Details about Adrian Rodney Pagan
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
- 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
2023
- Investigating Cycle Anatomy
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
- Recovering Stars in Macroeconomics
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
Also in Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2023)
- 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 
Also in Working Papers, University of Sydney, School of Economics (2023)
2022
- 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 (2)
- Getting the ROC into Sync
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 
See also Journal Article Getting the ROC into Sync, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)
2020
- 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
- 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
- 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)
- Checking if the Straitjacket Fits
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (2)
- 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)
- 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)
- Turning point and oscillatory cycles
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (6)
2018
- 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 Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model, The Economic Record, The Economic Society of Australia (2018) View citations (8) (2018)
2017
- 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
- An Unintended Consequence of Using "Errors in Variables Shocks" in DSGE Models?
NCER Working Paper Series, National Centre for Econometric Research View citations (3)
- Investigating the Relationship Between DSGE and SVAR Models
NCER Working Paper Series, National Centre for Econometric Research View citations (3)
2015
- A New Method for Working With Sign Restrictions in SVARs
NCER Working Paper Series, National Centre for Econometric Research View citations (4)
2014
- Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables
EcoMod2014, EcoMod 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) View citations (17) (2016)
- Estimation and Solution of Models with Expectations and Structural Changes
Dynare Working Papers, CEPREMAP View citations (13)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (6) RBA Research Discussion Papers, Reserve Bank of Australia (2012) 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) View citations (46) (2017)
2013
- 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)
- 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 Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
- 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)
- Patterns and Their Uses
NCER Working Paper Series, National Centre for Econometric Research View citations (2)
2011
- Assessing Some Models of the Impact of Financial Stress upon Business Cycles
RBA Research Discussion Papers, Reserve Bank of Australia View citations (1)
- Econometric Analysis and Prediction of Recurrent Events
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in NCER Working Paper Series, National Centre for Econometric Research (2011) View citations (1)
2010
- 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)
- Can We Predict Recessions?
NCER Working Paper Series, National Centre for Econometric Research View citations (13)
- Sign Restrictions in Structural Vector Autoregressions: A Critical Review
NCER Working Paper Series, National Centre for Econometric Research View citations (21)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2010) View citations (16)
See also Journal Article Sign Restrictions in Structural Vector Autoregressions: A Critical Review, Journal of Economic Literature, American Economic Association (2011) View citations (548) (2011)
- Structural macro-econometric modelling in a policy environment
Research Working Paper, Federal Reserve Bank of Kansas City View citations (4)
Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009) View citations (1) NCER Working Paper Series, National Centre for Econometric Research (2009) View citations (1)
- 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 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) View citations (2) (2011)
2009
- 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 An Econometric Analysis of Some Models for Constructed Binary Time Series, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (24) (2011)
- Detecting Common Dynamics in Transitory Components
NCER Working Paper Series, National Centre for Econometric Research 
See also Journal Article Detecting Common Dynamics in Transitory Components, Journal of Time Series Econometrics, De Gruyter (2011) View citations (4) (2011)
2008
- A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation
IMF Working Papers, International Monetary Fund View citations (7)
- Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
Discussion Papers, School of Economics, The University of New South Wales 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) View citations (81) (2008)
- Extending an SVAR Model of the Australian Economy
NCER Working Paper Series, National Centre for Econometric Research View citations (7)
See also Journal Article Extending a SVAR Model of the Australian Economy, The Economic Record, The Economic Society of Australia (2009) View citations (33) (2009)
- 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 Limited information estimation and evaluation of DSGE models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (40) (2010)
- Monetary Transmission in an Emerging Targeter: The Case of Brazil
IMF Working Papers, International Monetary Fund View citations (24)
2007
- 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)
- 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 View citations (9)
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) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5)
- Some Issues in Using Sign Restrictions for Identifying Structural VARs
NCER Working Paper Series, National Centre for Econometric Research View citations (155)
- Weak Instruments: A Guide to the Literature
NCER Working Paper Series, National Centre for Econometric Research
2006
- ISSUES IN ADOPTING DSGE MODELS FOR USE IN THE POLICY PROCESS
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (13)
Also in Working Papers, Czech National Bank, Research and Statistics Department (2006) View citations (43)
- Inventories, Fluctuations and Business Cycles. Working paper #4
NCER Working Paper Series, National Centre for Econometric Research View citations (3)
- Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
NCER Working Paper Series, National Centre for Econometric Research View citations (9)
- Measurement of Business Cycles
Department of Economics - Working Papers Series, The University of Melbourne View citations (14)
- The Econometric Analysis of Constructed Binary Time Series
Department of Economics - Working Papers Series, The University of Melbourne View citations (8)
- The Econometric Analysis of Constructed Binary Time Series. Working paper #1
NCER Working Paper Series, National Centre for Econometric Research View citations (4)
2005
- 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 Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling, Journal of Econometrics, Elsevier (2007) View citations (22) (2007)
- 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)
- 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 (51)
2004
- 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 A suggested framework for classifying the modes of cycle research, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (7) (2005)
- 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)
- 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 Some methods for assessing the need for non-linear models in business cycle analysis, International Journal of Forecasting, Elsevier (2005) View citations (23) (2005)
- 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 Synchronization of cycles, Journal of Econometrics, Elsevier (2006) View citations (281) (2006)
2001
- Extracting, Using and Analysing Cyclical Information
MPRA Paper, University Library of Munich, Germany View citations (66)
2000
- Disecting the Cycle: A Methodological Investigation
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
See also Journal Article Dissecting the cycle: a methodological investigation, Journal of Monetary Economics, Elsevier (2002) View citations (1017) (2002)
1999
- Dissecting the Cycle
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (59)
- Knowing the Cycle
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (47)
- 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 The Getting of Macroeconomic Wisdom, International Economic Association Series, Palgrave Macmillan (2001) View citations (3) (2001)
- The Phillips Curve in Australia
RBA Research Discussion Papers, Reserve Bank of Australia View citations (110)
See also Journal Article The Phillips curve in Australia, Journal of Monetary Economics, Elsevier (1999) View citations (104) (1999)
1997
- Towards a Strucrural VAR Model of the Australian Economy
Working Papers, Australian National University - Department of Economics
1996
- Simulation Based Estimation of Some Factor Models in Econometrics
Department of Economics - Working Papers Series, The University of Melbourne View citations (4)
- 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)
- 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
- Modelling the Term Structure
Working Papers, Australian National University - Department of Economics View citations (63)
- 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) View citations (11) (1997)
- 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) View citations (51) (1998)
1994
- 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) View citations (32) (1995)
1991
- Testing for Heteroskedasticity
RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
1990
- ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (28)
- 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
- 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) View citations (1) (1993)
1989
- 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 (309)
See also Journal Article Alternative models for conditional stock volatility, Journal of Econometrics, Elsevier (1990) View citations (566) (1990)
1988
- 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)
- 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
- The Econometric Analysis of Risk Terms
CEPR Discussion Papers, C.E.P.R. Discussion Papers
1985
- Two Stage and Related Estimators and Their Applications
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
See also Journal Article Two Stage and Related Estimators and Their Applications, The Review of Economic Studies, Review of Economic Studies Ltd (1986) View citations (181) (1986)
- What Will Take the Con Out of Econometrics?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (102)
See also Journal Article What Will Take the Con out of Econometrics?, American Economic Review, American Economic Association (1985) View citations (98) (1985)
1983
- Diagnostic tests as residual analysis
Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (269)
1980
- 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) View citations (46) (1980)
- 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) View citations (2462) (1980)
Journal Articles
2025
- Cycles and their important shocks: completing the investigation
Macroeconomic Dynamics, 2025, 29, -
2024
- Getting the ROC into Sync
Journal of Business & Economic Statistics, 2024, 42, (1), 109-121 
See also Working Paper Getting the ROC into Sync, CAMA Working Papers (2022) (2022)
2022
- Excess shocks can limit the economic interpretation
European Economic Review, 2022, 145, (C) View citations (5)
- Three Basic Issues that Arise when Using Informational Restrictions in SVARs
Oxford Bulletin of Economics and Statistics, 2022, 84, (1), 1-20 View citations (2)
2021
- Turning point and oscillatory cycles: Concepts, measurement, and use
Journal of Economic Surveys, 2021, 35, (4), 977-1006 View citations (5)
2019
- Mardi Dungey: 11 December 1966 – 12 January 2019
The Economic and Labour Relations Review, 2019, 30, (2), 333-335
2018
- 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 Critically assessing estimated DSGE models: A case study of a multi-sector model, CAMA Working Papers (2018) View citations (10) (2018)
2017
- Estimation and Solution of Models with Expectations and Structural Changes
Journal of Applied Econometrics, 2017, 32, (2), 255-274 View citations (46)
See also Working Paper Estimation and Solution of Models with Expectations and Structural Changes, Dynare Working Papers (2014) View citations (13) (2014)
2016
- A Method for Working with Sign Restrictions in Structural Equation Modelling
Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 605-622 View citations (13)
- 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 (17)
See also Working Paper Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables, EcoMod2014 (2014) View citations (2) (2014)
- Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change
Econometric Reviews, 2016, 35, (7), 1251-1270 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) View citations (1) (2013)
2015
- Use '4Rs' criteria to assess papers
Nature, 2015, 522, (7554), 34-34 View citations (1)
2014
- Methods for assessing the impact of financial effects on business cycles in macroeconometric models
Journal of Macroeconomics, 2014, 41, (C), 94-106 View citations (13)
2013
- INVENTORIES, FLUCTUATIONS, AND GOODS SECTOR CYCLES
Macroeconomic Dynamics, 2013, 17, (1), 89-122 View citations (4)
2011
- An Econometric Analysis of Some Models for Constructed Binary Time Series
Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 View citations (24)
Also in Journal of Business & Economic Statistics, 2011, 29, (1), 86-95 (2011) View citations (25)
See also Working Paper An Econometric Analysis of Some Models for Constructed Binary Time Series, NCER Working Paper Series (2009) View citations (6) (2009)
- Detecting Common Dynamics in Transitory Components
Journal of Time Series Econometrics, 2011, 3, (1), 28 View citations (4)
See also Working Paper Detecting Common Dynamics in Transitory Components, NCER Working Paper Series (2009) (2009)
- Sign Restrictions in Structural Vector Autoregressions: A Critical Review
Journal of Economic Literature, 2011, 49, (4), 938-60 View citations (548)
See also Working Paper Sign Restrictions in Structural Vector Autoregressions: A Critical Review, NCER Working Paper Series (2010) View citations (21) (2010)
2010
- 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 Limited Information Estimation and Evaluation of DSGE Models, Reserve Bank of New Zealand Discussion Paper Series (2008) View citations (9) (2008)
2009
- Extending a SVAR Model of the Australian Economy
The Economic Record, 2009, 85, (268), 1-20 View citations (33)
See also Working Paper Extending an SVAR Model of the Australian Economy, NCER Working Paper Series (2008) View citations (7) (2008)
2008
- Econometric analysis of structural systems with permanent and transitory shocks
Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (81)
See also Working Paper Econometric Analysis of Structural Systems with Permanent and Transitory Shocks, Discussion Papers (2008) View citations (80) (2008)
- Phillips curve inflation forecasts - comments
Conference Series ; [Proceedings], 2008
2007
- Commentary on \\"An estimated DSGE model for the United Kingdom\\"
Review, 2007, 89, (Jul), 233-240 View citations (4)
- Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
Journal of Econometrics, 2007, 136, (2), 565-594 View citations (22)
See also Working Paper Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling, CAMA Working Papers (2005) View citations (3) (2005)
- Weak instruments (in Russian)
Quantile, 2007, (2), 71-81 View citations (1)
2006
- Synchronization of cycles
Journal of Econometrics, 2006, 132, (1), 59-79 View citations (281)
See also Working Paper Synchronization of cycles, CAMA Working Papers (2004) View citations (29) (2004)
2005
- A suggested framework for classifying the modes of cycle research
Journal of Applied Econometrics, 2005, 20, (2), 151-159 View citations (7)
Also in Journal of Applied Econometrics, 2005, 20, (2), 151-159 (2005) View citations (77)
See also Working Paper A suggested framework for classifying the modes of cycle research, CAMA Working Papers (2004) View citations (3) (2004)
- 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 (23)
See also Working Paper Some methods for assessing the need for non-linear models in business cycle analysis, CAMA Working Papers (2004) View citations (1) (2004)
2004
- Do Markov-switching models capture nonlinearities in the data?
Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 401-407 View citations (3)
- Testing for duration dependence in economic cycles
Econometrics Journal, 2004, 7, (2), 528-549 View citations (39)
- The Econometrics of the New Keynesian Policy Model: Introduction
Oxford Bulletin of Economics and Statistics, 2004, 66, (s1), 581-607 View citations (44)
2003
- A comparison of two business cycle dating methods
Journal of Economic Dynamics and Control, 2003, 27, (9), 1681-1690 View citations (175)
- A simple framework for analysing bull and bear markets
Journal of Applied Econometrics, 2003, 18, (1), 23-46 View citations (283)
- Rejoinder to James Hamilton
Journal of Economic Dynamics and Control, 2003, 27, (9), 1695-1698 View citations (30)
- Specification Testing of Markov Switching Models*
Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 703-725 View citations (44)
2002
- Dissecting the cycle: a methodological investigation
Journal of Monetary Economics, 2002, 49, (2), 365-381 View citations (1017)
See also Working Paper Disecting the Cycle: A Methodological Investigation, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (2) (2000)
- Learning About Models and Their Fit to Data
International Economic Journal, 2002, 16, (2), 1-18 View citations (18)
- 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
- 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
- A Structural VAR Model of the Australian Economy
The Economic Record, 2000, 76, (235), 321-342 View citations (133)
- A multivariate latent factor decomposition of international bond yield spreads
Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations (99)
1999
- Some uses of simulation in econometrics
Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 341-349 View citations (4)
- The Phillips curve in Australia
Journal of Monetary Economics, 1999, 44, (2), 223-258 View citations (104)
See also Working Paper The Phillips Curve in Australia, RBA Research Discussion Papers (1999) View citations (110) (1999)
1998
- Shocking Stories
Journal of Economic Surveys, 1998, 12, (5), 507-532 View citations (29)
- 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)
- Structural Models Of The Liquidity Effect
The Review of Economics and Statistics, 1998, 80, (2), 202-217 View citations (51)
See also Working Paper Structural Models of the Liquidity Effect, Working Papers (1995) View citations (13) (1995)
1997
- Estimating The Density Tail Index For Financial Time Series
The Review of Economics and Statistics, 1997, 79, (2), 171-175 View citations (82)
- Policy, Theory, and the Cycle
Oxford Review of Economic Policy, 1997, 13, (3), 19-33 View citations (18)
- Seasonal integration and the evolving seasonals model
International Journal of Forecasting, 1997, 13, (3), 329-340 View citations (11)
See also Working Paper Seasonal Integration and the Evolving Seasonals Model, Working Papers (1995) View citations (1) (1995)
- Towards an Understanding of Some Business Cycle Characteristics
Australian Economic Review, 1997, 30, (1), 1-15 View citations (39)
1996
- The econometrics of financial markets
Journal of Empirical Finance, 1996, 3, (1), 15-102 View citations (357)
1995
- 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 Resolving the Liquidity Effect, Working Papers (1994) View citations (35) (1994)
1994
- Calibration and Econometric Research: An Overview: Introduction
Journal of Applied Econometrics, 1994, 9, (S), S1-10 View citations (11)
1993
- Australian Stock Market Volatility: 1875–1987*
The Economic Record, 1993, 69, (2), 163-178 View citations (1)
See also Working Paper USTRALIAN STOCK MARKET VOLATILITY: 1875-1987, RCER Working Papers (1990) View citations (1) (1990)
1992
- Consistency tests for heteroskedastic and risk models
Estudios Económicos, 1992, 7, (1), 3-30 View citations (12)
1991
- On the inconsistency of the MLE in certain heteroskedastic regression models
Estudios Económicos, 1991, 6, (2), 159-172 View citations (2)
1990
- Alternative models for conditional stock volatility
Journal of Econometrics, 1990, 45, (1-2), 267-290 View citations (566)
See also Working Paper ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY, Working Papers (1989) View citations (15) (1989)
- 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
- Testing for covariance stationarity in stock market data
Economics Letters, 1990, 33, (2), 165-170 View citations (49)
1989
- A Survey of Some Recent Econometric Methods
Economic Journal, 1989, 99, (398), 962-1025 View citations (35)
- Diagnostic Tests for Models Based on Individual Data: A Survey
Journal of Applied Econometrics, 1989, 4, (S), S29-59 View citations (184)
- On the role of simulation in the statistical evaluation of econometric models
Journal of Econometrics, 1989, 40, (1), 125-139 View citations (13)
- 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
- A note on the magnitude of risk premia
Journal of International Money and Finance, 1988, 7, (1), 109-110 View citations (4)
- Comment on Poirier: Dogma or Doubt?
Journal of Economic Perspectives, 1988, 2, (1), 153-58
- Some Simulation Studies of Nonparametric Estimators
Empirical Economics, 1988, 13, (3/4), 251-66 View citations (2)
See also Working Paper SOME SIMULATION STUDIES OF NON-PARAMETRIC ESTIMATORS, RCER Working Papers (1988) (1988)
- The Econometric Analysis of Models with Risk Terms
Journal of Applied Econometrics, 1988, 3, (2), 87-105 View citations (169)
1987
- How Reliable are ORANI Conclusions?
The Economic Record, 1987, 63, (1), 33-45 View citations (16)
- Three Econometric Methodologies: A Critical Appraisal
Journal of Economic Surveys, 1987, 1, (1), 3-24 View citations (83)
1986
- A further result on the sign of restricted least-squares estimates
Journal of Econometrics, 1986, 32, (2), 287-290 View citations (3)
- Two Stage and Related Estimators and Their Applications
The Review of Economic Studies, 1986, 53, (4), 517-538 View citations (181)
See also Working Paper Two Stage and Related Estimators and Their Applications, Cowles Foundation Discussion Papers (1985) (1985)
1985
- Time Series Behaviour and Dynamic Specification
Oxford Bulletin of Economics and Statistics, 1985, 47, (3), 199-211 View citations (10)
- What Will Take the Con out of Econometrics?
American Economic Review, 1985, 75, (3), 293-307 View citations (98)
See also Working Paper What Will Take the Con Out of Econometrics?, CEPR Discussion Papers (1985) View citations (102) (1985)
1984
- Econometric Issues in the Analysis of Regressions with Generated Regressors
International Economic Review, 1984, 25, (1), 221-47 View citations (1305)
- Estimating predictions, prediction errors and their standard deviations using constructed variables
Journal of Econometrics, 1984, 24, (3), 293-310 View citations (4)
1983
- Assessing the Variability of Inflation
The Review of Economic Studies, 1983, 50, (4), 585-596 View citations (67)
- Heteroscedasticity in Models with Lagged Dependent Variables
Econometrica, 1983, 51, (4), 1233-42 View citations (26)
- WHO'S AFRAID OF INFLATION?
Economic Papers, 1983, 2, (4), 79-93
1981
- The LIML and Related Estimators of an Equation with Moving Average Disturbances
International Economic Review, 1981, 22, (3), 719-30 View citations (5)
1980
- Some identification and estimation results for regression models with stochastically varying coefficients
Journal of Econometrics, 1980, 13, (3), 341-363 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)
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
The Review of Economic Studies, 1980, 47, (1), 239-253 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
- A Short‐Run Econometric Model of the Japanese Wool Textile Industry
The Economic Record, 1979, 55, (4), 317-327
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
Econometrica, 1979, 47, (5), 1287-94 View citations (1201)
- Some consequences of viewing LIML as an iterated Aitken estimator
Economics Letters, 1979, 3, (4), 369-372 View citations (24)
1978
- Rational and polynomial lags: The finite connection
Journal of Econometrics, 1978, 8, (2), 247-254
1977
- Specification of the Disturbance for Efficient Estimation-An Extended Analysis
Econometrica, 1977, 45, (1), 211-17 View citations (3)
1976
- Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
The Review of Economic Studies, 1976, 43, (3), 383-387 View citations (1)
1975
- A Note on the Extraction of Components from Time Series
Econometrica, 1975, 43, (1), 163-68 View citations (10)
- Optimal Control of Econometric Models with Autocorrelated Disturbance Terms
International Economic Review, 1975, 16, (1), 258-63 View citations (1)
- 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
- A Generalised Approach to the Treatment of Autocorrelation
Australian Economic Papers, 1974, 13, (23), 267-80 View citations (34)
1973
- Econometric studies of macro and monetary relations: A.A. Powell and R.A. Williams (eds.), (North-Holland Publ. Co., Amsterdam, 1973) viii+358 pp. ($18.75)
Journal of Econometrics, 1973, 1, (4), 402-403 View citations (1)
- Efficient estimation of models with composite disturbance terms
Journal of Econometrics, 1973, 1, (4), 329-340 View citations (1)
Books
2016
- The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
Economics Books, Princeton University Press View citations (32)
2008
- CNB Economic Research Bulletin: Inflation Targeting and DSGE Models, vol 6
Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department
- The Theory of Economic Policy
Cambridge Books, Cambridge University Press
1999
- Nonparametric Econometrics
Cambridge Books, Cambridge University Press View citations (635)
Also in Cambridge Books, Cambridge University Press (1999) View citations (635)
Chapters
2016
- Overview
A chapter in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance, 2016
2011
- 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 The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach, Central Bank of Chile (2010) View citations (5) (2010)
2001
- 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) View citations (5) (1999)
1995
- Final Discussion
A chapter in Productivity and Growth, 1995
1993
- A Perspective
A chapter in The Exchange Rate, International Trade and the Balance of Payments, 1993
1984
- Dynamic specification
Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations (152)
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