Giorgio Calzolari : Citation Profile


Are you Giorgio Calzolari?

Università degli Studi di Firenze

9

H index

8

i10 index

444

Citations

RESEARCH PRODUCTION:

35

Articles

99

Papers

RESEARCH ACTIVITY:

   47 years (1973 - 2020). See details.
   Cites by year: 9
   Journals where Giorgio Calzolari has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 86 (16.23 %)

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   Permalink: http://citec.repec.org/pca337
   Updated: 2020-10-24    RAS profile: 2020-08-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Giorgio Calzolari.

Is cited by:

Sentana, Enrique (68)

Fiorentini, Gabriele (49)

Delle Monache, Davide (13)

Petrella, Ivan (13)

Hallin, Marc (12)

Amengual, Dante (12)

Ruiz, Esther (11)

Teräsvirta, Timo (10)

Khalaf, Lynda (9)

Barigozzi, Matteo (9)

Dufour, Jean-Marie (9)

Cites to:

Bianchi, Carlo (103)

Fiorentini, Gabriele (44)

Sentana, Enrique (38)

Schmidt, Peter (24)

Monfort, Alain (24)

Klein, Lawrence (23)

gourieroux, christian (21)

Gallant, A. (21)

Renault, Eric (19)

Di Iorio, Francesca (18)

Engle, Robert (18)

Main data


Where Giorgio Calzolari has published?


Journals with more than one article published# docs
Econometrica6
Economics Letters6
Journal of Econometrics4
Computational Statistics & Data Analysis3
Econometrics Journal2
International Journal of Forecasting2
Econometric Reviews2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany73
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"8
Working Papers / University of Verona, Department of Economics6
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)4
Working Paper Series of the Department of Economics, University of Konstanz / Department of Economics, University of Konstanz2

Recent works citing Giorgio Calzolari (2020 and 2019)


YearTitle of citing document
2019Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163.

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2019Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

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2020Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models. (2020). Morettin, Pedro A ; Sampaio, Jhames M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:67-83.

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2019Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum. (2019). Kang, Sanghoon ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:222-230.

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2020Brent crude oil prices volatility during major crises. (2020). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304380.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019Ordinal-response GARCH models for transaction data: A forecasting exercise. (2019). Tsionas, Mike ; Dimitrakopoulos, Stefanos . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1273-1287.

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2019Robust factor number specification for large-dimensional elliptical factor model. (2019). Zhang, Xinsheng ; He, Yong ; Yu, Long. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18304378.

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2019Energy, precious metals, and GCC stock markets: Is there any risk spillover?. (2019). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:45-70.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

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2019Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?. (2019). Mokni, Khaled ; Youssef, Manel . In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:3:p:70-:d:247077.

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2019Energy based estimation of the Shadow Economy: The role of Governance Quality.. (2019). Dergiades, Theologos ; Missiou, Olympia ; Psychoyios, Dimitrios. In: Discussion Paper Series. RePEc:mcd:mcddps:2019_07.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01.

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2019On The Accuracy of GARCH Estimation in R Packages. (2019). McCullough, B D ; Hill, Chelsey. In: Econometric Research in Finance. RePEc:sgh:erfinj:v:4:y:2019:i:2:p:133-156.

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2019The Relationship Between Saving, Profit Rates and Business Cycles. (2019). Berberolu, Cafer Necat ; Kilin, Efe Can. In: Sosyoekonomi Journal. RePEc:sos:sosjrn:190208.

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2019An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution. (2019). Bee, Marco ; Trapin, Luca ; Hambuckers, Julien. In: DEM Working Papers. RePEc:trn:utwprg:2019/11.

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2019How Informative is High-Frequency data for Tail Risk Estimation and Forecasting?. (2019). Dimitriadis, Timo ; Halbleib, Roxana. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203669.

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Works by Giorgio Calzolari:


YearTitleTypeCited
2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article137
2000The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality..(2000) In: Centro de Estudios Monetarios Y Financieros-.
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paper
2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD.
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paper
2004INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers.
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paper12
1993A Curious Result on Exact FIML and Instrumental Variables In: Econometric Theory.
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article0
1989Instrumental variables interpretations of FIML and nonlinear FIML.(1989) In: MPRA Paper.
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1978A Program for Stochastic Simulation of Econometric Models. In: Econometrica.
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article4
1979A Note on the Numerical Results by Goldberger, Nagar, and Odeh. In: Econometrica.
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article0
1981A Note on the Variance of Ex-Post Forecasts in Econometric Models. In: Econometrica.
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article7
1986Control Variates to Estimate the Reduced Form Variances in Econometric Models. In: Econometrica.
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article1
1987Forecast Variance in Dynamic Simulation of Simultaneous Equation Models. In: Econometrica.
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article1
1988Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y. In: Econometrica.
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article3
2008Indirect Estimation of α-Stable Distributions and Processes In: Econometrics Journal.
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article10
2004Indirect estimation of alpha-stable distributions and processes..(2004) In: Econometrics Working Papers Archive.
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paper
1998Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal.
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article5
1998- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME.(1998) In: Working Papers. Serie AD.
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1996Control variates for variance reduction in indirect inference: interest rate models in continuous time.(1996) In: MPRA Paper.
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2006Discontinuities in indirect estimation: An application to EAR models In: Computational Statistics & Data Analysis.
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article1
2009Indirect estimation of [alpha]-stable stochastic volatility models In: Computational Statistics & Data Analysis.
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article9
2006Indirect estimation of alpha-stable stochastic volatility models.(2006) In: Econometrics Working Papers Archive.
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2014Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood In: Computational Statistics & Data Analysis.
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article3
2012Indirect Estimation of α-Stable Garch Models.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz.
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2014Estimating Stable Factor Models By Indirect Inference.(2014) In: Working Paper Series of the Department of Economics, University of Konstanz.
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1983Asymptotic distribution of power spectra and peak frequencies in the stochastic response of econometric models In: Journal of Economic Dynamics and Control.
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1983Asymptotic standard errors of point elasticities calculated from simultaneous equation systems In: Economics Letters.
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1979A Monte Carlo approach to compute the asymptotic standard errors of dynamic multipliers In: Economics Letters.
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article1
1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
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article3
1979On the stability of the Klein-I model In: Economics Letters.
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article0
1979Antithetic variates to estimate the simulation bias in non-linear models In: Economics Letters.
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article8
2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters.
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article27
2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
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article29
2007Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series.
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1981Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models In: Journal of Econometrics.
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article3
2018Estimating stable latent factor models by indirect inference In: Journal of Econometrics.
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article1
1987Computational efficiency of FIML estimation In: Journal of Econometrics.
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article1
1987Measuring forecast uncertainty : A review with evaluation based on a macro model of the French economy In: International Journal of Forecasting.
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article2
1987Forecast variance in simultaneous equation models: analytic and Monte Carlo methods.(1987) In: MPRA Paper.
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1990Mode predictors in nonlinear systems with identities In: International Journal of Forecasting.
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article2
1988Il problema della coerenza delle previsioni nei modelli econometrici non lineari.(1988) In: MPRA Paper.
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1988Coherent Forecast with Nonlinear Econometric Models.(1988) In: MPRA Paper.
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1988Mode predictors in nonlinear systems with identities.(1988) In: MPRA Paper.
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1999Indirect Estimation of Just-Identified Models with Control Variates In: Econometrics Working Papers Archive.
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2001Alternative Simulation-Based Estimators of Logit Models with Random Effects In: Econometrics Working Papers Archive.
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paper1
2010The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values In: Econometrics Working Papers Archive.
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2002Imputation of continuous variables missing at random using the method of simulated scores.(2002) In: MPRA Paper.
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2014Self-Selection and Direct Estimation of Across-Regime Correlation Parameter In: Econometrics Working Papers Archive.
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2009Individual wage and reservation wage: efficient estimation of a simultaneous equation model with endogenous limited dependent variables.(2009) In: MPRA Paper.
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2017Self-selection and direct estimation of across-regime correlation parameter.(2017) In: Journal of Applied Statistics.
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2014Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning In: Econometrics Working Papers Archive.
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2015Indirect estimation and econometrics exams: how to live a round life In: Econometrics Working Papers Archive.
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2000Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-.
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paper2
2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
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1995Analytic Derivatives and the Computation of Garch Estimates. In: Centro de Estudios Monetarios Y Financieros-.
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paper68
1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
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1980The One-Period Forecast Errors in Nonlinear Econometric Models. In: International Economic Review.
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article6
1997A tobit model with garch errors In: Working Papers. Serie AD.
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paper14
1998A tobit model with garch errors.(1998) In: Econometric Reviews.
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1990Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models. In: Journal of Applied Econometrics.
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article2
2001Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics.
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article0
2004Constrained Indirect Estimation In: Review of Economic Studies.
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article39
1977Stochastic simulation as a validation tool for econometric models In: MPRA Paper.
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paper6
1976Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model In: MPRA Paper.
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1987Finite sample performance of the robust Wald test in simultaneous equation systems In: MPRA Paper.
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1982Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods In: MPRA Paper.
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1984Analyse et mesure de lincertitude en prevision dun modele econometrique. Application au modele mini-DMS In: MPRA Paper.
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1993Estimating variances and covariances in a censored regression model In: MPRA Paper.
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1983Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results In: MPRA Paper.
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1982Stime 2SLS con componenti principali di un modello non lineare dell economia italiana In: MPRA Paper.
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1975Aggiornamento del modello al 1974 e nuove simulazioni In: MPRA Paper.
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1981Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix In: MPRA Paper.
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1979Some results on the stochastic simulation of a nonlinear model of the Italian economy In: MPRA Paper.
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1974Interactive management for time series In: MPRA Paper.
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1974Interactive management of time series.(1974) In: MPRA Paper.
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1974Interactive management of time series.(1974) In: MPRA Paper.
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1976Simulation properties of alternative methods of estimation: an application to a model of the Italian economy In: MPRA Paper.
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1978Spectral analysis of stochastic and analytic simulation results for a nonlinear model for the Italian economy In: MPRA Paper.
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2005Indirect estimation of Markov switching models with endogenous switching In: MPRA Paper.
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2001Simulation-based estimation of Tobit model with random effects In: MPRA Paper.
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1976Utilizing a program loaded into the user program area to load another module in the same user program area In: MPRA Paper.
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1976User defined functions and operators In: MPRA Paper.
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1978Stochastic simulation: a package for Monte Carlo experiments on econometric models In: MPRA Paper.
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1979Condensed version of the OECD foreign trade by commodities tapes In: MPRA Paper.
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1981Alternative estimates of the Klein-I model In: MPRA Paper.
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1978Stochastic simulation and dynamic properties of the new version of the Italian model In: MPRA Paper.
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1987La varianza delle previsioni nei modelli econometrici In: MPRA Paper.
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1988A trade-off criterion for evaluating effectiveness and reliability of alternative policy actions In: MPRA Paper.
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1987The behavior of trust-region methods in FIML estimation In: MPRA Paper.
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1992Stima delle equazioni simultanee non-lineari: una rassegna In: MPRA Paper.
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1979A package for analytic simulation of econometric models In: MPRA Paper.
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1979On the restricted reduced form of the Klein-I model: revised computations to complete A note on the numerical results by Goldberger, Nagar and Odeh, Econometrica, 47 (1979) In: MPRA Paper.
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1976Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models In: MPRA Paper.
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1978Stochastic simulation of econometric models: installation procedures and users instructions In: MPRA Paper.
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1985Asymptotic properties of dynamic multipliers in nonlinear econometric models In: MPRA Paper.
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1980A simulation approach to some dynamic properties of econometric models In: MPRA Paper.
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1976Analisi e simulazione stocastica di un modello aggregato delleconomia italiana 1952-1971 In: MPRA Paper.
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1998Variance reduction with Monte Carlo estimates of error rates in multivariate classification In: MPRA Paper.
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1999Variance reduction with Monte Carlo estimates of error rates in multivariate classification.(1999) In: Technical Reports.
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1994Conditional heteroskedasticity in nonlinear simultaneous equations In: MPRA Paper.
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1993Alternative estimators of the covariance matrix in GARCH models In: MPRA Paper.
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1973IMTS: un linguaggio per la gestione dellarchivio delle serie storiche In: MPRA Paper.
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1980Simulation of a nonlinear econometric model In: MPRA Paper.
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1979Stochastic simulation experiments on Model 5 of Bonn University In: MPRA Paper.
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1979The asymptotic distribution of power spectra in dynamic econometric models In: MPRA Paper.
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1979The deterministic simulation bias in the Klein-Goldberger model In: MPRA Paper.
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1979The asymptotic distribution of impact multipliers for a non-linear structural econometric model, In: MPRA Paper.
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1976Monte Carlo methods in econometrics: a package for the stochastic simulation In: MPRA Paper.
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1985Gradient methods in FIML estimation of econometric models In: MPRA Paper.
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1991Simulation of interest rate options using ARCH In: MPRA Paper.
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1978Ven der Giessens reordering algorithm in the program for stochastic simulation of econometric models In: MPRA Paper.
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1975DMS/2: un sistema per la soluzione e simulazione interattiva di modelli econometrici In: MPRA Paper.
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1980Significance of the characteristic roots of linearized econometric models In: MPRA Paper.
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1978A manageable support for the O.E.C.D. data on foreign trade by commodities In: MPRA Paper.
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1984A Simulation Study on FIML Covariance Matrix In: MPRA Paper.
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1984Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix In: MPRA Paper.
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1982Uncertainty of policy recommendations for nonlinear econometric models: some empirical results In: MPRA Paper.
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1983Hessian and approximated Hessian matrices in maximum likelihood estimation: a Monte Carlo study In: MPRA Paper.
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1976Stochastic simulation of an aggregated model of the Italian economy: methodological and empirical aspects In: MPRA Paper.
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1983Confidence intervals of forecasts from nonlinear econometric models In: MPRA Paper.
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1985Effectiveness versus reliability of policy actions under government budget constraint: the case of France In: MPRA Paper.
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1983Analysis and measurement of the uncertainty in Mini-Dms model for the French economy In: MPRA Paper.
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1986Coherent optimal prediction with large nonlinear systems: an example based on a French model In: MPRA Paper.
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1986Forecasts and constraints on policy actions: the reliability of alternative instruments In: MPRA Paper.
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1986Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models In: MPRA Paper.
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1978La varianza dellerrore di previsione nei modelli econometrici: applicazione ad un modello nonlineare delleconomia italiana In: MPRA Paper.
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2012Econometric notes In: MPRA Paper.
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