Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Journal of Econometrics / Elsevier


[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators


Raw data:


IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.140.0983831852.23377812718040.050.04
19910.280.09711543011.951491148420110.150.04
19920.210.09662202781.265163154336.1120.180.04
19930.230.1973173060.972268137320120.120.05
19940.370.11834004321.083424163611.6160.190.05
19950.60.28348310822.24629318010818.5230.280.08
19960.640.2410358613542.31526016610715.9480.470.1
19970.750.310769315862.29347918614017.9380.360.11
19980.90.2911180418372.28589121018912.7320.290.11
19990.760.345385720842.4325792181665.4220.420.15
20001.440.428594229133.0924851642368.1460.540.16
20011.370.4491103332213.12297613818914.3500.550.17
20021.260.4597113034913.09403217622210.8720.740.2
20031.820.4795122545923.7547841883426.11171.230.2
20042.420.5390131554414.1425931924642.2991.10.22
20052.50.5683139859824.2828371854623.51231.480.23
20062.340.55130152867304.435011734046.71751.350.22
20072.30.47187171561993.6139032134896.51820.970.19
20082.670.5168188379234.2125833178456.31550.920.21
20092.070.51104198781354.0910823557365.8770.740.21
20101.550.47145213274233.4813212724228.11200.830.17
20111.780.55146227894794.1611112494445.91651.130.22
20122.050.671672445109104.464602915978.7970.580.26
20131.620.92952540104194.12353135076.59510.34
20140.810.68117265747701.82826221110250.210.24
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Most cited documents in this series:


YearTitleCited
1986Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327.

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3352
1998Initial conditions and moment restrictions in dynamic panel data models. (1998). Blundell, Richard ; Bond, Stephen . In: Journal of Econometrics. RePEc:eee:econom:v:87:y:1998:i:1:p:115-143.

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3213
1995Another look at the instrumental variable estimation of error-components models. (1995). Bover, Olympia ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:29-51.

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2373
1992Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. (1992). shin, yongcheol ; Schmidt, Peter ; Phillips, Peter ; Kwiatkowski, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178.

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2099
2003Testing for unit roots in heterogeneous panels. (2003). shin, yongcheol ; Pesaran, M ; Im, Kyung So, . In: Journal of Econometrics. RePEc:eee:econom:v:115:y:2003:i:1:p:53-74.

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1974
1977Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37.

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1496
2002Unit root tests in panel data: asymptotic and finite-sample properties. (2002). Levin, Andrew ; Chu, Chia-Shang James ; Lin, Chien-Fu. In: Journal of Econometrics. RePEc:eee:econom:v:108:y:2002:i:1:p:1-24.

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1495
1992ARCH modeling in finance : A review of the theory and empirical evidence. (1992). Chou, Ray ; Bollerslev, Tim ; KRONER, Kenneth F.. In: Journal of Econometrics. RePEc:eee:econom:v:52:y:1992:i:1-2:p:5-59.

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980
1974Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120.

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941
1995Estimating long-run relationships from dynamic heterogeneous panels. (1995). Smith, Ronald ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:79-113.

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909
1996Impulse response analysis in nonlinear multivariate models. (1996). Potter, Simon ; Pesaran, M ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:119-147.

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751
2005A finite sample correction for the variance of linear efficient two-step GMM estimators. (2005). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:1:p:25-51.

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714
1982On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238.

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629
1982Formulation and estimation of dynamic models using panel data. (1982). hsiao, cheng ; Anderson, T. W.. In: Journal of Econometrics. RePEc:eee:econom:v:18:y:1982:i:1:p:47-82.

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613
1986Random group effects and the precision of regression estimates. (1986). Moulton, Brent. In: Journal of Econometrics. RePEc:eee:econom:v:32:y:1986:i:3:p:385-397.

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601
1995Statistical inference in vector autoregressions with possibly integrated processes. (1995). Toda, Hiro Y. ; YAMAMOTO, Taku . In: Journal of Econometrics. RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250.

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578
1981Panel data and unobservable individual effects. (1981). Hausman, Jerry ; TAYLOR, William E.. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:155-155.

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525
1976Exact and superlative index numbers. (1976). Diewert, Walter. In: Journal of Econometrics. RePEc:eee:econom:v:4:y:1976:i:2:p:115-145.

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516
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:3-30.

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511
1999Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44.

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500
1986Errors in variables in panel data. (1986). Hausman, Jerry ; Griliches, Zvi. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:1:p:93-118.

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488
1988Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211.

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479
1996Residual-based tests for cointegration in models with regime shifts. (1996). Hansen, Bruce ; Gregory, Allan. In: Journal of Econometrics. RePEc:eee:econom:v:70:y:1996:i:1:p:99-126.

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474
2005Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353.

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469
1997Further evidence on breaking trend functions in macroeconomic variables. (1997). Perron, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:80:y:1997:i:2:p:355-385.

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461
1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. (1992). juselius, katarina ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:53:y:1992:i:1-3:p:211-244.

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456
1988Limited information estimators and exogeneity tests for simultaneous probit models. (1988). Rivers, Douglas ; Vuong, Quang H.. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:3:p:347-366.

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453
1995On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. (1995). Kiviet, Jan. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:53-78.

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449
1987Forecasting and testing in co-integrated systems. (1987). Engle, Robert ; Yoo, Byung Sam. In: Journal of Econometrics. RePEc:eee:econom:v:35:y:1987:i:1:p:143-159.

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431
1996Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

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425
1986Understanding spurious regressions in econometrics. (1986). Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:33:y:1986:i:3:p:311-340.

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425
1994Autoregressive conditional heteroskedasticity and changes in regime. (1994). Hamilton, James ; Susmel, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:64:y:1994:i:1-2:p:307-333.

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418
1994On discrimination and the decomposition of wage differentials. (1994). Ransom, Michael ; Oaxaca, Ronald. In: Journal of Econometrics. RePEc:eee:econom:v:61:y:1994:i:1:p:5-21.

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412
1990Analysis of time series subject to changes in regime. (1990). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:45:y:1990:i:1-2:p:39-70.

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407
1981Some properties of time series data and their use in econometric model specification. (1981). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:121-130.

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398
2003What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398.

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396
2008Regression discontinuity designs: A guide to practice. (2008). Lemieux, Thomas ; Imbens, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:615-635.

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386
1980Long memory relationships and the aggregation of dynamic models. (1980). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:14:y:1980:i:2:p:227-238.

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384
1990Seasonal integration and cointegration. (1990). Hylleberg, Svend ; Granger, Clive ; Engle, Robert ; YOO, B. S.. In: Journal of Econometrics. RePEc:eee:econom:v:44:y:1990:i:1-2:p:215-238.

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378
1994Five alternative methods of estimating long-run equilibrium relationships. (1994). Gonzalo, Jesus. In: Journal of Econometrics. RePEc:eee:econom:v:60:y:1994:i:1-2:p:203-233.

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359
2003Testing for a unit root in the nonlinear STAR framework. (2003). snell, andy ; shin, yongcheol ; Kapetanios, George . In: Journal of Econometrics. RePEc:eee:econom:v:112:y:2003:i:2:p:359-379.

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354
2007Estimation and inference in two-stage, semi-parametric models of production processes. (2007). Wilson, Paul ; Simar, Leopold. In: Journal of Econometrics. RePEc:eee:econom:v:136:y:2007:i:1:p:31-64.

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337
2001Long memory and regime switching. (2001). Inoue, Atsushi ; Diebold, Francis. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:131-159.

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333
1990Alternative models for conditional stock volatility. (1990). Schwert, G. ; pagan, adrian. In: Journal of Econometrics. RePEc:eee:econom:v:45:y:1990:i:1-2:p:267-290.

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328
2001Tests of equal forecast accuracy and encompassing for nested models. (2001). McCracken, Michael ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:85-110.

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327
1982The use of time series processes to model the error structure of earnings in a longitudinal data analysis. (1982). MaCurdy, Thomas E.. In: Journal of Econometrics. RePEc:eee:econom:v:18:y:1982:i:1:p:83-114.

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318
1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models. (1992). Sowell, Fallaw. In: Journal of Econometrics. RePEc:eee:econom:v:53:y:1992:i:1-3:p:165-188.

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318
1988Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. (1988). Coelli, Timothy ; Battese, George E.. In: Journal of Econometrics. RePEc:eee:econom:v:38:y:1988:i:3:p:387-399.

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311
1999GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45.

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308
1985Panel data from time series of cross-sections. (1985). Deaton, Angus. In: Journal of Econometrics. RePEc:eee:econom:v:30:y:1985:i:1-2:p:109-126.

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307

Citing documents used to compute impact factor 211:


YearTitleSee
2014GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels. (2014). Sarafidis, Vasilis ; Robertson, Donald ; Westerlund, Joakim . In: MPRA Paper. RePEc:pra:mprapa:53419.

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[Citation Analysis]
2014Monetary Policy Drivers of Bond and Equity Risks. (2014). Viceira, Luis ; Pflueger, Carolin ; Campbell, John. In: Harvard Business School Working Papers. RePEc:hbs:wpaper:14-031.

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[Citation Analysis]
2014Bond Market Exposures to Macroeconomic and Monetary Policy Risks. (2014). Song, Dongho . In: PIER Working Paper Archive. RePEc:pen:papers:14-017.

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[Citation Analysis]
2014Monetary Policy Drivers of Bond and Equity Risks. (2014). Viceira, Luis ; Pflueger, Carolin ; Campbell, John. In: NBER Working Papers. RePEc:nbr:nberwo:20070.

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[Citation Analysis]
2014[Citation Analysis]
2014[Citation Analysis]
2014Specification Testing in Structural Nonparametric Cointegration. (2014). GAO, Jiti ; Dong, Chaohua . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-2.

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[Citation Analysis]
2014Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models. (2014). GAO, Jiti ; Dong, Chaohua ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-7.

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[Citation Analysis]
2014Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2014). GAO, Jiti ; Yin, Jiying ; Dong, Chaohua ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-8.

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[Citation Analysis]
2014Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation. (2014). Fletcher, Jonathan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:30-46.

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[Citation Analysis]
2014The Local Power of the CADF and CIPS Panel Unit Root Tests. (2014). Solberger, Martin ; Hosseinkouchack, Mehdi ; Westerlund, Joakim . In: Financial Econometics Series. RePEc:dkn:ecomet:fe_2014_05.

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[Citation Analysis]
2014Income Inequality, TFP, and Human Capital. (2014). Lopes, Alexandra ; Sequeira, Tiago ; Ferreira-Lopes, Alexandra ; Santos, Marcelo . In: MPRA Paper. RePEc:pra:mprapa:55471.

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[Citation Analysis]
2014A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root. (2014). Westerlund, Joakim ; Norkute, Milda . In: Working Papers. RePEc:hhs:lunewp:2014_012.

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[Citation Analysis]
2014Differential Impacts of Foreign Capital and Remittance Inflows on Domestic Savings in the Developing Countries: A Dynamic Heterogeneous Panel Analysis. (2014). Hossain, Delwar . In: Departmental Working Papers. RePEc:pas:papers:2014-07.

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[Citation Analysis]
2014[Citation Analysis]
2014Investor fears and risk premia for rare events. (2014). Schwarz, Claudia. In: Discussion Papers. RePEc:zbw:bubdps:032014.

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[Citation Analysis]
2014Cojumps in stock prices: Empirical evidence. (2014). Shackleton, Mark ; Gilder, Dudley ; Taylor, Stephen J.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:443-459.

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[Citation Analysis]
2014Unexpected tails in risk measurement: Some international evidence. (2014). Tolikas, Konstantinos . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:476-493.

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[Citation Analysis]
2014Sharp Bounds in the Binary Roy Model. (2014). MOURIFIÉ, Ismael ; Henry, Marc ; Mourifie, Ismael . In: Working Papers. RePEc:tor:tecipa:tecipa-506.

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[Citation Analysis]
2014[Citation Analysis]
2014Labor Market Effects of Sports and Exercise: Evidence from Canadian Panel Data. (2014). Lechner, Michael ; Sari, Nazmi . In: IZA Discussion Papers. RePEc:iza:izadps:dp7931.

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[Citation Analysis]
2014Why do tougher caseworkers increase employment? The role of programme assignment as a causal mechanism. (2014). Mellace, Giovanni ; Huber, Martin ; Lechner, Michael . In: Economics Working Paper Series. RePEc:usg:econwp:2014:14.

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[Citation Analysis]
2014Labor market effects of sports and exercise: Evidence from Canadian panel data. (2014). Lechner, Michael ; Sari, Nazmi . In: Economics Working Paper Series. RePEc:usg:econwp:2014:02.

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[Citation Analysis]
2014The finite sample performance of estimators for mediation analysis under sequential conditional independence. (2014). Huber, Martin ; Lechner, Michael ; Mellace, Giovanni . In: Economics Working Paper Series. RePEc:usg:econwp:2014:15.

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[Citation Analysis]
2014Children’s skill formation in less developed countries – The impact of sports participation. (2014). Pawlowski, Tim ; Lechner, Michael ; Downward, Paul ; Schuttoff, Ute . In: Economics Working Paper Series. RePEc:usg:econwp:2014:12.

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[Citation Analysis]
2014Assessing the Income and Employment Effects of Shale Gas Extraction Windfalls: Evidence from the Marcellus Region. (2014). Paredes, Dusan ; Araya, Dusan Paredes ; Loveridge, Scott ; Komarek, Timothy . In: Documentos de Trabajo en Economia y Ciencia Regional. RePEc:cat:dtecon:dt201403.

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[Citation Analysis]
2014Labor Market Effects of Sports and Exercise: Evidence from Canadian Panel Data. (2014). Lechner, Michael ; Sari, Nazmi . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4658.

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[Citation Analysis]
2014Regional Differences in Perceived Corruption among Ukrainian Firms. (2014). Denisova-Schmidt, Elena ; Huber, Martin . In: Economics Working Paper Series. RePEc:usg:econwp:2014:07.

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[Citation Analysis]
2014Practical Procedures to Deal with Common Support Problems in Matching Estimation. (2014). Lechner, Michael ; Strittmatter, Anthony . In: Economics Working Paper Series. RePEc:usg:econwp:2014:10.

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[Citation Analysis]
2014[Citation Analysis]
2014[Citation Analysis]
2014[Citation Analysis]
2014Frequentist model averaging for multinomial and ordered logit models. (2014). Wan, Alan T. K., ; Wang, Shouyang ; Zhang, Xinyu . In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:118-128.

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[Citation Analysis]
2014Model Averaging in Predictive Regressions. (2014). Liu, Chu-An ; Kuo, Biing-Shen . In: MPRA Paper. RePEc:pra:mprapa:54198.

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[Citation Analysis]
2014Are University Admissions Academically Fair?. (2014). Kanaya, Shin ; Bhattacharya, Debopam ; Stevens, Margaret . In: CREATES Research Papers. RePEc:aah:create:2014-06.

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[Citation Analysis]
2014Parameter estimation for subcritical Heston models based on discrete time observations. (2014). Barczy, Matyas ; Szabo, Tamas T. ; Pap, Gyula . In: Papers. RePEc:arx:papers:1403.0527.

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[Citation Analysis]
2014TERM STRUCTURE OF INFLATION FORECAST UNCERTAINTIES AND SKEW NORMAL DISTRIBUTIONS. (2014). Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos . In: Discussion Papers in Economics. RePEc:lec:leecon:14/01.

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[Citation Analysis]
2014Robust Approaches to Forecasting. (2014). Hendry, David ; Clements, Michael ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:697.

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[Citation Analysis]
2014[Citation Analysis]
2014Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large. (2014). Forchini, Giovanni ; Peng, Bin . In: Working Paper Series. RePEc:uts:ecowps:20.

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[Citation Analysis]
2014Nonparametric estimation of the tree structure of a nested Archimedean copula. (2014). Segers, Johan ; Uyttendaele, Nathan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:72:y:2014:i:c:p:190-204.

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[Citation Analysis]
2014[Citation Analysis]
2014Using local Gaussian correlation in a nonlinear re-examination of financial contagion. (2014). Stove, BÃ¥rd, ; Hufthammer, Karl Ove ; Tjostheim, Dag . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:62-82.

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[Citation Analysis]
2014Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model. (2014). Hong, KiHoon Jimmy ; Zhang, Xiaohui ; Peng, Bin . In: Research Paper Series. RePEc:uts:rpaper:347.

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[Citation Analysis]
2014Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. (2014). Bada, Oualid ; Kneip, Alois . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:95-115.

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[Citation Analysis]
2014Spatial panel data models with common shocks. (2014). Bai, Jushan ; Li, Kunpeng . In: MPRA Paper. RePEc:pra:mprapa:52786.

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[Citation Analysis]
2014[Citation Analysis]
2014Publicity requirements in public procurement: Evidence from a regression discontinuity design. (2014). Coviello, Decio ; Mariniello, Mario . In: Journal of Public Economics. RePEc:eee:pubeco:v:109:y:2014:i:c:p:76-100.

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[Citation Analysis]
2014TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul . In: KIER Working Papers. RePEc:kyo:wpaper:889.

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2014Testing for a general class of functional inequalities. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:09/14.

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2014Testing stationarity of functional time series. (2014). Horvath, Lajos ; Kokoszka, Piotr ; Rice, Gregory . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:66-82.

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2014Data-based priors for vector autoregressions with drifting coefficients. (2014). Korobilis, Dimitris. In: Working Papers. RePEc:gla:glaewp:2014_04.

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2014Data-based priors for vector autoregressions with drifting coefficients. (2014). Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:53772.

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2014Stochastic Model Specification Search for Time-Varying Parameter VARs. (2014). Strachan, Rodney ; Eisenstat, Eric ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2014-23.

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2014Forecasting Equity Premia using Bayesian Dynamic Model Averaging. (2014). Beckmann, Joscha ; Schussler, Rainer . In: CQE Working Papers. RePEc:cqe:wpaper:2914.

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2014Forecasting with the Standardized Self-Perturbed Kalman Filter. (2014). Grassi, Stefano ; de Magistris, Paolo Santucci ; Nonejad, Nima . In: CREATES Research Papers. RePEc:aah:create:2014-12.

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2014The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen . In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98.

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2014Matrix Box-Cox Models for Multivariate Realized Volatility. (2014). Weigand, Roland . In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29687.

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2014Variance clustering improved dynamic conditional correlation MGARCH estimators. (2014). Caporin, Massimiliano ; Aielli, Gian Piero . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:556-576.

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2014Robust ranking of multivariate GARCH models by problem dimension. (2014). McAleer, Michael ; Caporin, Massimiliano. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:172-185.

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2014An alternative identification of nonlinear dynamic panel data models with unobserved covariates. (2014). Shiu, Ji-Liang . In: Economics Letters. RePEc:eee:ecolet:v:122:y:2014:i:2:p:338-342.

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2014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Hou, Ai Jun ; Asgharian, Hossein . In: CREATES Research Papers. RePEc:aah:create:2014-13.

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2014Modelling changes in the unconditional variance of long stock return series. (2014). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:15-35.

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2014Bayesian estimation of smoothly mixing time-varying parameter GARCH models. (2014). Chen, Cathy W. S., ; Lin, Edward M. H., ; Gerlach, Richard . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:194-209.

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2014Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities. (2014). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu. In: NBER Working Papers. RePEc:nbr:nberwo:19792.

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2014A new Pearson-type QMLE for conditionally heteroskedastic models. (2014). Zhu, Ke ; Li, Wai Keung . In: MPRA Paper. RePEc:pra:mprapa:52732.

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2014Estimation Error of Expected Shortfall. (2014). Kondor, Imre . In: Papers. RePEc:arx:papers:1402.5534.

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2014Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions.. (2014). GUEGAN, Dominique ; Hassani, Bertrand K. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14008.

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2014Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions. (2014). GUEGAN, Dominique ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00969242.

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2014Asymmetry and Lilien’s Sectoral Shifts Hypothesis: A Quantile Regression Approach. (2014). Pelloni, Gianluigi ; Panagiotidis, Theodore. In: Working Paper Series. RePEc:rim:rimwps:15_14.

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2014Adaptive learning and survey data. (2014). Markiewicz, Agnieszka ; Pick, Andreas. In: DNB Working Papers. RePEc:dnb:dnbwpp:411.

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2014Forecast combinations under structural break uncertainty. (2014). Tian, Jing ; Anderson, Heather. In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:161-175.

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2014Confidence Bands for Impulse Responses: Bonferroni versus Wald. (2014). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Luetkepohl, Helmut . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4634.

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2014Confidence Bands for Impulse Responses: Bonferroni versus Wald. (2014). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-007.

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2014Theory and Practice of GVAR Modeling. (2014). Pesaran, M ; Chudik, Alexander . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4807.

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2014Theory and practice of GVAR modeling. (2014). Pesaran, M ; Chudik, Alexander. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:180.

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2014Joint Confidence Sets for Structural Impulse Responses. (2014). Kilian, Lutz ; Inoue, Atsushi . In: Departmental Working Papers. RePEc:smu:ecowpa:1401.

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2014Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks. (2014). Nonejad, Nima . In: MPRA Paper. RePEc:pra:mprapa:55664.

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2014Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox. (2014). Nonejad, Nima . In: MPRA Paper. RePEc:pra:mprapa:55662.

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2014[Citation Analysis]
2014Testing multiple inequality hypotheses: A smoothed indicator approach. (2014). Chen, Le-Yu ; Szroeter, Jerzy . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p3:p:678-693.

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2014Nonparametric inference based on conditional moment inequalities. (2014). shi, xiaoxia ; Andrews, Donald W. K., . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:31-45.

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2014Testing of the mean reversion parameter in continuous time models. (2014). Iglesias, Emma. In: Economics Letters. RePEc:eee:ecolet:v:122:y:2014:i:2:p:187-189.

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2014Phase-shifting behaviour revisited: An alternative measure. (2014). Kang, Bo Soo ; Ryu, Doowon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:167-173.

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2014The dynamic mixed hitting-time model for multiple transaction prices and times. (2014). Renault, Eric ; Werker, Bas J. M., ; van der Heijden, Thijs . In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:233-250.

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2014Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models. (2014). Okui, Ryo ; Iwakura, Haruo . In: KIER Working Papers. RePEc:kyo:wpaper:887.

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2014Identification theory for high dimensional static and dynamic factor models. (2014). Bai, Jushan ; Wang, Peng . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:794-804.

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2014Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks. (2014). Morana, Claudio . In: Working Papers. RePEc:mib:wpaper:273.

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2014The credit-to-GDP gap and countercyclical capital buffers: questions and answers. (2014). Drehmann, Mathias ; Tsatsaronis, Kostas . In: BIS Quarterly Review. RePEc:bis:bisqtr:1403g.

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2014Robustness of bootstrap in instrumental variable regression. (2014). Otsu, Taisuke ; Camponovo, Lorenzo . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:/2014/572.

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2014A structural econometric analysis of the informal sector heterogeneity. (2014). Nguimkeu, Pierre. In: Journal of Development Economics. RePEc:eee:deveco:v:107:y:2014:i:c:p:175-191.

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2014The indirect continuous-GMM estimation. (2014). Kotchoni, Rachidi . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:464-488.

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2014The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Fresoli, Diego ; Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws140202.

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2014Generalised density forecast combinations. (2014). Mitchell, James ; Fawcett, Nicholas ; Price, Simon ; Kapetanios, George . In: Bank of England working papers. RePEc:boe:boeewp:0492.

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2014Polarization of forecast densities: A new approach to time series classification. (2014). Liu, Shen ; Inder, Brett ; Maharaj, Elizabeth Ann . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:70:y:2014:i:c:p:345-361.

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2014TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul . In: KIER Working Papers. RePEc:kyo:wpaper:889.

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2014Testing for a general class of functional inequalities. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:09/14.

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2014Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators. (2014). Lee, Seojeong. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p3:p:398-413.

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2014Inference on Optimal Treatment Assignments. (2014). Armstrong, Timothy B. ; Shen, Shu . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1927r.

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2014Can Variation in Subgroups Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment. (2014). Bitler, Marianne ; Gelbach, Jonah B. ; Hoynes, Hilary W.. In: NBER Working Papers. RePEc:nbr:nberwo:20142.

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2014Fast Computation of the Deviance Information Criterion for Latent Variable Models. (2014). Chan, Joshua ; Joshua C. C. Chan, ; Grant, Angelia L.. In: CAMA Working Papers. RePEc:een:camaaa:2014-09.

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2014Efficient importance sampling in mixture frameworks. (2014). Kleppe, Tore Selland ; Liesenfeld, Roman . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:449-463.

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2014[Citation Analysis]
2014Bayesian regression with heteroscedastic error density and parametric mean function. (2014). Pelenis, Justinas. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p3:p:624-638.

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2014Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence. (2014). Chen, Jia ; Gao, Jiti . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-15.

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2014The long-term role of non-traditional banking in profitability and risk profiles: Evidence from a panel of U.S. banking institutions. (2014). Apergis, Nicholas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:45:y:2014:i:c:p:61-73.

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2014Modeling structural change in the European metropolitan areas during the process of economic integration. (2014). Longhi, Christian ; Baumont, Catherine ; Musolesi, Antonio . In: Economic Modelling. RePEc:eee:ecmode:v:37:y:2014:i:c:p:395-407.

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2014A fast resample method for parametric and semiparametric models. (2014). Bertanha, Marinho ; Hong, Han ; Armstrong, Timothy B.. In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:2:p:128-133.

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2014Testing constancy in monotone response models. (2014). Colubi, Ana ; Gonzalez-Rodriguez, Gil ; Dominguez-Menchero, Santos J.. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:72:y:2014:i:c:p:45-56.

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2014Nonparametric tests for tail monotonicity. (2014). Berghaus, Betina ; Bucher, Axel . In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:117-126.

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2014Forecasting Bankruptcy with Incomplete Information. (2014). Xu, Xin . In: MPRA Paper. RePEc:pra:mprapa:55024.

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2014Assessing Credit Risk in Money Market Fund Portfolios. (2014). Gallagher, Emily ; Collins, Sean . In: MPRA Paper. RePEc:pra:mprapa:56256.

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2014Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2014). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.. In: Papers. RePEc:arx:papers:1401.3911.

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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). Asai, Manabu ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20140037.

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2014Matrix Box-Cox Models for Multivariate Realized Volatility. (2014). Weigand, Roland . In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29687.

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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). McAleer, Michael ; Asai, Manabu. In: Working Papers in Economics. RePEc:cbt:econwp:14/10.

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2014.

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2014Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). McAleer, Michael ; Asai, Manabu. In: Documentos del Instituto Complutense de Análisis Económico. RePEc:ucm:doicae:1405.

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2014Factor High-Frequency Based Volatility (HEAVY) Models. (2014). Sheppard, Kevin . In: Economics Series Working Papers. RePEc:oxf:wpaper:710.

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2014Does Private Tutoring Work? The Effectiveness of Private Tutoring: A Nonparametric Bounds Analysis. (2014). Hof, Stefanie. In: Economics of Education Working Paper Series. RePEc:iso:educat:0096.

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2014The difference-in-difference method: Assessing the selection bias in the effects of neighborhood environment on health. (2014). Grafova, Irina ; Freedman, Vicki A. ; Rogowski, Jeannette ; Kumar, Rizie ; Lurie, Nicole . In: Economics & Human Biology. RePEc:eee:ehbiol:v:13:y:2014:i:c:p:20-33.

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2014The identification power of smoothness assumptions in models with counterfactual outcomes. (2014). Lee, Sokbae (Simon) ; Kwon, Koohyun ; Kim, Wooyoung ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:17/14.

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2014Determinants of equity pension plan flows. (2014). Carmen Pilar Marti Ballester, . In: Estudios de Economia. RePEc:udc:esteco:v:41:y:2014:i:1:p:125-148.

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2014Using panel econometric methods to estimate the effect of milk consumption on the mortality rate of prostate and ovarian cancer. (2014). Hagen, Tobias ; Waldeck, Stefanie . In: Working Paper Series: Business and Law. RePEc:zbw:fhfwps:03.

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2014Identification partielle: méthodes et conséquences pour les applications empiriques. (2014). Magnac, Thierry. In: TSE Working Papers. RePEc:tse:wpaper:27851.

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2014Identification partielle: méthodes et conséquences pour les applications empiriques. (2014). Magnac, Thierry. In: IDEI Working Papers. RePEc:ide:wpaper:27852.

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2014Testing for Leverage Effect in Financial Returns.. (2014). Ielpo, Florian ; GUEGAN, Dominique ; Lalaharison, Hanjarivo ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022.

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2014Testing for Leverage Effect in Financial Returns. (2014). Ielpo, Florian ; GUEGAN, Dominique ; Lalaharison, Hanjarivo ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2014On idiosyncratic stochasticity of financial leverage effects. (2014). Breto, Carles . In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:20-26.

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2014Testing of the mean reversion parameter in continuous time models. (2014). Iglesias, Emma. In: Economics Letters. RePEc:eee:ecolet:v:122:y:2014:i:2:p:187-189.

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2014Model Disagreement and Economic Outlook. (2014). Andrei, Daniel ; Hasler, Michael ; Carlin, Bruce . In: NBER Working Papers. RePEc:nbr:nberwo:20190.

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2014Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates. (2014). Zhu, Ke ; Li, Wai Keung ; Yu, Philip L. H., . In: MPRA Paper. RePEc:pra:mprapa:53874.

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2014Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage. (2014). Hassler, Uwe ; Werkmann, Verena . In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:234:y:2014:i:1:p:23-43.

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2014Robust and efficient variable selection for semiparametric partially linear varying coefficient model based on modal regression. (2014). Yazhao Lv, ; Zhang, Riquan ; Liu, Jicai . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:66:y:2014:i:1:p:165-191.

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2014Pre and post break parameter inference. (2014). Elliott, Graham ; Muller, Ulrich K.. In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:141-157.

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2014[Citation Analysis]
2014Bias correction in the estimation of dynamic panel models in corporate finance. (2014). faff, robert ; Zhou, Qing ; Alpert, Karen . In: Journal of Corporate Finance. RePEc:eee:corfin:v:25:y:2014:i:c:p:494-513.

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2014Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models. (2014). Okui, Ryo ; Iwakura, Haruo . In: KIER Working Papers. RePEc:kyo:wpaper:887.

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2014On Forecast Evaluation. (2014). Martinez-Rivera, Wilmer Osvaldo ; Julio-Roman, Juan Manuel ; Hernandez-Bejarano, Manuel Dario . In: Borradores de Economia. RePEc:bdr:borrec:825.

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2014On Forecast Evaluation. (2014). Martinez-Rivera, Wilmer Osvaldo ; Julio-Roman, Juan Manuel ; Hernandez-Bejarano, Manuel Dario . In: BORRADORES DE ECONOMIA. RePEc:col:000094:011604.

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2014How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test. (2014). Yang, Lixiong ; Shie, Fu Shuen ; Lee, Chingnun . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:26:y:2014:i:c:p:198-226.

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2014Bagging Weak Predictors. (2014). Hillebrand, Eric ; Lukas, Manuel . In: CREATES Research Papers. RePEc:aah:create:2014-01.

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2014Joint Confidence Sets for Structural Impulse Responses. (2014). Kilian, Lutz ; Inoue, Atsushi . In: Departmental Working Papers. RePEc:smu:ecowpa:1401.

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2014Linear instrumental variables model averaging estimation. (2014). Martins, Luis ; Gabriel, Vasco. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:71:y:2014:i:c:p:709-724.

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2014Model selection and model averaging after multiple imputation. (2014). Schomaker, Michael ; Heumann, Christian . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:71:y:2014:i:c:p:758-770.

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2014Frequentist model averaging for multinomial and ordered logit models. (2014). Wan, Alan T. K., ; Wang, Shouyang ; Zhang, Xinyu . In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:118-128.

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2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). Boudt, Kris ; PETITJEAN, Mikael . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149.

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2014Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Ben Ali, Chiraz ; Lesage, Cedric . In: Working Papers. RePEc:ipg:wpaper:2014-053.

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2014Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit . In: European Journal of Operational Research. RePEc:eee:ejores:v:235:y:2014:i:3:p:643-659.

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2014Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors. (2014). Westerlund, Joakim ; Reese, Simon . In: Working Papers. RePEc:hhs:lunewp:2014_008.

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2014Exchange market pressures during the financial crisis: A Bayesian model averaging evidence. (2014). Rusnák, Marek ; Horvath, Roman ; Feldkircher, Martin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:40:y:2014:i:c:p:21-41.

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2014The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk. (2014). Feldkircher, Martin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:43:y:2014:i:c:p:19-49.

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2014Generalised density forecast combinations. (2014). Mitchell, James ; Fawcett, Nicholas ; Price, Simon ; Kapetanios, George . In: Bank of England working papers. RePEc:boe:boeewp:0492.

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2014Forecasting with approximate dynamic factor models: The role of non-pervasive shocks. (2014). Luciani, Matteo . In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:20-29.

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2014A criterion for the number of factors in a data-rich environment. (2014). Jacobs, Jan ; Reijer, Ard H. J. de, ; Otter, Pieter W. ; Jacobs, Jan P. A. M., . In: Research Report. RePEc:dgr:rugsom:14008-eef.

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2014On conditions in central limit theorems for martingale difference arrays. (2014). Azrak, Rajae ; Melard, Guy ; Alj, Abdelkamel . In: Economics Letters. RePEc:eee:ecolet:v:123:y:2014:i:3:p:305-307.

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2014The presence of an error term does not preclude causal inference in regression: a comment on Krause (2012). (2014). McIntosh, Cameron . In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:48:y:2014:i:1:p:243-250.

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2014Measuring the stance of monetary policy in conventional and unconventional environments. (2014). Krippner, Leo. In: CAMA Working Papers. RePEc:een:camaaa:2014-06.

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2014Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?. (2014). Waliullah, ; Matsuda, Yasumasa . In: TERG Discussion Papers. RePEc:toh:tergaa:312.

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2014On the Estimation of Supply and Demand Elasticities of Agricultural Commodites. (2014). Santeramo, Fabio. In: MPRA Paper. RePEc:pra:mprapa:56126.

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2014Energy regulation in China: Objective selection, potential assessment and responsibility sharing by partial frontier analysis. (2014). Tasawar, H. ; Chen, Y. B. ; Xia, X. H. ; Li, J. S. ; Alsaedi, A.. In: Energy Policy. RePEc:eee:enepol:v:66:y:2014:i:c:p:292-302.

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2014Improving the performance of random coefficients demand models: The role of optimal instruments. (2014). Verboven, Frank ; Reynaert, Mathias. In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:83-98.

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2014Estimation of random coefficients logit demand models with interactive fixed effects. (2014). Moon, Hyungsik Roger ; Weidner, Martin ; Shum, Matthew . In: CeMMAP working papers. RePEc:ifs:cemmap:20/14.

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2014Model selection in under-specified equations facing breaks. (2014). Hendry, David ; Castle, Jennifer. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p2:p:286-293.

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2014The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries. (2014). Kazi, Irfan Akbar ; Akbar, Farhan ; Mehanaoui, Mohamed . In: Working Papers. RePEc:ipg:wpaper:2014-128.

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2014General correcting formulae for forecasts. (2014). Harin, Alexander . In: MPRA Paper. RePEc:pra:mprapa:55283.

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2014Robust Approaches to Forecasting. (2014). Hendry, David ; Clements, Michael ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:697.

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2014The pairwise approach to model a large set of disaggregates with common trends. (2014). Espasa, Antoni ; Carlomagnol, Guillermo . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws141309.

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2014Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples. (2014). Morley, James ; Eo, Yunjong ; Donayre, Luiggi. In: Working Papers. RePEc:syd:wpaper:2014-04.

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2014A nonlinear panel data model of cross-sectional dependence. (2014). Mitchell, James ; Shin, Yongcheol ; Kapetanios, George . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:2:p:134-157.

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2014A new approach to Bayesian hypothesis testing. (2014). Yu, Jun ; Li, Yong ; JunYu, ; Zeng, Tao . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p3:p:602-612.

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2014An alternative identification of nonlinear dynamic panel data models with unobserved covariates. (2014). Shiu, Ji-Liang . In: Economics Letters. RePEc:eee:ecolet:v:122:y:2014:i:2:p:338-342.

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2014Market power and its determinants in the Chinese airline industry. (2014). Zhang, Anming ; Wang, Qiang ; Yang, Hangjun . In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:64:y:2014:i:c:p:1-13.

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2014Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation. (2014). Fletcher, Jonathan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:30-46.

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2014Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators. (2014). Lee, Seojeong . In: Discussion Papers. RePEc:swe:wpaper:2014-02.

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2014Limited participation in international business cycle models: A formal evaluation. (2014). Marmer, Vadim ; Hnatkovska, Viktoria ; Gao, Xiaodan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:39:y:2014:i:c:p:255-272.

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2014Estimating and testing a quantile regression model with interactive effects. (2014). Harding, Matthew ; Lamarche, Carlos . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p1:p:101-113.

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2014Asymptotic theory for LAD estimation of moderate deviations from a unit root. (2014). Zhou, Zhiyong ; Lin, Zhengyan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:90:y:2014:i:c:p:25-32.

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2014DSGE Priors for BVAR Models. (2014). Theodoridis, Konstantinos ; Filippeli, Thomai. In: Working Papers. RePEc:qmw:qmwecw:wp713.

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2014Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter. (2014). HOROWITZ, Joel L.. In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:158-173.

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2014Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2014). GAO, Jiti ; Yin, Jiying ; Dong, Chaohua ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-8.

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2014Math matters: education choices and wage inequality. (2014). Rendall, Andrew. In: ECON - Working Papers. RePEc:zur:econwp:160.

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2014Efficient GMM estimation of spatial dynamic panel data models with fixed effects. (2014). Lee, Lung-Fei ; Yu, Jihai . In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:174-197.

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2014Divorce Risk, Wages, and Working Wives: A Quantitative Life-Cycle Analysis of Female Labor Force Participation. (2014). Fernandez, Raquel ; Wong, Joyce C.. In: NBER Working Papers. RePEc:nbr:nberwo:19869.

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2014Household behavior and the marriage market. (2014). Flinn, Christopher ; Del Boca, Daniela. In: Journal of Economic Theory. RePEc:eee:jetheo:v:150:y:2014:i:c:p:515-550.

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2014Pigou Meets Ramsey: Gender-Based Taxation with Non-Cooperative Couples. (2014). Meier, Volker ; Rainer, Helmut . In: Ifo Working Paper Series. RePEc:ces:ifowps:_179.

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2014Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models. (2014). Paccagnini, Alessia ; Bekiros, Stelios. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:71:y:2014:i:c:p:298-323.

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2014[Citation Analysis]
2014Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models. (2014). Chen, Xiaohong ; Pouzo, Demian . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1897r.

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2014Testing a linear dynamic panel data model against nonlinear alternatives. (2014). Lee, Yoon-Jin . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p1:p:146-166.

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2014Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence. (2014). GAO, Jiti ; Dong, Chaohua ; Peng, Bin . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-9.

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2014Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model. (2014). Hong, KiHoon Jimmy ; Zhang, Xiaohui ; Peng, Bin . In: Research Paper Series. RePEc:uts:rpaper:347.

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2014Residual-based Rank Specification Tests for AR-GARCH type models. (2014). Andreou, Elena ; Bas J. M. Werker, . In: University of Cyprus Working Papers in Economics. RePEc:ucy:cypeua:02-2014.

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2014Investigating the Role of Real Divisia Money in Persistence-Robust Econometric Models. (2014). De Peretti, Philippe ; Mattson, Ryan S.. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-00984827.

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2014Robust variable selection for nonlinear models with diverging number of parameters. (2014). Lv, Zhike, ; Yu, Keming ; Zhu, HuiMing . In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:90-97.

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2014Bayesian inference for nonlinear structural time series models. (2014). Hall, Jamie ; Kohn, Robert ; Pitt, Michael K.. In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:2:p:99-111.

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2014Integrated modified OLS estimation and fixed-b inference for cointegrating regressions. (2014). Wagner, Martin ; Vogelsang, Timothy J.. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:741-760.

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2014Effects of Index-Fund Investing on Commodity Futures Prices. (2014). Wu, Jing Cynthia ; Hamilton, James. In: NBER Working Papers. RePEc:nbr:nberwo:19892.

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2014Testable implications of affine term structure models. (2014). Wu, Jing Cynthia ; Hamilton, James D.. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p2:p:231-242.

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2014Risk premia in crude oil futures prices. (2014). Wu, Jing Cynthia ; Hamilton, James D.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:9-37.

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2014Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129.

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2014Spatial environmental efficiency indicators in regional waste generation: A nonparametric approach. (2014). HALKOS, GEORGE ; Papageorgiou, George . In: DEOS Working Papers. RePEc:aue:wpaper:1401.

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2014Spatial environmental efficiency indicators in regional waste generation: A nonparametric approach. (2014). HALKOS, GEORGE ; Papageorgiou, George . In: MPRA Paper. RePEc:pra:mprapa:53400.

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2014Efficiency and benchmarking with directional distances. A data driven approach. (2014). Simar, Leopold ; Daraio, Cinzia . In: DIAG Technical Reports. RePEc:aeg:report:2014-07.

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2014Efficiency and economies of scale and scope in European universities. A directional distance approach. (2014). Simar, Leopold ; Bonaccorsi, Andrea ; Daraio, Cinzia . In: DIAG Technical Reports. RePEc:aeg:report:2014-08.

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2014The Effects of Access to Health Insurance for Informally Employed Individuals in Peru. (2014). Carpio, Miguel ; Bernal, Noelia ; Klein, Tobias J.. In: IZA Discussion Papers. RePEc:iza:izadps:dp8213.

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2014[Citation Analysis]
2014Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Karoglou, Michail ; Yfanti, Stavroula ; Karanasos, Menelaos ; Paraskevopoulos, Alexandros ; Ali, Faek Menla . In: Papers. RePEc:arx:papers:1403.7179.

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2014A General Theory of Rank Testing. (2014). Al-Sadoon, Majid. In: Working Papers. RePEc:bge:wpaper:750.

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2014[Citation Analysis]
2014The Evidence on Globalization. (2014). Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4708.

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2014Fiscal Transfers and Fiscal Sustainability. (2014). Reischmann, Markus ; Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4716.

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2014A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices. (2014). Bailey, Natalia ; Smith, Vanessa L. ; Pesaran, Hashem M.. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4834.

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2014Empirical Bayes Methods for Dynamic Factor Models. (2014). Koopman, Siem Jan ; Mesters, Geert . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20140061.

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2014Understanding the role of time-varying unobserved ability heterogeneity in education production. (2014). Lehrer, Steven ; Ding, Weili. In: Economics of Education Review. RePEc:eee:ecoedu:v:40:y:2014:i:c:p:55-75.

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2014Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129.

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2014Identifying Industry Margins with Unobserved Price Constraints: Structural Estimation on Pharmaceuticals. (2014). Dubois, Pierre ; Lasio, Laura . In: IDEI Working Papers. RePEc:ide:wpaper:27918.

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2014Testing for a general class of functional inequalities. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:09/14.

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2014The identification power of smoothness assumptions in models with counterfactual outcomes. (2014). Lee, Sokbae (Simon) ; Kwon, Koohyun ; Kim, Wooyoung ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:17/14.

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2014TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul . In: KIER Working Papers. RePEc:kyo:wpaper:889.

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2014Particulate Pollution and the Productivity of Pear Packers. (2014). Graff Zivin, Joshua ; Chang, Tom ; Neidell, Matthew ; Gross, Tal . In: NBER Working Papers. RePEc:nbr:nberwo:19944.

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2014Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2014). Lee, Ying-Ying . In: Economics Series Working Papers. RePEc:oxf:wpaper:706.

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2014Modeling Covariance Breakdowns in Multivariate GARCH. (2014). Maheu, John ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:55243.

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2014[Citation Analysis]
2014Persistence in the Banking Industry: Fractional integration and breaks in memory. (2014). Rodrigues, Paulo ; Hassler, Uwe ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Rubia, Antonio . In: Working Papers. RePEc:ptu:wpaper:w201406.

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2014Food for Thought? Breastfeeding and Child Development. (2014). Fitzsimons, Emla ; Vera-Hernndez, Marcos . In: DoQSS Working Papers. RePEc:qss:dqsswp:1404.

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2014Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?. (2014). Tsiakas, Ilias ; Wang, Wei ; Li, Jiahan . In: Working Paper Series. RePEc:rim:rimwps:05_14.

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2014Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators. (2014). Lee, Seojeong . In: Discussion Papers. RePEc:swe:wpaper:2014-02.

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2014Identifying Industry Margins with Unobserved Price Constraints: Structural Estimation on Pharmaceuticals. (2014). Dubois, Pierre ; Lasio, Laura . In: TSE Working Papers. RePEc:tse:wpaper:27919.

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2014A general theory of rank testing. (2014). Al-Sadoon, Majid. In: Economics Working Papers. RePEc:upf:upfgen:1411.

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2014[Citation Analysis]

Recent citations received in: 2013


YearTitleSee
2013Bias-corrected estimation in potentially mildly explosive autoregressive models. (2013). Kruse, Robinson ; Kaufmannz, Hendrik . In: CREATES Research Papers. RePEc:aah:create:2013-10.

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2013Bootstrapping realized volatility and realized beta under a local Gaussianity assumption. (2013). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2013-30.

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2013Generalizing smooth transition autoregressions. (2013). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2013-32.

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2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2013-35.

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2013Exchange Rate Predictability. (2013). Rossi, Barbara. In: Journal of Economic Literature. RePEc:aea:jeclit:v:51:y:2013:i:4:p:1063-1119.

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2013This Time Theyre Different: Heterogeneity;and Nonlinearity in the Relationship;between Debt and Growth. (2013). Presbitero, Andrea ; Eberhardt, Markus. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:92.

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2013Evaluating early warning indicators of banking crises: Satisfying policy requirements. (2013). Drehmann, Mathias ; Juselius, Mikael . In: BIS Working Papers. RePEc:bis:biswps:421.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: Working papers. RePEc:bsl:wpaper:2013/11.

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2013The effect of firms partial retirement policies on the labour market outcomes of their employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: Working papers. RePEc:bsl:wpaper:2013/12.

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2013Do Long-term Unemployed Workers Benefit from Targeted Wage Subsidies?. (2013). Wunsch, Conny ; Lechner, Michael ; Schunemann, Benjamin . In: Working papers. RePEc:bsl:wpaper:2013/14.

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2013The Effect of Firms Partial Retirement Policies on the Labour Market Outcomes of their Employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4343.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4392.

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2013Heterogeneous Sports Participation and Labour Market Outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4434.

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2013After-School Care and Parents Labor Supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4487.

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2013Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns. (2013). Escribano, Alvaro ; SUCARRAT, Genaro . In: Economics Working Papers. RePEc:cte:werepe:we1321.

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2013Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression. (2013). Chen, Xiaohong ; Christensen, Timothy . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1923.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929.

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2013How Learning a Musical Instrument Affects the Development of Skills. (2013). Schupp, Jürgen ; Hille, Adrian. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp591.

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2013Time-varying mixture GARCH models and asymmetric volatility. (2013). Haas, Markus ; Krause, Jochen ; Steude, Sven C. ; Paolella, Marc S.. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:26:y:2013:i:c:p:602-623.

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2013First-differenced inference for panel factor series. (2013). Ipatova, Ekaterina ; Trapani, Lorenzo . In: Economics Letters. RePEc:eee:ecolet:v:118:y:2013:i:2:p:364-366.

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2013How have inflation-targeting central banks responded to supply shocks?. (2013). Tachibana, Minoru. In: Economics Letters. RePEc:eee:ecolet:v:121:y:2013:i:1:p:1-3.

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2013Linear and nonlinear regression with stable errors. (2013). Ojeda-Revah, Diana ; Nolan, John P.. In: Journal of Econometrics. RePEc:eee:econom:v:172:y:2013:i:2:p:186-194.

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2013One-step R-estimation in linear models with stable errors. (2013). Hallin, Marc ; Veredas, David ; Swan, Yvik ; Verdebout, Thomas . In: Journal of Econometrics. RePEc:eee:econom:v:172:y:2013:i:2:p:195-204.

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2013Heavy tails of OLS. (2013). de Vries, Casper ; Mikosch, Thomas . In: Journal of Econometrics. RePEc:eee:econom:v:172:y:2013:i:2:p:205-221.

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2013Sequential estimation of shape parameters in multivariate dynamic models. (2013). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:177:y:2013:i:2:p:233-249.

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2013Risk spillovers in international equity portfolios. (2013). Ranaldo, Angelo ; Caporin, Massimiliano ; Bonato, Matteo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:24:y:2013:i:c:p:121-137.

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2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity. (2013). Durante, Fabrizio ; Sempi, Carlo ; Sanchez, Juan Fernandez . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:897-905.

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2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises. (2013). Long, Hongwei ; Shimizu, Yasutaka ; Sun, Wei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:116:y:2013:i:c:p:422-439.

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2013Dynamic relationship between precious metals. (2013). Şensoy, Ahmet ; SENSOY, Ahmet . In: Resources Policy. RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

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2013Modelling the behaviour of unemployment rates in the US over time and across space. (2013). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:22:p:5711-5722.

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2013Bias and bandwidth for local likelihood density estimation. (2013). Tjostheim, Dag ; Otneim, Hkon ; Karlsen, Hans Arnfinn . In: Statistics & Probability Letters. RePEc:eee:stapro:v:83:y:2013:i:5:p:1382-1387.

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2013Stationary bootstrapping realized volatility. (2013). Shin, Dong Wan ; Hwang, Eunju . In: Statistics & Probability Letters. RePEc:eee:stapro:v:83:y:2013:i:9:p:2045-2051.

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2013Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?. (2013). Wong, Benjamin. In: CAMA Working Papers. RePEc:een:camaaa:2013-59.

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2013Contributions to the Theory of Optimal Tests. (2013). Moreira, Marcelo. In: Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:747.

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2013Predicting recessions with leading indicators: model averaging and selection over the business cycle. (2013). Berge, Travis. In: Research Working Paper. RePEc:fip:fedkrw:rwp13-05.

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2013Shrinkage estimation of high-dimensional factor models with structural instabilities. (2013). Cheng, Xu ; Schorfheide, Frank ; Liao, Zhipeng . In: Working Papers. RePEc:fip:fedpwp:14-4.

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2013Measuring the Technical Efficiency of Farms Producing Environmental Output: Parametric and Semiparametric Estimation of Multi-output Stochastic Ray Production Frontiers. (2013). Czekaj, Tomasz Gerard . In: IFRO Working Paper. RePEc:foi:wpaper:2013_21.

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2013Local Structural Trend Break in Stationarity Testing. (2013). Skrobotov, Anton. In: Working Papers. RePEc:gai:wpaper:0074.

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2013Heterogeneity of the effects of health insurance on household savings: Evidence from rural China. (2013). Cheung, Diana ; Padieu, Ysaline . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00848061.

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2013Contagion Dynamics in EMU Government Bond Spreads. (2013). Leschinski, Christian Christian ; Bertram, Philip . In: Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover. RePEc:han:dpaper:dp-515.

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2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. In: Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover. RePEc:han:dpaper:dp-519.

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2013Value-at-Risk: Risk assessment for the portfolio of oil and gas producers. (2013). Oglend, Atle ; Dahl, Roy Endre ; Asche, Frank . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2013_003.

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2013Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models. (2013). Zhang, Shulin ; Peter X.-K. Song, ; Peter X.-K. Song, ; Zhou, Qian M. ; Okhrin, Ostap . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2013-041.

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2013Calculating confidence intervals for continuous and discontinuous functions of parameters. (2013). Ham, John ; Woutersen, Tiemen . In: CeMMAP working papers. RePEc:ifs:cemmap:23/13.

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2013Inference on treatment effects after selection amongst high-dimensional controls. (2013). Chernozhukov, Victor ; Belloni, Alexandre ; Hansen, Christian . In: CeMMAP working papers. RePEc:ifs:cemmap:26/13.

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2013Inference in ordered response games with complete information. (2013). Rosen, Adam ; Aradillas-Lopez, Andres. In: CeMMAP working papers. RePEc:ifs:cemmap:33/13.

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2013Optimal uniform convergence rates for sieve nonparametric instrumental variables regression. (2013). Chen, Xiaohong ; Christensen, Timothy . In: CeMMAP working papers. RePEc:ifs:cemmap:56/13.

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2013Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies. (2013). Słoczyński, Tymon ; Advani, Arun ; Sloczynski, Tymon . In: CeMMAP working papers. RePEc:ifs:cemmap:64/13.

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2013Testing many moment inequalities. (2013). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis . In: CeMMAP working papers. RePEc:ifs:cemmap:65/13.

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2013On the asymptotic theory for least squares series: pointwise and uniform results. (2013). Chernozhukov, Victor ; Belloni, Alexandre ; Kato, Kengo ; Chetverikov, Denis . In: CeMMAP working papers. RePEc:ifs:cemmap:73/13.

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2013This Time They Are Different: Heterogeneity and Nonlinearity in the Relationship Between Debt and Growth. (2013). Presbitero, Andrea ; Eberhardt, Markus. In: IMF Working Papers. RePEc:imf:imfwpa:13/248.

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2013The Effect of Firms Partial Retirement Policies on the Labour Market Outcomes of Their Employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: IZA Discussion Papers. RePEc:iza:izadps:dp7513.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: IZA Discussion Papers. RePEc:iza:izadps:dp7614.

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2013How Learning a Musical Instrument Affects the Development of Skills. (2013). Schupp, Jürgen ; Hille, Adrian. In: IZA Discussion Papers. RePEc:iza:izadps:dp7655.

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2013Heterogeneous Sports Participation and Labour Market Outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: IZA Discussion Papers. RePEc:iza:izadps:dp7690.

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2013After-School Care and Parents Labor Supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: IZA Discussion Papers. RePEc:iza:izadps:dp7768.

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2013Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies. (2013). Słoczyński, Tymon ; Advani, Arun ; Sloczynski, Tymon . In: IZA Discussion Papers. RePEc:iza:izadps:dp7874.

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2013.

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2013Modelling the behaviour of unemployment rates in the US over time and across space. (2013). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1315.

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2013Detecting Collusion on Highway Procurement. (2013). Gabrielli, Florencia M.. In: Económica. RePEc:lap:journl:587.

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2013Inflation fan charts, monetary policy and skew normal distribution. (2013). Charemza, Wojciech ; Vela, Carlos Diaz ; Makarova, Svetlana . In: Discussion Papers in Economics. RePEc:lec:leecon:13/06.

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2013Too many skew normal distributions? The practitioner’s perspective. (2013). Charemza, Wojciech ; Vela, Carlos Diaz ; Makarova, Svetlana . In: Discussion Papers in Economics. RePEc:lec:leecon:13/07.

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2013Heterogeneity of the effects of health insurance on household savings: Evidence from rural China.. (2013). Cheung, Diana ; Padieu, Ysaline . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:13056.

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2013Hermite Series Estimation in Nonlinear Cointegrating Models. (2013). GAO, Jiti ; Cai, Biqing . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-17.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-27.

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2013Regulating Bidder Participation in Auctions. (2013). Bhattacharya, Vivek ; Sweeting, Andrew ; Roberts, James W.. In: NBER Working Papers. RePEc:nbr:nberwo:19352.

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2013Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry. (2013). Fang, Hanming ; Tang, Xun . In: NBER Working Papers. RePEc:nbr:nberwo:19435.

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2013This Time They’re Different: Heterogeneity and Nonlinearity in the Relationship between Debt and Growth. (2013). Presbitero, Andrea ; Eberhardt, Markus. In: Discussion Papers. RePEc:not:notcfc:13/10.

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2013Detecting Big Structural Breaks in Large Factor Models. (2013). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang . In: Economics Series Working Papers. RePEc:oxf:wpaper:677.

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2013The Role of Quality in Service Markets Organized as Multi-Attribute Auctions. (2013). Krasnokutskaya, Elena ; Tang, Xun ; Song, Kyungchul . In: PIER Working Paper Archive. RePEc:pen:papers:13-053.

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2013Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry. (2013). Fang, Hanming ; Tang, Xun . In: PIER Working Paper Archive. RePEc:pen:papers:13-056.

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2013Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version. (2013). Hansen, Bruce ; Cheng, Xu. In: PIER Working Paper Archive. RePEc:pen:papers:13-061.

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2013A New Index of Financial Conditions. (2013). Koop, Gary ; Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:45463.

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2013Likelihood approach to dynamic panel models with interactive effects. (2013). Bai, Jushan. In: MPRA Paper. RePEc:pra:mprapa:50267.

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2013Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations. (2013). Zhu, Ke ; Chen, Min . In: MPRA Paper. RePEc:pra:mprapa:50487.

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2013The Oaxaca–Blinder Unexplained Component as a Treatment Effects Estimator. (2013). Słoczyński, Tymon ; Soczyski, Tymon . In: MPRA Paper. RePEc:pra:mprapa:50660.

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2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2013). Maheu, John ; Jensen, Mark. In: MPRA Paper. RePEc:pra:mprapa:52132.

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2013A new Pearson-type QMLE for conditionally heteroskedastic models. (2013). Zhu, Ke ; Li, Wai Keung . In: MPRA Paper. RePEc:pra:mprapa:52344.

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2013Distribution Theory of the Least Squares Averaging Estimator. (2013). Liu, Chu-An. In: MPRA Paper. RePEc:pra:mprapa:54201.

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2013Lies, Damned Lies, and Statistics? Examples From Finance and Economics. (2013). Abadir, Karim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:5:y:2013:i:4:p:231-248.

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2013On the Identification of Financial and Uncertainty Shocks. (2013). Zakrajsek, Egon ; Gilchrist, Simon ; Fuentes-Albero, Cristina ; Caldara, Dario . In: 2013 Meeting Papers. RePEc:red:sed013:965.

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2013Modelling the Behaviour of Unemployment Rates in the US over Time and across Space. (2013). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: Working Paper Series. RePEc:rim:rimwps:39_13.

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2013Generalizing smooth transition autoregressions. (2013). Zanetti Chini, Emilio. In: CEIS Research Paper. RePEc:rtv:ceisrp:294.

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2013Adaptive Learning and Survey Data. (2013). Markiewicz, Agnieszka ; Pick, Andreas. In: CDMA Working Paper Series. RePEc:san:cdmawp:1305.

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2013A COMPARISON OF THE FORECASTING PERFORMANCES OF MULTIVARIATE VOLATILITY MODELS. (2013). Candila, Vincenzo . In: Working Papers. RePEc:sep:wpaper:3_228.

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2013Inference for vast dimensional elliptical distributions. (2013). Dominicy, Yves ; Veredas, David ; Ogata, Hiroaki . In: Computational Statistics. RePEc:spr:compst:v:28:y:2013:i:4:p:1853-1880.

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2013Model Switching and Model Averaging in Time-Varying Parameter Regression Models. (2013). Koop, Gary ; Gonzalez Belmonte, Miguel Angel. In: Working Papers. RePEc:str:wpaper:1302.

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2013A new index of financial conditions. (2013). Koop, Gary ; Korobilis, Dimitris. In: Working Papers. RePEc:str:wpaper:1307.

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2013How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?. (2013). Demiralp, Selva ; Aslanidis, Nektarios . In: Working Papers. RePEc:urv:wpaper:2072/211885.

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2013Treatment effects and panel data. (2013). Lechner, Michael. In: Economics Working Paper Series. RePEc:usg:econwp:2013:14.

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2013The effect of firms partial retirement policies on the labour market outcomes of their employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: Economics Working Paper Series. RePEc:usg:econwp:2013:16.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: Economics Working Paper Series. RePEc:usg:econwp:2013:18.

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2013Heterogeneous sports participation and labour market outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: Economics Working Paper Series. RePEc:usg:econwp:2013:25.

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2013After-school care and parents’ labor supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: Economics Working Paper Series. RePEc:usg:econwp:2013:34.

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2012Unit roots, nonlinearities and structural breaks. (2012). Teräsvirta, Timo ; Kruse, Robinson ; Haldrup, Niels ; Terasvirta, Timo ; Varneskov, Rasmus T.. In: CREATES Research Papers. RePEc:aah:create:2012-14.

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2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates. (2012). Kristensen, Dennis ; Han, Heejoon. In: CREATES Research Papers. RePEc:aah:create:2012-25.

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2012Are National School Lunch Program Participants More Likely to be Obese? Dealing with Identification. (2012). Kropp, Jaclyn D. ; Peckham, Janet G.. In: 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington. RePEc:ags:aaea12:124905.

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2012The Supplemental Nutrition Assistance Program, Financial Stress, and Childhood Obesity. (2012). Gundersen, Craig ; Garasky, Steven B. ; Burgstahler, Rebecca . In: Agricultural and Resource Economics Review. RePEc:ags:arerjl:123311.

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2012Why Do Shoppers Use Cash? Evidence from Shopping Diary Data. (2012). Welte, Angelika ; Wakamori, Naoki. In: Working Papers. RePEc:bca:bocawp:12-24.

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2012Multiple Structural Breaks and Inflation Persistance in Belarus. (2012). Pelipas, Igor . In: BEROC Working Paper Series. RePEc:bel:wpaper:21.

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2012Monetary Transmission Mechanism and Time Variation in the Euro Area. (2012). Bagzibagli, Kemal . In: Discussion Papers. RePEc:bir:birmec:12-12.

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2012Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends. (2012). Perron, Pierre ; McCloskey, Adam. In: Working Papers. RePEc:bro:econwp:2012-15.

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2012The Information Theoretic Foundations of a Probabilistic and Predictive Micro and Macro Economics. (2012). Judge, George . In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series. RePEc:cdl:agrebk:qt5d98g7wg.

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2012SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION. (2012). Sun, Yixiao ; Kaplan, David. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt888657tp.

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2012Beyond Ramsey: Gender-Based Taxation with Non-Cooperative Couples. (2012). Rainer, Helmut ; Meier, Volker. In: CESifo Working Paper Series. RePEc:ces:ceswps:_3966.

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2012Identification and Estimation of Dynamic Games when Players Beliefs Are Not in Equilibrium. (2012). Magesan, Arvind ; Aguirregabiria, Victor. In: Working Papers. RePEc:clg:wpaper:2012-03.

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2012Computationally efficient inference procedures for vast dimensional realized covariance models. (2012). Bauwens, Luc ; STORTI, Giuseppe . In: CORE Discussion Papers. RePEc:cor:louvco:2012028.

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2012Dynamic conditional correlation models for realized covariance matrices. (2012). Violante, Francesco ; Bauwens, Luc ; STORTI, Giuseppe . In: CORE Discussion Papers. RePEc:cor:louvco:2012060.

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2012Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications. (2012). Phillips, Peter ; Peter C. B. Phillips, ; Liao, Zhipeng . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1871.

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2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models. (2012). van den Akker, Ramon ; Hallin, Marc ; Werker, B. J. M., . In: Discussion Paper. RePEc:dgr:kubcen:2012089.

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2012The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation. (2012). van Dijk, Herman ; Baştürk, Nalan ; Opschoor, Anne ; Basturk, Nalan ; Hoogerheide, Lennart . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20120096.

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2012Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo. (2012). van Dijk, Herman ; Baştürk, Nalan ; ZELLNER, Arnold ; Ando, Tomohiro ; Basturk, Nalan ; Hoogerheide, Lennart . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20120098.

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2012Quantiles autocorrelation in stock markets returns. (2012). Da costa, Alexandre Silva ; Ceretta, Paulo Sergio ; Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00469.

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2012Testing for a unit root in the presence of stochastic volatility and leverage effect. (2012). Li, Yong ; Chong, Terence ; Zhang, Jie . In: Economic Modelling. RePEc:eee:ecmode:v:29:y:2012:i:5:p:2035-2038.

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2012On the economic factors of deforestation: What can we learn from quantile analysis?. (2012). Delacote, Philippe ; Damette, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:29:y:2012:i:6:p:2427-2434.

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2012Measurement of excess bidding in auctions. (2012). Tsionas, Efthymios ; Ferona, Angeliki . In: Economics Letters. RePEc:eee:ecolet:v:116:y:2012:i:3:p:377-380.

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2012Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity. (2012). Matzkin, Rosa. In: Journal of Econometrics. RePEc:eee:econom:v:166:y:2012:i:1:p:106-115.

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2012Minimax regret treatment choice with covariates or with limited validity of experiments. (2012). Stoye, Jörg. In: Journal of Econometrics. RePEc:eee:econom:v:166:y:2012:i:1:p:138-156.

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2012Some properties of the LIML estimator in a dynamic panel structural equation. (2012). Akashi, Kentaro ; Kunitomo, Naoto . In: Journal of Econometrics. RePEc:eee:econom:v:166:y:2012:i:2:p:167-183.

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2012Inferring welfare maximizing treatment assignment under budget constraints. (2012). Dupas, Pascaline ; Bhattacharya, Debopam. In: Journal of Econometrics. RePEc:eee:econom:v:167:y:2012:i:1:p:168-196.

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2012Bayesian modeling of joint and conditional distributions. (2012). Pelenis, Justinas ; Norets, Andriy. In: Journal of Econometrics. RePEc:eee:econom:v:168:y:2012:i:2:p:332-346.

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2012Distribution-free tests of stochastic monotonicity. (2012). Escanciano, Juan Carlos ; Delgado, Miguel A.. In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:1:p:68-75.

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2012A regularization approach to the many instruments problem. (2012). Carrasco, Marine . In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:2:p:383-398.

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2012Kernel-weighted GMM estimators for linear time series models. (2012). Kuersteiner, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:2:p:399-421.

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2012Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior. (2012). Simoni, Anna ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:2:p:458-475.

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2012Semiparametric trending panel data models with cross-sectional dependence. (2012). Li, Degui ; GAO, Jiti ; Chen, Jia . In: Journal of Econometrics. RePEc:eee:econom:v:171:y:2012:i:1:p:71-85.

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2012Economic well-being and poverty among the elderly: An analysis based on a collective consumption model. (2012). Vermeulen, Frederic ; De Rock, Bram ; Cherchye, Laurens. In: European Economic Review. RePEc:eee:eecrev:v:56:y:2012:i:6:p:985-1000.

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2012Statistical inference for DEA estimators of directional distances. (2012). Simar, Leopold ; VANHEMS, Anne ; Wilson, Paul W.. In: European Journal of Operational Research. RePEc:eee:ejores:v:220:y:2012:i:3:p:853-864.

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2012On the volatility–volume relationship in energy futures markets using intraday data. (2012). Sévi, Benoît ; Chevallier, Julien. In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:6:p:1896-1909.

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2012Empirical bias in intraday volatility measures. (2012). Sévi, Benoît ; Ielpo, Florian ; Fang, Yan . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:4:p:231-237.

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2012The racial gap in education and the legacy of slavery. (2012). Dimico, Arcangelo ; Bertocchi, Graziella. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:40:y:2012:i:4:p:581-595.

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2012A note on spatial–temporal lattice modeling and maximum likelihood estimation. (2012). Zhang, Xiang ; Zheng, Yanbing . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:12:p:2145-2155.

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2012Financial stress and economic dynamics: the transmission of crises. (2012). Tetlow, Robert ; Hubrich, Kirstin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2012-82.

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2012Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries. (2012). Vigfusson, Robert ; Kilian, Lutz. In: International Finance Discussion Papers. RePEc:fip:fedgif:1050.

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2012DSGE model-based forecasting. (2012). Schorfheide, Frank ; Del Negro, Marco. In: Staff Reports. RePEc:fip:fednsr:554.

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2012Mandatory labels, taxes and market forces: An empirical evaluation of fat policies. (2012). Lecocq, Sébastien ; Etilé, Fabrice ; Allais, Olivier. In: PSE Working Papers. RePEc:hal:psewpa:halshs-00736556.

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2012Mandatory labels, taxes and market forces: An empirical evaluation of fat policies. (2012). Lecocq, Sébastien ; Etilé, Fabrice ; Allais, Olivier ; Etile, Fabrice . In: Working Papers. RePEc:hal:wpaper:halshs-00736556.

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2012How Important is Secondary School Duration for Post-school Education Decisions? Evidence from a Natural Experiment. (2012). Thomsen, Stephan ; Meyer, Tobias . In: Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover. RePEc:han:dpaper:dp-509.

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2012Exchange Rates as Exchange Rate Common Factors. (2012). Wu, Jyh-lin ; Sul, Donggyu ; Mark, Nelson ; Greenaway-McGrevy, Ryan . In: Working Papers. RePEc:hkm:wpaper:212012.

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2012Generalized Tests of Investment Fund Performance. (2012). Laurini, Márcio. In: IBMEC RJ Economics Discussion Papers. RePEc:ibr:dpaper:2012-03.

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2012Estimation of random coefficients logit demand models with interactive fixed effects. (2012). Weidner, Martin ; Shum, Matthew ; Moon, Hyungsik Roger. In: CeMMAP working papers. RePEc:ifs:cemmap:08/12.

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2012Semiparametric estimation of random coefficients in structural economic models. (2012). Nesheim, Lars ; Hoderlein, Stefan ; Simoni, Anna . In: CeMMAP working papers. RePEc:ifs:cemmap:09/12.

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2012Simultaneous equations for discrete outcomes:coherence, completeness, and identification.. (2012). Rosen, Adam ; Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:21/12.

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2012An instrumental variable random coefficients model for binary outcomes. (2012). Rosen, Adam ; Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:34/12.

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2012Identifcation in auctions with selective entry. (2012). . In: CeMMAP working papers. RePEc:ifs:cemmap:38/12.

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2012Extracting Deflation Probability Forecasts from Treasury Yields. (2012). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Jens H. E. Christensen, . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2012:q:4:a:2.

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2012Regression Discontinuity Applications with Rounding Errors in the Running Variable. (2012). Dong, Yingying. In: Working Papers. RePEc:irv:wpaper:111206.

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2012Household Search or Individual Search: Does It Matter? Evidence from Lifetime Inequality Estimates. (2012). Mabli, James ; Flabbi, Luca. In: IZA Discussion Papers. RePEc:iza:izadps:dp6908.

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2012Goodness-of-fit tests based on series estimators in nonparametric instrumental regression. (2012). Breunig, Christoph . In: Working Papers. RePEc:mnh:wpaper:32111.

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2012The Joint Identification of Utility and Discount Functions From Stated Choice Data: An Application to Durable Goods Adoption. (2012). Hitsch, Gunter J. ; Jindal, Pranav ; Dube, Jean-Pierre H.. In: NBER Working Papers. RePEc:nbr:nberwo:18393.

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2012Structural and reduced-form modeling and forecasting with application to Armenia.. (2012). Poghosyan, K.. In: Open Access publications from Tilburg University. RePEc:ner:tilbur:urn:nbn:nl:ui:12-5590845.

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2012Jackknife Model Averaging of the Current Account Determinants. (2012). Uroevic, Branko ; Nedeljkovic, Milan ; Zildovic, Emir . In: Working papers. RePEc:nsb:wpaper:23.

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2012Model Discovery and Trygve Haavelmos Legacy. (2012). Johansen, Soren ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:598.

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2012Are University Admissions Academically Fair?. (2012). Kanaya, Shin ; Bhattacharya, Debopam ; Stevens, Margaret . In: Economics Series Working Papers. RePEc:oxf:wpaper:608.

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2012Estimation of long memory in integrated variance. (2012). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: DEM Working Papers Series. RePEc:pav:demwpp:017.

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2012Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments. (2012). Cheng, Xu ; Liao, Zhipeng . In: PIER Working Paper Archive. RePEc:pen:papers:12-045.

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2012Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach. (2012). Hansen, Bruce ; Cheng, Xu. In: PIER Working Paper Archive. RePEc:pen:papers:12-046.

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2012A conditional directional distance function approach for measuring regional environmental efficiency: Evidence from the UK regions. (2012). Tzeremes, Nickolaos ; HALKOS, GEORGE. In: MPRA Paper. RePEc:pra:mprapa:38147.

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2012Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility. (2012). Karapanagiotidis, Paul. In: MPRA Paper. RePEc:pra:mprapa:38885.

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2012Public sector transparency and countries’ environmental performance: A nonparametric analysis. (2012). Tzeremes, Nickolaos ; HALKOS, GEORGE. In: MPRA Paper. RePEc:pra:mprapa:39553.

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2012Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations. (2012). Jang, Tae-Seok . In: MPRA Paper. RePEc:pra:mprapa:39669.

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2012Regional economic growth and environmental efficiency in greenhouse emissions: A conditional directional distance function approach. (2012). Tzeremes, Nickolaos ; HALKOS, GEORGE. In: MPRA Paper. RePEc:pra:mprapa:40015.

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2012Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations. (2012). Jang, Tae-Seok . In: MPRA Paper. RePEc:pra:mprapa:40278.

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2012Rapid estimation of nonlinear DSGE models. (2012). Hall, Jamie. In: MPRA Paper. RePEc:pra:mprapa:41218.

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2012A plug-in averaging estimator for regressions with heteroskedastic errors. (2012). Liu, Chu-An. In: MPRA Paper. RePEc:pra:mprapa:41414.

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2012Economic growth and environmental efficiency: Evidence from U.S. regions. (2012). Tzeremes, Nickolaos ; HALKOS, GEORGE. In: MPRA Paper. RePEc:pra:mprapa:42675.

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2012Semi-parametric Bayesian Partially Identified Models based on Support Function. (2012). Liao, Yuan ; Simoni, Anna . In: MPRA Paper. RePEc:pra:mprapa:43262.

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2012Is the impact of AGOA heterogeneous?. (2012). Cooke, Edgar ; Cooke, Edgar F. A., . In: MPRA Paper. RePEc:pra:mprapa:43277.

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2012Consumption dynamics in general equilibrium. (2012). Hall, Jamie. In: MPRA Paper. RePEc:pra:mprapa:43933.

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2012Least Squares Model Averaging by Prediction Criterion. (2012). Xie, Tian . In: Working Papers. RePEc:qed:wpaper:1299.

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2012Multi-Attribute Auctions with Unobserved Heterogeneity in Supplier Qualities and Buyers Tastes. (2012). Krasnokutskaya, Elena . In: 2012 Meeting Papers. RePEc:red:sed012:283.

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2012Core and `Crust: Consumer Prices and the Term Structure of Interest Rates. (2012). Ajello, Andrea ; Chyruk, Olena ; Benzoni, Luca . In: 2012 Meeting Papers. RePEc:red:sed012:922.

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2012Mis-specification Testing: Non-Invariance of Expectations Models of Inflation. (2012). Nymoen, Ragnar ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Working Paper Series. RePEc:rim:rimwps:50_12.

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2012Model Selection in Equations with Many Small Effects. (2012). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Working Paper Series. RePEc:rim:rimwps:53_12.

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2012Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model. (2012). Ceylan, Ozcan. In: GIAM Working Papers. RePEc:ris:giamwp:2012_004.

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2012Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries. (2012). Fachin, Stefano ; Basher, Syed. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20126.

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2012Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models. (2012). Yu, Jun ; Chen, Ye. In: Working Papers. RePEc:siu:wpaper:15-2012.

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2012Robust Deviance Information Criterion for Latent Variable Models. (2012). Yu, Jun ; Li, Yong ; JunYu, ; Zeng, Tao . In: Working Papers. RePEc:siu:wpaper:30-2012.

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2012Treatment effect analysis of early reemployment bonus program: panel MLE and mode-based semiparametric estimator for interval truncation. (2012). Lee, Myoung-jae ; Kim, Hyun . In: Portuguese Economic Journal. RePEc:spr:portec:v:11:y:2012:i:3:p:189-209.

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2012Shrinkage averaging estimation. (2012). Schomaker, Michael . In: Statistical Papers. RePEc:spr:stpapr:v:53:y:2012:i:4:p:1015-1034.

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2012Consistent Estimation of Panel Data Models with a Multi-factor Error Structure. (2012). Forchini, Giovanni ; Peng, Bin . In: School of Economics Discussion Papers. RePEc:sur:surrec:0112.

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2012Identification and estimation of dynamic games when players beliefs are not in equilibrium. (2012). Magesan, Arvind ; Aguirregabiria, Victor. In: Working Papers. RePEc:tor:tecipa:tecipa-449.

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2012Gaming the Boston School Choice Mechanism in Beijing. (2012). HE, Yinghua. In: TSE Working Papers. RePEc:tse:wpaper:26414.

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2012Term Structure Persistence. (2012). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Faculty Working Papers. RePEc:una:unccee:wp2612.

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2012Central Bank Reserves and the Yield Curve at the ZLB. (2012). Mirkov, Nikola ; Sutter, Barbara . In: Working Papers on Finance. RePEc:usg:sfwpfi:2012:08.

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2012Measuring Long-term Performance: a Regression Based Generalization of the Calendar Time Portfolio Approach. (2012). Hoechle, Daniel ; Zimmermann, Heinz ; Schmid, Markus . In: Working Papers on Finance. RePEc:usg:sfwpfi:2012:16.

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2012Jackknife Model Averaging of the Current Account Determinants. (2012). Uroevi, Branko ; Nedeljkovi, Milan ; Zildovi, Emir . In: Panoeconomicus. RePEc:voj:journl:v:59:y:2012:i:3:p:267-281.

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2012Mandatory labelling, nutritional taxes and market forces: An empirical evaluation of fat policies in the French fromage blanc and yogurt market.. (2012). Lecocq, Sébastien ; Etilé, Fabrice ; Allais, Olivier ; Etile, Fabrice . In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:12/14.

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2012Intra-daily volatility spillovers between the US and German stock markets. (2012). Golosnoy, Vasyl ; Gribisch, Bastian ; Liesenfeld, Roman . In: Economics Working Papers. RePEc:zbw:cauewp:201206.

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2012Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior. (2012). Jang, Tae-Seok . In: Economics Working Papers. RePEc:zbw:cauewp:201207.

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2012Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model. (2012). Sacht, Stephen ; Franke, Reiner ; Jang, Tae-Seok . In: Economics Working Papers. RePEc:zbw:cauewp:201208.

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Recent citations received in: 2011


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2011Forecasting Covariance Matrices: A Mixed Frequency Approach. (2011). Voev, Valeri ; Halbleib, Roxana. In: CREATES Research Papers. RePEc:aah:create:2011-03.

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2011Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns. (2011). Perron, Pierre ; Varneskov, Rasmus Tangsgaard . In: CREATES Research Papers. RePEc:aah:create:2011-26.

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2011Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard . In: CREATES Research Papers. RePEc:aah:create:2011-31.

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2011Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard . In: CREATES Research Papers. RePEc:aah:create:2011-35.

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2011Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2011-37.

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2011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2011-46.

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2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability. (2011). Bollerslev, Tim ; Osterrieder, Daniela ; Sizova, Natalia ; Tauchen, George . In: CREATES Research Papers. RePEc:aah:create:2011-51.

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2011Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions. (2011). Choi, Seungmoon . In: School of Economics Working Papers. RePEc:adl:wpaper:2011-26.

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2011The Effect of Newspaper Entry and Exit on Electoral Politics. (2011). Shapiro, Jesse M. ; Sinkinson, Michael ; Gentzkow, Matthew . In: American Economic Review. RePEc:aea:aecrev:v:101:y:2011:i:7:p:2980-3018.

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2011Development in the Midst of Drought: Evaluating an Agricultural Extension and Credit Program in Nicaragua.. (2011). Mullally, Conner. In: 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania. RePEc:ags:aaea11:108498.

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2011Development in the Midst of Drought: Evaluating an Agricultural Extension and Credit Program in Nicaragua.. (2011). Mullally, Conner. In: 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania. RePEc:ags:aaea11:108723.

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2011Development in the Midst of Drought: Evaluating an Agricultural Extension and Credit Program in Nicaragua.. (2011). Mullally, Conner. In: 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania. RePEc:ags:aaea11:109664.

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2011Measuring farmers’ risk aversion: the unknown properties of the value function. (2011). Carpentier, Alain ; Cao, Ruixuan ; Gohin, Alexandre . In: 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland. RePEc:ags:eaae11:114623.

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2011EFFICIENT INTEREST RATECURVE ESTIMATION AND FORECASTING IN BRAZIL. (2011). Moura, Guilherme Valle ; Portugal, Marcelo Savino ; Caldeira, Joao Frois . In: Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting]. RePEc:anp:en2009:133.

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2011Commodity Booms and Busts. (2011). Rausser, Gordon ; Carter, Colin ; Smith, Aaron . In: Annual Review of Resource Economics. RePEc:anr:reseco:v:3:y:2011:p:87-118.

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2011Financial correlations at ultra-high frequency: theoretical models and empirical estimation. (2011). Mastromatteo, Iacopo ; Zoi, Patrick ; Marsili, Matteo . In: Papers. RePEc:arx:papers:1011.1011.

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2011Cointegration in Panel Data with Breaks and Cross-section Dependence. (2011). Carrion-i-Silvestre, Josep ; Banerjee, Anindya ; Josep Lluis Carrion-i-Silvestre, . In: Discussion Papers. RePEc:bir:birmec:11-25.

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2011Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns. (2011). Perron, Pierre ; Varneskov, Rasmus T.. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2011-050.

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2011Nonparametric Estimation and Inference on Conditional Quantile Processes. (2011). Qu, Zhongjun ; Jung Mo Yoon, . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2011-059.

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2011Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011). (2011). Pesaran, M ; Pick, A. ; Pranovich, M.. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1163.

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2011A Bayesian nonparametric approach to modeling market share dynamics. (2011). Prunster, Igor ; Ruggiero, Matteo . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:217.

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2011Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset.. (2011). Ciccarelli, Matteo ; Altavilla, Carlo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_3372.

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2011Experimentally Elicited Beliefs Explain Privacy Behavior. (2011). RivenbarK, David . In: Working Papers. RePEc:cfl:wpaper:2010-09.

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2011Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav. In: Working Papers. RePEc:cfr:cefirw:w0168.

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2011Why didnt the Global Financial Crisis hit Latin America?. (2011). Kuper, Gerard ; Jacobs, Jan ; Boonman, Tjeerd M. ; Jan P. A. M. Jacobs, . In: CIRANO Working Papers. RePEc:cir:cirwor:2011s-63.

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2011Macroeconomics as a Science. (2011). Serletis, Apostolos. In: Working Papers. RePEc:clg:wpaper:2011-03.

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2011Modeling Data Revisions. (2011). Julio, Juan ; Juan Manuel Julio Roman, . In: BORRADORES DE ECONOMIA. RePEc:col:000094:007929.

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2011Data Revisions and the Output Gap. (2011). Julio, Juan. In: BORRADORES DE ECONOMIA. RePEc:col:000094:007956.

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2011Multivariate volatility modeling of electricity futures. (2011). Hafner, Christian ; Bauwens, Luc ; Pierret, Diane . In: CORE Discussion Papers. RePEc:cor:louvco:2011011.

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2011Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2011058.

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2011The potential of a small model. (2011). Teulings, C. N. ; Elbourne, Adam. In: CPB Discussion Paper. RePEc:cpb:discus:193.

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2011Forecast Rationality Tests Based on Multi-Horizon Bounds. (2011). Timmermann, Allan ; Patton, Andrew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8194.

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2011Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8480.

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2011Properties of Foreign Exchange Risk Premiums. (2011). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8503.

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2011Incorporating theoretical restrictions into forecasting by projection methods. (2011). Ragusa, Giuseppe ; Giacomini, Raffaella. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8604.

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2011Endogenous Information Flows and the Clustering of Announcements. (2011). DeMarzo, Peter ; Acharya, Viral ; Kremer, Ilan ; De Marzo, Peter. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8680.

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2011High-Dimensional Instrumental Variables Regression and Confidence Sets. (2011). Tsybakov, Alexandre ; Gautier, Eric. In: Working Papers. RePEc:crs:wpaper:2011-13.

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2011Large Deviations of Realized Volatility. (2011). Otsu, Taisuke ; Kanaya, Shin. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1798.

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2011Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects. (2011). Su, Liangjun ; Phillips, Peter ; Zhang, Yonghui ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1832.

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2011On the Cyclicality of Real Wages and Wage Differentials. (2011). Pourpourides, Panayiotis ; Otrok, Christopher. In: Working Papers. RePEc:cyb:wpaper:2011-4.

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2011Do jumps help in forecasting the density of returns?. (2011). Ielpo, Florian ; Chevallier, Julien ; Sevi, Benoit . In: Economics Papers from University Paris Dauphine. RePEc:dau:papers:123456789/6805.

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2011Bayesian Model Averaging and Weighted Average Least Squares: Equivariance, Stability, and Numerical Issues. (2011). De Luca, Giuseppe ; Magnus, J. R.. In: Discussion Paper. RePEc:dgr:kubcen:2011082.

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2011Forecasting Volatility with Copula-Based Time Series Models. (2011). van Dijk, Dick ; Sokolinskiy, Oleg . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20110125.

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2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. (2011). Scharth, Marcel ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20110132.

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2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk. (2011). Schwaab, Bernd ; Creal, Drew . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2011042.

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2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model. (2011). van der Wel, Michel ; Koopman, Siem Jan . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2011063.

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2011Forecasting Volatility with Copula-Based Time Series Models. (2011). van Dijk, Dick ; Sokolinskiy, Oleg . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2011125.

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2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. (2011). Scharth, Marcel ; Koopman, Siem Jan . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2011132.

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2011Optimal Forecasts in the Presence of Structural Breaks. (2011). Pesaran, M ; Pick, Andreas ; Pranovich, Mikhail . In: DNB Working Papers. RePEc:dnb:dnbwpp:327.

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2011Advances in Forecasting Under Instability. (2011). Rossi, Barbara. In: Working Papers. RePEc:duk:dukeec:11-20.

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2011Spatial Interactions in Hedonic Pricing Models: The Urban Housing Market of Aveiro, Portugal. (2011). Bhattacharjee, Arnab ; de Castro, Eduardo Anselmo ; Marques, Joo Loureno . In: Dundee Discussion Papers in Economics. RePEc:dun:dpaper:253.

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2011Estimation of the Spatial Weights Matrix under Structural Constraints. (2011). Bhattacharjee, Arnab ; Jensen-Butler, Chris . In: Dundee Discussion Papers in Economics. RePEc:dun:dpaper:254.

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2011Bayesian Factor Selection in Dynamic Term Structure Models. (2011). Laurini, Márcio. In: Economics Bulletin. RePEc:ebl:ecbull:eb-11-00245.

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2011Forecasting Covariance Matrices: A Mixed Frequency Approach. (2011). Voev, Valeri ; Halbleib, Roxana. In: Working Papers ECARES. RePEc:eca:wpaper:2013/73640.

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2011One-Sided Representations of Generalized Dynamic Factor Models. (2011). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: Working Papers ECARES. RePEc:eca:wpaper:2013/94959.

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2011Systemic risk diagnostics: coincident indicators and early warning signals. (2011). Schwaab, Bernd ; Lucas, André ; Koopman, Siem Jan. In: Working Paper Series. RePEc:ecb:ecbwps:20111327.

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2011Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni ; Bakshi, Gurdip . In: Working Paper Series. RePEc:ecl:ohidic:2011-11.

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2011Dynamic modelling of agricultural policies: The role of expectation schemes. (2011). Femenia, Fabienne ; Gohin, Alexandre . In: Economic Modelling. RePEc:eee:ecmode:v:28:y:2011:i:4:p:1950-1958.

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2011Currency equivalent monetary aggregates as leading indicators of inflation. (2011). Ramachandran, M ; Paul, Sunil. In: Economic Modelling. RePEc:eee:ecmode:v:28:y:2011:i:4:p:2041-2048.

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2011Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models. (2011). Chevallier, Julien. In: Economic Modelling. RePEc:eee:ecmode:v:28:y:2011:i:6:p:2634-2656.

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2011Probabilistic risk aversion with an arbitrary outcome set. (2011). Blavatskyy, Pavlo R.. In: Economics Letters. RePEc:eee:ecolet:v:112:y:2011:i:1:p:34-37.

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2011High-frequency returns, jumps and the mixture of normals hypothesis. (2011). Paye, Bradley S. ; Fleming, Jeff . In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:119-128.

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2011Ultra high frequency volatility estimation with dependent microstructure noise. (2011). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A.. In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:160-175.

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2011Edgeworth expansions for realized volatility and related estimators. (2011). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A.. In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:190-203.

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2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility. (2011). Renault, Eric ; Garcia, René ; Lewis, Marc-Andre ; Pastorello, Sergio . In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:22-32.

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2011Realized volatility forecasting and market microstructure noise. (2011). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben. In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:220-234.

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2011Volatility forecasting and microstructure noise. (2011). Sinko, Arthur ; Ghysels, Eric . In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:257-271.

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2011Estimating covariation: Epps effect, microstructure noise. (2011). Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:33-47.

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2011Large panels with common factors and spatial correlation. (2011). Pesaran, M ; Tosetti, Elisa . In: Journal of Econometrics. RePEc:eee:econom:v:161:y:2011:i:2:p:182-202.

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2011Testing for weak identification in possibly nonlinear models. (2011). Rossi, Barbara ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:161:y:2011:i:2:p:246-261.

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2011Subsampling high frequency data. (2011). Kalnina, Ilze. In: Journal of Econometrics. RePEc:eee:econom:v:161:y:2011:i:2:p:262-283.

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2011Data-based ranking of realised volatility estimators. (2011). Patton, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:161:y:2011:i:2:p:284-303.

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2011Estimation of stable distributions by indirect inference. (2011). Veredas, David ; Renault, Eric ; Garcia, René. In: Journal of Econometrics. RePEc:eee:econom:v:161:y:2011:i:2:p:325-337.

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2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole E.. In: Journal of Econometrics. RePEc:eee:econom:v:162:y:2011:i:2:p:149-169.

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2011Integrated variance forecasting: Model based vs. reduced form. (2011). Sizova, Natalia . In: Journal of Econometrics. RePEc:eee:econom:v:162:y:2011:i:2:p:294-311.

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2011Dynamic factors in the presence of blocks. (2011). Liska, Roman ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:163:y:2011:i:1:p:29-41.

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2011Market liquidity as dynamic factors. (2011). Veredas, David ; Pirotte Speder, Hugues ; Mathias, Charles ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:163:y:2011:i:1:p:42-50.

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2011Realized Laplace transforms for estimation of jump diffusive volatility models. (2011). Tauchen, George ; Todorov, Viktor ; Grynkiv, Iaryna . In: Journal of Econometrics. RePEc:eee:econom:v:164:y:2011:i:2:p:367-381.

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2011Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models. (2011). Wang, Liqun ; hsiao, cheng. In: Journal of Econometrics. RePEc:eee:econom:v:165:y:2011:i:1:p:30-44.

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2011Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study. (2011). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159.

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2011How arbitrage-free is the Nelson-Siegel model?. (2011). Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:3:p:393-407.

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2011Maximum likelihood estimation of non-affine volatility processes. (2011). Dotsis, George ; Chourdakis, Kyriakos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:3:p:533-545.

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2011In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008. (2011). Swanson, Norman ; Cai, Lili . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:4:p:743-764.

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2011Intraday jumps and US macroeconomic news announcements. (2011). Evans, Kevin P.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:35:y:2011:i:10:p:2511-2527.

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2011Term structure modelling with observable state variables. (2011). Huse, Cristian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:35:y:2011:i:12:p:3240-3252.

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2011Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities. (2011). Tang, Ke ; Dempster, M. A. H., . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:35:y:2011:i:3:p:639-652.

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2011Growth, development and natural resources: New evidence using a heterogeneous panel analysis. (2011). Raissi, Mehdi ; Mohaddes, Kamiar ; Cavalcanti, Tiago ; Cavalcanti, Tiago V. de V., . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:51:y:2011:i:4:p:305-318.

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2011Price setting in a leading Swiss online supermarket. (2011). Devereux, Michael ; Berka, Martin ; Rudolph, Thomas . In: CAMA Working Papers. RePEc:een:camaaa:2011-19.

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2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX. (2011). McAleer, Michael ; Ishida, I. ; Oya, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:22806.

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2011Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?. (2011). Proietti, Tommaso ; Lütkepohl, Helmut ; Luetkepohl, Helmut . In: Economics Working Papers. RePEc:eui:euiwps:eco2011/29.

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2011Price setting in a leading Swiss online supermarket. (2011). Devereux, Michael ; Berka, Martin ; Rudolph, Thomas . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:83.

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2011Term premia and the news. (2011). Bauer, Michael. In: Working Paper Series. RePEc:fip:fedfwp:2011-03.

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2011Extracting deflation probability forecasts from Treasury yields. (2011). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Working Paper Series. RePEc:fip:fedfwp:2011-10.

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2011Unbiased estimate of dynamic term structure models. (2011). Wu, Jing Cynthia ; Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, . In: Working Paper Series. RePEc:fip:fedfwp:2011-12.

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2011A model-independent maximum range for the liquidity correction of TIPS yields. (2011). Christensen, Jens ; Gillan, James M. ; Jens H. E. Christensen, . In: Working Paper Series. RePEc:fip:fedfwp:2011-16.

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2011Risk, uncertainty, and expected returns. (2011). Zhou, Hao ; Bali, Turan G.. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2011-45.

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2011The variance risk premium around the world. (2011). Londono, Juan M.. In: International Finance Discussion Papers. RePEc:fip:fedgif:1035.

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2011A comprehensive revision of the U.S. monetary services (divisia) indexes. (2011). Jones, Barry ; Anderson, Richard. In: Review. RePEc:fip:fedlrv:y:2011:i:sep:p:325-360:n:v.93no.5.

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2011Speculation in the oil market. (2011). Petrella, Ivan ; Juvenal, Luciana. In: Working Papers. RePEc:fip:fedlwp:2011-027.

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2011Portage and path dependence. (2011). Lin, Jeffrey ; Bleakley, Hoyt. In: Working Papers. RePEc:fip:fedpwp:11-38.

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