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Richard Ashley

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.

    Mentioned in:

    1. April Reading List
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2014-04-01 20:43:00

Working papers

  1. Richard Ashley & Kwok Ping Tsang & Randal J. Verbrugge, 2019. "A New Look at Historical Monetary Policy and the Great Inflation through the Lens of a Persistence-Dependent Policy Rule," Working Papers 18-14R, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Jean-Bernard, Chatelain & Kirsten, Ralf, 2020. "How Macroeconomists Lost Control of Stabilization Policy: Towards Dark Ages," MPRA Paper 103244, University Library of Munich, Germany.
    2. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.
    3. Randal J. Verbrugge & Saeed Zaman, 2023. "Post-COVID Inflation Dynamics: Higher for Longer," Working Papers 23-06R, Federal Reserve Bank of Cleveland, revised 20 Jun 2023.
    4. Randal J. Verbrugge, 2021. "Is It Time to Reassess the Focal Role of Core PCE Inflation?," Working Papers 21-10, Federal Reserve Bank of Cleveland.

  2. Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.

    Cited by:

    1. Daniel R. Carroll & Randal J. Verbrugge, 2019. "Behavior of a New Median PCE Measure: A Tale of Tails," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2019(10), July.

  3. Richard Ashley & Kwok Ping Tsang & Randal J. Verbrugge, 2018. "All Fluctuations Are Not Created Equal: The Differential Roles of Transitory versus Persistent Changes in Driving Historical Monetary Policy," Working Papers (Old Series) 1814, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.

  4. Richard Ashley & Randal J. Verbrugge, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series) 1530, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.

  5. Richard Ashley & Kwok Ping Tsang & Randal J. Verbrugge, 2014. "Frequency Dependence in a Real-Time Monetary Policy Rule," Working Papers (Old Series) 1430, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Ashley, Richard & Li, Guo, 2014. "Re-examining the impact of housing wealth and stock wealth on retail sales: Does persistence in wealth changes matter?," Journal of Housing Economics, Elsevier, vol. 26(C), pages 109-118.

Articles

  1. Richard Ashley & Kwok Ping Tsang & Randal Verbrugge, 2020. "A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule," Oxford Economic Papers, Oxford University Press, vol. 72(3), pages 672-691.
    See citations under working paper version above.
  2. Richard A. Ashley & Christopher F. Parmeter, 2020. "Sensitivity Analysis of an OLS Multiple Regression Inference with Respect to Possible Linear Endogeneity in the Explanatory Variables, for Both Modest and for Extremely Large Samples," Econometrics, MDPI, vol. 8(1), pages 1-24, March.

    Cited by:

    1. Yu, Zhen & Wang, Yilan & Ma, Xiaoqian & Shuai, Chuanmin & Zhao, Yujia, 2023. "How critical mineral supply security affects China NEVs industry? Based on a prediction for chromium and cobalt in 2030," Resources Policy, Elsevier, vol. 85(PB).
    2. Zarith Sofia Jasmi & Nurfarhana Hassan, 2024. "Inside Microfinance Matrix: Microfinance Institutions’ Characteristics and Women Credit Access," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 110-120, October.

  3. Richard A. Ashley & Xiaojin Sun, 2016. "Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models," Econometrics, MDPI, vol. 4(4), pages 1-13, November.

    Cited by:

    1. Bao, Yong & Yu, Xuewen, 2023. "Indirect inference estimation of dynamic panel data models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1027-1053.
    2. In Choi & Sanghyun Jung, 2020. "Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels," Working Papers 2007, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    3. Samina RIAZ & Venus Khim-Sen LIEW & Rossazana Bt Ab RAHIM, 2019. "The Impact of Business Cycle on Pakistani Banks Capital Buffer and Portfolio Risk," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 57-71, March.
    4. Adrian Mehic, 2021. "FDML versus GMM for Dynamic Panel Models with Roots Near Unity," JRFM, MDPI, vol. 14(9), pages 1-9, August.

  4. Richard Ashley & Christopher Parmeter, 2015. "Sensitivity analysis for inference in 2SLS/GMM estimation with possibly flawed instruments," Empirical Economics, Springer, vol. 49(4), pages 1153-1171, December.

    Cited by:

    1. Jan F. Kiviet, 2015. "When is it really justifiable to ignore explanatory variable endogeneity in a regression model?," UvA-Econometrics Working Papers 15-05, Universiteit van Amsterdam, Dept. of Econometrics.
    2. Ashley, Richard A. & Parmeter, Christopher F., 2015. "When is it justifiable to ignore explanatory variable endogeneity in a regression model?," Economics Letters, Elsevier, vol. 137(C), pages 70-74.
    3. Matthew A. Masten & Alexandre Poirier, 2021. "Salvaging Falsified Instrumental Variable Models," Econometrica, Econometric Society, vol. 89(3), pages 1449-1469, May.
    4. Di Giorno, Saverio & Dileo, Ivano & Busato, Francesco, 2024. "Shades of grand corruption among allocative efficiency and institutional settings. The case of Italy," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).

  5. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.

    Cited by:

    1. Xiaojie Xu, 2017. "The rolling causal structure between the Chinese stock index and futures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 491-509, November.
    2. Yi Ren & Yuan Tian & Chengqiu Zhang, 2022. "Investigating the mechanisms among industrial agglomeration, environmental pollution and sustainable industrial efficiency: a case study in China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(11), pages 12467-12493, November.
    3. Xiaojie Xu, 2019. "Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 155-181, June.
    4. Kyriazakou, Eleni & Panagiotidis, Theodore, 2017. "Causality analysis of the Canadian city house price indices: A cross-sample validation approach," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 42-52.
    5. Gary J. Cornwall & Jeffrey A. Mills & Beau A. Sauley & Huibin Weng, 2019. "Predictive Testing for Granger Causality via Posterior Simulation and Cross-validation," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 275-292, Emerald Group Publishing Limited.
    6. Jindamas Sutthichaimethee & Kuskana Kubaha, 2018. "The Relationship of Causal Factors Affecting the Future Equilibrium Change of Total Final Energy Consumption in Thailand’s Construction Sector under a Sustainable Development Goal: Enriching the SE-VA," Resources, MDPI, vol. 8(1), pages 1-18, December.
    7. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017. "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    8. Ye, Haichun & Ashley, Richard & Guerard, John, 2015. "Comparing the effectiveness of traditional vs. mechanized identification methods in post-sample forecasting for a macroeconomic Granger causality analysis," International Journal of Forecasting, Elsevier, vol. 31(2), pages 488-500.
    9. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.

  6. Ashley, Richard & Li, Guo, 2014. "Re-examining the impact of housing wealth and stock wealth on retail sales: Does persistence in wealth changes matter?," Journal of Housing Economics, Elsevier, vol. 26(C), pages 109-118.

    Cited by:

    1. I-Chun Tsai & Che-Chun Lin, 2019. "Variations and Influences of Connectedness among US Housing Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 27-58.
    2. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2021. "What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 81-107, January.
    3. Xiaorong Zhou & Meng-Shiuh Chang & Karen Gibler, 2016. "The asymmetric wealth effects of housing market and stock market on consumption in China," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 21(2), pages 196-216, April.
    4. Feng-Li Lin & Mei-Chih Wang & Hsien-Hung Kung, 2020. "Housing and Stock Market Nexus in the US," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 114-130.

  7. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.

    Cited by:

    1. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.

  8. Richard Ashley & Haichun Ye, 2012. "On the Granger causality between median inflation and price dispersion," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4221-4238, November.

    Cited by:

    1. Batten, Jonathan A. & Ciner, Cetin & Kosedag, Arman & Lucey, Brian M., 2017. "Is the price of gold to gold mining stocks asymmetric?," Economic Modelling, Elsevier, vol. 60(C), pages 402-407.
    2. Ye, Haichun & Ashley, Richard & Guerard, John, 2015. "Comparing the effectiveness of traditional vs. mechanized identification methods in post-sample forecasting for a macroeconomic Granger causality analysis," International Journal of Forecasting, Elsevier, vol. 31(2), pages 488-500.
    3. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.
    4. Christian Garciga & Randal J. Verbrugge & Saeed Zaman, 2024. "The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI," Working Papers 24-02, Federal Reserve Bank of Cleveland.

  9. Richard Ashley & Sheryl Ball & Catherine Eckel, 2010. "Motives for Giving: A Reanalysis of Two Classic Public Goods Experiments," Southern Economic Journal, John Wiley & Sons, vol. 77(1), pages 15-26, July.

    Cited by:

    1. Das, Gopal & van Esch, Patrick & Jain, Shailendra Pratap & Cui, Yuanyuan (Gina), 2023. "Donor happiness comes from afar: The role of donation beneficiary social distance and benevolence," International Journal of Research in Marketing, Elsevier, vol. 40(4), pages 865-880.
    2. Hajikhameneh, Aidin & Iannaccone, Laurence R., 2023. "God games: An experimental study of uncertainty, superstition, and cooperation," Games and Economic Behavior, Elsevier, vol. 139(C), pages 88-116.
    3. Peter Katuščák & Tomáš Miklánek, 2023. "What drives conditional cooperation in public good games?," Experimental Economics, Springer;Economic Science Association, vol. 26(2), pages 435-467, April.

  10. Elena Rusticelli & Richard Ashley & Estela Bee Dagum & Douglas Patterson, 2009. "A New Bispectral Test for NonLinear Serial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 279-293.

    Cited by:

    1. Harvill, Jane L. & Ravishanker, Nalini & Ray, Bonnie K., 2013. "Bispectral-based methods for clustering time series," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 113-131.
    2. Simone Giannerini & Esfandiar Maasoumi & Estela Bee Dagum, 2015. "Entropy testing for nonlinear serial dependence in time series," Biometrika, Biometrika Trust, vol. 102(3), pages 661-675.

  11. Richard Ashley, 2009. "Assessing the credibility of instrumental variables inference with imperfect instruments via sensitivity analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 325-337, March.

    Cited by:

    1. Karla Borja, 2014. "Social Capital, Remittances and Growth," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 26(5), pages 574-596, December.
    2. Jan F. Kiviet, 2016. "Testing the impossible: identifying exclusion restrictions," UvA-Econometrics Working Papers 16-03, Universiteit van Amsterdam, Dept. of Econometrics.
    3. Mary Oluwatoyin AGBOOLA & Mehmet BALCILAR, 2014. "Can food availability influence economic growth - the case of African countries," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 60(5), pages 232-245.
    4. Hans (J.L.W.) van Kippersluis & Niels (C.A.) Rietveld, 2017. "Beyond Plausibly Exogenous," Tinbergen Institute Discussion Papers 17-096/V, Tinbergen Institute.
    5. Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
    6. Christopher S. Armstrong & Ian D. Gow & David F. Larcker, 2013. "The Efficacy of Shareholder Voting: Evidence from Equity Compensation Plans," Journal of Accounting Research, Wiley Blackwell, vol. 51(5), pages 909-950, December.
    7. Jan F. Kiviet, 2015. "When is it really justifiable to ignore explanatory variable endogeneity in a regression model?," UvA-Econometrics Working Papers 15-05, Universiteit van Amsterdam, Dept. of Econometrics.
    8. Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
    9. Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015. "Identification and Inference With Many Invalid Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 474-484, October.
    10. Jan F. Kiviet & Jerzy Niemczyk, 2014. "On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 425-490, Emerald Group Publishing Limited.
    11. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
    12. Christopher F. Parmeter & Jaren C. Pope, 2013. "Quasi-experiments and hedonic property value methods," Chapters, in: John A. List & Michael K. Price (ed.), Handbook on Experimental Economics and the Environment, chapter 1, pages 3-66, Edward Elgar Publishing.
    13. Caner, Mehmet & Sandler Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 17689, University Library of Munich, Germany.
    14. Richard A. Ashley & Christopher F. Parmeter, 2020. "Sensitivity Analysis of an OLS Multiple Regression Inference with Respect to Possible Linear Endogeneity in the Explanatory Variables, for Both Modest and for Extremely Large Samples," Econometrics, MDPI, vol. 8(1), pages 1-24, March.
    15. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
    16. Armstrong, Christopher S. & Gow, Ian D. & Larcker, David F., 2012. "The Efficacy of Shareholder Voting: Evidence from Equity Compensation Plans," Research Papers 2097, Stanford University, Graduate School of Business.
    17. Seyed Morteza Emadi, 2024. "Testing the Exogeneity of Instrumental Variables and Regressors in Linear Regression Models Using Copulas," Papers 2401.15253, arXiv.org.
    18. Matthew A. Masten & Alexandre Poirier, 2021. "Salvaging Falsified Instrumental Variable Models," Econometrica, Econometric Society, vol. 89(3), pages 1449-1469, May.
    19. Richard Ashley & Christopher Parmeter, 2015. "Sensitivity analysis for inference in 2SLS/GMM estimation with possibly flawed instruments," Empirical Economics, Springer, vol. 49(4), pages 1153-1171, December.
    20. Joshua C.C. Chan & Justin L. Tobias, 2012. "Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments," ANU Working Papers in Economics and Econometrics 2012-580, Australian National University, College of Business and Economics, School of Economics.
    21. : Daniel J. Henderson & Chris Papageorgiou & Christopher F. Parmeter, 2012. "Who Benefits from Financial Development? New Methods, New Evidence," Working Papers 2013-07, University of Miami, Department of Economics.
    22. Richard A Dunn, 2012. "Consistently bounding parameter values with one instrument and two endogenous explanatory variables," Economics Bulletin, AccessEcon, vol. 32(2), pages 1074-1081.
    23. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.

  12. Richard A. Ashley & Randal J. Verbrugge, 2009. "To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 1(3), pages 242-274.

    Cited by:

    1. Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
    2. Johann Burgstaller, 2005. "When and why do Austrian companies issue shares?," Economics working papers 2005-03, Department of Economics, Johannes Kepler University Linz, Austria.
    3. Bentour, El Mostafa, 2013. "Should Moroccan Officials Depend on the Workers’ Remittances to Finance the Current Account Deficit?," MPRA Paper 52290, University Library of Munich, Germany, revised 01 May 2013.
    4. Brady Ryan R & Stimel Derek S, 2011. "How the Housing and Financial Wealth Effects Have Changed over Time," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-45, August.
    5. Johann Burgstaller, 2005. "Interest rate pass-through estimates from vector autoregressive models," Economics working papers 2005-10, Department of Economics, Johannes Kepler University Linz, Austria.
    6. Florence Bouvet & Ryan Brady & Sharmila King, 2013. "Debt Contagion in Europe: A Panel-VAR Analysis," Departmental Working Papers 44, United States Naval Academy Department of Economics.
    7. Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    8. Jagannath Mallick, 2019. "The effects of government investment shocks on private investment: Empirical evidence from the developing economy," Indian Economic Review, Springer, vol. 54(2), pages 291-316, December.
    9. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.
    10. Gahn, Santiago José, 2021. "On the adjustment of capacity utilisation to aggregate demand: Revisiting an old Sraffian critique to the Neo-Kaleckian model," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 325-360.
    11. Mansur, Alfan, 2019. "Sharia Banking Dynamics and the Macroeconomic Responses: Evidence from Indonesia," MPRA Paper 97883, University Library of Munich, Germany, revised 02 Oct 2019.
    12. Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers 45, United States Naval Academy Department of Economics.
    13. Johann Burgstaller, 2006. "Bank income and profits over the business and interest rate cycle," Economics working papers 2006-11, Department of Economics, Johannes Kepler University Linz, Austria.
    14. Elena Pesavento, Barbara Rossi, 2006. "Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?," Economics Working Papers ECO2006/19, European University Institute.
    15. Randal J. Verbrugge & Saeed Zaman, 2023. "Post-COVID Inflation Dynamics: Higher for Longer," Working Papers 23-06R, Federal Reserve Bank of Cleveland, revised 20 Jun 2023.
    16. Silver, Steven D. & Verbrugge, Randal, 2010. "Home production and endogenous economic growth," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 297-312, August.
    17. Gaston Giordana & Ingmar Schumacher, 2012. "Macroeconomic Conditions and Leverage in Monetary Financial Institutions: Comparing European countries and Luxembourg," BCL working papers 77, Central Bank of Luxembourg.
    18. Banu Simmons-Süer, 2013. "Immobilienpreise, Hypothekarkredite und Wohnbauinvestitionen," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 7(3), pages 119-131, September.
    19. Sangyeon Hwang & Hyejoon Im, 2017. "International Trade Finance and Exports: Evidence from Korean Bank-Intermediated Trade Finance Instruments," Open Economies Review, Springer, vol. 28(2), pages 319-346, April.
    20. Johann Burgstaller, 2006. "The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator?," Economics working papers 2006-02, Department of Economics, Johannes Kepler University Linz, Austria.
    21. Ryan R. Brady & Derek Stimel & Steven Sumner, 2012. "A Time Series Test of the Direct Wealth Effect," Departmental Working Papers 40, United States Naval Academy Department of Economics.
    22. OJAGHLOU, Mortaza, 2020. "Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 5(2), pages 17-36, December.
    23. Richard Ashley & Randal J. Verbrugge, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series) 1530, Federal Reserve Bank of Cleveland.
    24. Nady Rapelanoro, 2017. "Hoarding international reserves and global liquidity expansion, what are the links and do they matter?," EconomiX Working Papers 2017-13, University of Paris Nanterre, EconomiX.
    25. Ryan R. Brady & Derek Stimel & Steven Sumner, 2014. "The Rise of the Housing-Wealth Effect: Counterfactual Impulse Response Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 1-17, November.
    26. Florence Bouvet & Ryan Brady & Sharmila King, 2013. "Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis," Social Sciences, MDPI, vol. 2(4), pages 1-23, December.
    27. Fullerton, Thomas M., Jr. & Ceballos, Alejandro & Walke, Adam G., 2015. "Short-Term Forecasting Analysis for Municipal Water Demand," MPRA Paper 78259, University Library of Munich, Germany, revised 04 Aug 2015.
    28. Maria Bolboaca & Sarah Fischer, 2019. "News Shocks: Different Effects in Boom and Recession?," Working Papers 19.01, Swiss National Bank, Study Center Gerzensee.
    29. Nady Rapelanoro, 2017. "Hoarding international reserves and global liquidity expansion, what are the links and do they matter?," Working Papers hal-04141660, HAL.

  13. Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.

    Cited by:

    1. Amy Higgins & Randal J. Verbrugge, 2015. "Tracking Trend Inflation: Nonseasonally Adjusted Variants of the Median and Trimmed-Mean CPI," Working Papers (Old Series) 1527, Federal Reserve Bank of Cleveland.
    2. Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2020. "Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data," Applied Economics Letters, Taylor & Francis Journals, vol. 27(19), pages 1562-1566, November.
    3. Joseph G. Haubrich, 2020. "How Cyclical Is Bank Capital?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(1), pages 27-38, August.
    4. Manuel M. F. Martins & Fabio Verona, 2020. "Forecasting Inflation with the New Keynesian Phillips Curve: Frequency Matters," CEF.UP Working Papers 2001, Universidade do Porto, Faculdade de Economia do Porto.
    5. Martins, Manuel Mota Freitas & Verona, Fabio, 2021. "Inflation dynamics and forecast: Frequency matters," Bank of Finland Research Discussion Papers 8/2021, Bank of Finland.
    6. Ciner, Cetin, 2011. "Commodity prices and inflation: Testing in the frequency domain," Research in International Business and Finance, Elsevier, vol. 25(3), pages 229-237, September.
    7. Ciner, Cetin, 2015. "Are equities good inflation hedges? A frequency domain perspective," Review of Financial Economics, Elsevier, vol. 24(C), pages 12-17.
    8. Emmanuel Anoruo & Vasudeva N. R. Murthy, 2017. "An examination of the REIT return–implied volatility relation: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 581-594, July.
    9. Joanna Bruzda, 2011. "The Haar Wavelet Transfer Function Model and Its Applications," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 141-154.
    10. Ashley, Richard & Li, Guo, 2014. "Re-examining the impact of housing wealth and stock wealth on retail sales: Does persistence in wealth changes matter?," Journal of Housing Economics, Elsevier, vol. 26(C), pages 109-118.
    11. Wei Yanfeng, 2013. "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 57-67, May.
    12. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper 56307, University Library of Munich, Germany, revised 26 May 2014.
    13. Manuel M. F. Martins & Fabio Verona, 2024. "Forecasting Inflation with the New Keynesian Phillips Curve: Frequencies Matter," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 811-832, August.
    14. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    15. Chan, Wing Hong & Le, Minh & Wu, Yan Wendy, 2019. "Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 107-113.
    16. Richard Ashley & Randal J. Verbrugge, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series) 1530, Federal Reserve Bank of Cleveland.
    17. Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.
    18. Cetin Ciner, 2015. "Are equities good inflation hedges? A frequency domain perspective," Review of Financial Economics, John Wiley & Sons, vol. 24(1), pages 12-17, January.

  14. Ashley, Richard, 2008. "Growth may be good for the poor, but decline is disastrous: On the non-robustness of the Dollar-Kraay result," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 333-338.

    Cited by:

    1. Leena Kalliovirta & Tuomas Malinen, 2015. "Nonlinearity and cross-country dependence of income inequality," Working Papers 358, ECINEQ, Society for the Study of Economic Inequality.
    2. Ke-Mei Chen & Te-Mu Wang, 2015. "Determinants of Poverty Status in Taiwan: A Multilevel Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 123(2), pages 371-389, September.
    3. Tran, Tuyen Quang & Thi Nguyen, Hoai Thu & Hoang, Quang Ngoc & Van Nguyen, Dinh, 2022. "The influence of contextual and household factors on multidimensional poverty in rural Vietnam: A multilevel regression analysis," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 390-403.
    4. Salem , Ali Asghar & Bayat , Neda, 2018. "Factors Influencing Poverty in Iran Using a Multilevel Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(1), pages 81-106, January.

  15. Ashley, Richard A. & Patterson, Douglas M., 2006. "Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 266-277, July.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
    2. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
    3. William A. Barnett & Hajar Aghababa, 2016. "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201602, University of Kansas, Department of Economics, revised Aug 2016.
    4. Theodore Panagiotidis, 2003. "Market Efficiency and the Euro:The case of the Athens Stock Exchange," Public Policy Discussion Papers 03-08, Economics and Finance Section, School of Social Sciences, Brunel University.
    5. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
    6. T Tang, 2009. "Testing for Non-linearity in the Balancing Item of Balance of Payments Accounts: The Case of 20 Industrial Countries," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 107-124, September.
    7. Kian-Ping Lim, 2009. "Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 519-522.
    8. Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
    9. Kian-Ping Lim & Robert Brooks, 2009. "Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 147-155.
    10. Huang, Bwo-Nung & Yang, C.W. & Hwang, M.J., 2009. "The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach," Energy Economics, Elsevier, vol. 31(1), pages 91-98, January.
    11. Juan Reboredo, 2010. "Nonlinear effects of oil shocks on stock returns: a Markov-switching approach," Applied Economics, Taylor & Francis Journals, vol. 42(29), pages 3735-3744.

  16. Ashley, Richard, 2003. "Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?," International Journal of Forecasting, Elsevier, vol. 19(2), pages 229-239.

    Cited by:

    1. Jaqueson K. Galimberti & Sergio da Silva, 2012. "An empirical case against the use of genetic-based learning classifier systems as forecasting devices," Economics Bulletin, AccessEcon, vol. 32(1), pages 354-369.
    2. Thomas A. Knetsch, 2004. "Evaluating the German Inventory Cycle – Using Data from the Ifo Business Survey," CESifo Working Paper Series 1202, CESifo.
    3. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2012. "Does Forecast Combination Improve Norges Bank Inflation Forecasts?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 163-179, April.
    4. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2009. "Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53052, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    5. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    6. Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, vol. 32(2), pages 458-474.
    7. Yelland, Phillip M., 2010. "Bayesian forecasting of parts demand," International Journal of Forecasting, Elsevier, vol. 26(2), pages 374-396, April.
    8. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
    9. Mihaela Bratu, 2012. "A Strategy to Improve the Survey of Professional Forecasters (SPF) Predictions Using Bias-Corrected-Accelerated (BCA) Bootstrap Forecast Intervals," International Journal of Synergy and Research, ToKnowPress, vol. 1(2), pages 45-59.
    10. John B. Guerard, 2024. "Sir David Hendry: An Appreciation from Wall Street and What Macroeconomics Got Right," Working Papers 2024-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Feb 2024.
    11. Hilde C. Bjørnland & Leif Brubakk & Anne Sofie Jore, 2006. "Forecasting inflation with an uncertain output gap," Working Paper 2006/02, Norges Bank.
    12. Manfredo, Mark R. & Sanders, Dwight R., 2004. "Forecast Encompassing And Futures Market Efficiency: The Case Of Milk Futures," 2004 Annual meeting, August 1-4, Denver, CO 20267, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. John B. Guerard & Dimitrios D. Thomakos & Foteini Kyriazi & Konstantinos Mamais, 2023. "On the Predictability of the DJIA and S&P500 Indices," Working Papers 2023-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    14. Rivera, Roberto, 2016. "A dynamic linear model to forecast hotel registrations in Puerto Rico using Google Trends data," Tourism Management, Elsevier, vol. 57(C), pages 12-20.
    15. Dr Martin Weale & Dr. James Mitchell, 2005. "Forecasting manufacturing output growth using firm-level survey data," National Institute of Economic and Social Research (NIESR) Discussion Papers 251, National Institute of Economic and Social Research.
    16. Mihaela Bratu (Simionescu), 2013. "How to Improve the SPF Forecasts?," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 9(2), pages 153-165, April.
    17. F. Antolini & L. Grassini, 2019. "Foreign arrivals nowcasting in Italy with Google Trends data," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(5), pages 2385-2401, September.
    18. BRATU SIMIONESCU, Mihaela, 2012. "Two Quantitative Forecasting Methods For Macroeconomic Indicators In Czech Republic," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 3(1), pages 71-87.
    19. Evelyn V. Colino & Scott H. Irwin, 2010. "Outlook vs. Futures: Three Decades of Evidence in Hog and Cattle Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 92(1), pages 1-15.
    20. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017. "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    21. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
    22. Moser, Gabriel & Rumler, Fabio & Scharler, Johann, 2007. "Forecasting Austrian inflation," Economic Modelling, Elsevier, vol. 24(3), pages 470-480, May.
    23. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip & Etienne, Xiaoli, 2012. "Composite and Outlook Forecast Accuracy," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), pages 1-19, August.
    24. Chen-Yin Kuo, 2017. "Is the accuracy of stock value forecasting relevant to industry factors or firm-specific factors? An empirical study of the Ohlson model," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 195-225, July.
    25. Ye, Haichun & Ashley, Richard & Guerard, John, 2015. "Comparing the effectiveness of traditional vs. mechanized identification methods in post-sample forecasting for a macroeconomic Granger causality analysis," International Journal of Forecasting, Elsevier, vol. 31(2), pages 488-500.
    26. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.
    27. Sanders, Dwight R. & Manfredo, Mark R., 2004. "Predicting Pork Supplies: An Application of Multiple Forecast Encompassing," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 36(3), pages 605-615, December.
    28. Xiaoyi Mu and Haichun Ye, 2015. "Small Trends and Big Cycles in Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    29. Jeffrey S. Racine & Christopher F. Parmeter, 2012. "Data-Driven Model Evaluation: A Test for Revealed Performance," Department of Economics Working Papers 2012-13, McMaster University.
    30. Olivier Biau & Hélène Erkel-Rousse & Nicolas Ferrari, 2006. "Réponses individuelles aux enquêtes de conjoncture et prévision de la production manufacturière," Économie et Statistique, Programme National Persée, vol. 395(1), pages 91-116.
    31. Kyriazi, Foteini & Thomakos, Dimitrios D. & Guerard, John B., 2019. "Adaptive learning forecasting, with applications in forecasting agricultural prices," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1356-1369.

  17. Tan, Hui Boon & Ashley, Richard, 1999. "Detection And Modeling Of Regression Parameter Variation Across Frequencies," Macroeconomic Dynamics, Cambridge University Press, vol. 3(1), pages 69-83, March.

    Cited by:

    1. Rui Pascoal, 2012. "Macroeconomic Factors of Household Default. Is There Myopic Behaviour?," GEMF Working Papers 2012-20, GEMF, Faculty of Economics, University of Coimbra.
    2. Ciner, Cetin, 2013. "Oil and stock returns: Frequency domain evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 1-11.
    3. Emmanuel Anoruo & Vasudeva N. R. Murthy, 2017. "An examination of the REIT return–implied volatility relation: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 581-594, July.
    4. Ralf Becker & Walter Enders & Stan Hurn, 2001. "Modelling Structural Change in Money Demand Using a Fourier-Series Approximation," Research Paper Series 67, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    6. Wei Yanfeng, 2013. "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 57-67, May.
    7. Chan, Wing Hong & Le, Minh & Wu, Yan Wendy, 2019. "Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 107-113.
    8. Richard Ashley & Randal J. Verbrugge, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series) 1530, Federal Reserve Bank of Cleveland.
    9. Fabio Busetti & Michele Caivano, 2017. "Low frequency drivers of the real interest rate: a band spectrum regression approach," Temi di discussione (Economic working papers) 1132, Bank of Italy, Economic Research and International Relations Area.
    10. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.

  18. Altuğ, Sumru & Ashley, Richard A. & Patterson, Douglas M., 1999. "Are Technology Shocks Nonlinear?," Macroeconomic Dynamics, Cambridge University Press, vol. 3(4), pages 506-533, December.

    Cited by:

    1. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2019. "Costly Default And Asymmetric Real Business Cycles," LIDAM Discussion Papers IRES 2019018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Roberto Duncan, 2015. "Does the US Current Account Show a Symmetric Behavior over the Business Cycle?," Working Papers 51, Peruvian Economic Association.
    3. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, University Library of Munich, Germany, revised 30 Sep 1998.
    4. Sumru Altuğ & Melike Bildirici, 2010. "Business Cycles around the Globe: A Regime Switching Approach," Working Papers 0032, Yildiz Technical University, Department of Economics, revised Mar 2010.
    5. Valderrama, Diego, 2007. "Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 2957-2983, September.
    6. Domenico Ferraro, 2018. "Online Appendix to "The Asymmetric Cyclical Behavior of the U.S. Labor Market"," Online Appendices 16-161, Review of Economic Dynamics.
    7. Domenico Ferraro & Giuseppe Fiori, 2022. "Search Frictions, Labor Supply, and the Asymmetric Business Cycle," International Finance Discussion Papers 1355, Board of Governors of the Federal Reserve System (U.S.).
    8. Diego Valderrama, 2002. "Nonlinearities in international business cycles," Working Paper Series 2002-23, Federal Reserve Bank of San Francisco.
    9. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2021. "Costly default and skewed business cycle," Post-Print hal-03346173, HAL.
    10. Sumru Altug & Erhan Uluceviz, 2011. "Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010," Koç University-TUSIAD Economic Research Forum Working Papers 1134, Koc University-TUSIAD Economic Research Forum.
    11. Gary D. Hansen & Edward C. Prescott, 2005. "Capacity constraints, asymmetries, and the business cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(4), pages 850-865, October.
    12. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics.
    13. Sean Holly & Paul Turner & Melvyn Weeks, 2003. "Asymmetric Adjustment and Bias in Estimation of an Equilibrium Relationship from a Cointegrating Regression," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 195-202, June.
    14. Domenico Ferraro, 2014. "The Asymmetric Cyclical Behavior of the U.S. Labor Market," 2014 Meeting Papers 1104, Society for Economic Dynamics.

  19. Ashley, Richard, 1998. "A new technique for postsample model selection and validation," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 647-665, May.

    Cited by:

    1. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
    2. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    3. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
    4. Carl Bonham & Peter Fuleky & James Jones & Ashley Hirashima, 2015. "Nowcasting Tourism Industry Performance Using High Frequency Covariates," Working Papers 2015-13R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Jul 2016.
    5. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
    6. Masayoshi Hayashi, 2012. "Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program," CIRJE F-Series CIRJE-F-846, CIRJE, Faculty of Economics, University of Tokyo.
    7. Kapetanios, G. & Labhard, V. & Price, S., 2007. "Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation," Working Papers 07/15, Department of Economics, City University London.
    8. Ashley, Richard, 2003. "Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?," International Journal of Forecasting, Elsevier, vol. 19(2), pages 229-239.
    9. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
    10. Norwood, F. Bailey & Lusk, Jayson L. & Brorsen, B. Wade, 2004. "Model Selection for Discrete Dependent Variables: Better Statistics for Better Steaks," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(3), pages 1-16, December.
    11. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    12. Chao, John & Corradi, Valentina & Swanson, Norman R., 2001. "Out-Of-Sample Tests For Granger Causality," Macroeconomic Dynamics, Cambridge University Press, vol. 5(4), pages 598-620, September.
    13. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    14. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    15. John B. Guerard, 2024. "Sir David Hendry: An Appreciation from Wall Street and What Macroeconomics Got Right," Working Papers 2024-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Feb 2024.
    16. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    17. Thomakos, Dimitrios D. & Guerard, John Jr., 2004. "Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance," International Journal of Forecasting, Elsevier, vol. 20(1), pages 53-67.
    18. Hirashima, Ashley & Jones, James & Bonham, Carl S. & Fuleky, Peter, 2017. "Forecasting in a Mixed Up World: Nowcasting Hawaii Tourism," Annals of Tourism Research, Elsevier, vol. 63(C), pages 191-202.
    19. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
    20. Asad Zaman, 2010. "Causal Relations via Econometrics," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 36-56, April.
    21. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.
    22. Lusk, Jayson L. & Norwood, F. Bailey & Brorsen, B. Wade, 2004. "Forecasting Limited Dependent Variables: Better Statistics For Better Steaks," 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma 34612, Southern Agricultural Economics Association.
    23. Nan Cai & Zongwu Cai & Ying Fang & Qiuhua Xu, 2015. "Forecasting major Asian exchange rates using a new semiparametric STAR model," Empirical Economics, Springer, vol. 48(1), pages 407-426, February.
    24. Sánchez, Ismael, 2001. "New in-sample prediction errors in time series with applications," DES - Working Papers. Statistics and Econometrics. WS ws011107, Universidad Carlos III de Madrid. Departamento de Estadística.
    25. Isengildina-Massa, Olga & Sharp, Julia L., 2013. "Interval Forecast Comparison," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150791, Agricultural and Applied Economics Association.
    26. Jeffrey S. Racine & Christopher F. Parmeter, 2012. "Data-Driven Model Evaluation: A Test for Revealed Performance," Department of Economics Working Papers 2012-13, McMaster University.
    27. Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui, 2015. "Estimating the long rate and its volatility," Economics Letters, Elsevier, vol. 129(C), pages 100-102.

  20. Ashley, Richard, 1990. "Shrinkage Estimation with General Loss Functions: An Application of Stochastic Dominance Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 301-313, May.

    Cited by:

    1. Shalabh, & Garg, G. & Heumann, C., 2012. "Performance of double k-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 35-47.

  21. Ashley, Richard & Patterson, Douglas, 1990. "A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 417-418, September.

    Cited by:

    1. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 2000. "The Contrarian/Overreaction Hypothesis: An analysis of the US and Canadian stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 53-72.
    2. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 1999. "Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 215-234, March.

  22. Ashley, Richard A & Patterson, Douglas M, 1989. "Linear versus Nonlinear Macroeconomies: A Statistical Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 685-704, August.

    Cited by:

    1. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004. "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 581-615, Emerald Group Publishing Limited.
    2. William A. Barnett & Hajar Aghababa, 2016. "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201602, University of Kansas, Department of Economics, revised Aug 2016.
    3. Teles, Paulo & Wei, William W. S., 2000. "The effects of temporal aggregation on tests of linearity of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 91-103, July.
    4. Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers 2000-06, University of Adelaide, School of Economics and Public Policy.
    5. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
    6. Peter Kugler, 1990. "Sind Wechselkursfluktuationen zufällig oder chaotisch?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(II), pages 113-129, June.
    7. Stephanie Rendón de la Torre, 2012. "Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 27-50.
    8. Valderrama, Diego, 2007. "Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 2957-2983, September.
    9. Maurice Peat & Max Stevenson, 1995. "Testing for Nonlinearities in Economic and Financial Time Series," Working Paper Series 48, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    11. Diego Valderrama, 2002. "Nonlinearities in international business cycles," Working Paper Series 2002-23, Federal Reserve Bank of San Francisco.
    12. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics.
    13. Costas Siriopoulos & Alexandros Leontitsis, 2002. "Nonlinear Noise Estimation in International Capital Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 43-63, March.
    14. T Tang, 2009. "Testing for Non-linearity in the Balancing Item of Balance of Payments Accounts: The Case of 20 Industrial Countries," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 107-124, September.
    15. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    16. Lubos Briatka, 2006. "How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World," CERGE-EI Working Papers wp308, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    17. Liu, Yamei, 2000. "Overfitting and forecasting: linear versus non-linear time series models," ISU General Staff Papers 2000010108000014914, Iowa State University, Department of Economics.
    18. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
    19. Dufrenot Gilles & Mathieu Laurent, 1994. "Methods In Economics: Testing For Linearity," Journal des Economistes et des Etudes Humaines, De Gruyter, vol. 5(2-3), pages 393-408, June.
    20. Ignacio Escanuela Romana & Clara Escanuela Nieves, 2023. "A spectral approach to stock market performance," Papers 2305.05762, arXiv.org.
    21. Kian-Ping Lim & Robert Brooks, 2009. "Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 147-155.
    22. Liddle, Brantley & Smyth, Russell & Zhang, Xibin, 2020. "Time-varying income and price elasticities for energy demand: Evidence from a middle-income panel," Energy Economics, Elsevier, vol. 86(C).
    23. Pfann, Gerard A., 1996. "Factor demand models with nonlinear short-run fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 315-331.
    24. David Chappell & Robert Eldridge, 1997. "Non-linear characteristics of the sterling/European Currency Unit exchange rate: 1984-1992," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 159-182.

  23. Ashley, Richard, 1988. "On the relative worth of recent macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 4(3), pages 363-376.

    Cited by:

    1. Wiesław Dębski & Bartosz Świderski & Jarosław Kurek, 2018. "Scientific research activity and GDP. An analysis of causality based on 144 countries from around the world," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(3), September.
    2. Makridakis, Spyros & Hyndman, Rob J. & Petropoulos, Fotios, 2020. "Forecasting in social settings: The state of the art," International Journal of Forecasting, Elsevier, vol. 36(1), pages 15-28.
    3. Thomas M. Fullerton & Torres Ruiz & Luis BernardoAuthor-Workplace-Name: University of Texas at E1 Pasio, USA, 2004. "Maquiladora employment dynamics in Chihuahua City, Mexico," Journal of Developing Areas, Tennessee State University, College of Business, vol. 38(1), pages 1-17, September.
    4. Haiyan Song & Egon Smeral & Gang Li & Jason L. Chen, 2008. "Tourism Forecasting: Accuracy of Alternative Econometric Models Revisited," WIFO Working Papers 326, WIFO.
    5. Fullerton, Thomas M. & Kelley, Brian W., 2008. "El Paso Housing Sector Econometric Forecast Accuracy," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(1), pages 385-402, April.
    6. Thomas M. Fullerton Jr. & Carol T. West, 2004. "Regional Econometric Housing Start Forecast Accuracy in Florida," Urban/Regional 0403004, University Library of Munich, Germany.
    7. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    8. Thomas Fullerton, Jr. & Juan Luevano & Carol West, 2000. "Accuracy of Regional Single-Family Housing Start Forecasts," Journal of Housing Research, Taylor & Francis Journals, vol. 11(1), pages 109-120, January.
    9. Carol Taylor West & Thomas M. Fullerton Jr., 2004. "Assessing the Historical Accuracy of Regional Economic Forecasts," Urban/Regional 0404009, University Library of Munich, Germany.
    10. Song, Haiyan & Witt, Stephen F. & Jensen, Thomas C., 2003. "Tourism forecasting: accuracy of alternative econometric models," International Journal of Forecasting, Elsevier, vol. 19(1), pages 123-141.
    11. Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava, 2020. "Long-term forecasting of El Niño events via dynamic factor simulations," Journal of Econometrics, Elsevier, vol. 214(1), pages 46-66.
    12. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    13. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    14. Roberto Tinajero & Thomas M. Fullerton & Lawrence Waldman, 2005. "Regional econometric income forecast accuracy," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(5), pages 325-333.
    15. Fullerton, Thomas Jr. & Laaksonen, Mika M. & West, Carol T., 2001. "Regional multi-family housing start forecast accuracy," International Journal of Forecasting, Elsevier, vol. 17(2), pages 171-180.
    16. Thomas M. Fullerton Jr. & George Novela, 2010. "Metropolitan Maquiladora Econometric Forecast Accuracy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 124-140, September.

  24. Richard A. Ashley & Douglas M. Patterson & Melvin J. Hinich, 1986. "A Diagnostic Test For Nonlinear Serial Dependence In Time Series Fitting Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 165-178, May.

    Cited by:

    1. William A. Barnett & Melvin J. Hinich & Piyu Yue, 2000. "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomics 0003004, University Library of Munich, Germany.
    2. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, University Library of Munich, Germany.
    3. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004. "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 581-615, Emerald Group Publishing Limited.
    4. Phillip Wild & Melvin J. Hinich & John Foster, 2008. "Are Daily and Weekly Load and Spot Price Dynamics in Australia's National Electricity Market Governed by Episodic Nonlinearity?," Discussion Papers Series 368, School of Economics, University of Queensland, Australia.
    5. Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
    6. Teles, Paulo & Wei, William W. S., 2000. "The effects of temporal aggregation on tests of linearity of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 91-103, July.
    7. Ahn, Eun S. & Lee, Jin Man, 2012. "The Performance Of Nonlinearity Tests On Asymmetric Nonlinear Time Series," The Journal of Economic Asymmetries, Elsevier, vol. 9(2), pages 11-44.
    8. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
    9. Philip Rothman, "undated". "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
    10. Hinich Melvin J & Mendes Eduardo M & Stone Lewi, 2005. "Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-15, December.
    11. Houston Stokes & Melvin Hinich, 2011. "Detecting and modeling nonlinearity in the gas furnace data," Computational Statistics, Springer, vol. 26(1), pages 77-93, March.
    12. Olmedo, Elena, 2011. "Is there chaos in the Spanish labour market?," Chaos, Solitons & Fractals, Elsevier, vol. 44(12), pages 1045-1053.
    13. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, November.
    14. Harvill, Jane L. & Ravishanker, Nalini & Ray, Bonnie K., 2013. "Bispectral-based methods for clustering time series," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 113-131.
    15. Kian-Ping Lim & Venus Khim-Sen Liew, 2003. "Testing for Non-Linearity in ASEAN Financial Markets," Finance 0308002, University Library of Munich, Germany.
    16. Mills, Terence C., 1995. "Business cycle asymmetries and non-linearities in U.K. macroeconomic time series," Ricerche Economiche, Elsevier, vol. 49(2), pages 97-124, June.
    17. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    18. T Tang, 2009. "Testing for Non-linearity in the Balancing Item of Balance of Payments Accounts: The Case of 20 Industrial Countries," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 107-124, September.
    19. Guy Melard, 1994. "Modèles linéaires et non linéaires," ULB Institutional Repository 2013/13804, ULB -- Universite Libre de Bruxelles.
    20. Jane L. Harvill & Priya Kohli & Nalini Ravishanker, 2017. "Clustering Nonlinear, Nonstationary Time Series Using BSLEX," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 935-955, September.
    21. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
    22. William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy, 2004. "The Nonlinear Skeletons in the Closet," Econometrics 0405003, University Library of Munich, Germany.
    23. Barry E. Jones & Travis D. Nesmith, 2006. "Linear cointegration of nonlinear time series with an application to interest rate dynamics," Finance and Economics Discussion Series 2007-03, Board of Governors of the Federal Reserve System (U.S.).
    24. Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April.

  25. Ashley, Richard A. & Patterson, Douglas M., 1986. "A Nonparametric, Distribution-Free Test for Serial Independence in Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(2), pages 221-227, June.

    Cited by:

    1. Chun, Young Hak, 1997. "Rank-based selection strategies for the random walk process," European Journal of Operational Research, Elsevier, vol. 96(2), pages 417-427, January.
    2. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 2000. "The Contrarian/Overreaction Hypothesis: An analysis of the US and Canadian stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 53-72.
    3. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 1999. "Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 215-234, March.

  26. Ashley, Richard & Vaughan, David, 1986. "Measuring Measurement Error in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 95-103, January.

    Cited by:

    1. Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    2. T.D. Stanley & Ann Robinson, 1990. "Sifting Statistical Significance From the Artifact of Regression- Discontinuity Design," Evaluation Review, , vol. 14(2), pages 166-181, April.
    3. Kirill Evdokimov & Yuichi Kitamura & Taisuke Otsu, 2014. "Robust estimation of moment condition models with weakly dependent data," STICERD - Econometrics Paper Series 579, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Geng, Pei, 2022. "Estimation of functional-coefficient autoregressive models with measurement error," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    5. Peter X.‐K. Song & Dingan Feng, 2005. "On Parameter Estimation for Exponential Dispersion Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 843-862, November.
    6. Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.

  27. Ashley, Richard A & Orr, Daniel, 1985. "Further Results on Inventories and Price Stickiness," American Economic Review, American Economic Association, vol. 75(5), pages 964-975, December.

    Cited by:

    1. Yevgeny Tsodikovich & Ehud Lehrer, 2019. "Stochastic revision opportunities in Markov decision problems," Annals of Operations Research, Springer, vol. 279(1), pages 251-270, August.
    2. Qi Feng & Sirong Luo & J. George Shanthikumar, 2020. "Integrating Dynamic Pricing with Inventory Decisions Under Lost Sales," Management Science, INFORMS, vol. 66(5), pages 2232-2247, May.
    3. Rossana, Robert J., 1988. "On The Size of Adjustment Parameters in Inventory Investment Equations," Department of Economics and Business - Archive 259442, North Carolina State University, Department of Economics.
    4. Qi Feng, 2010. "Integrating Dynamic Pricing and Replenishment Decisions Under Supply Capacity Uncertainty," Management Science, INFORMS, vol. 56(12), pages 2154-2172, December.

  28. Ashley, Richard, 1985. "On the Optimal Use of Suboptimal Forecasts of Explanatory Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(2), pages 129-131, April.

    Cited by:

    1. Christian E. Weller & Amanda Logan & Bernard Morzuch, 2008. "Desperate vs. Deadbeat: Can We Quantify the Effect of the Bankruptcy Abuse Prevention and Consumer Protection Act of 2005?," Working Papers wp185, Political Economy Research Institute, University of Massachusetts at Amherst.

  29. Ashley, Richard, 1984. "A Simple Test for Regression Parameter Instability," Economic Inquiry, Western Economic Association International, vol. 22(2), pages 253-268, April.

    Cited by:

    1. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
    2. John J. Beggs, 1988. "Diagnostic Testing in Applied Econometrics," The Economic Record, The Economic Society of Australia, vol. 64(2), pages 81-101, June.
    3. Gamber, Edward N. & Hakes, David R., 1995. "Do shifts in federal reserve policy regimes explain interest rate anomalies?," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 227-240.
    4. Wei Yanfeng, 2013. "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 57-67, May.
    5. Mr. Subramanian S Sriram, 1999. "Survey of Literature on Demand for Money: Theoretical and Empirical Work with Special Reference to Error-Correction Models," IMF Working Papers 1999/064, International Monetary Fund.
    6. Joachim Zietz, 2005. "Detecting Neglected Parameter Heterogeneity with Chow Tests," Working Papers 200503, Middle Tennessee State University, Department of Economics and Finance.
    7. Wai-Chung Lo & Hung-Gay Fung & Morse, Joel N., 1995. "A note on Euroyen and domestic yen interest rates," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1309-1321, October.
    8. Richard Ashley & Randal J. Verbrugge, 2015. "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series) 1530, Federal Reserve Bank of Cleveland.
    9. A. C. Arize, 1994. "An Econometric Analysis of Money Demand in Taiwan, 1950–1989," The American Economist, Sage Publications, vol. 38(1), pages 27-35, March.
    10. Yash P. Mehra, 1985. "Inflationary expectations, money growth, and the vanishing liquidity effect of money on interest : a further investigation," Economic Review, Federal Reserve Bank of Richmond, vol. 71(Mar), pages 23-35.
    11. Martha K. Field & Emilio Pagoulatos, 1997. "The Cyclical Behavior of Price Elasticity of Demand," Southern Economic Journal, John Wiley & Sons, vol. 64(1), pages 118-129, July.

  30. Ashley, Richard, 1981. "Inflation and the Distribution of Price Changes across Markets: A Causal Analysis," Economic Inquiry, Western Economic Association International, vol. 19(4), pages 650-660, October.

    Cited by:

    1. Ana Buisán & Fernando Restoy, 1986. "Inflación y variabilidad de los precios relativos en España (1976-1983)," Investigaciones Economicas, Fundación SEPI, vol. 10(2), pages 327-356, May.
    2. Ashley, Richard, 2003. "Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?," International Journal of Forecasting, Elsevier, vol. 19(2), pages 229-239.
    3. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    4. Ashley, Richard, 1998. "A new technique for postsample model selection and validation," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 647-665, May.
    5. Sarker, Rakhal, 1990. "Testing Causality in Economics: A Review," Department of Agricultural Economics and Business 258629, University of Guelph.
    6. Hushak, Leroy J., 1985. "The Exchange Rate And Agriculture: Real Issue Or Dead Horse!," 1985 Annual Meeting, August 4-7, Ames, Iowa 278660, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Al Awad, Mouawiya & Goodwin, Barry K., 1998. "Dynamic linkages among real interest rates in international capital markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 881-907, December.
    8. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.

  31. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-1167, July.

    Cited by:

    1. De Leon, Marycruz & Fullerton, Thomas M., Jr. & Kelley, Brian W., 2009. "Tolls, Exchange Rates, and Borderplex International Bridge Traffic," MPRA Paper 19861, University Library of Munich, Germany.
    2. Tae-Hwy Lee & Weiping Yang, 2014. "Granger-Causality in Quantiles between Financial Markets: Using Copula Approach," Working Papers 201406, University of California at Riverside, Department of Economics.
    3. Stockhammar, Pär & Österholm, Pär, 2016. "Do Inflation Expectations Granger Cause Inflation?," Working Papers 145, National Institute of Economic Research.
    4. Kastens, Terry L. & Schroeder, Ted C., 1993. "Expectations of Cattle Feeding Investors in Feeder Cattle Placements," Staff Papers 118159, Kansas State University, Department of Agricultural Economics.
    5. Benedetto Molinari & Francesco Turino, 2009. "Advertising and Business Cycle Fluctuations," 2009 Meeting Papers 419, Society for Economic Dynamics.
    6. Tae-Hwy Lee & Ekaterina Seregina & Yaojue Xu, 2023. "Elicitability and Encompassing for Volatility Forecasts by Bregman Functions," Working Papers 202311, University of California at Riverside, Department of Economics.
    7. Tae-Hwy Lee & Weiping Yang, 2012. "Money–Income Granger-Causality in Quantiles," Advances in Econometrics, in: 30th Anniversary Edition, pages 385-409, Emerald Group Publishing Limited.
    8. Douglas Lamdin, 2008. "Galbraith on Advertising, Credit, and Consumption: A Retrospective and Empirical Investigation with Policy Implications," Review of Political Economy, Taylor & Francis Journals, vol. 20(4), pages 595-611.
    9. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
    10. Bjørnland, Hilde C. & Ravazzolo, Francesco & Thorsrud, Leif Anders, 2017. "Forecasting GDP with global components: This time is different," International Journal of Forecasting, Elsevier, vol. 33(1), pages 153-173.
    11. Murphy, Elizabeth A. & Norwood, F. Bailey & Wohlgenant, Michael K., 2004. "Do Economic Restrictions Improve Forecasts?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(3), pages 1-10, December.
    12. Kelly Burns, 2016. "A Reconsideration of the Meese-Rogoff Puzzle: An Alternative Approach to Model Estimation and Forecast Evaluation," Multinational Finance Journal, Multinational Finance Journal, vol. 20(1), pages 41-83, March.
    13. Xiaojie Xu, 2017. "The rolling causal structure between the Chinese stock index and futures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 491-509, November.
    14. Stuart Fraser & David Paton, 2003. "Does advertising increase labour supply? Time series evidence from the UK," Applied Economics, Taylor & Francis Journals, vol. 35(11), pages 1357-1368.
    15. Goodwin, Barry K., 1992. "Forecasting Cattle Prices In The Presence Of Structural Change," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 24(2), pages 1-12, December.
    16. Ubilava, David, 2014. "On the Relationship between Financial Instability and Economic Performance: Stressing the Business of Nonlinear Modelling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170222, Agricultural and Applied Economics Association.
    17. Nicolás Magner & Nicolás Hardy, 2022. "Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle," Mathematics, MDPI, vol. 10(13), pages 1-27, July.
    18. Berger, Helge & Österholm, Pär, 2008. "Does money matter for U.S. inflation? Evidence from Bayesian VARs," Discussion Papers 2008/9, Free University Berlin, School of Business & Economics.
    19. Benedetto Molinari & Francesco Turino, 2009. "Advertising, Labor Supply and the Aggregate Economy. A long run Analysis," Working Papers 09.16, Universidad Pablo de Olavide, Department of Economics.
    20. Mr. Helge Berger & Mr. Thomas Harjes & Mr. Emil Stavrev, 2008. "The ECB’s Monetary Analysis Revisited," IMF Working Papers 2008/171, International Monetary Fund.
    21. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201, Elsevier.
    22. Andres Fernandez & Norman R. Swanson, 2009. "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers 09-28, Federal Reserve Bank of Philadelphia.
    23. Chew Lian Chua & Sarantis Tsiaplias, 2008. "Can Consumer Sentiment and Its Components Forecast Australian GDP and Consumption?," Melbourne Institute Working Paper Series wp2008n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    24. Arabinda Basistha & Richard Startz, 2023. "Measuring Persistent Global Economic Factors with Output, Commodity Price, and Commodity Currency Data," Working Papers 23-05, Department of Economics, West Virginia University.
    25. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
    26. Yan Lu & Debanjan Mitra & David Musto & Sugata Ray, 2020. "Can Brands Circumvent Marketing Regulations? Exploiting Umbrella Branding in Financial Markets," Marketing Science, INFORMS, vol. 39(1), pages 71-91, January.
    27. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
    28. Wei-Xing Zhou & Didier Sornette, 2006. "Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates," Papers physics/0607197, arXiv.org.
    29. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    30. Francesco Ravazzolo & Philip Rothman, 2011. "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers No 2/2011, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    31. Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
    32. Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
    33. Österholm, Pär, 2009. "Improving Unemployment Rate Forecasts Using Survey Data," Working Papers 112, National Institute of Economic Research.
    34. Fullerton, Thomas M., Jr. & Molina, Angel L., Jr. & Walke, Adam G., 2010. "Tolls, Exchange Rates, and Northbound International Bridge Traffic from Mexico," MPRA Paper 59586, University Library of Munich, Germany, revised 22 Jun 2012.
    35. Yang, Yan-Hong & Shao, Ying-Hui, 2020. "Time-dependent lead-lag relationships between the VIX and VIX futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    36. Ravazzolo, Francesco & Vespignani, Joaquin, 2015. "A new monthly indicator of global real economic activity," Working Papers 2015-07, University of Tasmania, Tasmanian School of Business and Economics.
    37. Daniel J. Seger & David A. Lins & Michael A. Hudson, 1989. "Lead-lag relationships between interest rates, exchange rates, and agricultural exports to Japan," Agribusiness, John Wiley & Sons, Ltd., vol. 5(2), pages 169-179.
    38. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
    39. Hu, Beibei & Ding, Yang & Dong, Xianlei & Bu, Yi & Ding, Ying, 2021. "On the relationship between download and citation counts: An introduction of Granger-causality inference," Journal of Informetrics, Elsevier, vol. 15(2).
    40. Edgar Weissenberger & J. Thomas, 1983. "The causal role of money in West Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 119(1), pages 64-83, March.
    41. Kilian, Lutz & Inoue, Atsushi, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
    42. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
    43. Allen, Geoff, 1997. "Model selection and forecasting ability of theory-constrained food demand systems : T.L. Kastens and G.W. Brester, 1996, American journal of agricultural economics, 78, 301-312," International Journal of Forecasting, Elsevier, vol. 13(1), pages 150-151, March.
    44. Adam G. Walke & Thomas M. Fullerton Jr., 2019. "Metropolitan Hotel Sector Forecast Accuracy in El Paso," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(2), pages 179-191, June.
    45. Ralf Dewenter & Ulrich Heimeshoff, 2017. "Predicting Advertising Volumes Using Structural Time Series Models: A Case Study," Economics Bulletin, AccessEcon, vol. 37(3), pages 1644-1652.
    46. Mr. Helge Berger & Mr. Thomas Harjes, 2009. "Does Global Liquidity Matter for Monetary Policy in the Euro Area?," IMF Working Papers 2009/017, International Monetary Fund.
    47. Matthias Greuner & David Kamerschen & Peter Klein, 2000. "The Competitive Effects of Advertising in the US Automobile Industry, 1970-94," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 7(3), pages 245-261.
    48. Gelper, Sarah & Croux, Christophe, 2007. "Multivariate out-of-sample tests for Granger causality," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3319-3329, April.
    49. Krishna, Kala & Ozyildirim, Ataman & Swanson, Norman R., 2003. "Trade, investment and growth: nexus, analysis and prognosis," Journal of Development Economics, Elsevier, vol. 70(2), pages 479-499, April.
    50. Joseph H. Haslag & Xue Li, 2017. "On Phase Shifts in a New Keynesian Model Economy," Working Papers 1703, Department of Economics, University of Missouri.
    51. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
    52. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
    53. Nelson Sá, 2015. "Market concentration and persuasive advertising: a theoretical approach," Journal of Economics, Springer, vol. 114(2), pages 127-151, March.
    54. Ken Holden & John Thompson, 1997. "Combining forecasts, encompassing and the properties of UK macroeconomic forecasts," Applied Economics, Taylor & Francis Journals, vol. 29(11), pages 1447-1458.
    55. Stephen J. Majeski & David L. Jones, 1981. "Arms Race Modeling," Journal of Conflict Resolution, Peace Science Society (International), vol. 25(2), pages 259-288, June.
    56. Kyriazakou, Eleni & Panagiotidis, Theodore, 2017. "Causality analysis of the Canadian city house price indices: A cross-sample validation approach," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 42-52.
    57. Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Energy Economics, Elsevier, vol. 41(C), pages 137-146.
    58. Friedrich, Christian & Klein, Melanie, 2009. "On the look-out for the bear: Predicting stock market downturns in G7 countries," Kiel Advanced Studies Working Papers 451, Kiel Institute for the World Economy (IfW Kiel).
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