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

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JEL Classification: C32
Mathematical and Quantitative Methods: Econometric Methods: - Multiple/Simultaneous Equation Models: Time-Series Models

The following papers are assigned JEL Classification C32:

  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 NEW CLASS OF MULTIVARIATE SKEW DENSITIES, WITH APPLICATION TO GARCH MODELS
  Time & Location: GARCH MODELS I
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): Bauwens, Luc

  A PARTITIONING APPROACH TO THE SPECIFICATION OF LARGE VAR MODELS: WITH AN APPLICATION TO THE DAX30 SERIES
  Time & Location: TIME SERIES II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.8
  Category: Econometrics
  Presenter(s): Hauser, Michael A.

  A SIMPLE ESTIMATION METHOD AND FINITE-SAMPLE INFERENCE FOR A STOCHASTIC VOLATILITY MODEL.
  Time & Location: VOLATILITY MODELS I
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Pascale, Valery

  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

  ANALYZING I(2) SYSTEMS BY TRANSFORMED VECTOR AUTOREGRESSIONS
  Time & Location: COINTEGRATION: ESTIMATION II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Kongsted, Hans Christian

  ARE TASTE AND TECHNOLOGY PARAMETERS STABLE? A TEST OF "DEEP" PARAMETER STATBILITY IN REAL BUSINESS CYCLE MODELS OF THE U.S. ECONOMY
  Time & Location: PARAMETER STABILITY
Monday 26th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Swaine, Daniel

  CHARTIST AND FUNDAMENTALIST ANALYSIS : INTERACTION OR ALTERNATIVE REFERENCE IN THE FOREIGN EXCHANGE MARKET ?
  Time & Location: EXCHANGE RATES:EMPIRICAL
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.1
  Category: Econometrics
  Presenter(s): Bessec , Marie and Robineau, François-Mathieu

  COMPARISON OF MODEL SPECIFICATION METHODS
  Time & Location: SPECIFICATION TESTING
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.5
  Category: Econometrics
  Presenter(s): Brüggemann, Ralf

  DISTRIBUTION FREE GOODNESS-OF-FIT TESTS FOR LINEAR PROCESSES
  Time & Location: INFERENCE I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Velasco, Carlos

  DO CORE INFLATION MEASURES MEASURE CORE INFLATION?
  Time & Location: INFLATION
Sunday 25th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Folkertsma, Carsten

  ESTIMATING COINTEGRATING RELATIONS FROM A CROSS SECTION
  Time & Location: PANEL UNIT ROOT TESTS
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.6
  Category: Econometrics
  Presenter(s): Madsen, Edith

  ESTIMATING THE EQUILIBRIUM REAL EXCHANGE RATE: THE CASE OF VENEZUELA
  Time & Location: EXCHANGE RATES:EMPIRICAL
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.1
  Category: Econometrics
  Presenter(s): Bjørnland, Hilde

  EVIDENCE ON ADDICTION EFFECTS FROM HOUSEHOLD EXPENDITURE SURVEYS: THE CASE OF POLISH CONSUMERS
  Time & Location: DEMAND ANALYSIS
Tuesday 27th August 2002, 09:30 - 11:00, Room: 5.1
  Category: Econometrics
  Presenter(s): Starzec, Christophe

  FACTOR FORECASTS FOR THE UK
  Time & Location: TIME SERIES II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.8
  Category: Econometrics
  Presenter(s): Banerjee, Anindya

  FORECASTING EURO AREA INFLATION:DOES AGGREGATING PRICE COMPONENT FORECASTS IMPROVE FORECASTACCURACY?
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Hubrich, Kirstin

  FORECASTING THE SPOT PRICES OF VARIOUS COFFEE TYPES USING LINEAR AND NON-LINEAR ERROR CORRECTION MODELS
  Time & Location: FORECASTING II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Otero, Jesus

  FORECASTING US CONSUMER PRICE INDEXES THROUGH A DISAGGREGATED I(2) ANALYSIS
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Espasa, Antoni and Senra, Eva

  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

  GENERAL-TO-SPECIFIC MODEL SELECTION PROCEDURES FOR STRUCTURAL VECTOR AUTOREGRESSIONS
  Time & Location: VAR MODELS
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Krolzig, Hans-Martin

  GENERALIZED REDUCED RANK REGRESSION
  Time & Location: ESTIMATION I
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Hansen, Peter Reinhard

  IDENTIFICATION AND ESTIMATION OF CAUSAL FACTOR MODELS OF STATIONARY TIME SERIES
  Time & Location: TIME SERIES II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.8
  Category: Econometrics
  Presenter(s): Heaton, Chris

  IDENTIFYING A CREDIT CHANNEL OF MONETARY POLICY TRANSMISSION AND EMPIRICAL EVIDENCE FOR GERMANY
  Time & Location: MONETARY POLICY TRANSMISSION II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.13
  Category: Econometrics
  Presenter(s): Holtemoeller, Oliver

  IMPACT FACTORS
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Paruolo, Paolo

  INFLATION IN THE TRANSITION ECONOMY OF POLAND:AN APPLICATION OF SVEQCM
  Time & Location: TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.3
  Category: Econometrics
  Presenter(s): Welfe, Aleksander

  MARKOV-SWTCHING MODELS OF BUSINESS CYCLE: CAN THE ECONOMETRIC MODEL DETECT THE GROWTH REGIME?
  Time & Location: REGIME SWITCHING MODELS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): GUERRERO, Guillaume

  MODEL SPECIFICATION AND INFLATION FORECAST UNCERTAINTY
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Bårdsen, Gunnar

  ON THE IMPORTANCE OF SKEWNESS AND ASYMMETRIC DEPENDENCE IN STOCK RETURNS FOR ASSET ALLOCATION
  Time & Location: ASSET PRICING
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.4
  Category: Econometrics
  Presenter(s): Patton, Andrew

  POOLING OF FORECASTS
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Clements, Michael

  PRIORS FROM GENERAL EQUILIBRIUM MODELS FOR VARS: FORECASTING AND IDENTIFICATION
  Time & Location: VAR MODELS
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Schorfheide, Frank

  RESTRICTING GROWTH RATES IN COINTEGRATED VAR MODELS
  Time & Location: COINTEGRATION: APPLICATIONS
Sunday 25th August 2002, 09:30 - 11:00, Room: 2.1
  Category: Econometrics
  Presenter(s): Hungnes, Håvard

  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

  STABILITY RESULTS FOR NONLINEAR VECTOR AUTOREGRESSIONS WITH AN APPLICATION TO A NONLINEAR ERROR CORRECTION MODEL
  Time & Location: NONLINEAR TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Saikkonen, Pentti

  TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
  Time & Location: TIME SERIES III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Galvao, Ana Beatriz C.

  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.

  THE ASYMMETRIC EFFECTS OF MONETARY POLICY SHOCKS: A NONLINEAR STRUCTURAL VAR APPROACH
  Time & Location: MONETARY POLICY TRANSMISSION II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.13
  Category: Econometrics
  Presenter(s): Olmedo, Alexandra

  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 INTERPRETATION OF COINTEGRATING COEFFICIENTS IN THE COINTEGRATED VECTOR AUTOREGRESSIVE MODEL
  Time & Location: COINTEGRATION: ESTIMATION I
Sunday 25th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Johansen, Soren

  THE LONG-RUN RELATIONSHIPS AMONG RELATIVE PRICE VARIABILITY, INFLATION AND THE MARKUP
  Time & Location: INFLATION
Sunday 25th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Russell, Bill

  THE PERFORMANCE OF SUBSPACE ALGORITHM COINTEGRATION ANALYSIS: A SIMULATION STUDY WITH NEW TESTS
  Time & Location: COINTEGRATION: ESTIMATION II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Wagner, Martin

  THE TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
  Time & Location: MONETARY POLICY TRANSMISSION II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.13
  Category: Econometrics
  Presenter(s): Lütkepohl, Helmut

  THE VALUE OF STRUCTURAL INFORMATION IN THE ERROR CORRECTION MODEL
  Time & Location: COINTEGRATION: ESTIMATION I
Sunday 25th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): van Dijk, Herman K.

  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

  UNIT ROOT TESTS IN THREE REGIME SETAR MODELS
  Time & Location: UNIT ROOT TESTS II
Monday 26th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Shin, Yongcheol

  WAGE, PRICE, AND UNEMPLOYMENT DYNAMICS AND THE CONVERGENCE TO PURCHASING POWER PARITY IN THE EURO AREA
  Time & Location: COINTEGRATION: APPLICATIONS
Sunday 25th August 2002, 09:30 - 11:00, Room: 2.1
  Category: Econometrics
  Presenter(s): Juselius, Katarina

Total Papers Listed: 45


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

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