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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)
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 2024-07-09. Update your information in the RePEc Author Service.

Short-id: ppa222


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Working Papers

2024

  1. Re-Examining What We Can Learn About Counterfactual Results from Time Series Regression
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2023

  1. Investigating Cycle Anatomy
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
  2. Recovering Stars in Macroeconomics
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    Also in Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2023) Downloads
  3. 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 Downloads
    Also in Working Papers, University of Sydney, School of Economics (2023) Downloads

2022

  1. 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 Downloads View citations (2)
  2. Getting the ROC into Sync
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article Getting the ROC into Sync, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) Downloads (2024)

2020

  1. 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 Downloads
  2. Too Many Shocks Spoil the Interpretation
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (4)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) Downloads View citations (4)

2019

  1. 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 Downloads View citations (7)
  2. Checking if the Straitjacket Fits
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) Downloads View citations (2)
  3. 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 Downloads View citations (3)
  4. 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 Downloads View citations (3)
  5. Turning point and oscillatory cycles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (6)

2018

  1. 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 Downloads View citations (10)
    See also Journal Article Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model, The Economic Record, The Economic Society of Australia (2018) Downloads View citations (8) (2018)

2017

  1. 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 Downloads View citations (3)

2016

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

2015

  1. A New Method for Working With Sign Restrictions in SVARs
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (4)

2014

  1. Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables
    EcoMod2014, EcoMod Downloads View citations (2)
    See also Journal Article Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (17) (2016)
  2. Estimation and Solution of Models with Expectations and Structural Changes
    Dynare Working Papers, CEPREMAP Downloads View citations (13)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) Downloads View citations (6)
    RBA Research Discussion Papers, Reserve Bank of Australia (2012) Downloads View citations (10)

    See also Journal Article Estimation and Solution of Models with Expectations and Structural Changes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (46) (2017)

2013

  1. Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (1)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2013) Downloads View citations (1)
  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 View citations (1)
    Also in RBA Research Discussion Papers, Reserve Bank of Australia (2013) Downloads View citations (1)

    See also Journal Article Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change, Econometric Reviews, Taylor & Francis Journals (2016) Downloads View citations (1) (2016)
  3. Macro-Econometric System Modelling @75
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    Also in NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (4)
  4. Patterns and Their Uses
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (2)

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
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2011) Downloads View citations (1)

2010

  1. Can Turkish Recessions Be Predicted?
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (2)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads View citations (2)
  2. Can We Predict Recessions?
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (13)
  3. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (21)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2010) Downloads View citations (16)

    See also Journal Article Sign Restrictions in Structural Vector Autoregressions: A Critical Review, Journal of Economic Literature, American Economic Association (2011) Downloads View citations (548) (2011)
  4. Structural macro-econometric modelling in a policy environment
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (4)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009) Downloads View citations (1)
    NCER Working Paper Series, National Centre for Econometric Research (2009) Downloads View citations (1)
  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 (5)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) Downloads View citations (4)

    See also Chapter The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2011) Downloads View citations (2) (2011)

2009

  1. An Econometric Analysis of Some Models for Constructed Binary Time Series
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (6)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009) Downloads View citations (5)

    See also Journal Article An Econometric Analysis of Some Models for Constructed Binary Time Series, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) Downloads View citations (24) (2011)
  2. Detecting Common Dynamics in Transitory Components
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article Detecting Common Dynamics in Transitory Components, Journal of Time Series Econometrics, De Gruyter (2011) Downloads View citations (4) (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 (7)
  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 (80)
    See also Journal Article Econometric analysis of structural systems with permanent and transitory shocks, Journal of Economic Dynamics and Control, Elsevier (2008) Downloads View citations (81) (2008)
  3. Extending an SVAR Model of the Australian Economy
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (7)
    See also Journal Article Extending a SVAR Model of the Australian Economy, The Economic Record, The Economic Society of Australia (2009) Downloads View citations (33) (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 (9)
    See also Journal Article Limited information estimation and evaluation of DSGE models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (40) (2010)
  5. Monetary Transmission in an Emerging Targeter: The Case of Brazil
    IMF Working Papers, International Monetary Fund Downloads View citations (24)

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 View citations (4)
  2. On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (9)
    Also in CESifo Working Paper Series, CESifo (2007) Downloads View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (9)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) Downloads View citations (5)
  3. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (155)
  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 (13)
    Also in Working Papers, Czech National Bank, Research and Statistics Department (2006) Downloads View citations (43)
  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 (9)
  4. Measurement of Business Cycles
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (14)
  5. The Econometric Analysis of Constructed Binary Time Series
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (8)
  6. The Econometric Analysis of Constructed Binary Time Series. Working paper #1
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (4)

2005

  1. 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 Downloads View citations (3)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) Downloads View citations (1)

    See also Journal Article Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling, Journal of Econometrics, Elsevier (2007) Downloads View citations (22) (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 View citations (8)
  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 (51)

2004

  1. 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 Downloads View citations (3)
    See also Journal Article A suggested framework for classifying the modes of cycle research, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) Downloads View citations (7) (2005)
  2. 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)
  3. 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 Downloads View citations (1)
    See also Journal Article Some methods for assessing the need for non-linear models in business cycle analysis, International Journal of Forecasting, Elsevier (2005) Downloads View citations (23) (2005)
  4. Synchronization of cycles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (29)
    See also Journal Article Synchronization of cycles, Journal of Econometrics, Elsevier (2006) Downloads View citations (281) (2006)

2001

  1. Extracting, Using and Analysing Cyclical Information
    MPRA Paper, University Library of Munich, Germany Downloads View citations (66)

2000

  1. Disecting the Cycle: A Methodological Investigation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (2)
    See also Journal Article Dissecting the cycle: a methodological investigation, Journal of Monetary Economics, Elsevier (2002) Downloads View citations (1017) (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 (59)
  2. Knowing the Cycle
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (47)
  3. The Getting of Macroeconomic Wisdom
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University Downloads View citations (5)
    See also Chapter The Getting of Macroeconomic Wisdom, International Economic Association Series, Palgrave Macmillan (2001) View citations (3) (2001)
  4. The Phillips Curve in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads View citations (110)
    See also Journal Article The Phillips curve in Australia, Journal of Monetary Economics, Elsevier (1999) Downloads View citations (104) (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 (4)
  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 View citations (2)
  3. 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 Downloads View citations (1)

1995

  1. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (63)
  2. Seasonal Integration and the Evolving Seasonals Model
    Working Papers, Australian National University - Department of Economics View citations (1)
    See also Journal Article Seasonal integration and the evolving seasonals model, International Journal of Forecasting, Elsevier (1997) Downloads View citations (11) (1997)
  3. Structural Models of the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (13)
    See also Journal Article Structural Models Of The Liquidity Effect, The Review of Economics and Statistics, MIT Press (1998) Downloads View citations (51) (1998)

1994

  1. Resolving the Liquidity Effect
    Working Papers, Australian National University - Department of Economics View citations (35)
    See also Journal Article Resolving the liquidity effect, Proceedings, Federal Reserve Bank of St. Louis (1995) Downloads View citations (32) (1995)

1991

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

1990

  1. ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (28)
  2. 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
  3. USTRALIAN STOCK MARKET VOLATILITY: 1875-1987
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
    See also Journal Article Australian Stock Market Volatility: 1875–1987*, The Economic Record, The Economic Society of Australia (1993) Downloads View citations (1) (1993)

1989

  1. 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) Downloads View citations (309)

    See also Journal Article Alternative models for conditional stock volatility, Journal of Econometrics, Elsevier (1990) Downloads View citations (566) (1990)

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 Post-Sample Prediction Tests for Generalized Method of Moments Estimators, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1989) View citations (25) (1989)
  2. SOME SIMULATION STUDIES OF NON-PARAMETRIC ESTIMATORS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
    See also Journal Article Some Simulation Studies of Nonparametric Estimators, Empirical Economics, Springer (1988) View citations (2) (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 Two Stage and Related Estimators and Their Applications, The Review of Economic Studies, Review of Economic Studies Ltd (1986) Downloads View citations (181) (1986)
  2. What Will Take the Con Out of Econometrics?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (102)
    See also Journal Article What Will Take the Con out of Econometrics?, American Economic Review, American Economic Association (1985) Downloads View citations (98) (1985)

1983

  1. Diagnostic tests as residual analysis
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (269)

1980

  1. 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 (41)
    See also Journal Article Some identification and estimation results for regression models with stochastically varying coefficients, Journal of Econometrics, Elsevier (1980) Downloads View citations (46) (1980)
  2. 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 (2130)
    See also Journal Article The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics, The Review of Economic Studies, Review of Economic Studies Ltd (1980) Downloads View citations (2462) (1980)

Journal Articles

2025

  1. Cycles and their important shocks: completing the investigation
    Macroeconomic Dynamics, 2025, 29, - Downloads

2024

  1. Getting the ROC into Sync
    Journal of Business & Economic Statistics, 2024, 42, (1), 109-121 Downloads
    See also Working Paper Getting the ROC into Sync, CAMA Working Papers (2022) Downloads (2022)

2022

  1. Excess shocks can limit the economic interpretation
    European Economic Review, 2022, 145, (C) Downloads View citations (5)
  2. Three Basic Issues that Arise when Using Informational Restrictions in SVARs
    Oxford Bulletin of Economics and Statistics, 2022, 84, (1), 1-20 Downloads View citations (2)

2021

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

2019

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

2018

  1. Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model
    The Economic Record, 2018, 94, (307), 349-371 Downloads View citations (8)
    See also Working Paper Critically assessing estimated DSGE models: A case study of a multi-sector model, CAMA Working Papers (2018) Downloads View citations (10) (2018)

2017

  1. Estimation and Solution of Models with Expectations and Structural Changes
    Journal of Applied Econometrics, 2017, 32, (2), 255-274 Downloads View citations (46)
    See also Working Paper Estimation and Solution of Models with Expectations and Structural Changes, Dynare Working Papers (2014) Downloads View citations (13) (2014)

2016

  1. A Method for Working with Sign Restrictions in Structural Equation Modelling
    Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 605-622 Downloads View citations (13)
  2. Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables
    Journal of Applied Econometrics, 2016, 31, (5), 892-911 Downloads View citations (17)
    See also Working Paper Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables, EcoMod2014 (2014) Downloads View citations (2) (2014)
  3. Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change
    Econometric Reviews, 2016, 35, (7), 1251-1270 Downloads View citations (1)
    See also Working Paper Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change, NCER Working Paper Series (2013) Downloads View citations (1) (2013)

2015

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

2014

  1. Methods for assessing the impact of financial effects on business cycles in macroeconometric models
    Journal of Macroeconomics, 2014, 41, (C), 94-106 Downloads View citations (13)

2013

  1. INVENTORIES, FLUCTUATIONS, AND GOODS SECTOR CYCLES
    Macroeconomic Dynamics, 2013, 17, (1), 89-122 Downloads View citations (4)

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 (24)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 (2011) Downloads View citations (25)

    See also Working Paper An Econometric Analysis of Some Models for Constructed Binary Time Series, NCER Working Paper Series (2009) Downloads View citations (6) (2009)
  2. Detecting Common Dynamics in Transitory Components
    Journal of Time Series Econometrics, 2011, 3, (1), 28 Downloads View citations (4)
    See also Working Paper Detecting Common Dynamics in Transitory Components, NCER Working Paper Series (2009) Downloads (2009)
  3. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    Journal of Economic Literature, 2011, 49, (4), 938-60 Downloads View citations (548)
    See also Working Paper Sign Restrictions in Structural Vector Autoregressions: A Critical Review, NCER Working Paper Series (2010) Downloads View citations (21) (2010)

2010

  1. Limited information estimation and evaluation of DSGE models
    Journal of Applied Econometrics, 2010, 25, (1), 55-70 Downloads View citations (40)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 55-70 (2010) Downloads View citations (4)

    See also Working Paper Limited Information Estimation and Evaluation of DSGE Models, Reserve Bank of New Zealand Discussion Paper Series (2008) Downloads View citations (9) (2008)

2009

  1. Extending a SVAR Model of the Australian Economy
    The Economic Record, 2009, 85, (268), 1-20 Downloads View citations (33)
    See also Working Paper Extending an SVAR Model of the Australian Economy, NCER Working Paper Series (2008) Downloads View citations (7) (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 (81)
    See also Working Paper Econometric Analysis of Structural Systems with Permanent and Transitory Shocks, Discussion Papers (2008) Downloads View citations (80) (2008)
  2. Phillips curve inflation forecasts - comments
    Conference Series ; [Proceedings], 2008 Downloads

2007

  1. Commentary on \\"An estimated DSGE model for the United Kingdom\\"
    Review, 2007, 89, (Jul), 233-240 Downloads View citations (4)
  2. Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
    Journal of Econometrics, 2007, 136, (2), 565-594 Downloads View citations (22)
    See also Working Paper Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling, CAMA Working Papers (2005) Downloads View citations (3) (2005)
  3. Weak instruments (in Russian)
    Quantile, 2007, (2), 71-81 Downloads View citations (1)

2006

  1. Synchronization of cycles
    Journal of Econometrics, 2006, 132, (1), 59-79 Downloads View citations (281)
    See also Working Paper Synchronization of cycles, CAMA Working Papers (2004) Downloads View citations (29) (2004)

2005

  1. A suggested framework for classifying the modes of cycle research
    Journal of Applied Econometrics, 2005, 20, (2), 151-159 Downloads View citations (7)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 151-159 (2005) Downloads View citations (77)

    See also Working Paper A suggested framework for classifying the modes of cycle research, CAMA Working Papers (2004) Downloads View citations (3) (2004)
  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 (23)
    See also Working Paper Some methods for assessing the need for non-linear models in business cycle analysis, CAMA Working Papers (2004) Downloads View citations (1) (2004)

2004

  1. Do Markov-switching models capture nonlinearities in the data?
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 401-407 Downloads View citations (3)
  2. Testing for duration dependence in economic cycles
    Econometrics Journal, 2004, 7, (2), 528-549 View citations (39)
  3. The Econometrics of the New Keynesian Policy Model: Introduction
    Oxford Bulletin of Economics and Statistics, 2004, 66, (s1), 581-607 Downloads View citations (44)

2003

  1. A comparison of two business cycle dating methods
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1681-1690 Downloads View citations (175)
  2. A simple framework for analysing bull and bear markets
    Journal of Applied Econometrics, 2003, 18, (1), 23-46 Downloads View citations (283)
  3. Rejoinder to James Hamilton
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1695-1698 Downloads View citations (30)
  4. Specification Testing of Markov Switching Models*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 703-725 Downloads View citations (44)

2002

  1. Dissecting the cycle: a methodological investigation
    Journal of Monetary Economics, 2002, 49, (2), 365-381 Downloads View citations (1017)
    See also Working Paper Disecting the Cycle: A Methodological Investigation, Econometric Society World Congress 2000 Contributed Papers (2000) Downloads View citations (2) (2000)
  2. Learning About Models and Their Fit to Data
    International Economic Journal, 2002, 16, (2), 1-18 Downloads View citations (18)
  3. What is a good macroeconomic model for a central bank to use? panel discussion
    Proceedings, 2002, (Mar) Downloads
    Also in Proceedings, 2002, (Mar) (2002) Downloads View citations (3)

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 (2)

2000

  1. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-342 Downloads View citations (133)
  2. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 Downloads View citations (99)

1999

  1. Some uses of simulation in econometrics
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 341-349 Downloads View citations (4)
  2. The Phillips curve in Australia
    Journal of Monetary Economics, 1999, 44, (2), 223-258 Downloads View citations (104)
    See also Working Paper The Phillips Curve in Australia, RBA Research Discussion Papers (1999) Downloads View citations (110) (1999)

1998

  1. Shocking Stories
    Journal of Economic Surveys, 1998, 12, (5), 507-532 Downloads View citations (29)
  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 (7)
  3. Structural Models Of The Liquidity Effect
    The Review of Economics and Statistics, 1998, 80, (2), 202-217 Downloads View citations (51)
    See also Working Paper Structural Models of the Liquidity Effect, Working Papers (1995) View citations (13) (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 (82)
  2. Policy, Theory, and the Cycle
    Oxford Review of Economic Policy, 1997, 13, (3), 19-33 View citations (18)
  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 Seasonal Integration and the Evolving Seasonals Model, Working Papers (1995) View citations (1) (1995)
  4. Towards an Understanding of Some Business Cycle Characteristics
    Australian Economic Review, 1997, 30, (1), 1-15 Downloads View citations (39)

1996

  1. The econometrics of financial markets
    Journal of Empirical Finance, 1996, 3, (1), 15-102 Downloads View citations (357)

1995

  1. Resolving the liquidity effect
    Proceedings, 1995, (May), 33-54 Downloads View citations (32)
    Also in Review, 1995, (May), 33-54 (1995) Downloads View citations (28)

    See also Working Paper Resolving the Liquidity Effect, Working Papers (1994) View citations (35) (1994)

1994

  1. Calibration and Econometric Research: An Overview: Introduction
    Journal of Applied Econometrics, 1994, 9, (S), S1-10 Downloads View citations (11)

1993

  1. Australian Stock Market Volatility: 1875–1987*
    The Economic Record, 1993, 69, (2), 163-178 Downloads View citations (1)
    See also Working Paper USTRALIAN STOCK MARKET VOLATILITY: 1875-1987, RCER Working Papers (1990) View citations (1) (1990)

1992

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

1991

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

1990

  1. Alternative models for conditional stock volatility
    Journal of Econometrics, 1990, 45, (1-2), 267-290 Downloads View citations (566)
    See also Working Paper ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY, Working Papers (1989) View citations (15) (1989)
  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, (2), 273-281 Downloads
  3. Testing for covariance stationarity in stock market data
    Economics Letters, 1990, 33, (2), 165-170 Downloads View citations (49)

1989

  1. A Survey of Some Recent Econometric Methods
    Economic Journal, 1989, 99, (398), 962-1025 Downloads View citations (35)
  2. Diagnostic Tests for Models Based on Individual Data: A Survey
    Journal of Applied Econometrics, 1989, 4, (S), S29-59 Downloads View citations (184)
  3. On the role of simulation in the statistical evaluation of econometric models
    Journal of Econometrics, 1989, 40, (1), 125-139 Downloads View citations (13)
  4. 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 POST-SAMPLE PREDICTION TESTS FOR GENERALIZED METHOD OF MOMENT ESTIMATORS, RCER Working Papers (1988) View citations (1) (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 (4)
  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 View citations (2)
    See also Working Paper SOME SIMULATION STUDIES OF NON-PARAMETRIC ESTIMATORS, RCER Working Papers (1988) (1988)
  4. The Econometric Analysis of Models with Risk Terms
    Journal of Applied Econometrics, 1988, 3, (2), 87-105 Downloads View citations (169)

1987

  1. How Reliable are ORANI Conclusions?
    The Economic Record, 1987, 63, (1), 33-45 Downloads View citations (16)
  2. Three Econometric Methodologies: A Critical Appraisal
    Journal of Economic Surveys, 1987, 1, (1), 3-24 View citations (83)

1986

  1. A further result on the sign of restricted least-squares estimates
    Journal of Econometrics, 1986, 32, (2), 287-290 Downloads View citations (3)
  2. Two Stage and Related Estimators and Their Applications
    The Review of Economic Studies, 1986, 53, (4), 517-538 Downloads View citations (181)
    See also Working Paper Two Stage and Related Estimators and Their Applications, Cowles Foundation Discussion Papers (1985) Downloads (1985)

1985

  1. Time Series Behaviour and Dynamic Specification
    Oxford Bulletin of Economics and Statistics, 1985, 47, (3), 199-211 View citations (10)
  2. What Will Take the Con out of Econometrics?
    American Economic Review, 1985, 75, (3), 293-307 Downloads View citations (98)
    See also Working Paper What Will Take the Con Out of Econometrics?, CEPR Discussion Papers (1985) Downloads View citations (102) (1985)

1984

  1. Econometric Issues in the Analysis of Regressions with Generated Regressors
    International Economic Review, 1984, 25, (1), 221-47 Downloads View citations (1305)
  2. Estimating predictions, prediction errors and their standard deviations using constructed variables
    Journal of Econometrics, 1984, 24, (3), 293-310 Downloads View citations (4)

1983

  1. Assessing the Variability of Inflation
    The Review of Economic Studies, 1983, 50, (4), 585-596 Downloads View citations (67)
  2. Heteroscedasticity in Models with Lagged Dependent Variables
    Econometrica, 1983, 51, (4), 1233-42 Downloads View citations (26)
  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 (5)

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 (46)
    See also Working Paper Some identification and estimation results for regression models with stochastically varying coefficients, LIDAM Reprints CORE (1980) View citations (41) (1980)
  2. The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
    The Review of Economic Studies, 1980, 47, (1), 239-253 Downloads View citations (2462)
    See also Working Paper The Lagrange multiplier test and its applications to model specification in econometrics, LIDAM Reprints CORE (1980) View citations (2130) (1980)

1979

  1. A Short‐Run Econometric Model of the Japanese Wool Textile Industry
    The Economic Record, 1979, 55, (4), 317-327 Downloads
  2. A Simple Test for Heteroscedasticity and Random Coefficient Variation
    Econometrica, 1979, 47, (5), 1287-94 Downloads View citations (1201)
  3. Some consequences of viewing LIML as an iterated Aitken estimator
    Economics Letters, 1979, 3, (4), 369-372 Downloads View citations (24)

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 View citations (3)

1976

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

1975

  1. A Note on the Extraction of Components from Time Series
    Econometrica, 1975, 43, (1), 163-68 Downloads View citations (10)
  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 (10)

1974

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

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

2016

  1. The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
    Economics Books, Princeton University Press View citations (32)

2008

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

1999

  1. Nonparametric Econometrics
    Cambridge Books, Cambridge University Press View citations (635)
    Also in Cambridge Books, Cambridge University Press (1999) View citations (635)

Chapters

2016

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

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 View citations (2)
    See also Working Paper The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach, Central Bank of Chile (2010) Downloads View citations (5) (2010)

2001

  1. The Getting of Macroeconomic Wisdom
    Palgrave Macmillan View citations (3)
    See also Working Paper The Getting of Macroeconomic Wisdom, Centre for Economic Policy Research, Research School of Economics, Australian National University (1999) Downloads View citations (5) (1999)

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 (152)
 
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