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The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis
12 references·8 citing·42 second hop
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis (1989)The Time-Varying-Parameter Model for Mode…Cross-Regime Evidence of Macroeconomic Rationality (1984)Cross-Regime Evidence of Macr…Does Anticipated Monetary Policy Matter? An Econometric Investigation (1982)Does Anticipated Monetary Pol…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Lucas hypothesis on the Phillips Curve (1981)The Lucas hypothesis on the P…Further International Evidence of Output-Inflation Tradeoffs (1980)Further International Evidenc…Does Anticipated Monetary Policy Matter? An Econometric Investigation (1980)Does Anticipated Monetary Pol…Optimal expectations and the extreme information assumptions of ‘rational expectations’ macromodels (1979)Optimal expectations and the …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Nobel Lecture: Inflation and Unemployment (1977)Nobel Lecture: Inflation and …Rational expectations and the role of monetary policy (1976)Rational expectations and the…Bayesian Forecasting (1976)Bayesian ForecastingSome International Evidence on Output-Inflation Tradeoffs. (1973)Some International Evidence o…The Asymmetric Effects of Monetary Policy on Stock Market (2018)The Asymmetric Effects of Mon…The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective (2016)The effect of gold market spe…Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps (2015)Short-term determinants of th…Applications of State Space Models in finance (2009)Applications of State Space M…Time-varying discrete monetary policy reaction functions (2006)Time-varying discrete monetar…The NAIRU, unemployment and the rate of inflation in Brazil (2003)The NAIRU, unemployment and t…The role of inflation uncertainty in Germany: Friedman's hypothesis revisited (1994)The role of inflation uncerta…Some further international evidence on output-inflation tradeoffs: The lucas variability hypothesis reexamined (1990)Some further international ev…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Macroeconomic determinants of growth: Cross-country evidence (1985)A SENSITIVITY ANALYSIS OF CROSS-COUNTRY GROWTH REGRESSIONS (1991)The Role of Monetary Policy (1995)What have We Learnt from the Convergence Debate? (2003)A Theory of the Consumption Function (1960)Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and Economic Thought (1979)Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts (1999)Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Expectations and the neutrality of money (1972)MONEY, INCOME, AND CAUSALITY (1972)Money, Output and Prices: Evidence from A New Monetary Aggregate (1991)Government Spending and Private Consumption: Some International Evidence (1994)Capital mobility and the output–inflation tradeoff (2001)Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule (1977)ARE THE OUTPUT EFFECTS OF MONETARY POLICY ASYMMETRIC? EVIDENCE FROM A SAMPLE OF EUROPEAN COUNTRIES (1996)Chapter 15 Staggered price and wage setting in macroeconomics (1999)The History of the Phillips Curve: Consensus and Bifurcation (2009)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Anticipated inflation and the capital stock in a cash in-advance economy (1981)An empirical analysis of cross-national economic growth, 1951–1980 (1989)Multivariate Simultaneous Generalized ARCH (1995)Money, Credit Constraints, and Economic Activity (1983)Staggered Price and Wage Setting in Macroeconomics (1998)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Experience with Forecasting Univariate Time Series and the Combination of Forecasts (1974)Curve Fitting and Optimal Design for Prediction (1978)A Bayesian Analysis of Kriging (1993)The effect of air pollution on migration: Evidence from China (2022)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Econometric policy evaluation: A critique (1976)Trends and random walks in macroeconmic time series (1982)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1973Some International Evidence on Output-Inflation Tradeoffs.2,448 cited
  • 1977Nobel Lecture: Inflation and Unemployment1,800 cited
  • 1976Rational expectations and the role of monetary policy972 cited
  • 1976Bayesian Forecasting671 cited
  • 1979Optimal expectations and the extreme information assumptions of ‘rational expectations’ macromodels368 cited
  • 1982Does Anticipated Monetary Policy Matter? An Econometric Investigation316 cited
  • 1980Does Anticipated Monetary Policy Matter? An Econometric Investigation289 cited
  • 1984Cross-Regime Evidence of Macroeconomic Rationality84 cited
  • 1981The Lucas hypothesis on the Phillips Curve80 cited
  • 1980Further International Evidence of Output-Inflation Tradeoffs73 cited

Cited by

  • 2016The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective32 cited
  • 2015Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps26 cited

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  • 2009Applications of State Space Models in finance26 cited
  • 2006Time-varying discrete monetary policy reaction functions17 cited
  • 2003The NAIRU, unemployment and the rate of inflation in Brazil16 cited
  • 1994The role of inflation uncertainty in Germany: Friedman's hypothesis revisited13 cited
  • 1990Some further international evidence on output-inflation tradeoffs: The lucas variability hypothesis reexamined12 cited
  • 2018The Asymmetric Effects of Monetary Policy on Stock Market11 cited