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 2008-12-17. Update your information in the RePEc Author Service.

Short-id: pgr130

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Working Papers

2008

1. Empirical Likelihood Block Bootstrapping
   Working Papers, Queen's University, Department of Economics
   Also in
   Working Papers, Bank of Canada (2008)

1999

2. Needs-Based Health Care Funding: Implications for Resource Distribution in Ontario
   Working Papers, University of Toronto, Department of Economics
   Also in
   Claremont Colleges Working Papers, Claremont Colleges
   See Also Journal Article in Canadian Journal of Economics (2000)

1998

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

1997

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

1996

5. Common and Country-Specific Fluctuations in Productivity, Investment, and the Current Account
   Working Papers, Queen's University, Department of Economics View citations
   See Also Journal Article in Journal of Monetary Economics (1999)

1995

6. Endogenous Work Hours and Practice Patterns of Canadian Physicians
   Working Papers, Queen's University, Department of Economics View citations
   See Also Journal Article in Canadian Journal of Economics (1998)
7. Sources of Variation in International Real Interest Rates
   Working Papers, Queen's University, Department of Economics View citations

1994

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

1992

10. 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) View citations
    See Also Journal Article in Journal of Finance (1993)
11. Residual-Based Tests for Cointegration in Models with Regime Shifts
    Working Papers, Queen's University, Department of Economics View citations
    Also in
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (1992) View citations
    See Also Journal Article in Journal of Econometrics (1996)
12. Theoretical Relations Between Risk Premiums and Conditional Variances
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations
    See Also Journal Article in Journal of Business & Economic Statistics (1993)

1991

13. Calibration in Macroeconomics
    Working Papers, Queen's University, Department of Economics View citations
14. Testing for Cointegration in Linear Quadratic Models
    Working Papers, Queen's University, Department of Economics View citations
    See Also Journal Article in Journal of Business & Economic Statistics (1994)
15. Testing for Structural Breaks in Cointegrated Relationaships
    UBC Departmental Archives, UBC Department of Economics View citations
    Also in
    Working Papers, Queen's University, Department of Economics (1991) View citations
    See Also Journal Article in Journal of Econometrics (1996)

1990

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

1988

18. Calibration as Testing, Type I Error in the Equity Premium Puzzle
    Working Papers, Queen's University, Department of Economics View citations
19. Risk Premiums in Asset Prices and Returns
    Working Papers, Queen's University, Department of Economics
    See Also Journal Article in Econometric Reviews (1989)

1987

20. Calibration as Estimation
    Working Papers, Queen's University, Department of Economics View citations
    See Also Journal Article in Econometric Reviews (1990)

1986

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

1984

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

1982

23. 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

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

Journal Articles

2008

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

2004

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

2002

4. Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
   Journal of Econometrics, 2002, 107, (1-2), 213-233 View citations

2001

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

2000

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

1999

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

1998

9. Endogenous Work Hours and Practice Patterns of Canadian Physicians
   Canadian Journal of Economics, 1998, 31, (1), 1-27 View citations
   See Also Working Paper (1995)

1997

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

1996

11. Measuring business cycles with business-cycle models
    Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1007-1025 View citations
    See Also Working Paper (1994)
12. Residual-based tests for cointegration in models with regime shifts
    Journal of Econometrics, 1996, 70, (1), 99-126 View citations
    See Also Working Paper (1992)
13. Testing for structural breaks in cointegrated relationships
    Journal of Econometrics, 1996, 71, (1-2), 321-341 View citations
    See Also Working Paper (1991)
14. Tests for Cointegration in Models with Regime and Trend Shifts
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 555-60 View citations

1995

15. Business Cycle Theory and Econometrics
    Economic Journal, 1995, 105, (433), 1597-1608 View citations

1994

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

1993

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

1992

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

1991

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

1990

25. Calibration as estimation
    Econometric Reviews, 1990, 9, (1), 57-89 View citations
    See Also Working Paper (1987)

1989

26. A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach
    Journal of Business & Economic Statistics, 1989, 7, (1), 107-15 View citations
27. Risk premiums in asset prices and returns
    Econometric Reviews, 1989, 8, (2), 187-195
    See Also Working Paper (1988)
28. Risk premiums in the term structure: Evidence from artificial economies
    Journal of Monetary Economics, 1989, 24, (3), 371-399 View citations
    See Also Working Paper (1986)

1987

29. Formulating Wald Tests of the Restrictions Implied by the Rational Expectations Hypothesis
    Journal of Applied Econometrics, 1987, 2, (1), 61-68 View citations
30. Testing Interest Rate Parity and Rational Expectations for Canada and the United States
    Canadian Journal of Economics, 1987, 20, (2), 289-305 View citations
31. 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

1986

32. 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 View citations
33. Wald tests of common factor restrictions
    Economics Letters, 1986, 22, (2-3), 203-208 View citations

1985

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

1984

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

1983

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

1981

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

1980

41. 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 View citations