Giorgio Calzolari : Citation Profile


Are you Giorgio Calzolari?

Università degli Studi di Firenze

7

H index

6

i10 index

299

Citations

RESEARCH PRODUCTION:

32

Articles

98

Papers

RESEARCH ACTIVITY:

   42 years (1973 - 2015). See details.
   Cites by year: 7
   Journals where Giorgio Calzolari has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 81 (21.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca337
   Updated: 2017-09-16    RAS profile: 2017-06-29    
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Relations with other researchers


Works with:

Magazzini, Laura (4)

Halbleib, Roxana (3)

Parrini, Alessandro (2)

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 (21)

Fiorentini, Gabriele (16)

Delle Monache, Davide (11)

Petrella, Ivan (11)

Khalaf, Lynda (8)

Dufour, Jean-Marie (8)

Veredas, David (8)

Teräsvirta, Timo (7)

Ruiz, Esther (7)

Ericsson, Neil (6)

Perote, Javier (6)

Cites to:

Bianchi, Carlo (110)

Fiorentini, Gabriele (33)

Schmidt, Peter (27)

Klein, Lawrence (24)

Monfort, Alain (24)

Sentana, Enrique (24)

Gallant, A. (22)

gourieroux, christian (22)

Renault, Eric (19)

Jorgenson, Dale (19)

Mariano, Roberto (17)

Main data


Where Giorgio Calzolari has published?


Journals with more than one article published# docs
Economics Letters6
Econometrica6
Journal of Econometrics3
Computational Statistics & Data Analysis3
Journal of Applied Econometrics2
International Journal of Forecasting2
Econometrics Journal2

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 (2017 and 2016)


YearTitle of citing document
2016Moment restrictions and identification in linear dynamic panel data models. (2016). Han, Chirok ; Gorgens, Tue ; Xue, Sen . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-633.

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2016Asymptotic distributions of the quadratic GMM estimator in linear dynamic panel data models. (2016). Han, Chirok ; Gorgens, Tue ; Xue, Sen . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-635.

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2017Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods. (2017). Dahlin, Johan ; Schon, Thomas B. ; Villani, Mattias . In: Papers. RePEc:arx:papers:1506.06975.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Virbickait, Audron ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2016A discussion on the innovation distribution of the Markov regime-switching GARCH model. (2016). Shi, Yanlin ; Feng, Lingbing . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:278-288.

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2016Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). El Ouadghiri, Imane ; Uctum, Remzi . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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2017Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis. (2017). Mensi, Walid ; Kang, Sang Hoon ; Hammoudeh, Shawkat . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:26-33.

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2016Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks. (2016). Slim, Skander ; Dahmene, Meriam . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Perote, Javier ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

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2016Global financial crisis and emerging stock market contagion: A volatility impulse response function approach. (2016). Jin, Xiaoye ; An, Ximeng . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:179-195.

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2016Dynamic volatility spillovers across shipping freight markets. (2016). Tsouknidis, Dimitris. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:91:y:2016:i:c:p:90-111.

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2016Is the Allocation of Time Gender Sensitive to Food Price Changes? An Investigation of Hours of Work in Uganda. (2016). Giannelli, Gianna Claudia ; Campus, Daniela . In: IZA Discussion Papers. RePEc:iza:izadps:dp10376.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: MPRA Paper. RePEc:pra:mprapa:75424.

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2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations. (2017). Zakoian, Jean-Michel ; Monfort, Alain ; Gourieroux, Christian . In: MPRA Paper. RePEc:pra:mprapa:79623.

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2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: EMF Research Papers. RePEc:wrk:wrkemf:13.

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2017A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2017). Grammig, Joachim ; Kuchlin, Eva-Maria . In: CFR Working Papers. RePEc:zbw:cfrwps:1701.

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2017Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework. (2017). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:674.

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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]
article91
1993A Curious Result on Exact FIML and Instrumental Variables In: Econometric Theory.
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article0
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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article6
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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article7
1998Control variates for variance reduction in indirect inference: Interest rate models in continuous time In: Econometrics Journal.
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article6
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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article6
2006Indirect estimation of alpha-stable stochastic volatility models.(2006) In: Econometrics Working Papers Archive.
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paper
2014Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood In: Computational Statistics & Data Analysis.
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article1
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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1993Alternative covariance estimators of the standard Tobit model In: Economics Letters.
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1979On the stability of the Klein-I model In: Economics Letters.
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1979Antithetic variates to estimate the simulation bias in non-linear models In: Economics Letters.
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article5
2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters.
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article20
2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
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article12
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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This paper has another version. Agregated cites: 12
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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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article1
1987Computational efficiency of FIML estimation In: Journal of Econometrics.
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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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1990Mode predictors in nonlinear systems with identities In: International Journal of Forecasting.
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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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2004Indirect estimation of alpha-stable distributions and processes. In: Econometrics Working Papers Archive.
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2010The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values In: Econometrics Working Papers Archive.
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2014Self-Selection and Direct Estimation of Across-Regime Correlation Parameter In: Econometrics Working Papers Archive.
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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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2000The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality. In: Centro de Estudios Monetarios Y Financieros-.
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paper6
1995Analytic Derivatives and the Computation of Garch Estimates. In: Centro de Estudios Monetarios Y Financieros-.
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paper49
1996Analytic Derivatives and the Computation of GARCH Estimates..(1996) In: Journal of Applied Econometrics.
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article
1980The One-Period Forecast Errors in Nonlinear Econometric Models. In: International Economic Review.
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article3
1997A tobit model with garch errors In: Working Papers. Serie AD.
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1998A tobit model with garch errors.(1998) In: Econometric Reviews.
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2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY In: Working Papers. Serie AD.
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paper3
1990Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models. In: Journal of Applied Econometrics.
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article2
2012Indirect Estimation of α-Stable Garch Models In: Working Paper Series of the Department of Economics, University of Konstanz.
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2014Estimating Stable Factor Models By Indirect Inference In: Working Paper Series of the Department of Economics, University of Konstanz.
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2001Indirect inference and variance reduction using control variates In: Metron - International Journal of Statistics.
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2004Constrained Indirect Estimation In: Review of Economic Studies.
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article19
1977Stochastic simulation as a validation tool for econometric models In: MPRA Paper.
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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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2009Individual wage and reservation wage: efficient estimation of a simultaneous equation model with endogenous limited dependent variables In: MPRA Paper.
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2001Simulation-based estimation of Tobit model with random effects In: MPRA Paper.
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2002Imputation of continuous variables missing at random using the method of simulated scores 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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1988Il problema della coerenza delle previsioni nei modelli econometrici non lineari 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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1987Forecast variance in simultaneous equation models: analytic and Monte Carlo methods 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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1988Coherent Forecast with Nonlinear Econometric Models 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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1989Instrumental variables interpretations of FIML and nonlinear FIML 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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2012Econometric notes.(2012) In: MPRA Paper.
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2012Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood In: Empirical Economics.
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2009Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood.(2009) In: Working Papers.
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2011Moment Conditions and Neglected Endogeneity in Panel Data Models In: Working Papers.
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2012Identification of linear panel data models when instruments are not available In: Working Papers.
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2014Improving GMM efficiency in dynamic models for panel data with mean stationarity In: Working Papers.
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2013A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence In: Working Papers.
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2010Negative variance estimates in panel data models In: Working Papers.
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