Details about Adrian Rodney Pagan

Homepage:	http://www.bus.qut.edu.au/adrianpagan/
Workplace:	School of Economics and Finance, Faculty of Business, Queensland University of Technology, (more information at EDIRC) School of Economics, Australian School of Business, University of New South Wales, (more information at EDIRC) Centre for Applied Macroeconomic Analysis (CAMA), (more information at EDIRC)

Access statistics for papers by Adrian Rodney Pagan.

Last updated 2008-09-15. Update your information in the RePEc Author Service.

Short-id: ppa222

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Working Papers

2008

1. A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation
   IMF Working Papers, International Monetary Fund
2. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
   Discussion Papers, School of Economics, The University of New South Wales
   See Also Journal Article in Journal of Economic Dynamics and Control (2008)
3. Extending an SVAR Model of the Australian Economy
   NCER Working Paper Series, National Centre for Econometric Research
4. Limited Information Estimation and Evaluation of DSGE Models
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand
5. Monetary Transmission in an Emerging Targeter: The Case of Brazil
   IMF Working Papers, International Monetary Fund

2007

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

2006

10. ISSUES IN ADOPTING DSGE MODELS FOR USE IN THE POLICY PROCESS
    CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
    Also in
    Working Papers, Czech National Bank, Research Department (2006) View citations
11. Inventories, Fluctuations and Business Cycles. Working paper #4
    NCER Working Paper Series, National Centre for Econometric Research
12. Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
    NCER Working Paper Series, National Centre for Econometric Research View citations
13. Measurement of Business Cycles
    Department of Economics - Working Papers Series, The University of Melbourne View citations
14. The Econometric Analysis of Constructed Binary Time Series
    Department of Economics - Working Papers Series, The University of Melbourne View citations
15. The Econometric Analysis of Constructed Binary Time Series. Working paper #1
    NCER Working Paper Series, National Centre for Econometric Research

2005

16. 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)
17. SOME ECONOMETRIC ANALYSIS OF CONSTRUCTED BINARY TIME SERIES
    CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
18. SOME ISSUES IN USING VARS FOR MACROECONOMETRIC RESEARCH
    CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations

2004

19. Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society

2001

20. Extracting, Using and Analysing Cyclical Information
    MPRA Paper, University Library of Munich, Germany View citations

2000

21. Disecting the Cycle: A Methodological Investigation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    See Also Journal Article in Journal of Monetary Economics (2002)

1999

22. Dissecting the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations
23. Knowing the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations
24. The Getting of Macroeconomic Wisdom
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University View citations
25. The Phillips Curve in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia View citations
    See Also Journal Article in Journal of Monetary Economics (1999)

1997

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

1996

27. 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
    See Also Journal Article in International Journal of Forecasting (1997)
28. Simulation Based Estimation of Some Factor Models in Econometrics
    Department of Economics - Working Papers Series, The University of Melbourne View citations
29. The Rise and Fall and Rise... of the Business Cycle
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University

1995

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

1994

32. Resolving the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations
    See Also Journal Article in Proceedings (1995)

1991

33. Testing for Heteroskedasticity
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1990

34. Alternative Models For Conditional Stock Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Working Papers, Rochester, Business - General (1989) View citations
    See Also Journal Article in Journal of Econometrics (1990)
35. ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations
36. 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 Social Sciences, Australian National University
37. 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

38. POST-SAMPLE PREDICTION TESTS FOR GENERALIZED METHOD OF MOMENT ESTIMATORS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (1989)
39. 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

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

1985

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

Journal Articles

2008

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

2007

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

2006

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

2005

7. A suggested framework for classifying the modes of cycle research
   Journal of Applied Econometrics, 2005, 20, (2), 151-159 View citations
8. 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

2004

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

2003

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

2002

15. Dissecting the cycle: a methodological investigation
    Journal of Monetary Economics, 2002, 49, (2), 365-381 View citations
    See Also Working Paper (2000)
16. LEARNING ABOUT MODELS AND THEIR FIT TO DATA *
    International Economic Journal, 2002, 16, (2), 1-18 View citations
17. What is a good macroeconomic model for a central bank to use? panel discussion
    Proceedings, 2002, (Mar)

2000

18. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-42 View citations
19. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations
20. Data mining and the econometrics industry: comments on the papers of Mayer and of Hoover and Perez
    Journal of Economic Methodology, 2000, 7, (2), 211-216 View citations

1999

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

1998

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

1997

25. Estimating The Density Tail Index For Financial Time Series
    The Review of Economics and Statistics, 1997, 79, (2), 171-175 View citations
26. Policy, Theory, and the Cycle
    Oxford Review of Economic Policy, 1997, 13, (3), 19-33 View citations
27. Seasonal integration and the evolving seasonals model
    International Journal of Forecasting, 1997, 13, (3), 329-340 View citations
    See Also Working Paper (1996)

1996

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

1995

29. Resolving the liquidity effect
    Proceedings, 1995, (May), 33-54 View citations
    See Also Working Paper (1994)

1994

30. Calibration and Econometric Research: An Overview: Introduction
    Journal of Applied Econometrics, 1994, 9, (S), S1-10 View citations

1993

31. Australian Stock Market Volatility: 1875-1987
    The Economic Record, 1993, 69, (205), 163-78
    See Also Working Paper (1990)

1992

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

1991

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

1990

34. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 View citations
    See Also Working Paper (1990)
35. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 View citations

1989

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

1988

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

1987

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

1986

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

1985

48. Time Series Behaviour and Dynamic Specification
    Oxford Bulletin of Economics and Statistics, 1985, 47, (3), 199-211 View citations
49. What Will Take the Con out of Econometrics?
    American Economic Review, 1985, 75, (3), 293-307 View citations
    See Also Working Paper (1985)

1984

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

1983

52. Assessing the Variability of Inflation
    Review of Economic Studies, 1983, 50, (4), 585-96 View citations
53. Diagnostic tests as residual analysis
    Econometric Reviews, 1983, 2, (2), 159-218 View citations
54. Heteroscedasticity in Models with Lagged Dependent Variables
    Econometrica, 1983, 51, (4), 1233-42 View citations
55. Reply
    Econometric Reviews, 1983, 2, (2), 249-254

1981

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

1980

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

1979

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

1978

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

1977

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

1976

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

1975

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

1974

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

1973

70. 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
71. Efficient estimation of models with composite disturbance terms
    Journal of Econometrics, 1973, 1, (4), 329-340 View citations

Chapters

1995

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

1993

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

1984

3. Dynamic specification
   Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100