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CIMF publications archive 1

CIMF Publications Archive:

Author

Publication Title

Year

Assenmacher-Wesche K & Pesaran M H

A VECX* Model of the Swiss Economy

2008

Assenmacher-Wesche K & Pesaran MH

Forecasting the Swiss Economy Using VECX* Models

2008

Breitung J & Pesaran MH

Unit Roots and Cointegration in Panels

2008

Geweke J, Horowitz J & Pesaran MH

Econometrics

2008

Hansen S, Pesaran MH & Schuermann T

Firm heterogeneity and Credit Risk evaluation

2008

Harvey A & Busetti F

Testing for trend

2008

Harvey A & Delle Monache D

Computing the Mean Square Error of Unobserved Components Extracted by Misspecified Time Series Models

2008

Hsiao C & Pesaran MH

Random Coefficient Models

2008

Pesaran MH & Pick A

Forecasting Random Walks Under Drift Instability

2008

Pesaran MH & Yamagata T

Testing Slope Homogeneity In Large Panels

2008

Pesaran MH & Pagan A

Econometric Analysis of Structural Systems with Permanent and Transitory Shocks

2008

Pesaran MH & Zaffaroni P

Optimal Asset Allocation with Factor Models for Large Portfolios

2008

Pesaran MH, Dupleich MR & Ulloa D

Non-tested hypotheses

2008

Pesaran MH, Ullah A & Yamagata T

A Bias-Adjusted LM Test of Error Cross Section Independence

2008

Pesaran MH, Smith LV & Yamagata T

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

2008

Aslam A & Corrado L

CWPE 0717: No Man is an Island

2007

Busetti F & Harvey A

Tests of time-invariance

2007

Carceles-Poveda E & Giannitsarou C

Adaptive learning in practice

2007

Chudik A & Pesaran MH

Infinite Dimensional VARs and Factor Models

2007

Corrado L, Miller M & Zhang L

Bulls, Bears and Excess Volatility

2007

Cuaresma J C & Doppelhofer G

Nonlinearities in cross-country growth regressions

2007

Dees S, Holly S , Pesaran M H & Smith LV

Long Run Macroeconomic Relations in the Global Economy

2007

Dhyne E, Fuss C, Pesaran MH & Sevestre P

Lumpy Price Adjustments

2007

Doppelhofer G & Weeks M

Jointness of Growth Determinants

2007

eRossi G & Harvey A

Quantiles, Expectiles and Splines

2007

Evans GW & Honkapohja S

The E-Correspondence Principle

2007

Evans GW, Honkapohja S & Marimon R

Stable Sunspot Equilibria in a Cash-in-Advance Economy

2007

Giannitsarou C

Balanced Budget Rules and Aggregate Instability

2007

Harvey A, Busetti F & Fabiani S

Convergence of prices and rates of inflation

2007

Harvey A, Busetti F, Forni L & Vendetti F

Inflation convergence and divergence within the European Monetary Union

2007

Harvey A, Carvalho V & Trimbur T

A note on common cycles, common trends and convergence

2007

Harvey A, Trimbur TM & Van Dijk HK

Cyclical components in economic time series

2007

Pesaran B & Pesaran MH

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution

2007

Pesaran MH

A Simple Panel Unit Root Test In The Presence Of Cross Section Dependence

2007

Pesaran MH

A Pair-Wise Approach to Testing for Output and Growth Convergence

2007

Pesaran MH & Kapetanios G

Alternative Approaches To Estimation And Inference In Large Multifactor Panels , The Refinement of Econometric Estimation and Test Procedures

2007

Pesaran MH & Pick A

Econometric Issues in the Analysis of Contagion

2007

Pesaran MH & Timmermann A

Selection Of Estimation Window In The Presence Of Breaks

2007

Pesaran MH & Tosseti E

Large Panels with Common Factors and Spatial Correlations

2007

Pesaran MH, Smith LV & Smith RP

What if the UK or Sweden had Joined the Euro in 1999? An Empirical Evaluation using a Global VAR

2007

Pesaran MH, Dees S , Di Mauro F, Smith LV

Exploring the International Linkages of the Euro Area

2007

Pesaran MH, Pettenuzzo D & Timmermann A

Learning, Structural Instability And Present Value Calculations

2007

Sancetta A

Weak Convergence of Laws on RK with Common Marginals

2007

Sancetta A

Sample Covariance Shrinkage for High Dimensional Dependent Data

2007

Sancetta A

Online Forecast Combinations of Distributions

2007

Sancetta A

Nonparametric Estimation of Distributions with Given Marginals via Bernstein-Kantorovich Polynomials

2007

Sancetta A & Satchell SE

Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines

2007

Chadha J & Corrado L

Sunspots and Monetary Policy

2006

Chadha J S & Holly S

Macroeconomic Models and the Yield Curve

2006

Corrado L & Holly S

The Linearisation and Optimal Control of Large Non-linear Rational Expectations Models by Persistent Excitation

2006

Corrado L & Weeks M

The Identification of regional Convergence Clusters

2006

DeRossi G & Harvey A

Time-Varying Quantiles

2006

Geweke J, Horowitz J & Pesaran MH

Econometrics, the New Palgrave Dictionary, Second Edition

2006

Giannitsarou C

Supply-side reforms and learning dynamics

2006

Harvey A & De Rossi G

Signal Extraction

2006

Harvey A, Elliot G, Granger C & Timmermann A

Forecasting with Unobserved Components Time Series Models

2006

Meissner CM & Oomes N

Why Do Countries Peg the Way They Peg? The Determinants of Anchor Currency Choice

2006

Pesaran MH

Estimation And Inference In Large Heterogeneous Panels With A Multifactor Error Structure

2006

Pesaran MH & Smith R

Macroeconometric Modelling with a Global Perspective

2006

Pesaran MH & Weale M

Survey Expectations

2006

Pesaran MH, Pettenuzzo D & Timmermann A

Macroeconomic Dynamics and Credit Risk; a Global Perspective

2006

Pesaran MH, Pettenuzzo D & Timmermann A

Forecasting Time Series Subject To Multiple Structural Breaks

2006

Sancetta A

CWPE 0638: Nonparametric Density Shrinkage

2006

Sancetta A

CWPE 0637: Sample Covariance Shrinkage for High Dimensional Dependent Data

2006

Bhattacharjee A & Holly S

CWPE 0530: Inflation Targeting, Committee Decision Making and Uncertainty

2005

Bullard J, Evans G W & Honkapohja S

Near-Rational Exuberance

2005

Carvalho VM & Harvey AC

Convergence in the trends and cycles of Euro Zone income

2005

Coe P J, Pesaran MH & Vahey S

The Cost Effectiveness Of The UK's Sovereign Debt Portfolio

2005

Corrado L, Martin R & Weeks M

Identifying and Interpreting Regional Convergence Clusters across Europe

2005

Dees S, Di Mauro F, Pesaran MH & Smith V

CWPE 0518: Exploring the International Linkages of the Euro Area

2005

Doppelhofer G & Weeks M

CWPE 0542: Jointness of Determinants of Economic Growth

2005

Evans GW & Honkapohja S

Monetary Policy, Expectations and Commitment

2005

Giannitsarou C

E-Stability Does not Imply Learnibility , Macroeconomic Dynamics

2005

Harvey A & Carvalho VM

Growth, cycles and convergence in US regional time series

2005

Harvey A, Trimbur T & Van Dijk H

Trends and Cycles in Economic Time Series

2005

Honkapohja S

Problems in Inflation Targeting Based on Constant Interest Rate Projections

2005

Honkapohja S & Evans GW

Policy Interaction, Learning and the Fiscal Theory of Prices

2005

Honkapohja S & Mitra K

Learning Stability in Economies with Heterogeneous Agents

2005

Honkapohja S & Mitra K

Performance of Monetary Policy with Internal Central Bank Forecasting

2005

Honkapohja S & Mitra K

Performance of Inflation Targeting Based on Constant Interest Rate Projections

2005

Honkapohja S & Turunen-Red A

Increasing Returns, Learning and Beneficial Tax Competition

2005

Honkapohja S, Evans GW & Adam K

Are Hyperinflation Paths Learnable?

2005

Honkapohja S, Evans GW & Williams N

Generalized Stochastic Gradient Learning

2005

Meissner C

A New World Order

2005

Meissner C & Bordo MD

Financial Crises and Foreign Currency Debt

2005

Meissner C & Bordo MD

Financial Crises, 1880-1913

2005

Pesaran MH

Market Efficiency Today

2005

Pesaran MH & Timmermann A

Small Sample Properties Of Forecasts From Autoregressive Models Under Structural Breaks

2005

Pesaran MH & Timmermann A

Real Time Econometrics

2005

Pesaran MH, Binder M & Hsiao C

Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration

2005

Pesaran MH, Shuermann T & Treutler B-J

Global Business Cycles and Credit Risk

2005

Pesaran MH, Smith V & Smith RP

What if the UK had Joined the Euro in 1999? An Empirical Evaluation using a Global VAR

2005

Sancetta A

CWPE 0506: Copula Based Monte Carlo Integration in Financial Problems

2005

Sancetta A & Nikanrova A

CWPE 0516: Forecasting Using Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices

2005

Bhattacharjee A, Higson C, Holly S & Kattuman P

CWPE 0420: Business Failure in UK and US Quoted Firms

2004

Doppelhofer G, Sala-i-Martin X & Miller RI

Determinants of Long-Term Growth

2004

Honkapohja S & Mitra K

Are Non-Fundamental Equilibria Learnable in Models of Monetary Policy?

2004

Honkapohja S & Turunen-Red A

Gains and Losses from Tax Competition with Migration

2004

Pesaran MH & Pick A

CWPE 0402: Econometric Issues in the Analysis of Contagion

2004

Pesaran MH & Timmermann A

CWPE 0432: Real Time Econometrics

2004

Pesaran MH & Timmermann A

How Costly Is It To Ignore Breaks When Forecasting The Direction Of A Time Series?

2004

Pesaran MH, Schuermann T & Weiner S

Modelling Regional Interdependencies Using A Global Error-Correcting Macroeconometric Model

2004

Sancetta A & Satchell S

CWPE 0441: Cost of Capital and Regulator's Preferences

2004

Corrado L & Holly S

Nonlinear Phillips Curves, Mixing Feedback Rules and the Distribution of Inflation and Output

2003

Garratt A, Lee K, Pesaran MH & Shin Y

Forecast Uncertainties In Macroeconometric Modelling

2003

Giannitsarou C

Heterogeneous learning , Review of Economic Dynamics

2003

Honkapohja S & Evans GW

Friedman’s Money Supply Rule vs. Optimal Interest Rate Setting

2003

Honkapohja S & Evans GW

Expectations and the Stability Problem for Optimal Monetary Policies

2003

Honkapohja S & Evans GW

Adaptive Learning and Monetary Policy Design

2003

Meissner C

Exchange Rate Regimes and International Trade

2003

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