Details about Adrian Rodney Pagan

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Phone:	61 293513080
Postal address:	School of Economics Faculty of Arts and Social Sciences Merewether Building (H04) The University of Sydney | NSW | 2006 Australia
Workplace:	School of Economics, Faculty of Arts and Social Sciences, University of Sydney, (more information at EDIRC)

Access statistics for papers by Adrian Rodney Pagan.

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Short-id: ppa222

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Working Papers

2012

1. Estimation and Solution of Models with Expectations and Structural Changes
   RBA Research Discussion Papers, Reserve Bank of Australia

2011

2. Assessing Some Models of the Impact of Financial Stress upon Business Cycles
   RBA Research Discussion Papers, Reserve Bank of Australia View citations (1)
3. Econometric Analysis and Prediction of Recurrent Events
   NCER Working Paper Series, National Centre for Econometric Research
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011)

2010

4. Can Turkish Recessions Be Predicted?
   Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
   Also in NCER Working Paper Series, National Centre for Econometric Research (2010)
5. Can We Predict Recessions?
   NCER Working Paper Series, National Centre for Econometric Research View citations (1)
6. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in NCER Working Paper Series, National Centre for Econometric Research (2010) View citations (11)
   See also Journal Article in Journal of Economic Literature (2011)
7. Structural macro-econometric modelling in a policy environment
   Research Working Paper, Federal Reserve Bank of Kansas City
   Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009)
   NCER Working Paper Series, National Centre for Econometric Research (2009)
8. The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach
   Working Papers Central Bank of Chile, Central Bank of Chile View citations (4)
   Also in NCER Working Paper Series, National Centre for Econometric Research (2010) View citations (1)
   See also Chapter (2011)

2009

9. AN ECONOMETRIC ANALYSIS OF SOME MODELS FOR CONSTRUCTED BINARY TIME SERIES
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in NCER Working Paper Series, National Centre for Econometric Research (2009) View citations (5)
   See also Journal Article in Journal of Business & Economic Statistics (2011)
10. Detecting Common Dynamics in Transitory Components
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article in Journal of Time Series Econometrics (2011)

2008

11. A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation
    IMF Working Papers, International Monetary Fund View citations (2)
12. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
    Discussion Papers, School of Economics, The University of New South Wales View citations (9)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
13. Extending an SVAR Model of the Australian Economy
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
    See also Journal Article in The Economic Record (2009)
14. Limited Information Estimation and Evaluation of DSGE Models
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2010)
15. Monetary Transmission in an Emerging Targeter: The Case of Brazil
    IMF Working Papers, International Monetary Fund View citations (3)

2007

16. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
    NCER Working Paper Series, National Centre for Econometric Research
17. On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
    CESifo Working Paper Series, CESifo Group Munich View citations (3)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) View citations (2)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (2)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (2)
18. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research View citations (53)
19. Weak Instruments: A Guide to the Literature
    NCER Working Paper Series, National Centre for Econometric Research

2006

20. ISSUES IN ADOPTING DSGE MODELS FOR USE IN THE POLICY PROCESS
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in Working Papers, Czech National Bank, Research Department (2006) View citations (15)
21. Inventories, Fluctuations and Business Cycles. Working paper #4
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
22. Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)
23. Measurement of Business Cycles
    Department of Economics - Working Papers Series, The University of Melbourne View citations (9)
24. The Econometric Analysis of Constructed Binary Time Series
    Department of Economics - Working Papers Series, The University of Melbourne View citations (6)
25. The Econometric Analysis of Constructed Binary Time Series. Working paper #1
    NCER Working Paper Series, National Centre for Econometric Research

2005

26. Making a match: combining theory and evidence in policy-oriented macroeconomic modelling
    Computing in Economics and Finance 2005, Society for Computational Economics
    See also Journal Article in Journal of Econometrics (2007)
27. SOME ECONOMETRIC ANALYSIS OF CONSTRUCTED BINARY TIME SERIES
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
28. SOME ISSUES IN USING VARS FOR MACROECONOMETRIC RESEARCH
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)

2004

29. Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)

2001

30. Extracting, Using and Analysing Cyclical Information
    MPRA Paper, University Library of Munich, Germany View citations (38)

2000

31. Disecting the Cycle: A Methodological Investigation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    See also Journal Article in Journal of Monetary Economics (2002)

1999

32. Dissecting the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (33)
33. Knowing the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (28)
34. The Getting of Macroeconomic Wisdom
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
35. The Phillips Curve in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia View citations (14)
    See also Journal Article in Journal of Monetary Economics (1999)

1997

36. Towards a Strucrural VAR Model of the Australian Economy
    Working Papers, Australian National University - Department of Economics

1996

37. Seasonal Integration and the Evolving Seasonals Models
    Economics Working Papers, School of Economics and Management, University of Aarhus
    Also in Working Papers, Australian National University - Department of Economics (1995) View citations (2)
    See also Journal Article in International Journal of Forecasting (1997)
38. Simulation Based Estimation of Some Factor Models in Econometrics
    Department of Economics - Working Papers Series, The University of Melbourne View citations (3)
39. The Rise and Fall and Rise... of the Business Cycle
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University

1995

40. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (31)
41. Structural Models of the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (12)
    See also Journal Article in The Review of Economics and Statistics (1998)

1994

42. Resolving the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (7)
    See also Journal Article in Review (1995)

1991

43. Testing for Heteroskedasticity
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)

1990

44. Alternative Models For Conditional Stock Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (271)
    Also in Working Papers, Rochester, Business - General (1989) View citations (8)
    See also Journal Article in Journal of Econometrics (1990)
45. ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (19)
46. FISCAL POLICY AND THE CURRENT ACCOUNT: HISTORICAL, THEORETICAL AND POLICY PERSPECTIVES, AND "TWIN DEFICIT" AND THE AUSTRALIAN MODELS COMMENTS ON A CONFERENCE
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
47. USTRALIAN STOCK MARKET VOLATILITY: 1875-1987
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
    See also Journal Article in The Economic Record (1993)

1988

48. POST-SAMPLE PREDICTION TESTS FOR GENERALIZED METHOD OF MOMENT ESTIMATORS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1989)
49. SOME SIMULATION STUDIES OF NON-PARAMETRIC ESTIMATORS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
    See also Journal Article in Empirical Economics (1988)

1986

50. The Econometric Analysis of Risk Terms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1985

51. Two Stage and Related Estimators and Their Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Review of Economic Studies (1986)
52. What Will Take the Con Out of Econometrics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (55)
    See also Journal Article in American Economic Review (1985)

Journal Articles

2011

1. An Econometric Analysis of Some Models for Constructed Binary Time Series
   Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 View citations (3)
   See also Working Paper (2009)
2. Detecting Common Dynamics in Transitory Components
   Journal of Time Series Econometrics, 2011, 3, (1), 1-28 View citations (2)
   See also Working Paper (2009)
3. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
   Journal of Economic Literature, 2011, 49, (4), 938-60 View citations (24)
   See also Working Paper (2010)

2010

4. Limited information estimation and evaluation of DSGE models
   Journal of Applied Econometrics, 2010, 25, (1), 55-70 View citations (11)
   See also Working Paper (2008)

2009

5. Extending a SVAR Model of the Australian Economy
   The Economic Record, 2009, 85, (268), 1-20 View citations (4)
   See also Working Paper (2008)

2008

6. Econometric analysis of structural systems with permanent and transitory shocks
   Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (11)
   See also Working Paper (2008)
7. Phillips curve inflation forecasts - comments
   Conference Series ; [Proceedings], 2008

2007

8. Commentary on "An estimated DSGE model for the United Kingdom"
   Review, 2007, (Jul), 233-240
9. Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
   Journal of Econometrics, 2007, 136, (2), 565-594 View citations (8)
   See also Working Paper (2005)
10. Weak instruments (in Russian)
    Quantile, 2007, (2), 71-81

2006

11. Synchronization of cycles
    Journal of Econometrics, 2006, 132, (1), 59-79 View citations (111)

2005

12. A suggested framework for classifying the modes of cycle research
    Journal of Applied Econometrics, 2005, 20, (2), 151-159 View citations (27)
13. Some methods for assessing the need for non-linear models in business cycle analysis
    International Journal of Forecasting, 2005, 21, (4), 651-662 View citations (8)

2004

14. Testing for duration dependence in economic cycles
    Econometrics Journal, 2004, 7, (2), 528-549 View citations (11)
15. The Econometrics of the New Keynesian Policy Model: Introduction
    Oxford Bulletin of Economics and Statistics, 2004, 66, (s1), 581-607 View citations (15)

2003

16. A comparison of two business cycle dating methods
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1681-1690 View citations (70)
17. A simple framework for analysing bull and bear markets
    Journal of Applied Econometrics, 2003, 18, (1), 23-46 View citations (62)
18. Rejoinder to James Hamilton
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1695-1698 View citations (13)
19. Specification Testing of Markov Switching Models
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 703-725 View citations (28)

2002

20. Dissecting the cycle: a methodological investigation
    Journal of Monetary Economics, 2002, 49, (2), 365-381 View citations (264)
    See also Working Paper (2000)
21. Learning About Models and Their Fit to Data
    International Economic Journal, 2002, 16, (2), 1-18 View citations (14)
22. What is a good macroeconomic model for a central bank to use? panel discussion
    Proceedings, 2002, (Mar)

2001

23. Data mining and the econometrics industry: comments on the papers of Mayer and of Hoover and Perez
    Journal of Economic Methodology, 2001, 7, (2), 211-216 View citations (2)

2000

24. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-42 View citations (70)
25. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations (45)

1999

26. The Phillips curve in Australia
    Journal of Monetary Economics, 1999, 44, (2), 223-258 View citations (45)
    See also Working Paper (1999)

1998

27. Shocking Stories
    Journal of Economic Surveys, 1998, 12, (5), 507-32 View citations (24)
28. Some experiments in constructing a hybrid model for macroeconomic analysis
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 113-142 View citations (4)
29. Structural Models Of The Liquidity Effect
    The Review of Economics and Statistics, 1998, 80, (2), 202-217 View citations (25)
    See also Working Paper (1995)

1997

30. Estimating The Density Tail Index For Financial Time Series
    The Review of Economics and Statistics, 1997, 79, (2), 171-175 View citations (40)
31. Policy, Theory, and the Cycle
    Oxford Review of Economic Policy, 1997, 13, (3), 19-33 View citations (12)
32. Seasonal integration and the evolving seasonals model
    International Journal of Forecasting, 1997, 13, (3), 329-340 View citations (13)
    See also Working Paper (1996)
33. Towards an Understanding of Some Business Cycle Characteristics
    Australian Economic Review, 1997, 30, (1), 1-15 View citations (18)

1996

34. The econometrics of financial markets
    Journal of Empirical Finance, 1996, 3, (1), 15-102 View citations (160)

1995

35. Gregory C. Chow
    Econometric Theory, 1995, 11, (03), 597-624
36. Resolving the liquidity effect
    Review, 1995, (May), 33-54 View citations (18)
    See also Working Paper (1994)

1994

37. Calibration and Econometric Research: An Overview: Introduction
    Journal of Applied Econometrics, 1994, 9, (S), S1-10 View citations (1)
38. E.J. (Ted) Hannan
    Econometric Theory, 1994, 10, (01), 221-222

1993

39. Australian Stock Market Volatility: 1875-1987
    The Economic Record, 1993, 69, (205), 163-78 View citations (10)
    See also Working Paper (1990)

1992

40. Consistency tests for heteroskedastic and risk models
    Estudios Económicos, 1992, 7, (1), 3-30 View citations (4)

1991

41. On the inconsistency of the MLE in certain heteroskedastic regression models
    Estudios Económicos, 1991, 6, (2), 159-172

1990

42. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 View citations (292)
    See also Working Paper (1990)
43. Evaluating Models: A Review of L.G. Godfrey Misspecification Tests in Econometrics Econometric Society Monographs No. 16 Cambridge University Press, 1988, pp. 252+xii, $49.50
    Econometric Theory, 1990, 6, (02), 273-281
44. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 View citations (30)

1989

45. A Survey of Some Recent Econometric Methods
    Economic Journal, 1989, 99, (398), 962-1025 View citations (8)
46. Diagnostic Tests for Models Based on Individual Data: A Survey
    Journal of Applied Econometrics, 1989, 4, (S), S29-59 View citations (99)
47. On the role of simulation in the statistical evaluation of econometric models
    Journal of Econometrics, 1989, 40, (1), 125-139 View citations (10)
48. Post-Sample Prediction Tests for Generalized Method of Moments Estimators
    Oxford Bulletin of Economics and Statistics, 1989, 51, (3), 333-43 View citations (14)
    See also Working Paper (1988)

1988

49. A note on the magnitude of risk premia
    Journal of International Money and Finance, 1988, 7, (1), 109-110 View citations (1)
50. Comment on Poirier: Dogma or Doubt?
    Journal of Economic Perspectives, 1988, 2, (1), 153-58
51. Some Simulation Studies of Nonparametric Estimators
    Empirical Economics, 1988, 13, (3/4), 251-66
    See also Working Paper (1988)
52. The Econometric Analysis of Models with Risk Terms
    Journal of Applied Econometrics, 1988, 3, (2), 87-105 View citations (85)

1987

53. How Reliable Are ORAN I Conclusions?
    The Economic Record, 1987, 63, (180), 33-45 View citations (9)
54. Three Econometric Methodologies: A Critical Appraisal
    Journal of Economic Surveys, 1987, 1, (1), 3-24 View citations (32)

1986

55. A further result on the sign of restricted least-squares estimates
    Journal of Econometrics, 1986, 32, (2), 287-290
56. Two Stage and Related Estimators and Their Applications
    Review of Economic Studies, 1986, 53, (4), 517-38 View citations (83)
    See also Working Paper (1985)

1985

57. Proffessor E. J. Hannnan
    Econometric Theory, 1985, 1, (02), 263-290
58. Time Series Behaviour and Dynamic Specification
    Oxford Bulletin of Economics and Statistics, 1985, 47, (3), 199-211 View citations (3)
59. What Will Take the Con out of Econometrics?
    American Economic Review, 1985, 75, (3), 293-307 View citations (42)
    See also Working Paper (1985)

1984

60. Econometric Issues in the Analysis of Regressions with Generated Regressors
    International Economic Review, 1984, 25, (1), 221-47 View citations (461)
61. Estimating predictions, prediction errors and their standard deviations using constructed variables
    Journal of Econometrics, 1984, 24, (3), 293-310 View citations (2)

1983

62. Assessing the Variability of Inflation
    Review of Economic Studies, 1983, 50, (4), 585-96 View citations (15)
63. Heteroscedasticity in Models with Lagged Dependent Variables
    Econometrica, 1983, 51, (4), 1233-42 View citations (12)
64. WHO'S AFRAID OF INFLATION?
    Economic Papers, 1983, 2, (4), 79-93

1981

65. The LIML and Related Estimators of an Equation with Moving Average Disturbances
    International Economic Review, 1981, 22, (3), 719-30 View citations (1)
66. The Short-run Demand for Transactions Balances in Australia
    Economica, 1981, 48, (192), 381-95 View citations (1)

1980

67. Some identification and estimation results for regression models with stochastically varying coefficients
    Journal of Econometrics, 1980, 13, (3), 341-363 View citations (14)
68. The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics
    Review of Economic Studies, 1980, 47, (1), 239-53 View citations (319)

1979

69. A Short-Run Econometric Model of the Japanese Wool Textile Industry
    The Economic Record, 1979, 55, (151), 317-27
70. A Simple Test for Heteroscedasticity and Random Coefficient Variation
    Econometrica, 1979, 47, (5), 1287-94 View citations (274)
71. Some consequences of viewing LIML as an iterated Aitken estimator
    Economics Letters, 1979, 3, (4), 369-372 View citations (12)

1978

72. Rational and polynomial lags: The finite connection
    Journal of Econometrics, 1978, 8, (2), 247-254

1977

73. Specification of the Disturbance for Efficient Estimation-An Extended Analysis
    Econometrica, 1977, 45, (1), 211-17

1976

74. Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
    Review of Economic Studies, 1976, 43, (3), 383-87

1975

75. A Note on the Extraction of Components from Time Series
    Econometrica, 1975, 43, (1), 163-68 View citations (5)
76. Optimal Control of Econometric Models with Autocorrelated Disturbance Terms
    International Economic Review, 1975, 16, (1), 258-63 View citations (1)
77. The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
    International Economic Review, 1975, 16, (1), 113-34 View citations (5)

1974

78. A Generalised Approach to the Treatment of Autocorrelation
    Australian Economic Papers, 1974, 13, (23), 267-80 View citations (10)

1973

79. Econometric studies of macro and monetary relations: A.A. Powell and R.A. Williams (eds.), (North-Holland Publ. Co., Amsterdam, 1973) viii+358 pp. ($18.75)
    Journal of Econometrics, 1973, 1, (4), 402-403 View citations (1)
80. Efficient estimation of models with composite disturbance terms
    Journal of Econometrics, 1973, 1, (4), 329-340 View citations (1)

Books

2008

1. CNB Economic Research Bulletin: Inflation Targeting and DSGE Models, vol 6
   Occasional Publications - Edited Volumes, Czech National Bank, Research Department
2. The Theory of Economic Policy
   Cambridge Books, Cambridge University Press View citations (2)

1999

3. Nonparametric Econometrics
   Cambridge Books, Cambridge University Press View citations (122)
   Also in Cambridge Books, Cambridge University Press (1999) View citations (122)

Chapters

2011

1. The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach
   Chapter 05 in Monetary Policy under Financial Turbulence, 2011, vol. 16, pp 105-144
   See also Working Paper (2010)

1995

2. Final Discussion
   A chapter in Productivity and Growth, 1995

1993

3. A Perspective
   A chapter in The Exchange Rate, International Trade and the Balance of Payments, 1993

1984

4. Dynamic specification
   Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations (129)