Details about Michael R. Wickens

Workplace:

Department of Economics and Related Studies, University of York, (more information at EDIRC) Centre for Economic Policy Research (CEPR), (more information at EDIRC) Economics Section, Cardiff Business School, Cardiff University, (more information at EDIRC) CESifo, (more information at EDIRC)

Access statistics for papers by Michael R. Wickens.

Last updated 2022-10-29. Update your information in the RePEc Author Service.

Short-id: pwi163

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Working Papers

2024

1. Does the Fiscal Theory of the Price Level explain US postwar behaviour?
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2021

2. Estimating macro models and the potentially misleading nature of Bayesian estimation
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)
3. The eurozone: what is to be done?
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)

2018

4. Testing DSGE Models by indirect inference: a survey of recent findings
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (3)
5. The small sample properties of Indirect Inference in testing and estimating DSGE models
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)

2016

6. Comparing different data descriptors in Indirect Inference tests on DSGE models
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (12)
7. Testing part of a DSGE model by Indirect Inference
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
8. What is the truth about DSGE models? Testing by indirect inference
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)

2015

9. Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
10. Small sample performance of indirect inference on DSGE models
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (3)
11. Testing macro models by indirect inference: a survey for users
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)

2014

12. How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in Discussion Papers, Department of Economics, University of York (2014) View citations (3)
13. Revisiting the Great Moderation: policy or luck?
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2013

14. A Monte Carlo procedure for checking identification in DSGE models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2013) View citations (9)
15. How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    See also Journal Article How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings, Journal of Macroeconomics, Elsevier (2014) View citations (9) (2014)
16. Is the UK triple-A?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
17. Sovereign credit ratings in the European Union: a model-based fiscal analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
18. What do the Fama-French Factors Add to C-CAPM?
    CESifo Working Paper Series, CESifo View citations (10)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (10)
    See also Journal Article What do the Fama–French factors add to C-CAPM?, Journal of Empirical Finance, Elsevier (2013) View citations (8) (2013)

2012

19. How Useful are DSGE Macroeconomic Models for Forecasting?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article How Useful are DSGE Macroeconomic Models for Forecasting?, Open Economies Review, Springer (2014) View citations (31) (2014)
20. Modelling the U.S. sovereign credit rating
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Modelling the U.S. sovereign credit rating, Journal of Banking & Finance, Elsevier (2014) View citations (10) (2014)
21. Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2012) View citations (29)
22. Testing macroeconomic models by indirect inference on unfiltered data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2012) View citations (21)

2011

23. A DSGE model of banks and financial intermediation with default risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
24. How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (141)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
    See also Journal Article How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (132) (2011)

2010

25. Some Problems in the Testing of DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2009)
26. Why crises happen - nonstationary macroeconomics
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (10)

2009

27. The 'Puzzles' Methodology: en route to Indirect Inference?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2009) View citations (3)
    CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis (2009) View citations (4)
    See also Journal Article The 'Puzzles' methodology: En route to Indirect Inference?, Economic Modelling, Elsevier (2010) View citations (10) (2010)
28. The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article The equity premium and the business cycle: the role of demand and supply shocks, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (7) (2010)
29. Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (12)
    See also Journal Article Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference, Open Economies Review, Springer (2010) View citations (16) (2010)

2008

30. Optimal Monetary Policy using a VAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
31. Testing a DSGE Model of the EU Using Indirect Inference
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2008) View citations (5)
    See also Journal Article Testing a DSGE Model of the EU Using Indirect Inference, Open Economies Review, Springer (2009) View citations (15) (2009)

2007

32. Is the Euro Sustainable?
    Discussion Papers, Department of Economics, University of York View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (5)
33. Measuring the Fiscal Stance
    Discussion Papers, Department of Economics, University of York View citations (9)
34. The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)
    Discussion Papers, Department of Economics, University of York

2006

35. THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    Also in Discussion Papers, Department of Economics, University of York (2006) View citations (1)
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations (1)
36. The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting?
    CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis View citations (6)

2005

37. Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
38. Measuring Fiscal Sustainability
    CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (13)

2004

39. Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group
40. Macroeconomic Sources of Risk in the Term Structure
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    Also in CESifo Working Paper Series, CESifo (2004)
    See also Journal Article Macroeconomic Sources of Risk in the Term Structure, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (22) (2007)

2003

41. Microeconomic Sources of Equity Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Discussion Papers, Department of Economics, University of York View citations (10)

2002

42. Macroeconomic Influences on Optimal Asset Allocation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Macroeconomic influences on optimal asset allocation, Review of Financial Economics, Elsevier (2003) View citations (6) (2003)
43. Macroeconomic Sources of FOREX Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)

2001

44. A Risk Management Approach to Optimal Asset Allocation
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (8)
    Also in Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (1998) View citations (11)

2000

45. Global Asset Allocation with Time-varying Risk
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (3)

1998

46. Optimal International Asset Allocation and Home Bias
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth View citations (1)
47. What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    Also in Staff Reports, Federal Reserve Bank of New York (1998) View citations (9)

1997

48. Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (19)
    Also in Research Paper, Federal Reserve Bank of New York (1996) View citations (31)
    See also Journal Article Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2000) View citations (71) (2000)

1995

49. Forecasting Inflation from the Term Structure
    Discussion Papers, University of Exeter, Department of Economics View citations (1)
    See also Journal Article Forecasting inflation from the term structure, Journal of Empirical Finance, Elsevier (1996) View citations (36) (1996)

1994

50. The Persistence in Volatility of the US Term Premium 1970-1986
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article The persistence in volatility of the US term premium 1970-1986, Economics Letters, Elsevier (1995) View citations (16) (1995)
51. The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence
    Discussion Papers, University of Exeter, Department of Economics View citations (1)
    Also in Discussion Papers, Department of Economics, University of York View citations (1)

1991

52. Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

1990

53. National Insolvency: A Test of the US Intertemporal Budget Constraint
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

1989

54. EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT
    Cahiers de recherche, Université Laval - Département d'économique
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1989)
55. International CAPM: Why Has it Failed?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
56. Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1987

57. Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (53)
58. Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1986

59. The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

1984

60. An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1986) View citations (10) (1986)
61. Rational Expectations and Exchange Rate Dynamics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

Undated

62. A Cross Section of Equity Returns: The No-Arbitrage Test
    Discussion Papers, Department of Economics, University of York
63. An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York View citations (4)
64. Asset Pricing with Observable Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York View citations (42)
65. Consumption, Size and Book-to-Market Ratio in Equity Returns
    Discussion Papers, Department of Economics, University of York
    See also Journal Article What do the Fama–French factors add to C-CAPM?, Journal of Empirical Finance, Elsevier (2013) View citations (8) (2013)
66. Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market
    Discussion Papers, Department of Economics, University of York View citations (12)
67. Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems
    Discussion Papers, Department of Economics, University of York
    See also Journal Article Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1997) View citations (9) (1997)
68. Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure
    Discussion Papers, Department of Economics, University of York View citations (1)

Journal Articles

2014

1. How Useful are DSGE Macroeconomic Models for Forecasting?
   Open Economies Review, 2014, 25, (1), 171-193 View citations (31)
   See also Working Paper How Useful are DSGE Macroeconomic Models for Forecasting?, CEPR Discussion Papers (2012) View citations (4) (2012)
2. How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings
   Journal of Macroeconomics, 2014, 39, (PB), 364-374 View citations (9)
   See also Working Paper How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings, CEPR Discussion Papers (2013) View citations (8) (2013)
3. Modelling the U.S. sovereign credit rating
   Journal of Banking & Finance, 2014, 46, (C), 202-218 View citations (10)
   See also Working Paper Modelling the U.S. sovereign credit rating, CEPR Discussion Papers (2012) View citations (1) (2012)
4. Papers in Honor of Patrick Minford
   Open Economies Review, 2014, 25, (1), 1-2

2013

5. What do the Fama–French factors add to C-CAPM?
   Journal of Empirical Finance, 2013, 22, (C), 113-127 View citations (8)
   See also Working Paper What do the Fama-French Factors Add to C-CAPM?, CESifo Working Paper Series (2013) View citations (10) (2013)
   Working Paper Consumption, Size and Book-to-Market Ratio in Equity Returns, Discussion Papers

2012

6. A model-based indicator of the fiscal stance
   European Economic Review, 2012, 56, (3), 526-551 View citations (37)
7. Optimal monetary policy using an unrestricted VAR
   Journal of Applied Econometrics, 2012, 27, (4), 525-553 View citations (10)

2011

8. How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
   Journal of Economic Dynamics and Control, 2011, 35, (12), 2078-2104 View citations (132)
   See also Working Paper How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference, Cardiff Economics Working Papers (2011) View citations (141) (2011)

2010

9. Is the Euro the Success that Everyone Seems to Think?
   Open Economies Review, 2010, 21, (1), 183-185 View citations (3)
10. Some Unpleasant Consequences of EMU
    Open Economies Review, 2010, 21, (3), 351-364 View citations (3)
11. The 'Puzzles' methodology: En route to Indirect Inference?
    Economic Modelling, 2010, 27, (6), 1417-1428 View citations (10)
    See also Working Paper The 'Puzzles' Methodology: en route to Indirect Inference?, CEPR Discussion Papers (2009) View citations (1) (2009)
12. The equity premium and the business cycle: the role of demand and supply shocks
    International Journal of Finance & Economics, 2010, 15, (2), 134-152 View citations (7)
    See also Working Paper The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks, CEPR Discussion Papers (2009) View citations (1) (2009)
13. Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference
    Open Economies Review, 2010, 21, (1), 23-44 View citations (16)
    See also Working Paper Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference, Cardiff Economics Working Papers (2009) View citations (10) (2009)
14. What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1
    CESifo Economic Studies, 2010, 56, (4), 536-553 View citations (8)

2009

15. Testing a DSGE Model of the EU Using Indirect Inference
    Open Economies Review, 2009, 20, (4), 435-471 View citations (15)
    See also Working Paper Testing a DSGE Model of the EU Using Indirect Inference, CEPR Discussion Papers (2008) View citations (5) (2008)

2007

16. Macroeconomic Sources of Risk in the Term Structure
    Journal of Money, Credit and Banking, 2007, 39, (1), 205-236 View citations (22)
    See also Working Paper Macroeconomic Sources of Risk in the Term Structure, CEIS Research Paper (2004) View citations (2) (2004)

2006

17. Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework
    International Journal of Finance & Economics, 2006, 11, (3), 261-277 View citations (2)
18. OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME‐VARYING RISK
    Scottish Journal of Political Economy, 2006, 53, (5), 543-564 View citations (6)
19. The Bank of England's Monetary Policy Committee
    National Institute Economic Review, 2006, 196, (1), 77-91

2003

20. Macroeconomic influences on optimal asset allocation
    Review of Financial Economics, 2003, 12, (2), 207-231 View citations (6)
    See also Working Paper Macroeconomic Influences on Optimal Asset Allocation, CEPR Discussion Papers (2002) View citations (3) (2002)

2001

21. Estimating shocks and impulse response functions
    Journal of Applied Econometrics, 2001, 16, (3), 371-387 View citations (30)

2000

22. Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (2), 197-222 View citations (71)
    See also Working Paper Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis, CEPR Discussion Papers (1997) View citations (19) (1997)

1998

23. A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests
    International Journal of Finance & Economics, 1998, 3, (3), 229-39 View citations (19)

1997

24. A Comparative Study of Modelling the Demand for Food in the United States and the Netherlands: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 608-10
25. Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure
    Journal of Money, Credit and Banking, 1997, 29, (3), 364-80 View citations (87)
26. Measuring Economic Convergence
    International Journal of Finance & Economics, 1997, 2, (2), 131-43 View citations (18)
27. Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems
    Oxford Bulletin of Economics and Statistics, 1997, 59, (1), 5-27 View citations (9)
    See also Working Paper Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems, Discussion Papers
28. The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 523-27

1996

29. Forecasting inflation from the term structure
    Journal of Empirical Finance, 1996, 3, (1), 103-122 View citations (36)
    See also Working Paper Forecasting Inflation from the Term Structure, Discussion Papers (1995) View citations (1) (1995)
30. Interpreting cointegrating vectors and common stochastic trends
    Journal of Econometrics, 1996, 74, (2), 255-271 View citations (97)

1995

31. Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics
    Economic Journal, 1995, 105, (433), 1637-48 View citations (11)
32. The persistence in volatility of the US term premium 1970-1986
    Economics Letters, 1995, 49, (4), 381-389 View citations (16)
    See also Working Paper The Persistence in Volatility of the US Term Premium 1970-1986, Discussion Papers (1994) (1994)

1994

33. Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?
    Economic Journal, 1994, 104, (423), 303-15 View citations (43)

1993

34. The sustainability of current account deficits: A test of the US intertemporal budget constraint
    Journal of Economic Dynamics and Control, 1993, 17, (3), 423-441 View citations (82)

1992

35. Measuring Convergence of the EC Economies
    The Manchester School of Economic & Social Studies, 1992, 60, 99-111 View citations (49)

1990

36. The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987
    Econometric Theory, 1990, 6, (1), 103-106

1989

37. A Survey of Some Recent Econometric Methods
    Economic Journal, 1989, 99, (398), 962-1025 View citations (35)

1987

38. Dynamic Specification, the Long-run and the Estimation of Transformed
    Economic Journal, 1987, 98, (390), 189-205 View citations (3)

1986

39. An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate
    Journal of Applied Econometrics, 1986, 1, (2), 143-62 View citations (10)
    See also Working Paper An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate, CEPR Discussion Papers (1984) View citations (2) (1984)

1984

40. Stochastic Life Cycle Theory with Varying Interest Rates and Prices
    Economic Journal, 1984, 94, (376a), 133-47 View citations (6)

1983

41. Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation?
    Journal of Post Keynesian Economics, 1983, 5, (3), 397-413 View citations (5)

1982

42. A simple derivation of the limited information maximum likelihood estimator
    Economics Letters, 1982, 10, (3-4), 277-283 View citations (6)

1973

43. The Econometrics of Agricultural Supply: An Application to the World Coffee Market
    The Review of Economics and Statistics, 1973, 55, (4), 433-40 View citations (23)

1972

44. A Note on the Use of Proxy Variables
    Econometrica, 1972, 40, (4), 759-61 View citations (49)

1970

45. Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960
    The Review of Economics and Statistics, 1970, 52, (2), 187-93 View citations (2)

1969

46. The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors
    Econometrica, 1969, 37, (4), 651-59 View citations (2)

Chapters

2008

1. Asset Pricing and Macroeconomics, from Macroeconomic Theory: A Dynamic General Equilibrium Approach
   A chapter in Macroeconomic Theory: A Dynamic General Equilibrium Approach, 2008 View citations (36)
2. Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach
   A chapter in Macroeconomic Theory: A Dynamic General Equilibrium Approach, 2008 View citations (36)
3. The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach
   A chapter in Macroeconomic Theory: A Dynamic General Equilibrium Approach, 2008 View citations (40)
   Also in A chapter in Macroeconomic Theory: A Dynamic General Equilibrium Approach, 2008 (2008) View citations (38)