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Details about Adrian Rodney Pagan
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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Journal Articles Chapters
Working Papers
2008
A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation
IMF Working Papers, International Monetary Fund
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)
Extending an SVAR Model of the Australian Economy
NCER Working Paper Series, National Centre for Econometric Research
Limited Information Estimation and Evaluation of DSGE Models
Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand
Monetary Transmission in an Emerging Targeter: The Case of Brazil
IMF Working Papers, International Monetary Fund
2007
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
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
Some Issues in Using Sign Restrictions for Identifying Structural VARs
NCER Working Paper Series, National Centre for Econometric Research View citations
Weak Instruments: A Guide to the Literature
NCER Working Paper Series, National Centre for Econometric Research
2006
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
Inventories, Fluctuations and Business Cycles. Working paper #4
NCER Working Paper Series, National Centre for Econometric Research
Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
NCER Working Paper Series, National Centre for Econometric Research View citations
Measurement of Business Cycles
Department of Economics - Working Papers Series, The University of Melbourne View citations
The Econometric Analysis of Constructed Binary Time Series
Department of Economics - Working Papers Series, The University of Melbourne View citations
The Econometric Analysis of Constructed Binary Time Series. Working paper #1
NCER Working Paper Series, National Centre for Econometric Research
2005
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)
SOME ECONOMETRIC ANALYSIS OF CONSTRUCTED BINARY TIME SERIES
CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
SOME ISSUES IN USING VARS FOR MACROECONOMETRIC RESEARCH
CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
2004
Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
Econometric Society 2004 Australasian Meetings, Econometric Society
2001
Extracting, Using and Analysing Cyclical Information
MPRA Paper, University Library of Munich, Germany View citations
2000
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
Dissecting the Cycle
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations
Knowing the Cycle
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations
The Getting of Macroeconomic Wisdom
CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University View citations
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
Towards a Strucrural VAR Model of the Australian Economy
Working Papers, Australian National University - Department of Economics
1996
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)
Simulation Based Estimation of Some Factor Models in Econometrics
Department of Economics - Working Papers Series, The University of Melbourne View citations
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
Modelling the Term Structure
Working Papers, Australian National University - Department of Economics View citations
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
Resolving the Liquidity Effect
Working Papers, Australian National University - Department of Economics View citations See Also Journal Article in Proceedings (1995)
1991
Testing for Heteroskedasticity
RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
1990
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)
ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations
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
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
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)
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
The Econometric Analysis of Risk Terms
CEPR Discussion Papers, C.E.P.R. Discussion Papers
1985
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)
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
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)
Phillips curve inflation forecasts - comments
Conference Series ; [Proceedings] , 2008
2007
Commentary on "An estimated DSGE model for the United Kingdom"
Review , 2007, (Jul), 233-240
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)
Weak instruments (in Russian)
Quantile , 2007, (2), 71-81
2006
Synchronization of cycles
Journal of Econometrics , 2006, 132 , (1), 59-79 View citations
2005
A suggested framework for classifying the modes of cycle research
Journal of Applied Econometrics , 2005, 20 , (2), 151-159 View citations
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
Testing for duration dependence in economic cycles
Econometrics Journal , 2004, 7 , (2), 528-549 View citations
The Econometrics of the New Keynesian Policy Model: Introduction
Oxford Bulletin of Economics and Statistics , 2004, 66 , (s1), 581-607 View citations
2003
A comparison of two business cycle dating methods
Journal of Economic Dynamics and Control , 2003, 27 , (9), 1681-1690 View citations
A simple framework for analysing bull and bear markets
Journal of Applied Econometrics , 2003, 18 , (1), 23-46 View citations
Rejoinder to James Hamilton
Journal of Economic Dynamics and Control , 2003, 27 , (9), 1695-1698 View citations
Specification Testing of Markov Switching Models
Oxford Bulletin of Economics and Statistics , 2003, 65 , (s1), 703-725 View citations
2002
Dissecting the cycle: a methodological investigation
Journal of Monetary Economics , 2002, 49 , (2), 365-381 View citations See Also Working Paper (2000)
LEARNING ABOUT MODELS AND THEIR FIT TO DATA *
International Economic Journal , 2002, 16 , (2), 1-18 View citations
What is a good macroeconomic model for a central bank to use? panel discussion
Proceedings , 2002, (Mar)
2000
A Structural VAR Model of the Australian Economy
The Economic Record , 2000, 76 , (235), 321-42 View citations
A multivariate latent factor decomposition of international bond yield spreads
Journal of Applied Econometrics , 2000, 15 , (6), 697-715 View citations
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
The Phillips curve in Australia
Journal of Monetary Economics , 1999, 44 , (2), 223-258 View citations See Also Working Paper (1999)
1998
Shocking Stories
Journal of Economic Surveys , 1998, 12 , (5), 507-32 View citations
Some experiments in constructing a hybrid model for macroeconomic analysis
Carnegie-Rochester Conference Series on Public Policy , 1998, 49 , (1), 113-142 View citations
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
Estimating The Density Tail Index For Financial Time Series
The Review of Economics and Statistics , 1997, 79 , (2), 171-175 View citations
Policy, Theory, and the Cycle
Oxford Review of Economic Policy , 1997, 13 , (3), 19-33 View citations
Seasonal integration and the evolving seasonals model
International Journal of Forecasting , 1997, 13 , (3), 329-340 View citations See Also Working Paper (1996)
1996
The econometrics of financial markets
Journal of Empirical Finance , 1996, 3 , (1), 15-102 View citations
1995
Resolving the liquidity effect
Proceedings , 1995, (May), 33-54 View citations See Also Working Paper (1994)
1994
Calibration and Econometric Research: An Overview: Introduction
Journal of Applied Econometrics , 1994, 9 , (S), S1-10 View citations
1993
Australian Stock Market Volatility: 1875-1987
The Economic Record , 1993, 69 , (205), 163-78See Also Working Paper (1990)
1992
Consistency tests for heteroskedastic and risk models
Estudios Económicos , 1992, 7 , (1), 3-30 View citations
1991
On the inconsistency of the MLE in certain heteroskedastic regression models
Estudios Económicos , 1991, 6 , (2), 159-172
1990
Alternative models for conditional stock volatility
Journal of Econometrics , 1990, 45 , (1-2), 267-290 View citations See Also Working Paper (1990)
Testing for covariance stationarity in stock market data
Economics Letters , 1990, 33 , (2), 165-170 View citations
1989
A Survey of Some Recent Econometric Methods
Economic Journal , 1989, 99 , (398), 962-1025 View citations
Diagnostic Tests for Models Based on Individual Data: A Survey
Journal of Applied Econometrics , 1989, 4 , (S), S29-59 View citations
On the role of simulation in the statistical evaluation of econometric models
Journal of Econometrics , 1989, 40 , (1), 125-139 View citations
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
A note on the magnitude of risk premia
Journal of International Money and Finance , 1988, 7 , (1), 109-110 View citations
Comment on Poirier: Dogma or Doubt?
Journal of Economic Perspectives , 1988, 2 , (1), 153-58
Some Simulation Studies of Nonparametric Estimators
Empirical Economics , 1988, 13 , (3/4), 251-66See Also Working Paper (1988)
The Econometric Analysis of Models with Risk Terms
Journal of Applied Econometrics , 1988, 3 , (2), 87-105 View citations
1987
How Reliable Are ORAN I Conclusions?
The Economic Record , 1987, 63 , (180), 33-45 View citations
Three Econometric Methodologies: A Critical Appraisal
Journal of Economic Surveys , 1987, 1 , (1), 3-24 View citations
1986
A further result on the sign of restricted least-squares estimates
Journal of Econometrics , 1986, 32 , (2), 287-290
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
Time Series Behaviour and Dynamic Specification
Oxford Bulletin of Economics and Statistics , 1985, 47 , (3), 199-211 View citations
What Will Take the Con out of Econometrics?
American Economic Review , 1985, 75 , (3), 293-307 View citations See Also Working Paper (1985)
1984
Econometric Issues in the Analysis of Regressions with Generated Regressors
International Economic Review , 1984, 25 , (1), 221-47 View citations
Estimating predictions, prediction errors and their standard deviations using constructed variables
Journal of Econometrics , 1984, 24 , (3), 293-310
1983
Assessing the Variability of Inflation
Review of Economic Studies , 1983, 50 , (4), 585-96 View citations
Diagnostic tests as residual analysis
Econometric Reviews , 1983, 2 , (2), 159-218 View citations
Heteroscedasticity in Models with Lagged Dependent Variables
Econometrica , 1983, 51 , (4), 1233-42 View citations
Reply
Econometric Reviews , 1983, 2 , (2), 249-254
1981
The LIML and Related Estimators of an Equation with Moving Average Disturbances
International Economic Review , 1981, 22 , (3), 719-30
The Short-run Demand for Transactions Balances in Australia
Economica , 1981, 48 , (192), 381-95
1980
Some identification and estimation results for regression models with stochastically varying coefficients
Journal of Econometrics , 1980, 13 , (3), 341-363 View citations
The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics
Review of Economic Studies , 1980, 47 , (1), 239-53 View citations
1979
A Short-Run Econometric Model of the Japanese Wool Textile Industry
The Economic Record , 1979, 55 , (151), 317-27
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Econometrica , 1979, 47 , (5), 1287-94 View citations
Some consequences of viewing LIML as an iterated Aitken estimator
Economics Letters , 1979, 3 , (4), 369-372 View citations
1978
Rational and polynomial lags: The finite connection
Journal of Econometrics , 1978, 8 , (2), 247-254
1977
Specification of the Disturbance for Efficient Estimation-An Extended Analysis
Econometrica , 1977, 45 , (1), 211-17
1976
Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
Review of Economic Studies , 1976, 43 , (3), 383-87
1975
A Note on the Extraction of Components from Time Series
Econometrica , 1975, 43 , (1), 163-68 View citations
Optimal Control of Econometric Models with Autocorrelated Disturbance Terms
International Economic Review , 1975, 16 , (1), 258-63
The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
International Economic Review , 1975, 16 , (1), 113-34 View citations
1974
A Generalised Approach to the Treatment of Autocorrelation
Australian Economic Papers , 1974, 13 , (23), 267-80 View citations
1973
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
Efficient estimation of models with composite disturbance terms
Journal of Econometrics , 1973, 1 , (4), 329-340 View citations
Chapters
1995
Final Discussion
A chapter in Productivity and Growth , 1995
1993
A Perspective
A chapter in The Exchange Rate, International Trade and the Balance of Payments , 1993
1984
Dynamic specification
Chapter 18 in Handbook of Econometrics , 1984, vol. 2, pp 1023-1100