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 2023-10-31. Update your information in the RePEc Author Service.

Short-id: pgr130

---

Jump to Journal Articles

Working Papers

2022

1. US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM
   Working Paper, Economics Department, Queen's University

2010

2. Empirical Likelihood Block Bootstrapping
   Discussion Papers, Graduate School of Economics, Hitotsubashi University
   Also in Staff Working Papers, Bank of Canada (2008) View citations (1)
   Working Paper, Economics Department, Queen's University (2008) View citations (1)
   See also Journal Article Empirical likelihood block bootstrapping, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)

2006

3. Canadian City Housing Prices and Urban Market Segmentation
   Staff Working Papers, Bank of Canada View citations (14)
   See also Journal Article Canadian city housing prices and urban market segmentation, Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons (2009) View citations (13) (2009)

2001

4. Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence
   Working Paper, Economics Department, Queen's University
   See also Journal Article Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence, Journal of Econometrics, Elsevier (2002) View citations (11) (2002)

1999

5. Needs-Based Health Care Funding: Implications for Resource Distribution in Ontario
   Working Papers, University of Toronto, Department of Economics
   See also Journal Article Needs-based health care funding: implications for resource distribution in Ontario, Canadian Journal of Economics, Canadian Economics Association (2000) View citations (4) (2000)

1998

6. Conflicts Among Tests For Cointegration
   Working Paper, Economics Department, Queen's University View citations (1)

1997

7. Endogenous Work Hours and Practice Patterns of Canadian Physicians
   Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics
   See also Journal Article Endogenous Work Hours and Practice Patterns of Canadian Physicians, Canadian Journal of Economics, Canadian Economics Association (1998) View citations (28) (1998)
8. Standardized Mortality Ratios In Capitation Funding Models: Emiprical Issues From Canadian Data
   Working Paper, Economics Department, Queen's University

1996

9. Common And Country-specific Fluctuations In Productivity, Investment, And The Current Account
   Working Paper, Economics Department, Queen's University View citations (9)
   See also Journal Article Common and country-specific fluctuations in productivity, investment, and the current account, Journal of Monetary Economics, Elsevier (1999) View citations (82) (1999)

1995

10. Business Cycle Theory And Econometrics
    Working Paper, Economics Department, Queen's University View citations (7)
    See also Journal Article Business Cycle Theory and Econometrics, Economic Journal, Royal Economic Society (1995) View citations (10) (1995)
11. Sources Of Variation In International Real Interest Rates
    Working Paper, Economics Department, Queen's University View citations (7)
    See also Journal Article Sources of Variation in International Real Interest Rates, Canadian Journal of Economics, Canadian Economics Association (1995) View citations (4) (1995)

1994

12. Measuring Business Cycles With Business-cycle Models
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article Measuring business cycles with business-cycle models, Journal of Economic Dynamics and Control, Elsevier (1996) View citations (7) (1996)
13. Measuring World Business Cycles
    Working Paper, Economics Department, Queen's University
    See also Journal Article Measuring World Business Cycles, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1997) View citations (157) (1997)

1992

14. Accounting for Forward Rates in Markets for Foreign Currency
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (1)
    Also in Working Paper, Economics Department, Queen's University (1990) View citations (5)
    See also Journal Article Accounting for Forward Rates in Markets for Foreign Currency, Journal of Finance, American Finance Association (1993) View citations (117) (1993)
15. Residual-Based Tests for Cointegration in Models with Regime Shifts
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (17)
    Also in Working Paper, Economics Department, Queen's University (1992) View citations (97)
    See also Journal Article Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, Elsevier (1996) View citations (1345) (1996)
16. Theoretical Relations Between Risk Premiums and Conditional Variances
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (13)
    See also Journal Article Theoretical Relations between Risk Premiums and Conditional Variances, Journal of Business & Economic Statistics, American Statistical Association (1993) View citations (93) (1993)

1991

17. Calibration in Macroeconomics
    Working Paper, Economics Department, Queen's University View citations (17)
18. Testing For Structural Breaks
    Working Paper, Economics Department, Queen's University View citations (19)
19. Testing for Cointegration in Linear Quadratic Models
    Working Paper, Economics Department, Queen's University View citations (10)
    See also Journal Article Testing for Cointegration in Linear Quadratic Models, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (47) (1994)

1990

20. Realistic Cross-Country Consumption Correlations in a Two-Country, Equilibrium, Business Cycle Model
    Working Paper, Economics Department, Queen's University View citations (5)
    See also Journal Article Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model, Journal of International Money and Finance, Elsevier (1992) View citations (117) (1992)
21. The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility, Canadian Journal of Economics, Canadian Economics Association (1991) View citations (4) (1991)

1988

22. Calibration as Testing, Type I Error in the Equity Premium Puzzle
    Working Paper, Economics Department, Queen's University View citations (2)
23. Risk Premiums in Asset Prices and Returns
    Working Paper, Economics Department, Queen's University

1987

24. A Nonparametric Test for Autoregressive Conditional Heteroskedasticity (ARCH): A Markov Chain Approach
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
25. Calibration as Estimation
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics View citations (5)
    Also in Working Paper, Economics Department, Queen's University (1987) View citations (17)
26. Estimation of Reduced Forms of Rational Expectation Models and Volcker Deflation
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1986

27. Risk Premiums in the Term Structure: Evidence from Artificial Economies
    Working Paper, Economics Department, Queen's University View citations (3)
    See also Journal Article Risk premiums in the term structure: Evidence from artificial economies, Journal of Monetary Economics, Elsevier (1989) View citations (171) (1989)

1985

28. Bootstrapping the Probability Distribution of Peak Electricity Demand
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics View citations (1)
29. Estimating Equations with Combined Moving Average Error Processes under Rational Expectations
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1984

30. On Formulating Wald Tests of Nonlinear Restrictions
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article Formulating Wald Tests of Nonlinear Restrictions, Econometrica, Econometric Society (1985) View citations (100) (1985)
31. The Effects of Religion and Denomination on Earnings and the Returns to Human Capital
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
32. The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis
    Working Paper, Economics Department, Queen's University

1982

33. A Lagrange Multiplier Test of the Restrictions for a Simple Rational Expectations Model
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article A Lagrange Multiplier Test of the Restrictions for a Simple Rational Expectations Model, Canadian Journal of Economics, Canadian Economics Association (1985) View citations (5) (1985)
34. Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data
    Working Paper, Economics Department, Queen's University
35. Inventories and Price Inflexibility
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1980

36. An Application of the Box-Cox Transformation to Money Demand in Canada
    Working Paper, Economics Department, Queen's University
37. Exogeneity and Money Demand in a Small Open Economy: The Canadian Case
    Working Paper, Economics Department, Queen's University
38. Two Papers on Linear Models
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics
    Also in Working Paper, Economics Department, Queen's University (1980)

Journal Articles

2014

1. Testing the value of lead information in forecasting monthly changes in employment from the Bureau of Labor Statistics
   Applied Financial Economics, 2014, 24, (7), 505-514 View citations (6)

2012

2. Using a Markov-Chain Monte-Carlo modelling approach to identify the relative risk to farmed Scottish Rainbow trout (Oncorhynchus mykiss) in a multi-sector industry of Viral Haemorrhagic Septicaemia Viruses from introduction and emergent sources
   Ecological Modelling, 2012, 237-238, 34-42

2011

3. Empirical likelihood block bootstrapping
   Journal of Econometrics, 2011, 161, (2), 110-121 View citations (12)
   See also Working Paper Empirical Likelihood Block Bootstrapping, Discussion Papers (2010) (2010)

2010

4. Estimation and Inference in ARCH Models in the Presence of Outliers
   Journal of Financial Econometrics, 2010, 8, (4), 547-549 View citations (11)

2009

5. Canadian city housing prices and urban market segmentation
   Canadian Journal of Economics/Revue canadienne d'économique, 2009, 42, (3), 1132-1149 View citations (13)
   Also in Canadian Journal of Economics, 2009, 42, (3), 1132-1149 (2009) View citations (25)
   See also Working Paper Canadian City Housing Prices and Urban Market Segmentation, Staff Working Papers (2006) View citations (14) (2006)

2008

6. Interpreting Value at Risk (VaR) forecasts
   Economic Systems, 2008, 32, (2), 167-176 View citations (3)

2004

7. Mixed signals among tests for cointegration
   Journal of Applied Econometrics, 2004, 19, (1), 89-98 View citations (36)
8. The evolution of consensus in macroeconomic forecasting
   International Journal of Forecasting, 2004, 20, (3), 461-473 View citations (11)

2002

9. Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
   Journal of Econometrics, 2002, 107, (1-2), 213-233 View citations (11)
   See also Working Paper Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence, Working Paper (2001) (2001)

2001

10. Testing for Forecast Consensus
    Journal of Business & Economic Statistics, 2001, 19, (1), 34-43 View citations (16)

2000

11. Needs-based health care funding: implications for resource distribution in Ontario
    Canadian Journal of Economics, 2000, 33, (4), 981-1008 View citations (4)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2000, 33, (4), 981-1008 (2000) View citations (1)
    See also Working Paper Needs-Based Health Care Funding: Implications for Resource Distribution in Ontario, Working Papers (1999) (1999)

1999

12. Common and country-specific fluctuations in productivity, investment, and the current account
    Journal of Monetary Economics, 1999, 44, (3), 423-451 View citations (82)
    See also Working Paper Common And Country-specific Fluctuations In Productivity, Investment, And The Current Account, Working Paper (1996) View citations (9) (1996)
13. Standardized Mortality Ratios and Canadian Health-Care Funding
    Canadian Public Policy, 1999, 25, (1), 47-64

1998

14. Endogenous Work Hours and Practice Patterns of Canadian Physicians
    Canadian Journal of Economics, 1998, 31, (1), 1-27 View citations (28)
    See also Working Paper Endogenous Work Hours and Practice Patterns of Canadian Physicians, Queen's Institute for Economic Research Discussion Papers (1997) (1997)

1997

15. Measuring World Business Cycles
    International Economic Review, 1997, 38, (3), 677-701 View citations (157)
    See also Working Paper Measuring World Business Cycles, Working Paper (1994) (1994)

1996

16. Measuring business cycles with business-cycle models
    Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1007-1025 View citations (7)
    See also Working Paper Measuring Business Cycles With Business-cycle Models, Working Paper (1994) View citations (1) (1994)
17. Residual-based tests for cointegration in models with regime shifts
    Journal of Econometrics, 1996, 70, (1), 99-126 View citations (1345)
    See also Working Paper Residual-Based Tests for Cointegration in Models with Regime Shifts, RCER Working Papers (1992) View citations (17) (1992)
18. Testing for structural breaks in cointegrated relationships
    Journal of Econometrics, 1996, 71, (1-2), 321-341 View citations (134)
19. Tests for Cointegration in Models with Regime and Trend Shifts
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 555-60 View citations (1039)

1995

20. Business Cycle Theory and Econometrics
    Economic Journal, 1995, 105, (433), 1597-1608 View citations (10)
    See also Working Paper Business Cycle Theory And Econometrics, Working Paper (1995) View citations (7) (1995)
21. Sources of Variation in International Real Interest Rates
    Canadian Journal of Economics, 1995, 28, (s1), 120-140 View citations (4)
    See also Working Paper Sources Of Variation In International Real Interest Rates, Working Paper (1995) View citations (7) (1995)

1994

22. Testing for Cointegration in Linear Quadratic Models
    Journal of Business & Economic Statistics, 1994, 12, (3), 347-60 View citations (47)
    See also Working Paper Testing for Cointegration in Linear Quadratic Models, Working Paper (1991) View citations (10) (1991)

1993

23. Accounting for Forward Rates in Markets for Foreign Currency
    Journal of Finance, 1993, 48, (5), 1887-1908 View citations (117)
    See also Working Paper Accounting for Forward Rates in Markets for Foreign Currency, Working Papers (1992) View citations (1) (1992)
24. The effect of sampling error on the time series behavior of consumption data
    Journal of Econometrics, 1993, 55, (1-2), 267-273 View citations (6)
25. Theoretical Relations between Risk Premiums and Conditional Variances
    Journal of Business & Economic Statistics, 1993, 11, (2), 177-85 View citations (93)
    See also Working Paper Theoretical Relations Between Risk Premiums and Conditional Variances, Working Papers (1992) View citations (13) (1992)

1992

26. 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 (117)
    See also Working Paper Realistic Cross-Country Consumption Correlations in a Two-Country, Equilibrium, Business Cycle Model, Working Paper (1990) View citations (5) (1990)
27. Sampling variability in Hansen-Jagannathan bounds
    Economics Letters, 1992, 38, (3), 263-267 View citations (8)

1991

28. Calibration as Testing: Inference in Simulated Macroeconomic Models
    Journal of Business & Economic Statistics, 1991, 9, (3), 297-303 View citations (121)
29. Testing Long-Run Properties of Stationary Time Series
    Journal of Business & Economic Statistics, 1991, 9, (3), 287-95 View citations (1)
30. The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility
    Canadian Journal of Economics, 1991, 24, (4), 923-39 View citations (4)
    See also Working Paper The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility, Working Paper (1990) View citations (1) (1990)

1989

31. A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach
    Journal of Business & Economic Statistics, 1989, 7, (1), 107-15 View citations (12)
32. Risk premiums in the term structure: Evidence from artificial economies
    Journal of Monetary Economics, 1989, 24, (3), 371-399 View citations (171)
    See also Working Paper Risk Premiums in the Term Structure: Evidence from Artificial Economies, Working Paper (1986) View citations (3) (1986)

1987

33. Formulating Wald Tests of the Restrictions Implied by the Rational Expectations Hypothesis
    Journal of Applied Econometrics, 1987, 2, (1), 61-68 View citations (6)
34. Testing Interest Rate Parity and Rational Expectations for Canada and the United States
    Canadian Journal of Economics, 1987, 20, (2), 289-305 View citations (6)
35. 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 View citations (1)

1986

36. 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 (5)
37. Wald tests of common factor restrictions
    Economics Letters, 1986, 22, (2-3), 203-208 View citations (13)

1985

38. A Lagrange Multiplier Test of the Restrictions for a Simple Rational Expectations Model
    Canadian Journal of Economics, 1985, 18, (1), 94-105 View citations (5)
    See also Working Paper A Lagrange Multiplier Test of the Restrictions for a Simple Rational Expectations Model, University of Western Ontario, Departmental Research Report Series (1982) (1982)
39. An Econometric Model of Canadian Monetary Policy over the 1970s
    Journal of Money, Credit and Banking, 1985, 17, (1), 43-58 View citations (2)
40. Formulating Wald Tests of Nonlinear Restrictions
    Econometrica, 1985, 53, (6), 1465-68 View citations (100)
    See also Working Paper On Formulating Wald Tests of Nonlinear Restrictions, University of Western Ontario, Departmental Research Report Series (1984) (1984)

1984

41. 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 (22)

1983

42. Testing Non-Nested Specifications of Money Demand for Canada
    Canadian Journal of Economics, 1983, 16, (4), 593-602 View citations (5)

1981

43. An invariance property of generalized classical linear estimators
    Economics Letters, 1981, 7, (2), 151-157 View citations (1)
44. Simultaneity and the Demand for Money in Canada: Comments and Extensions
    Canadian Journal of Economics, 1981, 14, (3), 488-96 View citations (2)

1980

45. 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 (3)