Details about Klaus Neusser

Access statistics for papers by Klaus Neusser.

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Short-id: pne2

Working Papers

2018

1. The New Keynesian Model with Stochastically Varying Policies
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft

2017

2. Time – Varying Rational Expectations Models: Solutions, Stability, Numerical Implementation
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (1)

2016

3. A Topological View on the Identification of Structural Vector Autoregressions
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (2)
   See also Journal Article in Economics Letters (2016)

2005

4. A Large Deviation Approach to the Measurement of Mobility
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (3)
   Also in Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft (2002)
   See also Journal Article in Swiss Journal of Economics and Statistics (SJES) (2006)

2004

5. Equilibrium Mobility
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (1)
6. Externalities in U.S. Manufacturing
   2004 Meeting Papers, Society for Economic Dynamics
7. Prognose uni- und multivariater Zeitreihen
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft

1999

8. Evaluating Theories of Income Dynamics: A Probabilistic Approach
   Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (2)
   Also in Economics Series, Institute for Advanced Studies (1999) View citations (2)

1992

9. Dynamics of Total Factor Productivities
   Vienna Economics Papers, University of Vienna, Department of Economics View citations (2)
   See also Journal Article in Revue Économique (1993)

1991

10. Savings, Social Security and Bequests in an OLG Model. A Simulation Exercise for Austria
    Vienna Economics Papers, University of Vienna, Department of Economics View citations (2)
    See also Journal Article in Journal of Economics (1993)

1990

11. Business Cycles in Open Economies. Stylized Facts for Austria and Germany
    WIFO Working Papers, WIFO View citations (2)
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (1992)
12. International Real Interest Rate Equalization: A Multivariate Time Series Approach
    Vienna Economics Papers, University of Vienna, Department of Economics View citations (16)
    See also Journal Article in Journal of Applied Econometrics (1993)
13. Testing the Long-Run Implications of the Neoclassical Growth Model
    Vienna Economics Papers, University of Vienna, Department of Economics View citations (2)
    See also Journal Article in Journal of Monetary Economics (1991)

1989

14. Intertemporal Nonseparability, Liquidity Constraints, and Seasonality of Aggregate Consumer Expenditures: An Empirical Investigation
    Vienna Economics Papers, University of Vienna, Department of Economics
    See also Journal Article in Empirical Economics (1992)
15. Testing the Neoclassical Growth Model by Means of Cointegration
    Vienna Economics Papers, University of Vienna, Department of Economics

Journal Articles

2019

1. Time–varying rational expectations models
   Journal of Economic Dynamics and Control, 2019, 107, (C), - View citations (2)

2016

2. A topological view on the identification of structural vector autoregressions
   Economics Letters, 2016, 144, (C), 107-111 View citations (2)
   See also Working Paper (2016)

2013

3. THE ROLE OF SECTORAL SHIFTS IN THE DECLINE OF REAL GDP VOLATILITY
   Macroeconomic Dynamics, 2013, 17, (3), 477-500 View citations (3)

2010

4. Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland
   Swiss Journal of Economics and Statistics (SJES), 2010, 146, (I), 275-300 View citations (2)
5. The decline in volatility of US GDP growth
   Applied Economics Letters, 2010, 17, (16), 1625-1631 View citations (2)

2008

6. Improving Models of Income Dynamics using Cross-Section-Information
   Swiss Journal of Economics and Statistics (SJES), 2008, 144, (II), 117-151 View citations (1)
7. Interdependencies of US manufacturing sectoral TFPs: A spatial VAR approach
   Journal of Macroeconomics, 2008, 30, (3), 991-1004 View citations (4)

2007

8. On the equivalence of quantitative trade restrictions and tariffs
   Economics Letters, 2007, 96, (3), 331-336

2006

9. A Large Deviation Approach to the Measurement of Mobility
   Swiss Journal of Economics and Statistics (SJES), 2006, 142, (II), 195-222 View citations (3)
   See also Working Paper (2005)

2001

10. A Multisectoral Log-Linear Model of Economic Growth with Marshallian Externalities
    Journal of Macroeconomics, 2001, 23, (4), 537-564 View citations (3)

2000

11. An algebraic interpretation of cointegration
    Economics Letters, 2000, 67, (3), 273-281 View citations (3)

1999

12. An investigation into a non-linear stochastic trend model
    Empirical Economics, 1999, 24, (1), 135-153 View citations (1)

1998

13. Manufacturing Growth And Financial Development: Evidence From Oecd Countries
    The Review of Economics and Statistics, 1998, 80, (4), 638-646 View citations (169)

1994

14. Business cycles in open economies: A reply
    Review of World Economics (Weltwirtschaftliches Archiv), 1994, 130, (3), 630-633

1993

15. Dynamics of Total Factor Productivities
    Revue Économique, 1993, 44, (2), 389-418 View citations (1)
    See also Working Paper (1992)
16. International Real Interest Rate Equalization: A Multivariate Time-Series Approach
    Journal of Applied Econometrics, 1993, 8, (2), 163-74 View citations (31)
    See also Working Paper (1990)
17. Savings, social security, and bequests in an OLG model. A simulation exercise for Austria
    Journal of Economics, 1993, 58, (1), 133-155 View citations (3)
    Also in Journal of Economics, 1993, 7, (1), 133-155 (1993) View citations (2)
    See also Working Paper (1991)

1992

18. Business cycles in open economies: Stylized facts for Austria and Germany
    Review of World Economics (Weltwirtschaftliches Archiv), 1992, 128, (1), 67-87 View citations (51)
    See also Working Paper (1990)
19. Intertemporal Nonseparability, Liquidity Constraints, and Seasonality of Aggregate Consumer Expenditures: An Empirical Investigation
    Empirical Economics, 1992, 17, (3), 363-82 View citations (1)
    See also Working Paper (1989)

1991

20. Testing the long-run implications of the neoclassical growth model
    Journal of Monetary Economics, 1991, 27, (1), 3-37 View citations (41)
    See also Working Paper (1990)

1990

21. Cointegration in a Macroeconomic System
    Journal of Applied Econometrics, 1990, 5, (4), 351-65 View citations (25)

1986

22. A forecasting comparison of some var techniques
    International Journal of Forecasting, 1986, 2, (4), 447-456 View citations (11)

1985

23. Multiple partial adjustment of portfolios under rational expectations
    Economics Letters, 1985, 19, (4), 373-376 View citations (1)

Books

2016

1. Time Series Econometrics
   Springer Texts in Business and Economics, Springer View citations (20)

Chapters

2016

1. Autoregressive Moving-Average Models
   Springer
2. Cointegration
   Springer
3. Definitions and Stationarity
   Springer
4. Estimation of ARMA Models
   Springer
5. Estimation of Mean and Covariance Function
   Springer
6. Estimation of Vector Autoregressive Models
   Springer
7. Estimation of the Mean and the Autocorrelation Function
   Springer
8. Forecasting Stationary Processes
   Springer
9. Forecasting with VAR Models
   Springer
10. Generalizations of Linear Time Series Models
    Springer
11. Integrated Processes
    Springer
12. Interpretation and Identification of VAR Models
    Springer
13. Introduction
    Springer
14. Introduction and Basic Theoretical Concepts
    Springer
15. Models of Volatility
    Springer
16. Spectral Analysis and Linear Filters
    Springer
17. State-Space Models and the Kalman Filter
    Springer
18. Stationary Time Series Models: Vector Autoregressive Moving-Average Processes (VARMA Processes)
    Springer

Editor

1. Swiss Journal of Economics and Statistics (SJES)
   Swiss Society of Economics and Statistics (SSES)