Volatility
by Hsu Chiente & Kugler Peter
October 1996, Volume 1, Issue 3
- 1-9 SIMANN: A Global Optimization Algorithm using Simulated Annealing
by Goffe William L. - 1-12 The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
by Gencay Ramazan & Dechert W. Davis - 1-15 Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
by Kim Jeong-Ryeol & Mittnik Stefan & Rachev Svetlozar T. - 1-16 Tests for Nonlinearity in EMS Exchange Rates
by Vilasuso Jon & Cunningham Steve
July 1996, Volume 1, Issue 2
- 1-14 A Kernel Test for Neglected Nonlinearity
by Bradley Ralph & McClelland Robert - 1-16 Saddle Path Stability, Fluctuations, and Indeterminacy in Economic Growth
by Greiner Alfred & Semmler Willi - 1-19 A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes
by Chen Ping - 1-24 If Nonlinear Models Cannot Forecast, What Use Are They?
by Ramsey James B.
April 1996, Volume 1, Issue 1
- 1-4 On Cycles and Chaos in Economics
by Benhabib Jess - 1-8 Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code
by Daníelsson Jón - 1-10 Power Properties of Linearity Tests for Time Series
by Teräsvirta Timo - 1-14 A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
by Boldin Michael D. - 1-20 Optimal Cycles and Chaos: A Survey
by Nishimura Kazuo & Sorger Gerhard - 1-20 Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
by Swanson Norman