2004 Working papers

Paper No.	Title	Authors
No. 507:	A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes	George Kapetanios,
No. 517:	Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels	Georgios Chortareas, George Kapetanios,
No. 521:	Forecasting with Measurement Errors in Dynamic Models	Richard Harrison, George Kapetanios,
No. 513:	Price Taking Equilibrium in Club Economies with Multiple Memberships and Unbounded Club Sizes	Nizar Allouch, Myrna Wooders,
No. 515:	Testing for Exogeneity in Nonlinear Threshold Models	George Kapetanios,
No. 506:	A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data	Andrea Cipollini, George Kapetanios,
No. 516:	Nonlinear Autoregressive Models and Long Memory	George Kapetanios,
No. 511:	Is the Currency Risk Priced in Equity Markets?	Francesco Giurda, Elias Tzavalis,
No. 518:	Inflation Persistence Revisited	Marika Karanassou, Dennis J. Snower,
No. 514:	A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models	Loukia Meligkotsidou, Elias Tzavalis, Ioannis D. Vrontos,
No. 524:	The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks	George Kapetanios,
No. 508:	Testing for Neglected Nonlinearity in Cointegrating Relationships	Andrew P. Blake, George Kapetanios,
No. 505:	Detection of Structural Breaks in Linear Dynamic Panel Data Models	Stefan De Wachter, Elias Tzavalis,
No. 523:	A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units	George Kapetanios,
No. 510:	Can the Composition of Capital Constrain Potential Output? A Gap Approach	Jose Miguel Albala-Bertrand,
No. 509:	Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests	George Kapetanios,
No. 526:	On Testing for Diagonality of Large Dimensional Covariance Matrices	George Kapetanios,
No. 512:	Arbitrage, Equilibrium, and Nonsatiation	Nizar Allouch, Cuong Le Van, Frank H. Page, Jr.,
No. 525:	A New Method for Determining the Number of Factors in Factor Models with Large Datasets	George Kapetanios,
No. 522:	How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP	Georgios Chortareas, George Kapetanios,
No. 519:	Modelling the Yield Curve: A Two Components Approach	John Hatgioannides, Menelaos Karanasos, Marika Karanassou,
No. 520:	Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models	George Kapetanios,

Paper No.

Title

Authors

No. 507:

A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

George Kapetanios,

No. 517:

Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels

Georgios Chortareas, George Kapetanios,

No. 521:

Forecasting with Measurement Errors in Dynamic Models

Richard Harrison, George Kapetanios,