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Details about Allan W. Gregory

E-mail:
Homepage:http://www.econ.queensu.ca/pub/faculty/gregory/
Workplace:Economics Department, Queen's University, (more information at EDIRC)

Access statistics for papers by Allan W. Gregory.

Last updated 2012-09-03. Update your information in the RePEc Author Service.

Short-id: pgr130


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Working Papers

2010

  1. Empirical Likelihood Block Bootstrapping
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
    Also in Staff Working Papers, Bank of Canada (2008) Downloads View citations (1)
    Working Papers, Queen's University, Department of Economics (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)

2001

  1. Information-Theoretic Estimation of Preference Parameters: Macroeconomic Applications and Simulation Evidence
    Working Papers, Queen's University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2002)

1999

  1. Needs-Based Health Care Funding: Implications for Resource Distribution in Ontario
    Working Papers, University of Toronto, Department of Economics Downloads
    Also in Claremont Colleges Working Papers, Claremont Colleges

    See also Journal Article in Canadian Journal of Economics (2000)

1998

  1. Conflicts Among Tests for Cointegration
    Working Papers, Queen's University, Department of Economics View citations (1)

1997

  1. Standardized Mortality Ratios in Capitation Funding Models: Emiprical Issues from Canadian Data
    Working Papers, Queen's University, Department of Economics Downloads

1996

  1. Common and Country-specific Fluctuations in Productivity, Investment, and the Current Account
    Working Papers, Queen's University, Department of Economics Downloads View citations (9)
    See also Journal Article in Journal of Monetary Economics (1999)

1995

  1. Business Cycle Theory and Econometrics
    Working Papers, Queen's University, Department of Economics Downloads View citations (5)
    See also Journal Article in Economic Journal (1995)
  2. Sources of Variation in International Real Interest Rates
    Working Papers, Queen's University, Department of Economics Downloads View citations (5)

1994

  1. Measuring Business Cycles with Business-Cycle Models
    Working Papers, Queen's University, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (1996)
  2. Measuring World Business Cycles
    Working Papers, Queen's University, Department of Economics Downloads
    See also Journal Article in International Economic Review (1997)

1992

  1. Accounting for Forward Rates in Markets for Foreign Currency
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics
    Also in Working Papers, Queen's University, Department of Economics (1990) Downloads View citations (3)

    See also Journal Article in Journal of Finance (1993)
  2. Residual-Based Tests for Cointegration in Models with Regime Shifts
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
    Also in Working Papers, Queen's University, Department of Economics (1992) Downloads View citations (88)

    See also Journal Article in Journal of Econometrics (1996)
  3. Theoretical Relations Between Risk Premiums and Conditional Variances
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (10)
    See also Journal Article in Journal of Business & Economic Statistics (1993)

1991

  1. Calibration in Macroeconomics
    Working Papers, Queen's University, Department of Economics Downloads View citations (15)
  2. Testing for Cointegration in Linear Quadratic Models
    Working Papers, Queen's University, Department of Economics Downloads View citations (10)
    See also Journal Article in Journal of Business & Economic Statistics (1994)
  3. Testing for Structural Breaks
    Working Papers, Queen's University, Department of Economics Downloads View citations (14)

1990

  1. Realistic Cross-Country Consumption Correlations in a Two-Country, Equilibrium, Business Cycle Model
    Working Papers, Queen's University, Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of International Money and Finance (1992)
  2. The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility
    Working Papers, Queen's University, Department of Economics Downloads View citations (1)
    See also Journal Article in Canadian Journal of Economics (1991)

1988

  1. Calibration as Testing, Type I Error in the Equity Premium Puzzle
    Working Papers, Queen's University, Department of Economics View citations (2)
  2. Risk Premiums in Asset Prices and Returns
    Working Papers, Queen's University, Department of Economics

1987

  1. Calibration as Estimation
    Working Papers, Queen's University, Department of Economics View citations (15)

1986

  1. Risk Premiums in the Term Structure: Evidence from Artificial Economies
    Working Papers, Queen's University, Department of Economics View citations (2)
    See also Journal Article in Journal of Monetary Economics (1989)

1984

  1. The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis
    Working Papers, Queen's University, Department of Economics

1982

  1. Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data
    Working Papers, Queen's University, Department of Economics

1980

  1. An Application of the Box-Cox Transformation to Money Demand in Canada
    Working Papers, Queen's University, Department of Economics
  2. Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
    Working Papers, Queen's University, Department of Economics
  3. Two Papers on Linear Models
    Working Papers, Queen's University, Department of Economics

Journal Articles

2011

  1. Empirical likelihood block bootstrapping
    Journal of Econometrics, 2011, 161, (2), 110-121 Downloads View citations (7)
    See also Working Paper (2010)

2010

  1. Estimation and Inference in ARCH Models in the Presence of Outliers
    Journal of Financial Econometrics, 2010, 8, (4), 547-549 Downloads View citations (7)

2009

  1. Canadian city housing prices and urban market segmentation
    Canadian Journal of Economics, 2009, 42, (3), 1132-1149 Downloads View citations (12)

2008

  1. Interpreting Value at Risk (VaR) forecasts
    Economic Systems, 2008, 32, (2), 167-176 Downloads View citations (1)

2004

  1. Mixed signals among tests for cointegration
    Journal of Applied Econometrics, 2004, 19, (1), 89-98 Downloads View citations (24)
  2. The evolution of consensus in macroeconomic forecasting
    International Journal of Forecasting, 2004, 20, (3), 461-473 Downloads View citations (11)

2002

  1. Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
    Journal of Econometrics, 2002, 107, (1-2), 213-233 Downloads View citations (9)
    See also Working Paper (2001)

2001

  1. Testing for Forecast Consensus
    Journal of Business & Economic Statistics, 2001, 19, (1), 34-43 View citations (12)

2000

  1. Needs-based health care funding: implications for resource distribution in Ontario
    Canadian Journal of Economics, 2000, 33, (4), 981-1008 Downloads View citations (3)
    See also Working Paper (1999)

1999

  1. Common and country-specific fluctuations in productivity, investment, and the current account
    Journal of Monetary Economics, 1999, 44, (3), 423-451 Downloads View citations (58)
    See also Working Paper (1996)
  2. Standardized Mortality Ratios and Canadian Health-Care Funding
    Canadian Public Policy, 1999, 25, (1), 47-64 Downloads

1998

  1. Endogenous Work Hours and Practice Patterns of Canadian Physicians
    Canadian Journal of Economics, 1998, 31, (1), 1-27 Downloads View citations (22)

1997

  1. Measuring World Business Cycles
    International Economic Review, 1997, 38, (3), 677-701 View citations (132)
    See also Working Paper (1994)

1996

  1. Measuring business cycles with business-cycle models
    Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1007-1025 Downloads View citations (7)
    See also Working Paper (1994)
  2. Residual-based tests for cointegration in models with regime shifts
    Journal of Econometrics, 1996, 70, (1), 99-126 Downloads View citations (723)
    Also in Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 555-60 (1996) View citations (172)

    See also Working Paper (1992)
  3. Testing for structural breaks in cointegrated relationships
    Journal of Econometrics, 1996, 71, (1-2), 321-341 Downloads View citations (79)

1995

  1. Business Cycle Theory and Econometrics
    Economic Journal, 1995, 105, (433), 1597-1608 Downloads View citations (8)
    See also Working Paper (1995)

1994

  1. Testing for Cointegration in Linear Quadratic Models
    Journal of Business & Economic Statistics, 1994, 12, (3), 347-60 View citations (38)
    See also Working Paper (1991)

1993

  1. Accounting for Forward Rates in Markets for Foreign Currency
    Journal of Finance, 1993, 48, (5), 1887-1908 Downloads View citations (95)
    See also Working Paper (1992)
  2. The effect of sampling error on the time series behavior of consumption data
    Journal of Econometrics, 1993, 55, (1-2), 267-273 Downloads View citations (5)
  3. Theoretical Relations between Risk Premiums and Conditional Variances
    Journal of Business & Economic Statistics, 1993, 11, (2), 177-85 View citations (63)
    See also Working Paper (1992)

1992

  1. Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model
    Journal of International Money and Finance, 1992, 11, (1), 3-16 Downloads View citations (98)
    See also Working Paper (1990)
  2. Sampling variability in Hansen-Jagannathan bounds
    Economics Letters, 1992, 38, (3), 263-267 Downloads View citations (5)

1991

  1. Calibration as Testing: Inference in Simulated Macroeconomic Models
    Journal of Business & Economic Statistics, 1991, 9, (3), 297-303 View citations (97)
  2. Testing Long-Run Properties of Stationary Time Series
    Journal of Business & Economic Statistics, 1991, 9, (3), 287-95 View citations (1)
  3. The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility
    Canadian Journal of Economics, 1991, 24, (4), 923-39 Downloads View citations (4)
    See also Working Paper (1990)

1989

  1. A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach
    Journal of Business & Economic Statistics, 1989, 7, (1), 107-15 View citations (7)
  2. Risk premiums in the term structure: Evidence from artificial economies
    Journal of Monetary Economics, 1989, 24, (3), 371-399 Downloads View citations (119)
    See also Working Paper (1986)

1987

  1. Formulating Wald Tests of the Restrictions Implied by the Rational Expectations Hypothesis
    Journal of Applied Econometrics, 1987, 2, (1), 61-68 Downloads View citations (2)
  2. Testing Interest Rate Parity and Rational Expectations for Canada and the United States
    Canadian Journal of Economics, 1987, 20, (2), 289-305 Downloads View citations (2)
  3. Testing the independence of forecast errors in the forward foreign exchange market using Markov chains: A cross-country comparison
    International Journal of Forecasting, 1987, 3, (1), 97-113 Downloads

1986

  1. The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany
    European Economic Review, 1986, 30, (2), 365-381 Downloads View citations (1)
  2. Wald tests of common factor restrictions
    Economics Letters, 1986, 22, (2-3), 203-208 Downloads View citations (7)

1985

  1. A Lagrange Multiplier Test of the Restrictions for a Simple Rational Expectations Model
    Canadian Journal of Economics, 1985, 18, (1), 94-105 Downloads View citations (1)
  2. An Econometric Model of Canadian Monetary Policy over the 1970s
    Journal of Money, Credit and Banking, 1985, 17, (1), 43-58 Downloads View citations (2)
  3. Formulating Wald Tests of Nonlinear Restrictions
    Econometrica, 1985, 53, (6), 1465-68 Downloads View citations (63)

1984

  1. Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis
    Journal of International Money and Finance, 1984, 3, (3), 357-368 Downloads View citations (14)

1983

  1. Testing Non-Nested Specifications of Money Demand for Canada
    Canadian Journal of Economics, 1983, 16, (4), 593-602 Downloads View citations (4)

1981

  1. An invariance property of generalized classical linear estimators
    Economics Letters, 1981, 7, (2), 151-157 Downloads View citations (1)
  2. Simultaneity and the Demand for Money in Canada: Comments and Extensions
    Canadian Journal of Economics, 1981, 14, (3), 488-96 Downloads View citations (1)

1980

  1. Where's My Cheque? A Note on Postal Strikes and the Demand for Money in Canada
    Canadian Journal of Economics, 1980, 13, (4), 683-87 Downloads View citations (3)

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