Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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JEL Classification: C22
Mathematical and Quantitative Methods: Econometric Methods: - Single Equation Models: Time-Series Models

The following papers are assigned JEL Classification C22:

  A BOUNDED INFLUENCE ESTIMATION AND OUTLIER DETECTION FOR ARCH/GARCH MODELSWITH AN APPLICATION TO FOREIGN EXCHANGE RATES
  Time & Location: GARCH MODELS II
Monday 26th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): Kao, Chihwa

  A DIAGNOSTIC M-TEST FOR DISTRIBUTIONAL SPECIFICATION OF PARAMETRIC CONDITIONAL HETEROSCEDASTICITY MODELS FOR FINANCIAL DATA
  Time & Location: FINANCIAL ECONOMETRICS II
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.1
  Category: Econometrics
  Presenter(s): Lejeune, Bernard

  A FLEXIBLE COEFFICIENT SMOOTH TRANSITION TIME SERIES MODEL
  Time & Location: NONLINEAR TIME SERIES II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.10
  Category: Econometrics
  Presenter(s): Medeiros, Marcelo C

  A FORECAST COMPARISON OF VOLATILITY MODELS: DOES ANYTHING BEAT A GARCH(1,1)?
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Lunde, Asger

  A MODEL FOR INTRA-DAILY VOLATILITYWITH MULTIPLE INDICATORS
  Time & Location: VOLATILITY MODELS I
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Gallo, Giampiero M.

  A MULTI-STEP GDP FORECASTING MODEL FOR SOUTH AFRICA.
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Muellbauer, John

  A NEW CLASS OF CHARACTERISTIC-FUNCTION-BASED DISTRIBUTION TESTS AND ITS APPLICATION TO GARCH MODELS
  Time & Location: GARCH MODELS I
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): Chen, Yi-Ting

  A NONPARAMETRIC TEST FOR WEAK DEPENDENCE AND ITS BOOTSTRAP ANALOGUE
  Time & Location: BOOTSTRAP METHODS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.9
  Category: Econometrics
  Presenter(s): Hidalgo, Javier

  A RESIDUAL-BASED LM TEST FOR FRACTIONAL COINTEGRATION
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Hassler, Uwe

  A SIMPLE TEST FOR NORMALITY FOR TIME SERIES
  Time & Location: SEMI- AND NON-PARAMETRIC METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.9
  Category: Econometrics
  Presenter(s): Lobato, Ignacio

  A SIMPLE TEST FOR UNIT ROOT BILINEARITY
  Time & Location: UNIT ROOT TESTS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.7
  Category: Econometrics
  Presenter(s): Makarova, Svetlana

  ALTERNATIVE BOOTSTRAP PROCEDURES FOR TESTING COINTEGRATION IN FRACTIONALLY INTEGRATED PROCESSES
  Time & Location: BOOTSTRAP METHODS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.9
  Category: Econometrics
  Presenter(s): Davidson, James

  AN EMPIRICAL INVESTIGATION OF TWO NONLINEAR MODELS IN REAL EXCHANGE RATE SERIES
  Time & Location: EXCHANGE RATES:EMPIRICAL
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.1
  Category: Econometrics
  Presenter(s): Korhonen, Marko

  AN EX-ANTE EXAMINATION OF THE EQUITY PREMIUM
  Time & Location: ASSET PRICING
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.4
  Category: Econometrics
  Presenter(s): kamstra, mark

  AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
  Time & Location: GARCH MODELS II
Monday 26th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): He, Changli

  AUTOREGRESSIVE CONDITIONAL ROOT MODEL
  Time & Location: NONLINEAR TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Rahbek, Anders

  BOOTSTRAPPING AND BARTLETT CORRECTIONS IN THE COINTEGRATED VAR MODEL
  Time & Location: BOOTSTRAP METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Omtzigt, Pieter

  BUBBLES AND LONG RANGE DEPENDENCE IN ASSET PRICES VOLATILITIES
  Time & Location: LONG MEMORY I
Monday 26th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): Teyssiere, Gilles

  COINTEGRATION AND STRUCTURAL BREAKS
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Carrion-i-Silvestre, Josep Lluís

  CONDITIONAL HETEROSCEDASTICITY MODEL FOR DISCRETE HIGH-FREQUENCY PRICECHANGES. WITH APPLICATION TO IBM TRADES DATA.
  Time & Location: GARCH MODELS III
Tuesday 27th August 2002, 09:30 - 11:00, Room: 5.5
  Category: Econometrics
  Presenter(s): Koulikov, Dmitri

  DOES SEASONALITY CHANGE OVER THE BUSINESS CYCLE? AN INVESTIGATION USING MONTHLY INDUSTRIAL PRODUCTION SERIES
  Time & Location: BUSINESS CYCLES: EMPIRICAL
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.5
  Category: Econometrics
  Presenter(s): Matas-Mir, Antoni

  DOMESTIC AND INTERNATIONAL INFLUENCES ON BUSINESS CYCLE REGIMES IN EUROPE
  Time & Location: CROSS COUNTRY LINKAGES
Monday 26th August 2002, 14:30 - 16:00, Room: 4.3
  Category: Econometrics
  Presenter(s): Sensier, Marianne

  ERRORS IN TRADE CLASSIFICATION: CONSEQUENCES AND REMEDIES
  Time & Location: MEASUREMENT ERROR
Tuesday 27th August 2002, 09:30 - 11:00, Room: 5.2
  Category: Econometrics
  Presenter(s): Tanggaard, Carsten

  EVALUATING NONLINEAR MODELS ON POINT AND INTERVAL FORECASTS: AN APPLICATION WITH EXCHANGE RATE RETURNS
  Time & Location: FORECASTING II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Boero, Gianna

  EXAMINATION OF SOME MORE POWERFUL MODIFICATION OF THE DICKEY-FULLER TEST
  Time & Location: UNIT ROOT TESTS III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.11
  Category: Econometrics
  Presenter(s): Kim, Tae-Hwan

  EXTERNAL BOOTSTRAP TESTS FOR PARAMETER STABILITY
  Time & Location: PARAMETER STABILITY
Monday 26th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Delgado, Miguel A.

  EXTRACTING, USING AND ANALYZING CYCLICAL INFORMATION
  Time & Location: BUSINESS CYCLES: EMPIRICAL
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.5
  Category: Econometrics
  Presenter(s): Harding, Don

  FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
  Time & Location: NONLINEAR TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): de Jong, Robert

  GAUSSIAN SEMIPARAMETRIC INFERENCE ON LONG MEMORY IN STOCHASTIC VOLATILITY MODELS
  Time & Location: LONG MEMORY I
Monday 26th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): Arteche, Josu

  LEAST SQUARES ESTIMATION AND TESTS OF BREAKS IN MEAN AND VARIANCE UNDER MISSPECIFICATION
  Time & Location: STRUCTURAL BREAKS I
Monday 26th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Pitarakis, Jean-Yves

  LOCAL WHITTLE ANALYSIS OF STATIONARY FRACTIONAL COINTEGRATION
  Time & Location: COINTEGRATION: ESTIMATION I
Sunday 25th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Nielsen, Morten

  MAXIMUM LIKELIHOOD ESTIMATION OF STAR AND STAR-GARCH MODELS: A MONTE CARLO ANALYSIS
  Time & Location: GARCH MODELS II
Monday 26th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): Chan, Felix

  MONETARY POLICIES, THE OIL CRISIS AND THE FISHER EFFECT HYPOTHESIS
  Time & Location: UNIT ROOT TESTS II
Monday 26th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Million, Nicolas

  MONETARY POLICY IN SMALL OPEN ECONOMIES: THE CHILEAN EXPERIENCE
  Time & Location: MONETARY POLICY: EMPIRICAL I
Tuesday 27th August 2002, 09:30 - 11:00, Room: 1.4
  Category: Econometrics
  Presenter(s): Caputo, Rodrigo

  MULTIVARIATE DIAGONAL FIGARCH: SPECIFICATION, ESTIMATION AND APPLICATION TO MODELLING EXCHANGE RATES VOLATILITY
  Time & Location: GARCH MODELS IV
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.7
  Category: Econometrics
  Presenter(s): Matyas, Laszlo

  NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
  Time & Location: GARCH MODELS IV
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.7
  Category: Econometrics
  Presenter(s): Poetscher, Benedikt M

  NONPARAMETRIC MULTI-STEP AHEAD PREDICTION IN TIME SERIES ANALYSIS
  Time & Location: TIME SERIES III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Hafner, Christian Matthias

  ON THE SIMULTANEITY OF COMPONENTS OF THE TRANSACTION PROCESS
  Time & Location: FINANCIAL ECONOMETRICS IV
Tuesday 27th August 2002, 09:30 - 11:00, Room: 2.1
  Category: Econometrics
  Presenter(s): Gerhard, Frank

  OUTLIER DETECTION IN GARCH MODELS
  Time & Location: GARCH MODELS IV
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.7
  Category: Econometrics
  Presenter(s): Doornik, Jurgen

  PERIODIC UNOBSERVED COMPONENT TIME SERIES MODELS:ESTIMATION AND FORECASTING WITH APPLICATIONS
  Time & Location: TIME SERIES III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Ooms, Marius

  REVISITING OKUN'S LAW: A PIECEWISE-LINEAR APPROACH
  Time & Location: PARAMETER STABILITY
Monday 26th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Crespo-Cuaresma, Jesus

  ROBUST INFERENCE ON AVERAGE ECONOMIC GROWTH
  Time & Location: GROWTH: EMPIRICAL
Wednesday 28th August 2002, 09:30 - 11:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Boswijk, Peter

  ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION
  Time & Location: COINTEGRATION: ESTIMATION I
Sunday 25th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Hualde, Javier

  SHORT-RUN ATTRACTOR REGIMES AND THE CYCLICAL BEHAVIOR OF OUPUT AND PRICES
  Time & Location: STRUCTURAL BREAKS I
Monday 26th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Hecq, Alain

  SIMULATED NONPARAMETRIC ESTIMATION OF CONTINUOUS TIME MODELS OF ASSET PRICES AND RETURNS
  Time & Location: FINANCIAL ECONOMETRICS III
Monday 26th August 2002, 09:30 - 11:00, Room: 1.6
  Category: Econometrics
  Presenter(s): Altissimo, Filippo

  SUBSAMPLING INFERENCE IN THRESHOLD AUTOREGRESSIVE MODELS
  Time & Location: REGIME SWITCHING MODELS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Gonzalo, Jesus

  SUBSAMPLING INTERVALS IN (UN)STABLE AUTOREGRESSIVE MODELS WITH STATIONARY COVARIATES
  Time & Location: TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.3
  Category: Econometrics
  Presenter(s): Van Giersbergen, Noud

  TESTING FOR STRUCTURAL BREAKS IN NONLINEAR DYNAMIC MODELS
  Time & Location: STRUCTURAL BREAKS I
Monday 26th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Kapetanios, George

  TESTING THE CONDITIONAL MEAN FUNCTION OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS
  Time & Location: DURATION I
Monday 26th August 2002, 09:30 - 11:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Hautsch, Nikolaus

  TESTING THE FRACTIONAL COINTEGRATION HYPOTHESIS
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Fernández-Macho, F Javier

  TESTING THE NEW KEYNESIAN PHILLIPS CURVE
  Time & Location: INFLATION AND UNEMPLOYMENT
Tuesday 27th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Jansen, Eilev S.

  TESTING UNDECLARED CENTRAL BANK INTERVENTION IN FOREIGN EXCHANGE MARKETS
  Time & Location: UNIT ROOT TESTS III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.11
  Category: Econometrics
  Presenter(s): Cavaliere, Giuseppe

  TESTS FOR COVARIANCE STATIONARITY AND WHITE NOISE, WITH AN APPLICATION TO EURO/US DOLLAR EXCHANGE RATE: AN APPROACH BASED ON TIME-FREQUENCY DOMAIN
  Time & Location: STRUCTURAL BREAKS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.8
  Category: Econometrics
  Presenter(s): Ahamada, Ibrahim

  TESTS FOR STATIONARITY IN SERIES WITH ENDOGENOUSLY DETERMINED STRUCTURAL CHANGE
  Time & Location: STRUCTURAL BREAKS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.8
  Category: Econometrics
  Presenter(s): Harvey, David

  TESTS FOR UNIT ROOT AND THE INITIAL OBSERVATION
  Time & Location: UNIT ROOT TESTS III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.11
  Category: Econometrics
  Presenter(s): Mueller, Ulrich

  THE DEMAND FOR LABOUR AND THE LUCAS CRITIQUE: EVIDENCE FROM NORWEGIAN MANUFACTURING
  Time & Location: LABOUR DEMAND II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): boug, pål

  THE IMPACT OF MACROECONOMIC UNCERTAINTY ON BANK LENDING BEHAVIOR
  Time & Location: Banking III
Tuesday 27th August 2002, 09:30 - 11:00, Room: 5.8
  Category: Economic Theory
  Presenter(s): Caglayan, Mustafa

  THE PURCHASING POWER PARITY PUZZLE : DOES THE LSTAR OUTPERFORM THE RANDOM WALK ?
  Time & Location: NONLINEAR TIME SERIES II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.10
  Category: Econometrics
  Presenter(s): Ben Salem, Melika and Carrasco, Marine

  THE ROLE OF DETERMINISTIC COMPONENTS IN THE FRACTIONAL DICKEY_FULLER TEST FOR UNIT ROOTS
  Time & Location: UNIT ROOT TESTS II
Monday 26th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Dolado, Juan José and Mayoral, Laura

  THE SEMI-NONSTATIONARY PROCESS: MODEL AND EMPIRICAL EVIDENCE
  Time & Location: REGIME SWITCHING MODELS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Kuan, Chung-Ming

  UNIT ROOT TESTS AND THRESHOLD ADJUSTMENT: THE YIELD SPREAD DYNAMICS REVISITED
  Time & Location: UNIT ROOT TESTS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.7
  Category: Econometrics
  Presenter(s): Bec, Frederique

  WHAT'S WRONG WITH THE (GERMAN) NAIRU?
  Time & Location: INFLATION AND UNEMPLOYMENT
Tuesday 27th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Schreiber, Sven

Total Papers Listed: 62


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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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