Details about Adrian Rodney Pagan

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) National Centre for Econometric Research (NCER), (more information at EDIRC) Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

Access statistics for papers by Adrian Rodney Pagan.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: ppa222

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Working Papers

2023

1. Investigating Cycle Anatomy
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
2. To Boost or Not to Boost? That is the Question
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2022

3. Discovering Stars: Problems in Recovering Latent Variables from Models
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
4. Getting the ROC into Sync
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2020

5. Three questions regarding impulse responses and their interpretation found from sign restrictions
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
6. Too Many Shocks Spoil the Interpretation
   Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (4)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (4)

2019

7. Australian macro-econometric models and their construction - A short history
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (7)
8. Checking if the Straitjacket Fits
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (2)
9. Implications of Partial Information for Applied Macroeconomic Modelling
   Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (3)
10. Implications of partial information for econometric modeling of macroeconomic systems
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
11. Turning point and oscillatory cycles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (5)

2018

12. Critically assessing estimated DSGE models: A case study of a multi-sector model
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (10)
    See also Journal Article in The Economic Record (2018)

2017

13. Some consequences of using "measurement error shocks" when estimating time series models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)

2016

14. An Unintended Consequence of Using "Errors in Variables Shocks" in DSGE Models?
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
15. Investigating the Relationship Between DSGE and SVAR Models
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)

2015

16. A New Method for Working With Sign Restrictions in SVARs
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)

2014

17. Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables
    EcoMod2014, EcoMod View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2016)
18. Estimation and Solution of Models with Expectations and Structural Changes
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (6)
    Also in Dynare Working Papers, CEPREMAP (2014) View citations (12)
    RBA Research Discussion Papers, Reserve Bank of Australia (2012) View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2017)

2013

19. Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2013) View citations (1)
20. Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
    Also in RBA Research Discussion Papers, Reserve Bank of Australia (2013) View citations (1)
    See also Journal Article in Econometric Reviews (2016)
21. Macro-Econometric System Modelling @75
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
    Also in NCER Working Paper Series, National Centre for Econometric Research View citations (4)
22. Patterns and Their Uses
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)

2011

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

2010

25. Can Turkish Recessions Be Predicted?
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (2)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) View citations (2)
26. Can We Predict Recessions?
    NCER Working Paper Series, National Centre for Econometric Research View citations (12)
27. 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 View citations (16)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) View citations (21)
    See also Journal Article in Journal of Economic Literature (2011)
28. Structural macro-econometric modelling in a policy environment
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (4)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2009) View citations (1)
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009) View citations (1)
29. The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach
    Working Papers Central Bank of Chile, Central Bank of Chile View citations (5)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) View citations (4)
    See also Chapter (2011)

2009

30. An Econometric Analysis of Some Models for Constructed Binary Time Series
    NCER Working Paper Series, National Centre for Econometric Research View citations (6)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009) View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
31. Detecting Common Dynamics in Transitory Components
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article in Journal of Time Series Econometrics (2011)

2008

32. A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation
    IMF Working Papers, International Monetary Fund View citations (7)
33. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
    Discussion Papers, School of Economics, The University of New South Wales View citations (75)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
34. Extending an SVAR Model of the Australian Economy
    NCER Working Paper Series, National Centre for Econometric Research View citations (7)
    See also Journal Article in The Economic Record (2009)
35. Limited Information Estimation and Evaluation of DSGE Models
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2010)
36. Monetary Transmission in an Emerging Targeter: The Case of Brazil
    IMF Working Papers, International Monetary Fund View citations (24)

2007

37. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)
38. On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (5)
    Also in CESifo Working Paper Series, CESifo (2007) View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (9)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (9)
39. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research View citations (152)
40. Weak Instruments: A Guide to the Literature
    NCER Working Paper Series, National Centre for Econometric Research

2006

41. 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 View citations (13)
    Also in Working Papers, Czech National Bank (2006) View citations (43)
42. Inventories, Fluctuations and Business Cycles. Working paper #4
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
43. Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
    NCER Working Paper Series, National Centre for Econometric Research View citations (9)
44. Measurement of Business Cycles
    Department of Economics - Working Papers Series, The University of Melbourne View citations (14)
45. The Econometric Analysis of Constructed Binary Time Series
    Department of Economics - Working Papers Series, The University of Melbourne View citations (8)
46. The Econometric Analysis of Constructed Binary Time Series. Working paper #1
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)

2005

47. Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (1)
    See also Journal Article in Journal of Econometrics (2007)
48. 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 View citations (8)
49. 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 View citations (49)

2004

50. A suggested framework for classifying the modes of cycle research
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2005)
51. Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (3)
52. Some methods for assessing the need for non-linear models in business cycle analysis
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    See also Journal Article in International Journal of Forecasting (2005)
53. Synchronization of cycles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (29)
    See also Journal Article in Journal of Econometrics (2006)

2001

54. Extracting, Using and Analysing Cyclical Information
    MPRA Paper, University Library of Munich, Germany View citations (64)

2000

55. Disecting the Cycle: A Methodological Investigation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
    See also Journal Article in Journal of Monetary Economics (2002)

1999

56. Dissecting the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (60)
57. Knowing the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (47)
58. The Getting of Macroeconomic Wisdom
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University View citations (5)
    See also Chapter (2001)
59. The Phillips Curve in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia View citations (110)
    See also Journal Article in Journal of Monetary Economics (1999)

1997

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

1996

61. Simulation Based Estimation of Some Factor Models in Econometrics
    Department of Economics - Working Papers Series, The University of Melbourne View citations (4)
62. 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 View citations (2)
63. The Shann Memorial Lecture, 1996: The Rise and Fall and Rise...of The Business Cycle
    Economics Discussion / Working Papers, The University of Western Australia, Department of Economics View citations (1)

1995

64. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (63)
65. Seasonal Integration and the Evolving Seasonals Model
    Working Papers, Australian National University - Department of Economics View citations (1)
    See also Journal Article in International Journal of Forecasting (1997)
66. Structural Models of the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (13)
    See also Journal Article in The Review of Economics and Statistics (1998)

1994

67. Resolving the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (35)
    See also Journal Article in Proceedings (1995)

1991

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

1990

69. ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (28)
70. 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
71. USTRALIAN STOCK MARKET VOLATILITY: 1875-1987
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
    See also Journal Article in The Economic Record (1993)

1989

72. ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY
    Working Papers, Rochester, Business - General View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (310)
    See also Journal Article in Journal of Econometrics (1990)

1988

73. 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)
74. 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

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

1985

76. Two Stage and Related Estimators and Their Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Review of Economic Studies (1986)
77. What Will Take the Con Out of Econometrics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (99)
    See also Journal Article in American Economic Review (1985)

1983

78. Diagnostic tests as residual analysis
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (266)

1980

79. Some identification and estimation results for regression models with stochastically varying coefficients
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (38)
    See also Journal Article in Journal of Econometrics (1980)
80. The Lagrange multiplier test and its applications to model specification in econometrics
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1782)
    See also Journal Article in Review of Economic Studies (1980)

Journal Articles

2022

1. Excess shocks can limit the economic interpretation
   European Economic Review, 2022, 145, (C) View citations (2)
2. Three Basic Issues that Arise when Using Informational Restrictions in SVARs
   Oxford Bulletin of Economics and Statistics, 2022, 84, (1), 1-20

2021

3. Turning point and oscillatory cycles: Concepts, measurement, and use
   Journal of Economic Surveys, 2021, 35, (4), 977-1006 View citations (5)

2019

4. Mardi Dungey: 11 December 1966 – 12 January 2019
   The Economic and Labour Relations Review, 2019, 30, (2), 333-335

2018

5. Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model
   The Economic Record, 2018, 94, (307), 349-371 View citations (8)
   See also Working Paper (2018)

2017

6. Estimation and Solution of Models with Expectations and Structural Changes
   Journal of Applied Econometrics, 2017, 32, (2), 255-274 View citations (38)
   See also Working Paper (2014)

2016

7. A Method for Working with Sign Restrictions in Structural Equation Modelling
   Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 605-622 View citations (12)
8. Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables
   Journal of Applied Econometrics, 2016, 31, (5), 892-911 View citations (14)
   See also Working Paper (2014)
9. Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change
   Econometric Reviews, 2016, 35, (7), 1251-1270
   See also Working Paper (2013)

2015

10. Use '4Rs' criteria to assess papers
    Nature, 2015, 522, (7554), 34-34 View citations (1)

2014

11. Methods for assessing the impact of financial effects on business cycles in macroeconometric models
    Journal of Macroeconomics, 2014, 41, (C), 94-106 View citations (12)

2013

12. INVENTORIES, FLUCTUATIONS, AND GOODS SECTOR CYCLES
    Macroeconomic Dynamics, 2013, 17, (1), 89-122 View citations (3)

2011

13. An Econometric Analysis of Some Models for Constructed Binary Time Series
    Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 View citations (25)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 (2011) View citations (24)
    See also Working Paper (2009)
14. Detecting Common Dynamics in Transitory Components
    Journal of Time Series Econometrics, 2011, 3, (1), 1-28 View citations (4)
    See also Working Paper (2009)
15. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    Journal of Economic Literature, 2011, 49, (4), 938-60 View citations (508)
    See also Working Paper (2010)

2010

16. Limited information estimation and evaluation of DSGE models
    Journal of Applied Econometrics, 2010, 25, (1), 55-70 View citations (40)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 55-70 (2010) View citations (4)
    See also Working Paper (2008)

2009

17. Extending a SVAR Model of the Australian Economy
    The Economic Record, 2009, 85, (268), 1-20 View citations (30)
    See also Working Paper (2008)

2008

18. Econometric analysis of structural systems with permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (76)
    See also Working Paper (2008)
19. Phillips curve inflation forecasts - comments
    Conference Series ; [Proceedings], 2008

2007

20. Commentary on \\"An estimated DSGE model for the United Kingdom\\"
    Review, 2007, 89, (Jul), 233-240 View citations (4)
21. Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
    Journal of Econometrics, 2007, 136, (2), 565-594 View citations (21)
    See also Working Paper (2005)
22. Weak instruments (in Russian)
    Quantile, 2007, (2), 71-81 View citations (1)

2006

23. Synchronization of cycles
    Journal of Econometrics, 2006, 132, (1), 59-79 View citations (275)
    See also Working Paper (2004)

2005

24. A suggested framework for classifying the modes of cycle research
    Journal of Applied Econometrics, 2005, 20, (2), 151-159 View citations (75)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 151-159 (2005) View citations (5)
    See also Working Paper (2004)
25. 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 (22)
    See also Working Paper (2004)

2004

26. Do Markov-switching models capture nonlinearities in the data?
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 401-407 View citations (3)
27. Testing for duration dependence in economic cycles
    Econometrics Journal, 2004, 7, (2), 528-549 View citations (38)
28. The Econometrics of the New Keynesian Policy Model: Introduction
    Oxford Bulletin of Economics and Statistics, 2004, 66, (s1), 581-607 View citations (44)

2003

29. A comparison of two business cycle dating methods
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1681-1690 View citations (171)
30. A simple framework for analysing bull and bear markets
    Journal of Applied Econometrics, 2003, 18, (1), 23-46 View citations (269)
31. Rejoinder to James Hamilton
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1695-1698 View citations (28)
32. Specification Testing of Markov Switching Models*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 703-725 View citations (42)

2002

33. Dissecting the cycle: a methodological investigation
    Journal of Monetary Economics, 2002, 49, (2), 365-381 View citations (980)
    See also Working Paper (2000)
34. Learning About Models and Their Fit to Data
    International Economic Journal, 2002, 16, (2), 1-18 View citations (18)
35. What is a good macroeconomic model for a central bank to use? panel discussion
    Proceedings, 2002, (Mar)
    Also in Proceedings, 2002, (Mar) (2002) View citations (3)

2001

36. 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 View citations (2)

2000

37. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-342 View citations (127)
38. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations (99)

1999

39. Some uses of simulation in econometrics
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 341-349 View citations (4)
40. The Phillips curve in Australia
    Journal of Monetary Economics, 1999, 44, (2), 223-258 View citations (103)
    See also Working Paper (1999)

1998

41. Shocking Stories
    Journal of Economic Surveys, 1998, 12, (5), 507-532 View citations (29)
42. Some experiments in constructing a hybrid model for macroeconomic analysis
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 113-142 View citations (7)
43. Structural Models Of The Liquidity Effect
    The Review of Economics and Statistics, 1998, 80, (2), 202-217 View citations (51)
    See also Working Paper (1995)

1997

44. Estimating The Density Tail Index For Financial Time Series
    The Review of Economics and Statistics, 1997, 79, (2), 171-175 View citations (82)
45. Policy, Theory, and the Cycle
    Oxford Review of Economic Policy, 1997, 13, (3), 19-33 View citations (18)
46. Seasonal integration and the evolving seasonals model
    International Journal of Forecasting, 1997, 13, (3), 329-340 View citations (11)
    See also Working Paper (1995)
47. Towards an Understanding of Some Business Cycle Characteristics
    Australian Economic Review, 1997, 30, (1), 1-15 View citations (39)

1996

48. The econometrics of financial markets
    Journal of Empirical Finance, 1996, 3, (1), 15-102 View citations (356)

1995

49. Resolving the liquidity effect
    Proceedings, 1995, (May), 33-54 View citations (32)
    Also in Review, 1995, (May), 33-54 (1995) View citations (28)
    See also Working Paper (1994)

1994

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

1993

51. Australian Stock Market Volatility: 1875–1987*
    The Economic Record, 1993, 69, (2), 163-178 View citations (1)
    See also Working Paper (1990)

1992

52. Consistency tests for heteroskedastic and risk models
    Estudios Económicos, 1992, 7, (1), 3-30 View citations (12)

1991

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

1990

54. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 View citations (558)
    See also Working Paper (1989)
55. 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, (2), 273-281
56. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 View citations (49)

1989

57. A Survey of Some Recent Econometric Methods
    Economic Journal, 1989, 99, (398), 962-1025 View citations (35)
58. Diagnostic Tests for Models Based on Individual Data: A Survey
    Journal of Applied Econometrics, 1989, 4, (S), S29-59 View citations (184)
59. On the role of simulation in the statistical evaluation of econometric models
    Journal of Econometrics, 1989, 40, (1), 125-139 View citations (13)
60. Post-Sample Prediction Tests for Generalized Method of Moments Estimators
    Oxford Bulletin of Economics and Statistics, 1989, 51, (3), 333-43 View citations (25)
    See also Working Paper (1988)

1988

61. A note on the magnitude of risk premia
    Journal of International Money and Finance, 1988, 7, (1), 109-110 View citations (4)
62. Comment on Poirier: Dogma or Doubt?
    Journal of Economic Perspectives, 1988, 2, (1), 153-58
63. Some Simulation Studies of Nonparametric Estimators
    Empirical Economics, 1988, 13, (3/4), 251-66 View citations (2)
    See also Working Paper (1988)
64. The Econometric Analysis of Models with Risk Terms
    Journal of Applied Econometrics, 1988, 3, (2), 87-105 View citations (169)

1987

65. How Reliable are ORANI Conclusions?
    The Economic Record, 1987, 63, (1), 33-45 View citations (16)
66. Three Econometric Methodologies: A Critical Appraisal
    Journal of Economic Surveys, 1987, 1, (1), 3-24 View citations (81)

1986

67. A further result on the sign of restricted least-squares estimates
    Journal of Econometrics, 1986, 32, (2), 287-290 View citations (3)
68. Two Stage and Related Estimators and Their Applications
    Review of Economic Studies, 1986, 53, (4), 517-538 View citations (179)
    See also Working Paper (1985)

1985

69. Time Series Behaviour and Dynamic Specification
    Oxford Bulletin of Economics and Statistics, 1985, 47, (3), 199-211 View citations (10)
70. What Will Take the Con out of Econometrics?
    American Economic Review, 1985, 75, (3), 293-307 View citations (95)
    See also Working Paper (1985)

1984

71. Econometric Issues in the Analysis of Regressions with Generated Regressors
    International Economic Review, 1984, 25, (1), 221-47 View citations (1275)
72. Estimating predictions, prediction errors and their standard deviations using constructed variables
    Journal of Econometrics, 1984, 24, (3), 293-310 View citations (4)

1983

73. Assessing the Variability of Inflation
    Review of Economic Studies, 1983, 50, (4), 585-596 View citations (67)
74. Heteroscedasticity in Models with Lagged Dependent Variables
    Econometrica, 1983, 51, (4), 1233-42 View citations (26)
75. WHO'S AFRAID OF INFLATION?
    Economic Papers, 1983, 2, (4), 79-93

1981

76. The LIML and Related Estimators of an Equation with Moving Average Disturbances
    International Economic Review, 1981, 22, (3), 719-30 View citations (5)

1980

77. Some identification and estimation results for regression models with stochastically varying coefficients
    Journal of Econometrics, 1980, 13, (3), 341-363 View citations (43)
    See also Working Paper (1980)
78. The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
    Review of Economic Studies, 1980, 47, (1), 239-253 View citations (2115)
    See also Working Paper (1980)

1979

79. A Short‐Run Econometric Model of the Japanese Wool Textile Industry
    The Economic Record, 1979, 55, (4), 317-327
80. A Simple Test for Heteroscedasticity and Random Coefficient Variation
    Econometrica, 1979, 47, (5), 1287-94 View citations (1088)
81. Some consequences of viewing LIML as an iterated Aitken estimator
    Economics Letters, 1979, 3, (4), 369-372 View citations (24)

1978

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

1977

83. Specification of the Disturbance for Efficient Estimation-An Extended Analysis
    Econometrica, 1977, 45, (1), 211-17 View citations (3)

1976

84. Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
    Review of Economic Studies, 1976, 43, (3), 383-387 View citations (1)

1975

85. A Note on the Extraction of Components from Time Series
    Econometrica, 1975, 43, (1), 163-68 View citations (10)
86. Optimal Control of Econometric Models with Autocorrelated Disturbance Terms
    International Economic Review, 1975, 16, (1), 258-63 View citations (1)
87. The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
    International Economic Review, 1975, 16, (1), 113-34 View citations (10)

1974

88. A Generalised Approach to the Treatment of Autocorrelation
    Australian Economic Papers, 1974, 13, (23), 267-80 View citations (34)

1973

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

Books

2016

1. The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
   Economics Books, Princeton University Press View citations (31)

2008

2. CNB Economic Research Bulletin: Inflation Targeting and DSGE Models, vol 6
   Occasional Publications - Edited Volumes, Czech National Bank
3. The Theory of Economic Policy
   Cambridge Books, Cambridge University Press

1999

4. Nonparametric Econometrics
   Cambridge Books, Cambridge University Press View citations (629)
   Also in Cambridge Books, Cambridge University Press (1999) View citations (629)

Chapters

2016

1. Overview
   A chapter in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance, 2016

2011

2. 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 View citations (2)
   See also Working Paper (2010)

2001

3. The Getting of Macroeconomic Wisdom
   Palgrave Macmillan View citations (3)
   See also Working Paper (1999)

1995

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

1993

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

1984

6. Dynamic specification
   Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations (150)