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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)

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Working Papers

2014

  1. Estimation and Solution of Models with Expectations and Structural Changes
    Dynare Working Papers, CEPREMAP Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) Downloads
    RBA Research Discussion Papers, Reserve Bank of Australia (2012) Downloads View citations (2)

2013

  1. Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2013) Downloads
  2. Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in RBA Research Discussion Papers, Reserve Bank of Australia (2013) Downloads
  3. Macro-Econometric System Modelling @75
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research Downloads
  4. Patterns and Their Uses
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2011

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

2010

  1. Can Turkish Recessions Be Predicted?
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads
  2. Can We Predict Recessions?
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  3. 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 Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads View citations (11)

    See also Journal Article in Journal of Economic Literature (2011)
  4. Structural macro-econometric modelling in a policy environment
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (1)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009) Downloads
    NCER Working Paper Series, National Centre for Econometric Research (2009) Downloads
  5. The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach
    Working Papers Central Bank of Chile, Central Bank of Chile Downloads View citations (1)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads View citations (1)

    See also Chapter (2011)

2009

  1. 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 Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2009) Downloads View citations (4)

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. Detecting Common Dynamics in Transitory Components
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in Journal of Time Series Econometrics (2011)

2008

  1. A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation
    IMF Working Papers, International Monetary Fund Downloads View citations (3)
  2. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (17)
    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 Downloads View citations (3)
    See also Journal Article in The Economic Record (2009)
  4. Limited Information Estimation and Evaluation of DSGE Models
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2010)
  5. Monetary Transmission in an Emerging Targeter: The Case of Brazil
    IMF Working Papers, International Monetary Fund Downloads View citations (5)

2007

  1. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (2)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (2)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (2)
  3. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (61)
  4. Weak Instruments: A Guide to the Literature
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2006

  1. 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 Downloads View citations (2)
    Also in Working Papers, Czech National Bank, Research Department (2006) Downloads View citations (21)
  2. Inventories, Fluctuations and Business Cycles. Working paper #4
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (3)
  3. Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (4)
  4. Measurement of Business Cycles
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (9)
  5. The Econometric Analysis of Constructed Binary Time Series
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (6)
  6. The Econometric Analysis of Constructed Binary Time Series. Working paper #1
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2005

  1. Making a match: combining theory and evidence in policy-oriented macroeconomic modelling
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
    See also Journal Article in Journal of Econometrics (2007)
  2. 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 Downloads
  3. 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 Downloads View citations (7)

2004

  1. Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (3)

2001

  1. Extracting, Using and Analysing Cyclical Information
    MPRA Paper, University Library of Munich, Germany Downloads View citations (40)

2000

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

1999

  1. Dissecting the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (40)
  2. Knowing the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (30)
  3. The Getting of Macroeconomic Wisdom
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University Downloads
  4. The Phillips Curve in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads View citations (25)
    See also Journal Article in Journal of Monetary Economics (1999)

1997

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

1996

  1. Simulation Based Estimation of Some Factor Models in Econometrics
    Department of Economics - Working Papers Series, The University of Melbourne View citations (3)
  2. 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

  1. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (32)
  2. Seasonal Integration and the Evolving Seasonals Model
    Working Papers, Australian National University - Department of Economics View citations (2)
    See also Journal Article in International Journal of Forecasting (1997)
  3. 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

  1. Resolving the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (31)
    See also Journal Article in Proceedings (1995)

1991

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

1990

  1. Alternative Models For Conditional Stock Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (288)
    Also in Working Papers, Rochester, Business - General (1989) View citations (9)

    See also Journal Article in Journal of Econometrics (1990)
  2. ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (23)
  3. 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
  4. 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

  1. 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)
  2. 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

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

1985

  1. Two Stage and Related Estimators and Their Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Review of Economic Studies (1986)
  2. What Will Take the Con Out of Econometrics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (53)
    See also Journal Article in American Economic Review (1985)

Undated

  1. Some identification and estimation results for regression models with stochastically varying coefficients
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of Econometrics (1980)
  2. The Lagrange multiplier test and its applications to model specification in econometrics
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Review of Economic Studies (1980)

Journal Articles

2013

  1. INVENTORIES, FLUCTUATIONS, AND GOODS SECTOR CYCLES
    Macroeconomic Dynamics, 2013, 17, (01), 89-122 Downloads

2011

  1. An Econometric Analysis of Some Models for Constructed Binary Time Series
    Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 Downloads View citations (6)
    See also Working Paper (2009)
  2. Detecting Common Dynamics in Transitory Components
    Journal of Time Series Econometrics, 2011, 3, (1), 1-28 Downloads 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 Downloads View citations (53)
    See also Working Paper (2010)

2010

  1. Limited information estimation and evaluation of DSGE models
    Journal of Applied Econometrics, 2010, 25, (1), 55-70 Downloads View citations (13)
    See also Working Paper (2008)

2009

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

2008

  1. Econometric analysis of structural systems with permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 Downloads View citations (14)
    See also Working Paper (2008)
  2. Phillips curve inflation forecasts - comments
    Conference Series ; [Proceedings], 2008, 53 Downloads

2007

  1. Commentary on "An estimated DSGE model for the United Kingdom"
    Review, 2007, (Jul), 233-240 Downloads
  2. Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
    Journal of Econometrics, 2007, 136, (2), 565-594 Downloads View citations (11)
    See also Working Paper (2005)
  3. Weak instruments (in Russian)
    Quantile, 2007, (2), 71-81 Downloads

2006

  1. Synchronization of cycles
    Journal of Econometrics, 2006, 132, (1), 59-79 Downloads View citations (120)

2005

  1. A suggested framework for classifying the modes of cycle research
    Journal of Applied Econometrics, 2005, 20, (2), 151-159 Downloads View citations (32)
  2. Some methods for assessing the need for non-linear models in business cycle analysis
    International Journal of Forecasting, 2005, 21, (4), 651-662 Downloads View citations (8)

2004

  1. Do Markov-switching models capture nonlinearities in the data?
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 401-407 Downloads
  2. Testing for duration dependence in economic cycles
    Econometrics Journal, 2004, 7, (2), 528-549 Downloads View citations (14)
  3. The Econometrics of the New Keynesian Policy Model: Introduction
    Oxford Bulletin of Economics and Statistics, 2004, 66, (s1), 581-607 Downloads View citations (17)

2003

  1. A comparison of two business cycle dating methods
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1681-1690 Downloads View citations (75)
  2. A simple framework for analysing bull and bear markets
    Journal of Applied Econometrics, 2003, 18, (1), 23-46 Downloads View citations (79)
  3. Rejoinder to James Hamilton
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1695-1698 Downloads View citations (14)
  4. Specification Testing of Markov Switching Models
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 703-725 Downloads View citations (33)

2002

  1. Dissecting the cycle: a methodological investigation
    Journal of Monetary Economics, 2002, 49, (2), 365-381 Downloads View citations (337)
    See also Working Paper (2000)
  2. Learning About Models and Their Fit to Data
    International Economic Journal, 2002, 16, (2), 1-18 Downloads View citations (15)
  3. What is a good macroeconomic model for a central bank to use? panel discussion
    Proceedings, 2002, (Mar) Downloads

2001

  1. 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 Downloads View citations (1)

2000

  1. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-42 View citations (76)
  2. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 Downloads View citations (55)

1999

  1. Some uses of simulation in econometrics
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 341-349 Downloads View citations (2)
  2. The Phillips curve in Australia
    Journal of Monetary Economics, 1999, 44, (2), 223-258 Downloads View citations (52)
    See also Working Paper (1999)

1998

  1. Shocking Stories
    Journal of Economic Surveys, 1998, 12, (5), 507-532 Downloads View citations (20)
    Also in Journal of Economic Surveys, 1998, 12, (5), 507-32 (1998) Downloads View citations (23)
  2. Some experiments in constructing a hybrid model for macroeconomic analysis
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 113-142 Downloads View citations (5)
  3. Structural Models Of The Liquidity Effect
    The Review of Economics and Statistics, 1998, 80, (2), 202-217 Downloads View citations (28)
    See also Working Paper (1995)

1997

  1. Estimating The Density Tail Index For Financial Time Series
    The Review of Economics and Statistics, 1997, 79, (2), 171-175 Downloads View citations (45)
  2. Policy, Theory, and the Cycle
    Oxford Review of Economic Policy, 1997, 13, (3), 19-33 View citations (14)
  3. Seasonal integration and the evolving seasonals model
    International Journal of Forecasting, 1997, 13, (3), 329-340 Downloads View citations (11)
    See also Working Paper (1995)
  4. Towards an Understanding of Some Business Cycle Characteristics
    Australian Economic Review, 1997, 30, (1), 1-15 Downloads View citations (21)

1996

  1. The econometrics of financial markets
    Journal of Empirical Finance, 1996, 3, (1), 15-102 Downloads View citations (184)

1995

  1. Gregory C. Chow
    Econometric Theory, 1995, 11, (03), 597-624 Downloads
  2. Resolving the liquidity effect
    Proceedings, 1995, (May), 33-54 Downloads View citations (25)
    Also in Review, 1995, (May), 33-54 (1995) Downloads View citations (21)

    See also Working Paper (1994)

1994

  1. Calibration and Econometric Research: An Overview: Introduction
    Journal of Applied Econometrics, 1994, 9, (S), S1-10 Downloads View citations (2)
  2. E.J. (Ted) Hannan
    Econometric Theory, 1994, 10, (01), 221-222 Downloads

1993

  1. Australian Stock Market Volatility: 1875-1987
    The Economic Record, 1993, 69, (205), 163-78 View citations (11)
    See also Working Paper (1990)

1992

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

1991

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

1990

  1. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 Downloads View citations (308)
    See also Working Paper (1990)
  2. 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 Downloads
  3. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 Downloads View citations (35)

1989

  1. A Survey of Some Recent Econometric Methods
    Economic Journal, 1989, 99, (398), 962-1025 Downloads View citations (9)
  2. Diagnostic Tests for Models Based on Individual Data: A Survey
    Journal of Applied Econometrics, 1989, 4, (S), S29-59 Downloads View citations (104)
  3. On the role of simulation in the statistical evaluation of econometric models
    Journal of Econometrics, 1989, 40, (1), 125-139 Downloads View citations (10)
  4. 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

  1. A note on the magnitude of risk premia
    Journal of International Money and Finance, 1988, 7, (1), 109-110 Downloads View citations (1)
  2. Comment on Poirier: Dogma or Doubt?
    Journal of Economic Perspectives, 1988, 2, (1), 153-58 Downloads
  3. Some Simulation Studies of Nonparametric Estimators
    Empirical Economics, 1988, 13, (3/4), 251-66
    See also Working Paper (1988)
  4. The Econometric Analysis of Models with Risk Terms
    Journal of Applied Econometrics, 1988, 3, (2), 87-105 Downloads View citations (90)

1987

  1. How Reliable Are ORAN I Conclusions?
    The Economic Record, 1987, 63, (180), 33-45 View citations (12)
  2. Three Econometric Methodologies: A Critical Appraisal
    Journal of Economic Surveys, 1987, 1, (1), 3-24 View citations (33)

1986

  1. A further result on the sign of restricted least-squares estimates
    Journal of Econometrics, 1986, 32, (2), 287-290 Downloads View citations (2)
  2. Two Stage and Related Estimators and Their Applications
    Review of Economic Studies, 1986, 53, (4), 517-38 Downloads View citations (89)
    See also Working Paper (1985)

1985

  1. Proffessor E. J. Hannnan
    Econometric Theory, 1985, 1, (02), 263-290 Downloads
  2. Time Series Behaviour and Dynamic Specification
    Oxford Bulletin of Economics and Statistics, 1985, 47, (3), 199-211 View citations (3)
  3. What Will Take the Con out of Econometrics?
    American Economic Review, 1985, 75, (3), 293-307 Downloads View citations (41)
    See also Working Paper (1985)

1984

  1. Econometric Issues in the Analysis of Regressions with Generated Regressors
    International Economic Review, 1984, 25, (1), 221-47 Downloads View citations (506)
  2. Estimating predictions, prediction errors and their standard deviations using constructed variables
    Journal of Econometrics, 1984, 24, (3), 293-310 Downloads View citations (2)

1983

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

1981

  1. The LIML and Related Estimators of an Equation with Moving Average Disturbances
    International Economic Review, 1981, 22, (3), 719-30 Downloads View citations (1)
  2. The Short-run Demand for Transactions Balances in Australia
    Economica, 1981, 48, (192), 381-95 Downloads View citations (6)

1980

  1. Some identification and estimation results for regression models with stochastically varying coefficients
    Journal of Econometrics, 1980, 13, (3), 341-363 Downloads View citations (15)
    See also Working Paper
  2. The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics
    Review of Economic Studies, 1980, 47, (1), 239-53 Downloads View citations (374)
    See also Working Paper

1979

  1. A Short-Run Econometric Model of the Japanese Wool Textile Industry
    The Economic Record, 1979, 55, (151), 317-27
  2. A Simple Test for Heteroscedasticity and Random Coefficient Variation
    Econometrica, 1979, 47, (5), 1287-94 Downloads View citations (305)
  3. Some consequences of viewing LIML as an iterated Aitken estimator
    Economics Letters, 1979, 3, (4), 369-372 Downloads View citations (13)

1978

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

1977

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

1976

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

1975

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

1974

  1. A Generalised Approach to the Treatment of Autocorrelation
    Australian Economic Papers, 1974, 13, (23), 267-80 View citations (12)

1973

  1. 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 Downloads View citations (1)
  2. Efficient estimation of models with composite disturbance terms
    Journal of Econometrics, 1973, 1, (4), 329-340 Downloads 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 Downloads
  2. The Theory of Economic Policy
    Cambridge Books, Cambridge University Press View citations (2)

1999

  1. Nonparametric Econometrics
    Cambridge Books, Cambridge University Press View citations (169)
    Also in Cambridge Books, Cambridge University Press (1999) View citations (169)

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 Downloads
    See also Working Paper (2010)

1995

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

1993

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

1984

  1. Dynamic specification
    Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 Downloads View citations (128)
 
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