Citation analysis for Journal of Econometrics / Elsevier

Journal of Econometrics / Elsevier

2.23

Impact Factor

2.55

5-Years IF

160

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990	0.17	0.1	0.29	83	83	215	2.59	4694	127	21	334	96	196 (4.2%)	4	0.05	0.04
1991	0.34	0.09	0.43	71	154	345	2.24	1767	148	50	326	141	156 (8.8%)	11	0.15	0.04
1992	0.25	0.1	0.24	66	220	333	1.51	6188	154	39	344	82	226 (3.7%)	14	0.21	0.04
1993	0.26	0.11	0.27	97	317	340	1.07	2724	137	36	347	94	214 (7.9%)	14	0.14	0.05
1994	0.43	0.12	0.32	83	400	472	1.18	4304	163	70	382	124	231 (5.4%)	17	0.2	0.05
1995	0.61	0.19	0.87	83	483	1143	2.37	9085	180	109	400	347	217 (2.4%)	24	0.29	0.07
1996	0.72	0.22	0.92	103	586	1421	2.42	6816	166	119	400	366	338 (5%)	48	0.47	0.09
1997	0.76	0.27	1.11	107	693	1695	2.45	4298	186	142	432	478	271 (6.3%)	35	0.33	0.09
1998	0.96	0.27	1.12	111	804	2019	2.51	8140	210	201	473	532	243 (3%)	34	0.31	0.1
1999	0.83	0.31	1.19	53	857	2295	2.68	3552	218	180	487	581	190 (5.3%)	23	0.43	0.13
2000	1.49	0.4	1.79	85	942	3069	3.26	3245	164	245	457	820	246 (7.6%)	47	0.55	0.15
2001	1.44	0.4	1.77	91	1033	3430	3.32	3931	138	199	459	813	282 (7.2%)	52	0.57	0.15
2002	1.33	0.42	1.79	97	1130	3783	3.35	5549	176	234	447	801	270 (4.9%)	88	0.91	0.18
2003	1.9	0.44	2.08	95	1225	4890	3.99	6659	188	357	437	911	226 (3.4%)	122	1.28	0.18
2004	2.48	0.49	2.5	90	1315	5640	4.29	3678	192	476	421	1051	184 (5%)	103	1.14	0.2
2005	2.55	0.53	2.7	83	1398	6267	4.48	4298	185	472	458	1237	176 (4.1%)	124	1.49	0.21
2006	2.51	0.51	3.16	130	1528	7123	4.66	5150	173	434	456	1442	275 (5.3%)	180	1.38	0.2
2007	2.47	0.44	3.05	187	1715	6690	3.9	5728	213	527	495	1512	411 (7.2%)	188	1.01	0.18
2008	2.79	0.47	3.39	168	1883	8444	4.48	4582	317	884	585	1982	257 (5.6%)	163	0.97	0.2
2009	2.25	0.47	2.78	104	1987	8873	4.47	1795	355	800	658	1831	166 (9.2%)	79	0.76	0.19
2010	1.77	0.44	2.56	145	2132	8343	3.91	2451	272	482	672	1720	217 (8.9%)	135	0.93	0.16
2011	1.91	0.51	2.86	146	2278	10632	4.67	2282	249	476	734	2099	173 (7.6%)	186	1.27	0.2
2012	2.24	0.56	2.91	167	2445	12284	5.02	1369	291	652	750	2183	161 (11.8%)	102	0.61	0.21
2013	1.9	0.66	2.63	95	2540	12408	4.89	899	313	596	730	1917	73 (8.1%)	119	1.25	0.23
2014	2.15	0.67	2.54	145	2685	12411	4.62	681	262	564	657	1670	75 (11%)	130	0.9	0.22
2015	2.23	0.82	2.55	195	2880	12593	4.37	360	240	535	698	1780	43 (11.9%)	130	0.67	0.27

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
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
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%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

50 most cited documents in this series:

#	Year	Title	Cited
1	1998	Initial 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. Full description at Econpapers \|\| Download paper	4930
2	1986	Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327. Full description at Econpapers \|\| Download paper	4486
3	1995	Another 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. Full description at Econpapers \|\| Download paper	3760
4	2003	Testing 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. Full description at Econpapers \|\| Download paper	2832
5	1992	Testing 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. Full description at Econpapers \|\| Download paper	2500
6	2002	Unit 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. Full description at Econpapers \|\| Download paper	2244
7	1977	Formulation 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. Full description at Econpapers \|\| Download paper	2080
8	1995	Estimating 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. Full description at Econpapers \|\| Download paper	1264
9	1974	Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120. Full description at Econpapers \|\| Download paper	1212
10	2005	A 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. Full description at Econpapers \|\| Download paper	1208
11	1992	ARCH 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. Full description at Econpapers \|\| Download paper	1127
12	1996	Impulse 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. Full description at Econpapers \|\| Download paper	1089
13	1995	Statistical 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. Full description at Econpapers \|\| Download paper	889
14	1982	On 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. Full description at Econpapers \|\| Download paper	870
15	1982	Formulation 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. Full description at Econpapers \|\| Download paper	776
16	1986	Random 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. Full description at Econpapers \|\| Download paper	717
17	1999	Spurious 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. Full description at Econpapers \|\| Download paper	707
18	2005	Does 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. Full description at Econpapers \|\| Download paper	703
19	1981	Panel data and unobservable individual effects. (1981). Taylor, William ; Hausman, Jerry. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:155-155. Full description at Econpapers \|\| Download paper	700
20	1996	Fractionally 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. Full description at Econpapers \|\| Download paper	683
21	1976	Exact and superlative index numbers. (1976). Diewert, Walter. In: Journal of Econometrics. RePEc:eee:econom:v:4:y:1976:i:2:p:115-145. Full description at Econpapers \|\| Download paper	676
22	1996	Residual-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. Full description at Econpapers \|\| Download paper	675
23	2008	Regression 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. Full description at Econpapers \|\| Download paper	667
24	1988	Some 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. Full description at Econpapers \|\| Download paper	648
25	1997	Further 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. Full description at Econpapers \|\| Download paper	629
26	2003	What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398. Full description at Econpapers \|\| Download paper	616
27	1986	Errors 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. Full description at Econpapers \|\| Download paper	608
28	1995	On 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. Full description at Econpapers \|\| Download paper	590
29	2008	Manipulation of the running variable in the regression discontinuity design: A density test. (2008). McCrary, Justin . In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:698-714. Full description at Econpapers \|\| Download paper	571
30	1988	Limited 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. Full description at Econpapers \|\| Download paper	566
31	1992	Testing 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. Full description at Econpapers \|\| Download paper	557
32	1994	Autoregressive 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. Full description at Econpapers \|\| Download paper	555
33	1990	Analysis 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. Full description at Econpapers \|\| Download paper	552
34	2007	Estimation 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. Full description at Econpapers \|\| Download paper	540
35	1994	On 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. Full description at Econpapers \|\| Download paper	537
36	1996	Long 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. Full description at Econpapers \|\| Download paper	527
37	1981	Some 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. Full description at Econpapers \|\| Download paper	507
38	1987	Forecasting and testing in co-integrated systems. (1987). Yoo, Byung Sam ; Engle, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:35:y:1987:i:1:p:143-159. Full description at Econpapers \|\| Download paper	506
39	1986	Understanding spurious regressions in econometrics. (1986). Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:33:y:1986:i:3:p:311-340. Full description at Econpapers \|\| Download paper	494
40	2006	Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:133:y:2006:i:1:p:97-126. Full description at Econpapers \|\| Download paper	489
41	1980	Long 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. Full description at Econpapers \|\| Download paper	475
42	2003	Testing 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. Full description at Econpapers \|\| Download paper	474
43	1990	Seasonal integration and cointegration. (1990). Yoo, Byung Sam ; Hylleberg, Svend ; Granger, Clive ; Engle, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:44:y:1990:i:1-2:p:215-238. Full description at Econpapers \|\| Download paper	454
44	1999	GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45. Full description at Econpapers \|\| Download paper	449
45	1994	Five 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. Full description at Econpapers \|\| Download paper	442
46	1988	Prediction 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. Full description at Econpapers \|\| Download paper	438
47	2001	Long 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. Full description at Econpapers \|\| Download paper	437
48	2001	Tests 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. Full description at Econpapers \|\| Download paper	431
49	1999	Threshold effects in non-dynamic panels: Estimation, testing, and inference. (1999). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:93:y:1999:i:2:p:345-368. Full description at Econpapers \|\| Download paper	417
50	1994	Dynamic linear models with Markov-switching. (1994). Kim, Chang-Jin. In: Journal of Econometrics. RePEc:eee:econom:v:60:y:1994:i:1-2:p:1-22. Full description at Econpapers \|\| Download paper	413

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	1998	Initial 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. Full description at Econpapers \|\| Download paper	1587
2	1995	Another 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. Full description at Econpapers \|\| Download paper	1292
3	1986	Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327. Full description at Econpapers \|\| Download paper	928
4	2003	Testing 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. Full description at Econpapers \|\| Download paper	768
5	2002	Unit 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. Full description at Econpapers \|\| Download paper	617
6	2005	A 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. Full description at Econpapers \|\| Download paper	431
7	1977	Formulation 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. Full description at Econpapers \|\| Download paper	402
8	1992	Testing 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. Full description at Econpapers \|\| Download paper	377
9	2008	Manipulation of the running variable in the regression discontinuity design: A density test. (2008). McCrary, Justin . In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:698-714. Full description at Econpapers \|\| Download paper	334
10	1995	Estimating 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. Full description at Econpapers \|\| Download paper	320
11	2008	Regression 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. Full description at Econpapers \|\| Download paper	311
12	1996	Impulse 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. Full description at Econpapers \|\| Download paper	303
13	1995	Statistical 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. Full description at Econpapers \|\| Download paper	289
14	2006	Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:133:y:2006:i:1:p:97-126. Full description at Econpapers \|\| Download paper	203
15	2003	What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398. Full description at Econpapers \|\| Download paper	199
16	2005	Does 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. Full description at Econpapers \|\| Download paper	195
17	1999	Spurious 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. Full description at Econpapers \|\| Download paper	186
18	2007	Approximately normal tests for equal predictive accuracy in nested models. (2007). West, Kenneth ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:138:y:2007:i:1:p:291-311. Full description at Econpapers \|\| Download paper	181
19	2007	Estimation 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. Full description at Econpapers \|\| Download paper	180
20	1974	Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120. Full description at Econpapers \|\| Download paper	177
21	1996	Residual-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. Full description at Econpapers \|\| Download paper	160
22	1996	Fractionally 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. Full description at Econpapers \|\| Download paper	156
23	1982	On 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. Full description at Econpapers \|\| Download paper	153
24	1999	Threshold effects in non-dynamic panels: Estimation, testing, and inference. (1999). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:93:y:1999:i:2:p:345-368. Full description at Econpapers \|\| Download paper	149
25	2008	Randomized experiments from non-random selection in U.S. House elections. (2008). Lee, David S.. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:675-697. Full description at Econpapers \|\| Download paper	145
26	1981	Panel data and unobservable individual effects. (1981). Taylor, William ; Hausman, Jerry. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:155-155. Full description at Econpapers \|\| Download paper	137
27	1999	GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45. Full description at Econpapers \|\| Download paper	133
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32	2004	Estimating the social return to higher education: evidence from longitudinal and repeated cross-sectional data. (2004). moretti, enrico. In: Journal of Econometrics. RePEc:eee:econom:v:121:y:2004:i:1-2:p:175-212. Full description at Econpapers \|\| Download paper	119
33	2005	Reconsidering heterogeneity in panel data estimators of the stochastic frontier model. (2005). Greene, William. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:2:p:269-303. Full description at Econpapers \|\| Download paper	117
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36	1994	On 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. Full description at Econpapers \|\| Download paper	102
37	1994	Autoregressive 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. Full description at Econpapers \|\| Download paper	100
38	2008	Panel data methods for fractional response variables with an application to test pass rates. (2008). Wooldridge, Jeffrey ; Papke, Leslie. In: Journal of Econometrics. RePEc:eee:econom:v:145:y:2008:i:1-2:p:121-133. Full description at Econpapers \|\| Download paper	99
39	2009	Identification of peer effects through social networks. (2009). Fortin, Bernard ; Djebbari, Habiba ; BramoullÃÂ©, Yann ; Bramoulle, Yann . In: Journal of Econometrics. RePEc:eee:econom:v:150:y:2009:i:1:p:41-55. Full description at Econpapers \|\| Download paper	99
40	2011	Volatility forecast comparison using imperfect volatility proxies. (2011). Patton, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:246-256. Full description at Econpapers \|\| Download paper	98
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42	2004	Ability sorting and the returns to college major. (2004). Arcidiacono, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:121:y:2004:i:1-2:p:343-375. Full description at Econpapers \|\| Download paper	94
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50	1992	ARCH 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. Full description at Econpapers \|\| Download paper	90

Citing documents used to compute impact factor 535:

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2015	MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1516. Full description at Econpapers \|\| Download paper
2015	Dynamic Principal Components: a New Class of Multivariate GARCH Models. (2015). Caporin, Massimiliano ; Aielli, Gian Piero . In: Marco Fanno Working Papers. RePEc:pad:wpaper:0194. Full description at Econpapers \|\| Download paper
2015	The economic value of flexible dynamic correlation models. (2015). Louzis, Dimitrios. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00194. Full description at Econpapers \|\| Download paper
2015	Environmental growth convergence among Chinese regions. (2015). SHEN, Zhiyang ; LELEU, HervÃÂ© ; Boussemart, Jean-Philippe. In: China Economic Review. RePEc:eee:chieco:v:34:y:2015:i:c:p:1-18. Full description at Econpapers \|\| Download paper
2015	A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of U.S. Banks in 2001-2010. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal C. In: MPRA Paper. RePEc:pra:mprapa:66490. Full description at Econpapers \|\| Download paper
2015	Clean energy use and total-factor efficiencies: An international comparison. (2015). Pang, Rui-Zhi ; Deng, Zhong-Qi . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:52:y:2015:i:c:p:1158-1171. Full description at Econpapers \|\| Download paper
2015	Specification testing for transformation models with an application to generalized accelerated failure-time models. (2015). Su, Liangjun ; Lewbel, Arthur ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:184:y:2015:i:1:p:81-96. Full description at Econpapers \|\| Download paper
2015	TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT. (2015). Lu, Xun ; White, Habert . In: Econometric Theory. RePEc:cup:etheor:v:31:y:2015:i:05:p:1016-1053_00. Full description at Econpapers \|\| Download paper
2015	Purchasing power parity-symmetry and proportionality: Evidence from 116 countries. (2015). Arize, Augustine C. ; Ghosh, Dilip ; Malindretos, John . In: International Review of Economics & Finance. RePEc:eee:reveco:v:37:y:2015:i:c:p:69-85. Full description at Econpapers \|\| Download paper
2015	Assessing point forecast accuracy by stochastic loss distance. (2015). Diebold, Francis X. ; Shin, Minchul . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:37-38. Full description at Econpapers \|\| Download paper
2015	A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data. (2015). Sun, Yixiao ; Kim, Min Seong ; Yang, Jingjing . In: Working Papers. RePEc:rye:wpaper:wp049. Full description at Econpapers \|\| Download paper
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2015	Sieve semiparametric two-step GMM under weak dependence. (2015). Liao, Zhipeng ; Chen, Xiaohong . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:163-186. Full description at Econpapers \|\| Download paper
2015	Nonparametric stochastic discount factor decomposition. (2015). . In: CeMMAP working papers. RePEc:ifs:cemmap:24/15. Full description at Econpapers \|\| Download paper
2015	FRED-MD: A Monthly Database for Macroeconomic Research. (2015). Ng, Serena ; McCracken, Michael. In: Working Papers. RePEc:fip:fedlwp:2015-012. Full description at Econpapers \|\| Download paper
2015	Dynamic predictive density combinations for large data sets in economics and finance. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Working Paper. RePEc:bno:worpap:2015_12. Full description at Econpapers \|\| Download paper
2015	The Term Structure of Returns: Facts and Theory. (2015). van Binsbergen, Jules ; Koijen, Ralph . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10633. Full description at Econpapers \|\| Download paper
2015	Explaining adoption and use of payment instruments by U.S. consumers. (2015). Rysman, Marc ; Zhuo, Fan . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-004. Full description at Econpapers \|\| Download paper
2015	Robust inference in nonlinear models with mixed identification strength. (2015). Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:207-228. Full description at Econpapers \|\| Download paper
2015	Specification tests for time-varying parameter models with stochastic volatility. (2015). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-42. Full description at Econpapers \|\| Download paper
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2015	When do in-service teacher training and books improve student achievement ? experimental evidence from Mongolia. (2015). Fuje, Habtamu Neda ; Tandon, Prateek . In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:7485. Full description at Econpapers \|\| Download paper
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2015	Specification tests for partially identified models defined by moment inequalities. (2015). shi, xiaoxia ; Canay, Ivan ; Bugni, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:1:p:259-282. Full description at Econpapers \|\| Download paper
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2015	Overidentification in Regular Models. (2015). Santos, Andres ; Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1999. Full description at Econpapers \|\| Download paper
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2015	On the Selection of Common Factors for Macroeconomic Forecasting. (2015). Proietti, Tommaso ; Giovannelli, Alessandro. In: CEIS Research Paper. RePEc:rtv:ceisrp:332. Full description at Econpapers \|\| Download paper
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2015	Looking into the Black Box of Boosting: The Case of Germany. (2015). Wohlrabe, Klaus ; Lehmann, Robert. In: MPRA Paper. RePEc:pra:mprapa:67608. Full description at Econpapers \|\| Download paper
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2015	Looking into the Black Box of Boosting: The Case of Germany. (2015). Wohlrabe, Klaus ; Lehmann, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5686. Full description at Econpapers \|\| Download paper
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2015	Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). BarunÃÂk, Jozef ; Kley, Tobias . In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers \|\| Download paper
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2015	Should We Go One Step Further? Ã An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework. (2015). Sun, Yixiao ; Hwang, Jungbin . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt58r2z98m. Full description at Econpapers \|\| Download paper
2015	Asymptotic F and t Tests in an Efficient GMM Setting. (2015). Sun, Yixiao ; Hwang, Jungbin . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt1c62d8xf. Full description at Econpapers \|\| Download paper
2015	Bootstrapping the portmanteau tests in weak auto-regressive moving average models. (2015). Zhu, Ke. In: MPRA Paper. RePEc:pra:mprapa:61930. Full description at Econpapers \|\| Download paper
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2015	Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility. (2015). Kruse, Robinson ; Hanck, Christoph ; Demetrescu, Matei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112916. Full description at Econpapers \|\| Download paper
2015	Testing heteroskedastic time series for normality. (2015). Kruse, Robinson ; Demetrescu, Matei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113221. Full description at Econpapers \|\| Download paper
2015	Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models. (2015). NetÅ¡unajev, Aleksei ; LÃÂ¼tkepohl, Helmut ; Netunajev, Aleksei ; Luetkepohl, Helmut . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5308. Full description at Econpapers \|\| Download paper
2015	Structural Vector Autoregressions with Heteroskedasticy. (2015). NetÅ¡unajev, Aleksei ; LÃÂ¼tkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-015. Full description at Econpapers \|\| Download paper
2015	Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models. (2015). NetÅ¡unajev, Aleksei ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1464. Full description at Econpapers \|\| Download paper
2015	Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis. (2015). Chen, Wenjuan . In: Journal of Economics and Business. RePEc:eee:jebusi:v:80:y:2015:i:c:p:1-20. Full description at Econpapers \|\| Download paper
2015	Price discovery in the markets for credit risk: A Markov switching approach. (2015). Dimpfl, Thomas ; Peter, Franziska J. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-035. Full description at Econpapers \|\| Download paper
2015	International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model. (2015). NetÅ¡unajev, Aleksei ; Netsunajev, Aleksei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112900. Full description at Econpapers \|\| Download paper
2015	Instrument-free Identification and Estimation of Differentiated Products Models. (2015). Sarafidis, Vasilis ; Imai, Susumu ; Byrne, David ; Hirukawa, Masayuki . In: Working Papers. RePEc:qed:wpaper:1336. Full description at Econpapers \|\| Download paper
2015	Identification in Differentiated Products Markets. (2015). Haile, Philip ; Berry, Steven. In: NBER Working Papers. RePEc:nbr:nberwo:21500. Full description at Econpapers \|\| Download paper
2015	Identification in Differentiated Products Markets. (2015). Berry, Steven ; Haile, Philip A. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2019. Full description at Econpapers \|\| Download paper
2015	Identification in differentiated product markets. (2015). Berry, Steven ; Haile, Philip . In: CeMMAP working papers. RePEc:ifs:cemmap:47/15. Full description at Econpapers \|\| Download paper
2015	Does improving Public Transport decrease Car Ownership? Evidence from the Copenhagen Metropolitan Area. (2015). Rouwendal, Jan ; Mulalic, Ismir ; Pilegaard, Ninette . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150139. Full description at Econpapers \|\| Download paper
2015	Energy Price Transmission and Retail Milk Prices. (2015). Lopez, Rigoberto ; Li, Xun . In: Working Papers. RePEc:zwi:wpaper:38. Full description at Econpapers \|\| Download paper
2015	Household Financial Access and Risk Sharing in Nigeria. (2015). Saito, Mika ; Carlson, Stacy ; Shi, Yu ; Dabla-Norris, Era . In: IMF Working Papers. RePEc:imf:imfwpa:15/169. Full description at Econpapers \|\| Download paper
2015	Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence. (2015). Dunker, Fabian. In: Courant Research Centre: Poverty, Equity and Growth - Discussion Papers. RePEc:got:gotcrc:192. Full description at Econpapers \|\| Download paper
2015	Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation. (2015). Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1923r. Full description at Econpapers \|\| Download paper
2015	Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation. (2015). Chen, Xiaohong . In: CeMMAP working papers. RePEc:ifs:cemmap:32/15. Full description at Econpapers \|\| Download paper
2015	Specification Testing in Hawkes Models. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150086. Full description at Econpapers \|\| Download paper
2015	Love and death: A Freund model with frailty. (2015). Lu, Yang ; Gourieroux, Christian . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:63:y:2015:i:c:p:191-203. Full description at Econpapers \|\| Download paper
2015	Exploiting Spillovers to forecast Crashes. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150118. Full description at Econpapers \|\| Download paper
2015	Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors. (2015). Raissi, Mehdi ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1501. Full description at Econpapers \|\| Download paper
2015	Long-run effects in large heterogenous panel data models with cross-sectionally correlated errors. (2015). Raissi, Mehdi ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:223. Full description at Econpapers \|\| Download paper
2015	Long-memory process and aggregation of AR(1) stochastic processes: A new characterization. (2015). Candelpergher, Bernard ; Pelgrin, Florian ; Miniconi, Michel . In: Working Papers. RePEc:hal:wpaper:hal-01166527. Full description at Econpapers \|\| Download paper
2015	Why Did Bank Lending Rates Diverge from Policy Rates After the Financial Crisis?. (2015). Mizen, Paul ; Lombardi, Marco ; Illes, Anamaria . In: Discussion Papers. RePEc:not:notcfc:15/05. Full description at Econpapers \|\| Download paper
2015	Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. (2015). Chudik, Alexander ; Pesaran, Hashem M. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:393-420. Full description at Econpapers \|\| Download paper
2015	Testing purchasing power parity hypothesis: a semiparametric varying coefficient approach. (2015). Li, Hongjun ; hsiao, cheng ; Lin, Zhongjian . In: Empirical Economics. RePEc:spr:empeco:v:48:y:2015:i:1:p:427-438. Full description at Econpapers \|\| Download paper
2015	Measuring sovereign contagion in Europe. (2015). Rigobon, Roberto ; Ravazzolo, Francesco ; Pelizzon, Loriana ; Caporin, Massimiliano. In: SAFE Working Paper Series. RePEc:zbw:safewp:103. Full description at Econpapers \|\| Download paper
2015	Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis. (2015). Altr-Samuel, Adam-Nelu ; Cramer, Alexandru-Adrian . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2015:i:4:p:29-49. Full description at Econpapers \|\| Download paper
2015	A lack-of-fit test for quantile regression models with high-dimensional covariates. (2015). Sanchez-Sellero, Cesar ; Gonzalez-Manteiga, Wenceslao ; Conde-Amboage, Mercedes . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:88:y:2015:i:c:p:128-138. Full description at Econpapers \|\| Download paper
2015	On whom would I want to depend; Humans or nature?. (2015). Farjam, Mike . In: Jena Economic Research Papers. RePEc:jrp:jrpwrp:2015-019. Full description at Econpapers \|\| Download paper
2015	Stress and Coping - An Economic Approach. (2015). WÃÂ¤lde, Klaus ; Walde, Klaus . In: Jena Economic Research Papers. RePEc:jrp:jrpwrp:2015-020. Full description at Econpapers \|\| Download paper
2015	Stress and Coping - An Economic Approach. (2015). WÃÂ¤lde, Klaus ; Walde, Klaus . In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2015018. Full description at Econpapers \|\| Download paper
2015	Growth options effect on leverage: Evidence from China. (2015). Lin, QI. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:34:y:2015:i:c:p:152-168. Full description at Econpapers \|\| Download paper
2015	Financial Markets, Banks Cost of Funding, and Firms Decisions: Lessons from Two Crises. (2015). Brancati, Emanuele ; Balduzzi, Pierluigi . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5669. Full description at Econpapers \|\| Download paper
2015	Nonparametric identification of endogenous and heterogeneous aggregate demand models: complements, bundles and the market level. (2015). Kaido, Hiroaki ; hoderlein, stefan ; Dunker, Fabian. In: CeMMAP working papers. RePEc:ifs:cemmap:51/15. Full description at Econpapers \|\| Download paper
2015	Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model. (2015). Mukhoti, Sujay ; Guhathakurta, Kousik . In: MPRA Paper. RePEc:pra:mprapa:62517. Full description at Econpapers \|\| Download paper
2015	Bayesian regression with nonparametric heteroskedasticity. (2015). Norets, Andriy . In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:409-419. Full description at Econpapers \|\| Download paper
2015	Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun . In: IFCS - Working Papers in Economic History.WH. RePEc:cte:whrepe:ws1504. Full description at Econpapers \|\| Download paper
2015	Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1504. Full description at Econpapers \|\| Download paper
2015	Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity. (2015). Prucha, Ingmar ; Kuersteiner, Guido. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5445. Full description at Econpapers \|\| Download paper
2015	Estimation of Spatial Autoregressions with Stochastic Weight Matrices. (2015). Gupta, Abhimanyu . In: Economics Discussion Papers. RePEc:esx:essedp:772. Full description at Econpapers \|\| Download paper
2015	Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates. (2015). Wolter, James . In: Economics Series Working Papers. RePEc:oxf:wpaper:761. Full description at Econpapers \|\| Download paper
2015	Model selection in the presence of incidental parameters. (2015). Phillips, Peter ; Lee, Yoonseok ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:474-489. Full description at Econpapers \|\| Download paper
2015	Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates. (2015). Zeng, Jing . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1511. Full description at Econpapers \|\| Download paper
2015	Estimating Income and Price Elasticity of Turkish Exports with Heterogeneous Panel Time-Series Methods. (2015). YÃÂ¼ncÃÂ¼ler, ÃaÄlar ; Sen Dogan, Bahar ; Bozok, Ä°hsan. In: Working Papers. RePEc:tcb:wpaper:1526. Full description at Econpapers \|\| Download paper
2015	Sharp bounds on treatment effects in a binary triangular system. (2015). Mourifie, Ismael . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:1:p:74-81. Full description at Econpapers \|\| Download paper
2015	Robust Forecast Comparison. (2015). Swanson, Norman ; Jin, Sainan. In: Departmental Working Papers. RePEc:rut:rutres:201502. Full description at Econpapers \|\| Download paper
2015	Point Optimal Testing: A Survey of the Post 1987 Literature. (2015). King, Maxwell ; Sriananthakumar, Sivagowry . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-5. Full description at Econpapers \|\| Download paper
2015	Ownership concentration and corporate performance from a dynamic perspective: Does national governance quality matter?. (2015). Nguyen, Tuan ; Reddy, Krishna ; Locke, Stuart . In: International Review of Financial Analysis. RePEc:eee:finana:v:41:y:2015:i:c:p:148-161. Full description at Econpapers \|\| Download paper
2015	Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?. (2015). Serletis, Apostolos ; Istiak, Khandokar . In: Working Papers. RePEc:clg:wpaper:2015-17. Full description at Econpapers \|\| Download paper
2015	The Use of Divisia Monetary Aggregates in Nominal GDP Targeting. (2015). Barnett, William ; Su, Liting . In: MPRA Paper. RePEc:pra:mprapa:67040. Full description at Econpapers \|\| Download paper
2015	The Use of Divisia Monetary Aggregates in Nominal GDP Targeting. (2015). Barnett, William ; Su, Liting . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201504. Full description at Econpapers \|\| Download paper
2015	Chinese Divisia monetary index and GDP nowcasting. (2015). Barnett, William ; Tang, Biyan . In: MPRA Paper. RePEc:pra:mprapa:67691. Full description at Econpapers \|\| Download paper
2015	Money and Output: Friedman and Schwartz Revisited. (2015). Ireland, Peter ; Belongia, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:21796. Full description at Econpapers \|\| Download paper
2015	House Price Forecasts with Factor Combinations. (2015). Rahal, Charles . In: Discussion Papers. RePEc:bir:birmec:15-05. Full description at Econpapers \|\| Download paper
2015	Estimation of Heterogeneous Panels with Structural Breaks. (2015). Kao, Chihwa ; Feng, Qu ; Baltagi, Badi. In: Center for Policy Research Working Papers. RePEc:max:cprwps:179. Full description at Econpapers \|\| Download paper
2015	Estimating the common break date in large factor models. (2015). Chen, Liang . In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74. Full description at Econpapers \|\| Download paper
2015	Housing Market Forecasting with Factor Combinations. (2015). Rahal, Charles . In: Discussion Papers. RePEc:bir:birmec:15-05r. Full description at Econpapers \|\| Download paper
2015	Testing for factor loading structural change under common breaks. (2015). Yamamoto, Yohei ; Tanaka, Shinya . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:187-206. Full description at Econpapers \|\| Download paper
2015	Regulation and Market Liquidity. (2015). Trebbi, Francesco ; Xiao, Kairong . In: NBER Working Papers. RePEc:nbr:nberwo:21739. Full description at Econpapers \|\| Download paper
2015	The Analysis of the Gender Wage Gap in the Italian Public Sector: a Quantile Approach for Panel Data. (2015). Castagnetti, Carolina. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0109. Full description at Econpapers \|\| Download paper
2015	A panel data quantile regression analysis of the immigrant earnings distribution in the United Kingdom and United States. (2015). Lamarche, Carlos ; Billger, Sherrilyn . In: Empirical Economics. RePEc:spr:empeco:v:49:y:2015:i:2:p:705-750. Full description at Econpapers \|\| Download paper
2015	Set identification of panel data models with interactive effects via quantile restrictions. (2015). Chen, Liang . In: Economics Letters. RePEc:eee:ecolet:v:137:y:2015:i:c:p:36-40. Full description at Econpapers \|\| Download paper
2015	Revealed preference tests for weak separability: An integer programming approach. (2015). Hjertstrand, Per ; Demuynck, Thomas ; De Rock, Bram ; Cherchye, Laurens. In: Journal of Econometrics. RePEc:eee:econom:v:186:y:2015:i:1:p:129-141. Full description at Econpapers \|\| Download paper
2015	Positively-homogeneous Konus-Divisia indices and their applications to demand analysis and forecasting. (2015). Shananin, Alexander ; Klemashev, Nikolay . In: Papers. RePEc:arx:papers:1501.05771. Full description at Econpapers \|\| Download paper
2015	Sharp for SARP: Nonparametric Bounds on Counterfactual Demands. (2015). Vermeulen, Frederic ; De Rock, Bram ; Crawford, Ian ; Cherchye, Laurens ; Browning, Martin ; Blundell, Richard. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:7:y:2015:i:1:p:43-60. Full description at Econpapers \|\| Download paper
2015	Revealed preference theory for finite choice sets. (2015). Demuynck, Thomas ; Cosaert, Sam. In: Economic Theory. RePEc:spr:joecth:v:59:y:2015:i:1:p:169-200. Full description at Econpapers \|\| Download paper
2015	Prices versus preferences: taste change and revealed preference. (2015). Crawford, Ian ; Browning, Martin ; Blundell, Richard ; Adams, Abi . In: IFS Working Papers. RePEc:ifs:ifsewp:15/11. Full description at Econpapers \|\| Download paper
2015	Demand analysis with partially observed prices. (2015). Polisson, Matthew ; Crawford, Ian. In: IFS Working Papers. RePEc:ifs:ifsewp:15/16. Full description at Econpapers \|\| Download paper
2015	The homogeneous marginal utility of income assumption. (2015). Demuynck, Thomas ; Demuynck T., . In: Research Memorandum. RePEc:unm:umagsb:2015013. Full description at Econpapers \|\| Download paper
2015	Estimation of affine term structure models with spanned or unspanned stochastic volatility. (2015). Wu, Jing Cynthia ; Creal, Drew. In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:1:p:60-81. Full description at Econpapers \|\| Download paper
2015	Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices. (2015). Chen, Song ; Zou, Tao . In: MPRA Paper. RePEc:pra:mprapa:67073. Full description at Econpapers \|\| Download paper
2015	Information shares of two parallel currency options markets: Trading costs versus transparency/tradability. (2015). Schreiber, Ben ; Piccotti, Louis R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:210-229. Full description at Econpapers \|\| Download paper
2015	The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema . In: Monash Economics Working Papers. RePEc:mos:moswps:2015-06. Full description at Econpapers \|\| Download paper
2015	Functional index coefficient models with variable selection. (2015). Cai, Zongwu ; Yang, Bingduo ; Juhl, Ted . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:272-284. Full description at Econpapers \|\| Download paper
2015	The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393. Full description at Econpapers \|\| Download paper
2015	The Pricing of Short-Term market Risk: Evidence from Weekly Options. (2015). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola . In: NBER Working Papers. RePEc:nbr:nberwo:21491. Full description at Econpapers \|\| Download paper
2015	The risk premia embedded in index options. (2015). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola . In: Journal of Financial Economics. RePEc:eee:jfinec:v:117:y:2015:i:3:p:558-584. Full description at Econpapers \|\| Download paper
2015	Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134. Full description at Econpapers \|\| Download paper
2015	Reinforced urn processes for credit risk models. (2015). Mira, Antonietta ; Peluso, Stefano ; Muliere, Pietro . In: Journal of Econometrics. RePEc:eee:econom:v:184:y:2015:i:1:p:1-12. Full description at Econpapers \|\| Download paper
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2015	Assessing the impact of World Bank preparation on project outcomes. (2015). Kilby, Christopher. In: Journal of Development Economics. RePEc:eee:deveco:v:115:y:2015:i:c:p:111-123. Full description at Econpapers \|\| Download paper
2015	Modeling the dynamics of carbon emission performance in China: A parametric Malmquist index approach. (2015). Lin, Boqiang ; Du, Kerui . In: Energy Economics. RePEc:eee:eneeco:v:49:y:2015:i:c:p:550-557. Full description at Econpapers \|\| Download paper
2015	Do contractual practices affect technical efficiency? Evidence from public transport operators in China. (2015). Zhang, Chunqin ; Xiao, Guangnian ; Juan, Zhicai . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:80:y:2015:i:c:p:39-55. Full description at Econpapers \|\| Download paper
2015	Consistent method of moments estimation of the true fixed effects model. (2015). . In: Economics Letters. RePEc:eee:ecolet:v:137:y:2015:i:c:p:62-69. Full description at Econpapers \|\| Download paper
2015	Efficient propensity score regression estimators of multi-valued treatment effects for the treated. (2015). Lee, Ying-Ying . In: Economics Series Working Papers. RePEc:oxf:wpaper:738. Full description at Econpapers \|\| Download paper
2015	Nominal Rigidities and the Term Structures of Equity and Bond Returns. (2015). Lopez, Pierlauro ; Lopez-Salido, David ; Vazquez-Grande, Francisco . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-64. Full description at Econpapers \|\| Download paper
2015	Nonparametric predictive regression. (2015). Phillips, Peter ; Andreou, Elena ; Phillips, Peter C. B., ; Kasparis, Ioannis . In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:468-494. Full description at Econpapers \|\| Download paper
2015	Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2015-30. Full description at Econpapers \|\| Download paper
2015	Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide ; Santucci, Paolo . In: Studies in Economics. RePEc:ukc:ukcedp:1511. Full description at Econpapers \|\| Download paper
2015	Is there an Environmental Kuznets Curve for South Africa? A co-summability approach using a century of data. (2015). GUPTA, RANGAN ; Ben Nasr, Adnen ; Sato, Joo Ricardo . In: Energy Economics. RePEc:eee:eneeco:v:52:y:2015:i:pa:p:136-141. Full description at Econpapers \|\| Download paper
2015	Generalised density forecast combinations. (2015). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, G. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:150-165. Full description at Econpapers \|\| Download paper
2015	Inequality and household debt: a panel cointegration analysis. (2015). Klein, Mathias . In: Empirica. RePEc:kap:empiri:v:42:y:2015:i:2:p:391-412. Full description at Econpapers \|\| Download paper
2015	Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets. (2015). Hertrich, Markus. In: MPRA Paper. RePEc:pra:mprapa:67837. Full description at Econpapers \|\| Download paper
2015	Happiness, taxes and social provision: A note. (2015). Spagnolo, Nicola ; Napolitano, Oreste ; Bonasia, Mariangela ; albanese, marina. In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:100-103. Full description at Econpapers \|\| Download paper
2015	Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2015-14. Full description at Econpapers \|\| Download paper
2015	The Variance Risk Premium and Fundamental Uncertainty. (2015). Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0583. Full description at Econpapers \|\| Download paper
2015	The variance risk premium and fundamental uncertainty. (2015). Conrad, Christian. In: Economics Letters. RePEc:eee:ecolet:v:132:y:2015:i:c:p:56-60. Full description at Econpapers \|\| Download paper
2015	Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market. (2015). Wu, Eliza ; ter Ellen, Saskia ; He, Xuezhong ; Chiarella, Carl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:19-34. Full description at Econpapers \|\| Download paper
2015	The response of stock market volatility to futures-based measures of monetary policy shocks. (2015). Gospodinov, Nikolay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:37:y:2015:i:c:p:42-54. Full description at Econpapers \|\| Download paper
2015	Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals. (2015). Bekaert, Geert ; Engstrom, Eric . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-53. Full description at Econpapers \|\| Download paper
2015	Does variance risk have two prices? Evidence from the equity and option markets. (2015). Malkhozov, Aytek . In: BIS Working Papers. RePEc:bis:biswps:521. Full description at Econpapers \|\| Download paper
2015	Volatility contagion: new evidence from market pricing of volatility risk. (2015). Raczko, Marek. In: Bank of England working papers. RePEc:boe:boeewp:0552. Full description at Econpapers \|\| Download paper
2015	Risk aversion and monetary policy in a global context. (2015). Nave, Juan M ; Ruiz, Javier . In: Journal of Financial Stability. RePEc:eee:finsta:v:20:y:2015:i:c:p:14-35. Full description at Econpapers \|\| Download paper
2015	Financial connectedness among European volatility risk premia. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda . In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:15112. Full description at Econpapers \|\| Download paper
2015	A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Bank of England working papers. RePEc:boe:boeewp:0576. Full description at Econpapers \|\| Download paper
2015	Volatility co-movements: A time-scale decomposition analysis. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda . In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:34-44. Full description at Econpapers \|\| Download paper
2015	Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho . In: Journal of Financial Markets. RePEc:eee:finmar:v:26:y:2015:i:c:p:38-63. Full description at Econpapers \|\| Download paper
2015	Bank risk behavior and connectedness in EMU countries. (2015). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:57:y:2015:i:c:p:161-184. Full description at Econpapers \|\| Download paper
2015	Co-Movement, Spillovers and Excess Returns in Global Bond Markets. (2015). Byrne, Joseph P ; Korobilis, Dimitris ; Cao, Shuo . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:683. Full description at Econpapers \|\| Download paper
2015	Conditional Systemic Risk with Penalized Copula. (2015). Trueck, Stefan ; Sheen, Jeffrey ; Ristig, Alexander ; Truck, Stefan ; Okhrin, Ostap . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-038. Full description at Econpapers \|\| Download paper
2015	An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk. (2015). Bonaldi, Jean ; Hortasu, Ali ; Kastl, Jakub . In: NBER Working Papers. RePEc:nbr:nberwo:21462. Full description at Econpapers \|\| Download paper
2015	Network linkages to predict bank distress. (2015). Peltonen, Tuomas ; Piloiu, Andreea ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20151828. Full description at Econpapers \|\| Download paper
2015	Systemic Risk in the European Union: A Network Approach to Banksâ Sovereign Debt Exposures. (2015). Westphal, Annika . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:3:y:2015:i:3:p:244-279:d:53101. Full description at Econpapers \|\| Download paper
2015	How Reliable Are the Geographical Spatial Weights Matrices?. (2015). Parenti, Angela ; Fiaschi, Davide. In: Discussion Papers. RePEc:pie:dsedps:2015/198. Full description at Econpapers \|\| Download paper
2015	A variance spillover analysis without covariances: What do we miss?. (2015). Fengler, Matthias ; Gisler, Katja I. M., . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:51:y:2015:i:c:p:174-195. Full description at Econpapers \|\| Download paper
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2015	Systemic risk of Islamic Banks. (2015). Giudici, Paolo ; Hashem, Shatha . In: DEM Working Papers Series. RePEc:pav:demwpp:103. Full description at Econpapers \|\| Download paper
2015	Measuring spot variance spillovers when (co)variances are time-varying â the case of multivariate GARCH models. (2015). Fengler, Matthias ; Herwartz, Helmut . In: Economics Working Paper Series. RePEc:usg:econwp:2015:17. Full description at Econpapers \|\| Download paper
2015	âBank risk behavior and connectedness in EMU countriesâ. (2015). Sosvilla-Rivero, Simon ; Singh, Manish Kumar ; Gomez-Puig, Marta . In: IREA Working Papers. RePEc:ira:wpaper:201517. Full description at Econpapers \|\| Download paper
2015	Measuring the frequency dynamics of financial and macroeconomic connectedness. (2015). Krehlik, Tomas ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1507.01729. Full description at Econpapers \|\| Download paper
2015	EUROPEAN EQUITY MARKET RETURN, VOLATILITY AND LIQUIDITY SPILLOVER DYNAMICS DURING THE EUROZONE DEBT CRISIS. (2015). Dumitrescu, Sorin . In: Studii Financiare (Financial Studies). RePEc:vls:finstu:v:19:y:2015:i:2:p:30-50. Full description at Econpapers \|\| Download paper
2015	Measuring Connectedness of Euro Area Sovereign Risk. (2015). Schienle, Melanie ; Gatjen, Rebekka . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-019. Full description at Econpapers \|\| Download paper
2015	Co-Movement, Spillovers and Excess Returns in Global Bond Markets?. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Working Papers. RePEc:gla:glaewp:2015_12. Full description at Econpapers \|\| Download paper
2015	Estimating Global Bank Network Connectedness. (2015). Yilmaz, Kamil ; Liu, Laura ; Diebold, Francis X ; Demirer, Mert . In: KoÃ§ University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1512. Full description at Econpapers \|\| Download paper
2015	How Connected is the Global Sovereign Credit Risk Network?. (2015). Yilmaz, Kamil ; Bostanci, Gorkem . In: KoÃ§ University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1515. Full description at Econpapers \|\| Download paper
2015	Eurozone network âConnectednessâ after fiscal year 2008. (2015). Cimini, Riccardo . In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:160-166. Full description at Econpapers \|\| Download paper
2015	Modeling Systemic Risk with Correlated Stochastic Processes. (2015). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0110. Full description at Econpapers \|\| Download paper
2015	Extreme risk interdependence. (2015). Stoja, Evarist ; Polanski, Arnold . In: Bank of England working papers. RePEc:boe:boeewp:0563. Full description at Econpapers \|\| Download paper
2015	Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton . In: Economics Series Working Papers. RePEc:oxf:wpaper:764. Full description at Econpapers \|\| Download paper
2015	Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARs. (2015). Gnabo, Jean-Yves ; Geraci, Marco Valerio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/222092. Full description at Econpapers \|\| Download paper
2015	Oil shocks, policy uncertainty and stock returns in China. (2015). Ratti, Ronald ; Kang, Wensheng . In: The Economics of Transition. RePEc:bla:etrans:v:23:y:2015:i:4:p:657-676. Full description at Econpapers \|\| Download paper
2015	Dynamic Connectedness of UK Regional Property Prices. (2015). Antonakakis, Nikolaos ; Chatziantoniou, Ioannis ; Floros, Christos . In: MPRA Paper. RePEc:pra:mprapa:68421. Full description at Econpapers \|\| Download paper
2015	Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20151866. Full description at Econpapers \|\| Download paper
2015	Surfing through the GFC: systemic risk in Australia. (2015). Luciani, Matteo ; Dungey, Mardi ; Veredas, David ; Matei, Marius . In: Working Papers. RePEc:tas:wpaper:22658. Full description at Econpapers \|\| Download paper
2015	Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions. (2015). Panchenko, Valentyn ; Anufriev, Mikhail. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s241-s255. Full description at Econpapers \|\| Download paper
2015	Norway; Financial Sector Assessment Program-Technical Note-Linkages and Interconnectedness in the Norwegian Financial System. (2015). International Monetary Fund. Monetary, ; Capital Markets Department, ; International Monetary Fund. Monetary, . In: IMF Staff Country Reports. RePEc:imf:imfscr:15/256. Full description at Econpapers \|\| Download paper
2015	Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004â2014. (2015). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2015:i:1:p:81-127.. Full description at Econpapers \|\| Download paper
2015	âFinancial stress transmission in EMU sovereign bond market volatility: a connectedness analysisâ. (2015). Sosvilla-Rivero, Simon ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta . In: IREA Working Papers. RePEc:ira:wpaper:201508. Full description at Econpapers \|\| Download paper
2015	Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/218748. Full description at Econpapers \|\| Download paper
2015	Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., . In: Economics Working Paper Series. RePEc:usg:econwp:2015:08. Full description at Econpapers \|\| Download paper
2015	Norway; Financial Sector Assessment Program-Technical Note- Macroprudential Policy. (2015). International Monetary Fund. Monetary, ; Capital Markets Department, ; International Monetary Fund. Monetary, . In: IMF Staff Country Reports. RePEc:imf:imfscr:15/257. Full description at Econpapers \|\| Download paper
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2015	Return spillovers around the globe: A network approach. (2015). VÃÂ½rost, TomÃ¡Å¡ ; LyÃÂ³csa, Å tefan ; Baumohl, Eduard ; Lyocsa, Stefan . In: Papers. RePEc:arx:papers:1507.06242. Full description at Econpapers \|\| Download paper
2015	Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014. (2015). Wohar, Mark ; Bataa, Erdenebat. In: MPRA Paper. RePEc:pra:mprapa:72422. Full description at Econpapers \|\| Download paper
2015	Likelihoodâbased dynamic factor analysis for measurement and forecasting. (2015). Koopman, Siem Jan ; Jungbacker, Borus . In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:c1-c21. Full description at Econpapers \|\| Download paper
2015	Multivariate statistical and similarity measure based semiparametric modeling of the probability distribution: A novel approach to the case study of mid-long term electricity consumption forecasting i. (2015). Shao, Zhen ; Yang, Shan-Lin ; Zhang, Qiang ; Gao, Fei . In: Applied Energy. RePEc:eee:appene:v:156:y:2015:i:c:p:502-518. Full description at Econpapers \|\| Download paper
2015	Estimation of dynamic discrete models from time aggregated data. (2015). Hong, Han ; Wang, Boyu ; Li, Weiming . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:435-446. Full description at Econpapers \|\| Download paper
2015	Generalized risk premia. (2015). Schneider, Paul . In: Journal of Financial Economics. RePEc:eee:jfinec:v:116:y:2015:i:3:p:487-504. Full description at Econpapers \|\| Download paper
2015	Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159. Full description at Econpapers \|\| Download paper
2015	Which measure for PFE? The Risk Appetite Measure, A. (2015). Kenyon, Chris ; Berrahoui, Mourad ; Green, Andrew . In: Papers. RePEc:arx:papers:1512.06247. Full description at Econpapers \|\| Download paper
2015	Heterogeneity in unemployment state dependence. (2015). Plum, Alexander ; AyllÃÂ³n, Sara ; Ayllon, Sara . In: Economics Letters. RePEc:eee:ecolet:v:136:y:2015:i:c:p:85-87. Full description at Econpapers \|\| Download paper
2015	Factor based identification-robust inference in IV regressions. (2015). Marcellino, Massimiliano ; Khalaf, Lynda ; Kapetanios, George . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10390. Full description at Econpapers \|\| Download paper
2015	Efficient estimation with many weak instruments using regularization techniques. (2015). Tchuente, Guy ; Carrasco, Marine. In: Studies in Economics. RePEc:ukc:ukcedp:1517. Full description at Econpapers \|\| Download paper
2015	Two-step estimation of the volatility functions in diffusion models with empirical applications. (2015). Ye, Xu-Guo ; Hao, Hong-Xia ; Zhao, Yan-Yong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:135-159. Full description at Econpapers \|\| Download paper
2015	Spot volatility estimation using delta sequences. (2015). RenÃÂ², Roberto ; Mancini, Cecilia ; Mattiussi, Vanessa ; Reno, Roberto . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:2:p:261-293. Full description at Econpapers \|\| Download paper
2015	Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction. (2015). Swanson, Norman ; Duong, Diep . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:606-621. Full description at Econpapers \|\| Download paper
2015	Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15. Full description at Econpapers \|\| Download paper
2015	Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:56:y:2015:i:c:p:123-139. Full description at Econpapers \|\| Download paper
2015	Orthogonality-projection-based estimation for semi-varying coefficient models with heteroscedastic errors. (2015). Xu, Pei-Rong ; Zhao, Yan-Yong ; Ye, Xu-Guo . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:89:y:2015:i:c:p:204-221. Full description at Econpapers \|\| Download paper
2015	A Bayesian chi-squared test for hypothesis testing. (2015). Yu, Jun ; Li, Yong ; Liu, Xiao-Bin . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:54-69. Full description at Econpapers \|\| Download paper
2015	Forecasting copper futures volatility under model uncertainty. (2015). Li, Yong. In: Resources Policy. RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:167-176. Full description at Econpapers \|\| Download paper
2015	Bubble or riddle? An asset-pricing approach evaluation on Chinas housing market. (2015). Wu, Guiying ; Feng, Qu. In: Economic Modelling. RePEc:eee:ecmode:v:46:y:2015:i:c:p:376-383. Full description at Econpapers \|\| Download paper
2015	Factor-augmented regression models with structural change. (2015). Cui, Guowei ; Wang, Shaoping ; Li, Kunpeng . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:124-127. Full description at Econpapers \|\| Download paper
2015	Efficiency Costs of Social Objectives in Tradable Permit Programs. (2015). Kroetz, Kailin ; Lew, Daniel K. ; Sanchirico, James N.. In: Discussion Papers. RePEc:rff:dpaper:dp-14-32. Full description at Econpapers \|\| Download paper
2015	The treatment-effect estimation: A case study of the 2008 economic stimulus package of China. (2015). Ouyang, Min ; Peng, Yulei . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:545-557. Full description at Econpapers \|\| Download paper
2015	Home-purchase restriction, property tax and housing price in China: A counterfactual analysis. (2015). Zhang, Lin ; Du, Zaichao. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:558-568. Full description at Econpapers \|\| Download paper
2015	Bubble or Riddle? An Asset-Pricing Approach Evaluation on Chinaâs Housing Market. (2015). Wu, Guiying ; Feng, Qu. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:1501. Full description at Econpapers \|\| Download paper
2015	Estimating average treatment effect by model averaging. (2015). Long, Wei ; Gao, Yichen ; Wang, Zhengwei . In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:42-45. Full description at Econpapers \|\| Download paper
2015	What drives housing dynamics in China? A sign restrictions VAR approach. (2015). Gete, Pedro ; Bian, Timothy Yang . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:96-112. Full description at Econpapers \|\| Download paper
2015	Efficiency Costs of Social Objectives in Tradable Permit Programs. (2015). Kroetz, Kailin ; Lew, Daniel K ; Sanchirico, James N. In: Journal of the Association of Environmental and Resource Economists. RePEc:ucp:jaerec:doi:10.1086/681646. Full description at Econpapers \|\| Download paper
2015	An Improved Auxiliary Particle Filter for Nonlinear Dynamic Equilibrium Models. (2015). Yang, Yuan ; Wang, LU. In: Dynare Working Papers. RePEc:cpm:dynare:047. Full description at Econpapers \|\| Download paper
2015	An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2015). Niu, Linlin ; Xu, Xiu ; Chen, Ying . In: BOFIT Discussion Papers. RePEc:bof:bofitp:urn:nbn:fi:bof-201504131155. Full description at Econpapers \|\| Download paper
2015	An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2015). Niu, Linlin ; Xu, Xiu ; Chen, Ying . In: BOFIT Discussion Papers. RePEc:hhs:bofitp:2015_012. Full description at Econpapers \|\| Download paper
2015	An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China. (2015). Niu, Linlin ; Chen, Ying ; Xu, Xiu . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-023. Full description at Econpapers \|\| Download paper
2015	lCARE â localizing Conditional AutoRegressive Expectiles. (2015). Mihoci, Andrija ; HÃÂ¤rdle, Wolfgang ; Hardle, Wolfgang Karl ; Xu, Xiu . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-052. Full description at Econpapers \|\| Download paper
2015	An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2015). Niu, Linlin ; Xu, Xiu ; Chen, Ying . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2015_012. Full description at Econpapers \|\| Download paper
2015	Bootstrap inference for linear dynamic panel data models with individual fixed effects. (2015). Goncalves, Silvia ; Gonalves, Silvia ; Kaffo, Maximilien . In: Journal of Econometrics. RePEc:eee:econom:v:186:y:2015:i:2:p:407-426. Full description at Econpapers \|\| Download paper
2015	Testing for Granger causality in large mixed-frequency VARs. (2015). Smeekes, Stephan ; Hecq, Alain ; GÃÂ¶tz, Thomas. In: Discussion Papers. RePEc:zbw:bubdps:452015. Full description at Econpapers \|\| Download paper
2015	Cross-border effects of fiscal policy in the Eurozone. (2015). Lieb, Lenard ; Bicu, Andreea. In: Research Memorandum. RePEc:unm:umagsb:2015019. Full description at Econpapers \|\| Download paper
2015	Testing for Granger Causality in Large Mixed-Frequency VARs. (2015). Smeekes, Stephan ; Hecq, Alain ; GÃÂ¶tz, Thomas. In: Research Memorandum. RePEc:unm:umagsb:2015036. Full description at Econpapers \|\| Download paper
2015	Explicit form of approximate transition probability density functions of diffusion processes. (2015). Choi, Seungmoon . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:1:p:57-73. Full description at Econpapers \|\| Download paper
2015	Model-based pricing for financial derivatives. (2015). Zhu, Ke ; Ling, Shiqing . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:447-457. Full description at Econpapers \|\| Download paper
2015	A non-linear dynamic model of the variance risk premium. (2015). Eraker, Bjorn ; Wang, Jiakou . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:547-556. Full description at Econpapers \|\| Download paper
2015	Double-jump stochastic volatility model for VIX: evidence from VVIX. (2015). Zang, Xin ; Wu, Lan ; Huang, Jing-Zhi ; Ni, Jun . In: Papers. RePEc:arx:papers:1506.07554. Full description at Econpapers \|\| Download paper
2015	Estimation of marginal effects in semiparametric selection models with binary outcomes. (2015). Shen, Chan ; Klein, Roger ; Vella, Francis . In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:1:p:82-94. Full description at Econpapers \|\| Download paper
2015	Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach. (2015). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2015-50. Full description at Econpapers \|\| Download paper
2015	Nonparametric Euler equation identification and estimation. (2015). Srisuma, Sorawoot ; LINTON, OLIVER ; Lewbel, Arthur ; hoderlein, stefan ; Escanciano, Juan Carlos. In: CeMMAP working papers. RePEc:ifs:cemmap:61/15. Full description at Econpapers \|\| Download paper
2015	Testing for Monotonicity in Unobservables under Unconfoundedness. (2015). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert . In: Boston College Working Papers in Economics. RePEc:boc:bocoec:899. Full description at Econpapers \|\| Download paper
2015	Nonparametric Euler Equation Identification andEstimation. (2015). LINTON, OLIVER ; Lewbel, Arthur ; hoderlein, stefan ; Escanciano, Juan Carlos ; Srisuma, Sorawoot . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1560. Full description at Econpapers \|\| Download paper
2015	The Impact of Precarious Employment on Mental Health: the Case of Italy. (2015). Vittadini, Giorgio ; Moscone, Francesco ; Tosetti, Elisa . In: MPRA Paper. RePEc:pra:mprapa:61405. Full description at Econpapers \|\| Download paper
2015	Thou shalt not work alone . (2015). SERRANITO, Francisco ; Besancenot, Damien ; Huynh, Kim . In: CEPN Working Papers. RePEc:hal:cepnwp:hal-01175758. Full description at Econpapers \|\| Download paper
2015	A Structural Model of US Corn Farmersâ Pest Control Decisions: Rootworm Resistance in US Corn Fields. (2015). Wechsler, Seth . In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:205348. Full description at Econpapers \|\| Download paper
2015	Agricultural Cost Sharing and Conservation Practices for Nutrient Reduction in the Chesapeake Bay Watershed. (2015). Newburn, David ; Lichtenberg, Erik ; Fleming, Patrick . In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:205762. Full description at Econpapers \|\| Download paper
2015	Co-Authorship and Individual Research Productivity in Economics: Assessing the Assortative Matching Hypothesis. (2015). SERRANITO, Francisco ; Besancenot, Damien ; Huynh, Kim . In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2236. Full description at Econpapers \|\| Download paper
2015	CO-Journal of Econometrics / ElsevierSHIP AND INDIVIDUAL RESEARCH PRODUCTIVITY IN ECONOMICS: ASSESSING THE ASSORTATIVE MATCHING HYPOTHESIS. (2015). SERRANITO, Francisco ; Besancenot, Damien ; Huynh, Kim . In: CEPN Working Papers. RePEc:hal:cepnwp:halshs-01252373. Full description at Econpapers \|\| Download paper
2015	Corporate governance, environmental regulations, and technological change. (2015). Sen, Suphi. In: European Economic Review. RePEc:eee:eecrev:v:80:y:2015:i:c:p:36-61. Full description at Econpapers \|\| Download paper
2015	Thou shalt not work alone . (2015). Besancenot, Damien ; Serranito, Francisco ; Huynh, Kim . In: Working Papers. RePEc:hal:wpaper:hal-01175758. Full description at Econpapers \|\| Download paper
2015	CO-Journal of Econometrics / ElsevierSHIP AND INDIVIDUAL RESEARCH PRODUCTIVITY IN ECONOMICS: ASSESSING THE ASSORTATIVE MATCHING HYPOTHESIS. (2015). Besancenot, Damien ; Serranito, Francisco ; Huynh, Kim . In: Working Papers. RePEc:hal:wpaper:halshs-01252373. Full description at Econpapers \|\| Download paper
2015	Robust stress testing. (2015). Bidder, Rhys ; McKenna, Andrew . In: Working Paper Series. RePEc:fip:fedfwp:2015-13. Full description at Econpapers \|\| Download paper
2015	Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity. (2015). Pesaran, Hashem M. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:111-134. Full description at Econpapers \|\| Download paper
2015	Linear programming-based estimators in nonnegative autoregression. (2015). Preve, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s225-s234. Full description at Econpapers \|\| Download paper
2015	Commodity prices and BRIC and G3 liquidity: A SFAVEC approach. (2015). Vespignani, Joaquin ; Ratti, Ronald. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:53:y:2015:i:c:p:18-33. Full description at Econpapers \|\| Download paper
2015	Measuring sovereign risk contagion in the Eurozone. (2015). Suh, Sangwon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:35:y:2015:i:c:p:45-65. Full description at Econpapers \|\| Download paper
2015	Systemic risk in European sovereign debt markets: A CoVaR-copula approach. (2015). Ugolini, Andrea ; Reboredo, Juan C.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:51:y:2015:i:c:p:214-244. Full description at Econpapers \|\| Download paper
2015	A measure of redenomination risk. (2015). De Santis, Roberto A.. In: Working Paper Series. RePEc:ecb:ecbwps:20151785. Full description at Econpapers \|\| Download paper
2015	The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model. (2015). Inoue, Tomoo ; Ohshige, Hitoshi ; Kaya, Demet . In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:7442. Full description at Econpapers \|\| Download paper
2015	Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis. (2015). Altr-Samuel, Adam-Nelu ; Cramer, Alexandru-Adrian . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2015:i:4:p:29-49. Full description at Econpapers \|\| Download paper
2015	International R&D Spillovers and other Unobserved Common Spillovers and Shocks. (2015). Ruge-Leiva, Diego-Ivan. In: Papers. RePEc:arx:papers:1502.06805. Full description at Econpapers \|\| Download paper
2015	The power of PANIC. (2015). Westerlund, Joakim. In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:495-509. Full description at Econpapers \|\| Download paper
2015	International R&D Spillovers and other Unobserved Common Spillovers and Shocks. (2015). Ruge Leiva, Diego Ivan, . In: MPRA Paper. RePEc:pra:mprapa:63500. Full description at Econpapers \|\| Download paper
2015	Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion. (2015). Ertur, Cem ; Musolesi, Antonio . In: SEEDS Working Papers. RePEc:srt:wpaper:0415. Full description at Econpapers \|\| Download paper
2015	Do financial reforms help stabilize inequality?. (2015). McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20151780. Full description at Econpapers \|\| Download paper
2015	Does urbanization affect energy intensities across provinces in China?Long-run elasticities estimation using dynamic panels with heterogeneous slopes. (2015). Ma, Ben . In: Energy Economics. RePEc:eee:eneeco:v:49:y:2015:i:c:p:390-401. Full description at Econpapers \|\| Download paper
2015	Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Li, Jianan ; Bernhofen, Daniel . In: Discussion Papers. RePEc:not:notgep:15/12. Full description at Econpapers \|\| Download paper
2015	Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. (2015). Chudik, Alexander ; Pesaran, Hashem M. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:393-420. Full description at Econpapers \|\| Download paper
2015	Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Li, Jianan ; Bernhofen, Daniel M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5580. Full description at Econpapers \|\| Download paper
2015	Threshold Effects of Financial Stress on Monetary Policy Rules: A Panel Data Analysis. (2015). van Roye, BjÃÂ¶rn ; Floro, Danvee . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112840. Full description at Econpapers \|\| Download paper
2015	The Generalized Roy Model and the Cost-Benefit Analysis of Social Programs. (2015). Heckman, James ; Eisenhauer, Philipp ; Vytlacil, Edward . In: Journal of Political Economy. RePEc:ucp:jpolec:doi:10.1086/679498. Full description at Econpapers \|\| Download paper
2015	Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models. (2015). Esposito, Francesco Paolo ; Cummins, Mark . In: MPRA Paper. RePEc:pra:mprapa:64987. Full description at Econpapers \|\| Download paper
2015	Least squares estimation for the subcritical Heston model based on continuous time observations. (2015). Barczy, Matyas ; Pap, Gyula ; Nyul, Balazs . In: Papers. RePEc:arx:papers:1511.05948. Full description at Econpapers \|\| Download paper
2015	Choosing the Right Skew Normal Distribution: the Macroeconomistâ Dilemma. (2015). DÃÂaz, Carlos ; Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos . In: Discussion Papers in Economics. RePEc:lec:leecon:15/08. Full description at Econpapers \|\| Download paper
2015	Matching a distribution by matching quantiles estimation. (2015). Yastremiz, Claudia ; Yao, Qiwei ; Sgouropoulos, Nikolaos . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:57221. Full description at Econpapers \|\| Download paper
2015	Ex-post Inflation Forecast Uncertainty and Skew Normal Distribution: âBack from the Futureâ Approach. (2015). DÃÂaz, Carlos ; Charemza, Wojciech ; Diaz, Carlos ; Makarova, Svetlana . In: Discussion Papers in Economics. RePEc:lec:leecon:15/09. Full description at Econpapers \|\| Download paper
2015	On estimating the tail index and the spectral measure of multivariate $$\alpha $$ Î± -stable distributions. (2015). Ogata, Hiroaki ; Mohammadi, Mohammad ; Mohammadpour, Adel . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:78:y:2015:i:5:p:549-561. Full description at Econpapers \|\| Download paper
2015	An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2015). Niu, Linlin ; Xu, Xiu ; Chen, Ying . In: BOFIT Discussion Papers. RePEc:bof:bofitp:urn:nbn:fi:bof-201504131155. Full description at Econpapers \|\| Download paper
2015	House Price Forecasts with Factor Combinations. (2015). Rahal, Charles . In: Discussion Papers. RePEc:bir:birmec:15-05. Full description at Econpapers \|\| Download paper
2015	An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2015). Niu, Linlin ; Xu, Xiu ; Chen, Ying . In: BOFIT Discussion Papers. RePEc:hhs:bofitp:2015_012. Full description at Econpapers \|\| Download paper
2015	An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China. (2015). Niu, Linlin ; Chen, Ying ; Xu, Xiu . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-023. Full description at Econpapers \|\| Download paper
2015	With or without you: Do financial data help to forecast industrial production?. (2015). Kitlinski, Tobias. In: Ruhr Economic Papers. RePEc:zbw:rwirep:558. Full description at Econpapers \|\| Download paper
2015	Housing Market Forecasting with Factor Combinations. (2015). Rahal, Charles . In: Discussion Papers. RePEc:bir:birmec:15-05r. Full description at Econpapers \|\| Download paper
2015	An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2015). Niu, Linlin ; Xu, Xiu ; Chen, Ying . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2015_012. Full description at Econpapers \|\| Download paper
2015	GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances. (2015). Hasebe, Takuya ; Vijverberg, Wim P.. In: IZA Discussion Papers. RePEc:iza:izadps:dp8898. Full description at Econpapers \|\| Download paper
2015	Autocorrelation robust inference using the Daniell kernel with fixed bandwidth. (2015). Hualde, Javier ; Iacone, Fabrizio . In: Discussion Papers. RePEc:yor:yorken:15/14. Full description at Econpapers \|\| Download paper
2015	Are all firms inefficient?. (2015). Rho, Seunghwa ; Schmidt, Peter . In: Journal of Productivity Analysis. RePEc:kap:jproda:v:43:y:2015:i:3:p:327-349. Full description at Econpapers \|\| Download paper
2015	Panel Data and Productivity Measurement. (2015). Sickles, Robin C ; Shang, Chenjun ; Hao, Jiaqi . In: Working Papers. RePEc:ecl:riceco:15-018. Full description at Econpapers \|\| Download paper
2015	A Tractable Framework for Analyzing a Class of Nonstationary Markov Models. (2015). Tsener, Inna ; Taylor, John ; Maliar, Serguei. In: NBER Working Papers. RePEc:nbr:nberwo:21155. Full description at Econpapers \|\| Download paper
2015	A Tractable Framework for Analyzing a Class of Nonstationary Markov Models. (2015). Tsener, Inna ; Taylor, John ; Maliar, Serguei. In: Economics Working Papers. RePEc:hoo:wpaper:15105. Full description at Econpapers \|\| Download paper
2015	Binary response correlated random coefficient panel data models. (2015). Liang, Zhongwen ; Gao, Yichen . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:421-434. Full description at Econpapers \|\| Download paper
2015	Selection of an estimation window in the presence of data revisions and recent structural breaks. (2015). HÃÂ¤nnikÃÂ¤inen, Jari ; Hannikainen, Jari . In: MPRA Paper. RePEc:pra:mprapa:66759. Full description at Econpapers \|\| Download paper
2015	Estimating Time-Varying DSGE Models Using Minimum Distance Methods. (2015). Theodoridis, Konstantinos ; Yates, Tony ; Kapetanios, George ; Giraitis, Liudas . In: Working Papers. RePEc:qmw:qmwecw:wp768. Full description at Econpapers \|\| Download paper
2015	A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models. (2015). Galvo, Ana Beatriz ; Petrova, Katerina ; Kapetanios, George ; Giraitis, Liudas . In: Working Papers. RePEc:qmw:qmwecw:wp770. Full description at Econpapers \|\| Download paper
2015	Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms. (2015). Zhao, Yongchen. In: Working Papers. RePEc:tow:wpaper:2015-04. Full description at Econpapers \|\| Download paper
2015	Specification test for panel data models with interactive fixed effects. (2015). Su, Liangjun ; Jin, Sainan ; Zhang, Yonghui . In: Journal of Econometrics. RePEc:eee:econom:v:186:y:2015:i:1:p:222-244. Full description at Econpapers \|\| Download paper
2015	Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure and Endogeneity. (2015). Forchini, Giovanni ; Jiang, Bin ; Peng, Bin . In: School of Economics Discussion Papers. RePEc:sur:surrec:0315. Full description at Econpapers \|\| Download paper
2015	Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data. (2015). Peracchi, Franco ; Belotti, Federico ; Bartolucci, Francesco. In: Journal of Econometrics. RePEc:eee:econom:v:184:y:2015:i:1:p:111-123. Full description at Econpapers \|\| Download paper
2015	IV estimation of panels with factor residuals. (2015). Sarafidis, Vasilis ; Robertson, Donald. In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:526-541. Full description at Econpapers \|\| Download paper
2015	Common Shocks in panels with Endogenous Regressors. (2015). Forchini, Giovanni ; Jiang, Bin ; Peng, Bin . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-8. Full description at Econpapers \|\| Download paper
2015	Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods. (2015). Rezitis, Anthony. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2015-03-28. Full description at Econpapers \|\| Download paper
2015	Ãvaluer lâeffet des politiques publiques locales avec les contrÃ´les synthÃ©tiques et les modÃ¨les Ã facteurs : Une application au marchÃ© du poisson franÃ§ais. (2015). Wolff, FranÃÂ§ois-Charles ; Gobillon, Laurent. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01183455. Full description at Econpapers \|\| Download paper
2015	Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity. (2015). Forchini, Giovanni ; Peng, Bin ; Jiang, Bin . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-14. Full description at Econpapers \|\| Download paper
2015	Semi-nonparametric spline modifications to the CornwellâSchmidtâSickles estimator: an analysis of US banking productivity. (2015). Almanidis, Pavlos ; Sickles, Robin ; Karagiannis, Giannis . In: Empirical Economics. RePEc:spr:empeco:v:48:y:2015:i:1:p:169-191. Full description at Econpapers \|\| Download paper
2015	Set identification of panel data models with interactive effects via quantile restrictions. (2015). Chen, Liang . In: Economics Letters. RePEc:eee:ecolet:v:137:y:2015:i:c:p:36-40. Full description at Econpapers \|\| Download paper
2015	Ãvaluer lâeffet des politiques publiques locales avec les contrÃ´les synthÃ©tiques et les modÃ¨les Ã facteurs : Une application au marchÃ© du poisson franÃ§ais. (2015). Gobillon, Laurent ; Wolff, Franois-Charles . In: Working Papers. RePEc:hal:wpaper:halshs-01183455. Full description at Econpapers \|\| Download paper
2015	Selective entry and auction design. (2015). Sweeting, Andrew ; Bhattacharya, Vivek . In: International Journal of Industrial Organization. RePEc:eee:indorg:v:43:y:2015:i:c:p:189-207. Full description at Econpapers \|\| Download paper
2015	Identification and estimation in first-price auctions with risk-averse bidders and selective entry. (2015). Lu, Jingfeng ; Li, Tong ; Gentry, Matthew . In: CeMMAP working papers. RePEc:ifs:cemmap:16/15. Full description at Econpapers \|\| Download paper
2015	The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-07. Full description at Econpapers \|\| Download paper
2015	Bayesian model comparison for time-varying parameter VARs with stochastic volatility. (2015). Chan, Joshua ; Eisenstat, Eric . In: CAMA Working Papers. RePEc:een:camaaa:2015-32. Full description at Econpapers \|\| Download paper
2015	Large Vector Autoregressions with Asymmetric Priors. (2015). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:qmw:qmwecw:wp759. Full description at Econpapers \|\| Download paper
2015	Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:63844. Full description at Econpapers \|\| Download paper
2015	Prior selection for panel vector autoregressions. (2015). Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:64143. Full description at Econpapers \|\| Download paper
2015	Efficient estimation of Bayesian VARMAs with time-varying coefficients. (2015). Chan, Joshua ; Eisenstat, Eric ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-19. Full description at Econpapers \|\| Download paper
2015	Forecasting VARs, model selection, and shrinkage. (2015). Trenkler, Carsten ; Kascha, Christian. In: Working Papers. RePEc:mnh:wpaper:38872. Full description at Econpapers \|\| Download paper
2015	Macroeconomic information, structural change, and the prediction of fiscal aggregates. (2015). Theophilopoulou, Angeliki ; mumtaz, haroon ; Carriero, Andrea. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:325-348. Full description at Econpapers \|\| Download paper
2015	Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data. (2015). Leiva-Leon, Danilo ; GuÃÂ©rin, Pierre. In: Staff Working Papers. RePEc:bca:bocawp:15-24. Full description at Econpapers \|\| Download paper
2015	Forecasting Core Inflation: The Case of South Africa. (2015). GUPTA, RANGAN ; Balcilar, Mehmet ; Ruch, Franz ; Modise, Mampho P.. In: Working Papers. RePEc:pre:wpaper:201543. Full description at Econpapers \|\| Download paper
2015	The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach. (2015). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis . In: Working Papers. RePEc:pre:wpaper:201548. Full description at Econpapers \|\| Download paper
2015	Prior selection for panel vector autoregressions. (2015). Korobilis, Dimitris. In: Working Papers. RePEc:gla:glaewp:2015_10. Full description at Econpapers \|\| Download paper
2015	Was the recent downturn in US real GDP predictable?. (2015). Miller, Stephen ; Majumdar, Anandamayee ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Applied Economics. RePEc:taf:applec:v:47:y:2015:i:28:p:2985-3007. Full description at Econpapers \|\| Download paper
2015	Forecasting Core Inflation: The Case of South Africa. (2015). GUPTA, RANGAN ; Balcilar, Mehmet ; Ruch, Franz ; Balcilarauthor-Name, Mehmet . In: Working Papers. RePEc:emu:wpaper:15-08.pdf. Full description at Econpapers \|\| Download paper
2015	Decoupling land values in residential property prices: smoothing methods for hedonic imputed price indices. (2015). Rambaldi, Alicia ; McAllister, Ryan ; Fletcher, Cameron S. In: Discussion Papers Series. RePEc:qld:uq2004:549. Full description at Econpapers \|\| Download paper
2015	Dynamic predictive density combinations for large data sets in economics and finance. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Working Paper. RePEc:bno:worpap:2015_12. Full description at Econpapers \|\| Download paper
2015	Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Byrne, Joseph P ; Korobilis, Dimitris ; Cao, Shuo . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:679. Full description at Econpapers \|\| Download paper
2015	Prior selection for panel vector autoregressions. (2015). Korobilis, Dimitris . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:682. Full description at Econpapers \|\| Download paper
2015	Large Bayesian VARs: A flexible Kronecker error covariance structure. (2015). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-41. Full description at Econpapers \|\| Download paper
2015	Specification tests for time-varying parameter models with stochastic volatility. (2015). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-42. Full description at Econpapers \|\| Download paper
2015	Does trend inflation make a difference?. (2015). Perricone, Chiara ; Loberto, Michele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1033_15. Full description at Econpapers \|\| Download paper
2015	Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes. (2015). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Olubusoye, Olusanya E. In: Working Papers. RePEc:pre:wpaper:201580. Full description at Econpapers \|\| Download paper
2015	Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation. (2015). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1515. Full description at Econpapers \|\| Download paper
2015	Can We Beat the Random-Walk Model for the South African Rand--U.S. Dollar and South African Rand--UK Pound Exchange Rates? Evidence from Dynamic Model Averaging. (2015). GUPTA, RANGAN ; van Eyden, Renee. In: Emerging Markets Finance and Trade. RePEc:taf:emfitr:v:51:y:2015:i:3:p:502-524. Full description at Econpapers \|\| Download paper
2015	MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1516. Full description at Econpapers \|\| Download paper
2015	Dynamic Principal Components: a New Class of Multivariate GARCH Models. (2015). Caporin, Massimiliano ; Aielli, Gian Piero . In: Marco Fanno Working Papers. RePEc:pad:wpaper:0194. Full description at Econpapers \|\| Download paper
2015	Selecting volatility forecasting models for portfolio allocation purposes. (2015). Hurn, Stan ; Clements, Adam ; Doolan, M B ; Becker, R. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:3:p:849-861. Full description at Econpapers \|\| Download paper
2015	Forecasting volatility with empirical similarity and Google Trends. (2015). Hamid, Alain ; Heiden, Moritz . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:117:y:2015:i:c:p:62-81. Full description at Econpapers \|\| Download paper
2015	Asymptotics for nonparametric and semiparametric fixed effects panel models. (2015). Liang, Zhongwen. In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:420-434. Full description at Econpapers \|\| Download paper
2015	Testing error serial correlation in fixed effects nonparametric panel data models. (2015). Long, Wei ; hsiao, cheng ; Green, Carl . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:466-473. Full description at Econpapers \|\| Download paper
2015	Differencing techniques in semi-parametric panel data varying coefficient models with fixed effects: a Monte Carlo study. (2015). RODRIGUEZ-POO, Juan ; Soberon, Alexandra . In: Computational Statistics. RePEc:spr:compst:v:30:y:2015:i:3:p:885-906. Full description at Econpapers \|\| Download paper
2015	Nonparametric testing for anomaly effects in empirical asset pricing models. (2015). Su, Liangjun ; Jin, Sainan ; Zhang, Yonghui . In: Empirical Economics. RePEc:spr:empeco:v:48:y:2015:i:1:p:9-36. Full description at Econpapers \|\| Download paper
2015	Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation. (2015). Kristensen, Johannes ; Callot, Laurent. In: CREATES Research Papers. RePEc:aah:create:2015-29. Full description at Econpapers \|\| Download paper
2015	Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation. (2015). Kristensen, Johannes ; Callot, Laurent. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150069. Full description at Econpapers \|\| Download paper
2015	Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). Yamamoto, Yohei. In: Discussion Papers. RePEc:hit:econdp:2015-05. Full description at Econpapers \|\| Download paper
2015	Classical time varying factor-augmented vector auto-regressive modelsâestimation, forecasting and structural analysis. (2015). Marcellino, Massimiliano ; Lemke, Wolfgang ; Eickmeier, Sandra . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:178:y:2015:i:3:p:493-533. Full description at Econpapers \|\| Download paper
2015	Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). . In: Discussion paper series. RePEc:hit:hiasdp:2015-04. Full description at Econpapers \|\| Download paper
2015	Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?. (2015). Hartigan, Luke . In: Discussion Papers. RePEc:swe:wpaper:2015-17. Full description at Econpapers \|\| Download paper
2015	Testing for factor loading structural change under common breaks. (2015). Yamamoto, Yohei ; Tanaka, Shinya . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:187-206. Full description at Econpapers \|\| Download paper
2015	Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions. (2015). Uribe Gil, Jorge ; Guillen, Montserrat ; ChuliÃÂ¡, Helena. In: Working Papers. RePEc:bak:wpaper:201503. Full description at Econpapers \|\| Download paper
2015	Hausman tests for the error distribution in conditionally heteroskedastic models. (2015). Zhu, Ke. In: MPRA Paper. RePEc:pra:mprapa:66991. Full description at Econpapers \|\| Download paper
2015	Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations. (2015). Zhu, Ke ; Chen, Min . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:313-320. Full description at Econpapers \|\| Download paper
2015	A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Ra'ul . In: Papers. RePEc:arx:papers:1502.00908. Full description at Econpapers \|\| Download paper
2015	Cornish-Fisher Expansion for Commercial Real Estate Value at Risk. (2015). BarthÃÂ©lÃÂ©my, Fabrice ; Amedee-Manesme, Charles-Olivier ; Keenan, Donald ; Barthelemy, Fabrice . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:50:y:2015:i:4:p:439-464. Full description at Econpapers \|\| Download paper
2015	A directional multivariate value at risk. (2015). Torres, Raul ; Laniado, Henry ; Lillo, Rosa E. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:111-123. Full description at Econpapers \|\| Download paper
2015	A portfolio-invariant capital allocation scheme penalizing concentration risk. (2015). . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:560-570. Full description at Econpapers \|\| Download paper
2015	Robust inference in nonlinear models with mixed identification strength. (2015). Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:207-228. Full description at Econpapers \|\| Download paper
2015	Structural-break models under mis-specification: Implications for forecasting. (2015). Koo, Bonsoo ; Seo, Myung Hwan . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:166-181. Full description at Econpapers \|\| Download paper
2015	Forecast Combination under Heavy-Tailed Errors. (2015). Cheng, Gang ; Yang, Yuhong ; Wang, Sicong . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:4:p:797-824:d:59295. Full description at Econpapers \|\| Download paper
2015	Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. (2015). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10362. Full description at Econpapers \|\| Download paper
2015	Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean. (2015). Grant, Angelia ; Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-08. Full description at Econpapers \|\| Download paper
2015	A Bayesian model comparison for trend-cycle decompositions of output. (2015). Grant, Angelia ; Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-31. Full description at Econpapers \|\| Download paper
2015	Inside the crystal ball: New approaches to predicting the gasoline price at the pump. (2015). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K.. In: CFS Working Paper Series. RePEc:zbw:cfswop:500. Full description at Econpapers \|\| Download paper
2015	Modeling energy price dynamics: GARCH versus stochastic volatility. (2015). Grant, Angelia ; Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-20. Full description at Econpapers \|\| Download paper
2015	Pitfalls of estimating the marginal likelihood using the modified harmonic mean. (2015). Grant, Angelia ; Chan, Joshua ; Chan, Joshua C. C., . In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:29-33. Full description at Econpapers \|\| Download paper
2015	Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling. (2015). Nonejad, Nima . In: Economics Letters. RePEc:eee:ecolet:v:133:y:2015:i:c:p:35-39. Full description at Econpapers \|\| Download paper
2015	A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations. (2015). Koop, Gary ; Clark, Todd ; Chan, Joshua. In: Working Paper. RePEc:fip:fedcwp:1520. Full description at Econpapers \|\| Download paper
2015	Confidence Sets for the Break Date Based on Optimal Tests. (2015). Yamamoto, Yohei ; Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2015-01. Full description at Econpapers \|\| Download paper
2015	The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points. (2015). Osborn, Denise ; Hall, Alastair R. ; Sakkas, Nikolaos . In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1504. Full description at Econpapers \|\| Download paper
2015	Empirical likelihood test in a posteriori change-point nonlinear model. (2015). Salloum, Zahraa ; Ciuperca, Gabriela . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:78:y:2015:i:8:p:919-952. Full description at Econpapers \|\| Download paper
2015	Robust Forecast Comparison. (2015). Swanson, Norman ; Jin, Sainan. In: Departmental Working Papers. RePEc:rut:rutres:201502. Full description at Econpapers \|\| Download paper
2015	Nonparametric estimation and inference under shape restrictions. (2015). Lee, Sokbae (Simon) ; Horowitz, Joel . In: CeMMAP working papers. RePEc:ifs:cemmap:67/15. Full description at Econpapers \|\| Download paper
2015	Identification and Estimation of Incomplete Information Games with Multiple Equilibria. (2015). Xiao, Ruli . In: Caepr Working Papers. RePEc:inu:caeprp:2015007. Full description at Econpapers \|\| Download paper
2015	A Jackknife Correction to a Test for Cointegration Rank. (2015). Chambers, Marcus. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:355-375:d:49830. Full description at Econpapers \|\| Download paper
2015	Financial variables and economic activity in the Nordic countries. (2015). Kuosmanen, Petri ; Vataja, Juuso ; Nabulsi, Nasib . In: International Review of Economics & Finance. RePEc:eee:reveco:v:37:y:2015:i:c:p:368-379. Full description at Econpapers \|\| Download paper
2015	Stochastic levels and duration dependence in US unemployment. (2015). Franses, Philip Hans ; de Bruijn, B. In: Econometric Institute Research Papers. RePEc:ems:eureir:78710. Full description at Econpapers \|\| Download paper
2015	Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques. (2015). Suh, Jong Hwan . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:94:y:2015:i:c:p:115-132. Full description at Econpapers \|\| Download paper
2015	Parametric and Semiparametric IV Estimation of Network Models with Selectivity. (2015). Arduini, Tiziano ; Rainone, Edoardo ; Patacchini, Eleonora . In: EIEF Working Papers Series. RePEc:eie:wpaper:1509. Full description at Econpapers \|\| Download paper
2015	Sieve semiparametric two-step GMM under weak dependence. (2015). Liao, Zhipeng ; Chen, Xiaohong . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:163-186. Full description at Econpapers \|\| Download paper
2015	Binary quantile regression with local polynomial smoothing. (2015). Chen, Song Nian ; Zhang, Hanghui . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:24-40. Full description at Econpapers \|\| Download paper
2015	Measuring the Technical Efficiency of Farms Producing Environmental Output: Semiparametric Estimation of Multi-output Stochastic Ray Production Frontiers. (2015). Czekaj, Tomasz . In: 2015 Conference, August 9-14, 2015, Milan, Italy. RePEc:ags:iaae15:211555. Full description at Econpapers \|\| Download paper
2015	ErwerbstÃ¤tigkeit in Deutschland im europÃ¤ischen Vergleich. (2015). Schreiber, Sven. In: IMK Report. RePEc:imk:report:103-2015. Full description at Econpapers \|\| Download paper
2015	Commodity prices and fiscal policy design: Procyclical despite a rule. (2015). Thorsrud, Leif ; BjÃÂ¸rnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0033. Full description at Econpapers \|\| Download paper
2015	Who should be treated? Empirical welfare maximization methods for treatment choice. (2015). Tetenov, Aleksey ; Kitagawa, Toru . In: CeMMAP working papers. RePEc:ifs:cemmap:10/15. Full description at Econpapers \|\| Download paper
2015	The forecasting accuracy of models of post-award network deployment: An application of maximum score tests. (2015). Madden, Gary ; Tran, Thien ; Wu, Chen ; Mayer, Walter . In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:4:p:1153-1158. Full description at Econpapers \|\| Download paper
2015	Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2015). Kiviet, Jan ; Pleus, Milan ; Poldermans, Rutger . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5189. Full description at Econpapers \|\| Download paper
2015	Robust confidence regions for incomplete models. (2015). Kaido, Hiroaki ; Epstein, Larry ; Seo, Kyoungwon . In: CeMMAP working papers. RePEc:ifs:cemmap:20/15. Full description at Econpapers \|\| Download paper
2015	Robust confidence regions for incomplete models. (2015). Kaido, Hiroaki ; Epstein, Larry ; Seo, Kyoungwon . In: CeMMAP working papers. RePEc:ifs:cemmap:65/15. Full description at Econpapers \|\| Download paper
2015	Robust score and portmanteau tests of volatility spillover. (2015). Hill, Jonathan ; Aguilar, Mike . In: Journal of Econometrics. RePEc:eee:econom:v:184:y:2015:i:1:p:37-61. Full description at Econpapers \|\| Download paper
2015	Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors. (2015). Hill, Jonathan B.. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:135:y:2015:i:c:p:131-152. Full description at Econpapers \|\| Download paper
2015	Robustness of bootstrap in instrumental variable regression. (2015). Otsu, Taisuke ; Camponovo, Lorenzo . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:60185. Full description at Econpapers \|\| Download paper
2015	Positivism in finance and its implication for the diversification finance research. (2015). Schinckus, Christophe . In: International Review of Financial Analysis. RePEc:eee:finana:v:40:y:2015:i:c:p:103-106. Full description at Econpapers \|\| Download paper
2015	Option pricing with asymmetric heteroskedastic normal mixture models. (2015). Stentoft, Lars. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:3:p:635-650. Full description at Econpapers \|\| Download paper
2015	ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails. (2015). Paolella, Marc S ; Polak, Pawe . In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:282-297. Full description at Econpapers \|\| Download paper
2015	Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets. (2015). Haas, Markus ; Liu, Ji-Chun . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112855. Full description at Econpapers \|\| Download paper
2015	Distribution theory of the least squares averaging estimator. (2015). Liu, Chu-An. In: Journal of Econometrics. RePEc:eee:econom:v:186:y:2015:i:1:p:142-159. Full description at Econpapers \|\| Download paper
2015	Complete subset regressions with large-dimensional sets of predictors. (2015). Elliott, Graham ; Timmermann, Allan ; Gargano, Antonio . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:54:y:2015:i:c:p:86-110. Full description at Econpapers \|\| Download paper
2015	The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema . In: Monash Economics Working Papers. RePEc:mos:moswps:2015-06. Full description at Econpapers \|\| Download paper
2015	Forecasting with factor-augmented regression: A frequentist model averaging approach. (2015). Hansen, Bruce ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:186:y:2015:i:2:p:280-293. Full description at Econpapers \|\| Download paper
2015	Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?. (2015). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:881. Full description at Econpapers \|\| Download paper
2015	Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations. (2015). Vasnev, Andrey. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:3:p:769-781. Full description at Econpapers \|\| Download paper
2015	Real-Time Data should be used in Forecasting Output Growth and Recessionary Events in the US. (2015). Lee, Kevin ; Shields, Kalvinder ; Aristidou, Chrystalleni . In: Discussion Papers. RePEc:not:notcfc:15/13. Full description at Econpapers \|\| Download paper
2015	Nonparametric prediction of stock returns based on yearly data: The long-term view. (2015). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:143-155. Full description at Econpapers \|\| Download paper
2015	The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393. Full description at Econpapers \|\| Download paper
2015	A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models. (2015). Sueishi, Naoya . In: Discussion Papers. RePEc:koe:wpaper:1531. Full description at Econpapers \|\| Download paper
2015	EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area. (2015). Proietti, Tommaso ; Marczak, Martyna ; Mazzi, Gian Luigi . In: CREATES Research Papers. RePEc:aah:create:2015-12. Full description at Econpapers \|\| Download paper
2015	EuroMInd-D: A density estimate of monthly gross domestic product for the euro area. (2015). Proietti, Tommaso ; Marczak, Martyna ; Mazzi, Gian Luigi . In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:032015. Full description at Econpapers \|\| Download paper
2015	EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area. (2015). Proietti, Tommaso ; Marczak, Martyna ; Mazzi, Gian Luigi . In: CEIS Research Paper. RePEc:rtv:ceisrp:340. Full description at Econpapers \|\| Download paper
2015	Volatility-related exchange traded assets: an econometric investigation. (2015). Sentana, Enrique ; Mencia, Javier . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10444. Full description at Econpapers \|\| Download paper
2015	VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION. (2015). Sentana, Enrique ; Mencia, Javier . In: Working Papers. RePEc:cmf:wpaper:wp2015_1501. Full description at Econpapers \|\| Download paper
2015	Comovement and the financialization of commodities. (2015). Taschini, Luca ; Bonato, Matteo . In: GRI Working Papers. RePEc:lsg:lsgwps:wp215. Full description at Econpapers \|\| Download paper
2015	Optimal combination of survey forecasts. (2015). Giannone, Domenico ; Conflitti, Cristina ; De Mol, Christine . In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:4:p:1096-1103. Full description at Econpapers \|\| Download paper
2015	Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto . In: Journal of Statistical Software. RePEc:jss:jstsof:v:068:i03. Full description at Econpapers \|\| Download paper
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2015	Generalised density forecast combinations. (2015). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, G. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:150-165. Full description at Econpapers \|\| Download paper
2015	Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity. (2015). Prucha, Ingmar ; Kuersteiner, Guido. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5445. Full description at Econpapers \|\| Download paper
2015	Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates. (2015). Wolter, James . In: Economics Series Working Papers. RePEc:oxf:wpaper:761. Full description at Econpapers \|\| Download paper
2015	Endogenous risk-taking and physical appearance of sex workers. (2015). Egger, Peter ; Lindenblatt, Andreas . In: The European Journal of Health Economics. RePEc:spr:eujhec:v:16:y:2015:i:9:p:941-949. Full description at Econpapers \|\| Download paper
2015	Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory. (2015). Xu, Weidong ; Zhang, Zhengjun ; Ma, Yong . In: Computational Economics. RePEc:kap:compec:v:45:y:2015:i:4:p:647-668. Full description at Econpapers \|\| Download paper
2015	Clustering of time series via non-parametric tail dependence estimation. (2015). Durante, Fabrizio ; Torelli, Nicola ; Pappada, Roberta . In: Statistical Papers. RePEc:spr:stpapr:v:56:y:2015:i:3:p:701-721. Full description at Econpapers \|\| Download paper
2015	Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. (2015). Yang, Lu ; Hamori, Shigeyuki ; Li, Mengling ; Cai, Xiaojing . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:308-314. Full description at Econpapers \|\| Download paper
2015	Unbalanced Regressions and the Predictive Equation. (2015). Ventosa-SantaulÃÂ ria, Daniel ; Vera-ValdÃÂ©s, J ; Osterrieder, Daniela ; Vera-Valdes, Eduardo J. ; Ventosa-Santaularia, Daniel . In: CREATES Research Papers. RePEc:aah:create:2015-09. Full description at Econpapers \|\| Download paper
2015	Nonparametric predictive regression. (2015). Phillips, Peter ; Andreou, Elena ; Phillips, Peter C. B., ; Kasparis, Ioannis . In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:468-494. Full description at Econpapers \|\| Download paper
2015	Predictive quantile regression with persistent covariates: IVX-QR approach. (2015). Lee, Ji Hyung. In: MPRA Paper. RePEc:pra:mprapa:65150. Full description at Econpapers \|\| Download paper
2015	Functional index coefficient models with variable selection. (2015). Cai, Zongwu ; Yang, Bingduo ; Juhl, Ted . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:272-284. Full description at Econpapers \|\| Download paper
2015	Explicit form of approximate transition probability density functions of diffusion processes. (2015). Choi, Seungmoon . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:1:p:57-73. Full description at Econpapers \|\| Download paper
2015	A test for second order stationarity of a multivariate time series. (2015). Jentsch, Carsten ; Rao, Suhasini Subba . In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:1:p:124-161. Full description at Econpapers \|\| Download paper
2015	A test of the null of integer integration against the alternative of fractional integration. (2015). Cho, Cheol-Keun ; Schmidt, Peter ; Amsler, Christine . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:1:p:217-237. Full description at Econpapers \|\| Download paper
2015	Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts. (2015). Salamaliki, Paraskevi. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1508. Full description at Econpapers \|\| Download paper
2015	Revisiting sulfur Kuznets curves with endogenous breaks modeling: Substantial evidence of inverted-Us/Vs for individual OECD countries. (2015). Messinis, George ; liddle, brantley. In: Economic Modelling. RePEc:eee:ecmode:v:49:y:2015:i:c:p:278-285. Full description at Econpapers \|\| Download paper
2015	What determines the long-run growth in Sub-Saharan Africa? Exploring the role of energy, trade openness and financial development in six countries. (2015). Zerbo, Eleazar . In: Working Papers. RePEc:hal:wpaper:hal-01238524. Full description at Econpapers \|\| Download paper
2015	Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility. (2015). Kruse, Robinson ; Hanck, Christoph ; Demetrescu, Matei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112916. Full description at Econpapers \|\| Download paper
2015	Microeconomic models with latent variables: applications of measurement error models in empirical industrial organization and labor economics. (2015). Hu, Yingyao . In: CeMMAP working papers. RePEc:ifs:cemmap:03/15. Full description at Econpapers \|\| Download paper
2015	A comparative Study of Volatility Breaks. (2015). Grote, Claudia ; Bertram, Philip . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-558. Full description at Econpapers \|\| Download paper
2015	Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2015). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: CREATES Research Papers. RePEc:aah:create:2015-47. Full description at Econpapers \|\| Download paper
2015	Testing heteroskedastic time series for normality. (2015). Kruse, Robinson ; Demetrescu, Matei . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113221. Full description at Econpapers \|\| Download paper
2015	Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2015). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: NCER Working Paper Series. RePEc:qut:auncer:2015_06. Full description at Econpapers \|\| Download paper
2015	Demand Estimation with Machine Learning and Model Combination. (2015). Ryan, Stephen ; Nekipelov, Denis ; Bajari, Patrick ; Yang, Miaoyu . In: NBER Working Papers. RePEc:nbr:nberwo:20955. Full description at Econpapers \|\| Download paper
2015	Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models. (2015). Lee, Sokbae (Simon) ; Chen, Le-Yu. In: CeMMAP working papers. RePEc:ifs:cemmap:26/15. Full description at Econpapers \|\| Download paper
2015	Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model. (2015). Georgiadis, Georgios. In: European Economic Review. RePEc:eee:eecrev:v:75:y:2015:i:c:p:195-215. Full description at Econpapers \|\| Download paper
2015	State-dependent effects of fiscal policy in Japan: Do rule-of-thumb households increase the effects of fiscal policy?. (2015). Morita, Hiroshi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:43:y:2015:i:c:p:49-61. Full description at Econpapers \|\| Download paper
2015	Comparison of methods for constructing joint confidence bands for impulse response functions. (2015). Winker, Peter ; Staszewska-Bystrova, Anna ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut . In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:3:p:782-798. Full description at Econpapers \|\| Download paper
2015	Price Expectations and the U.S. Housing Boom. (2015). Weber, Sebastian ; Towbin, Pascal. In: IMF Working Papers. RePEc:imf:imfwpa:15/182. Full description at Econpapers \|\| Download paper
2015	The time varying effect of oil price shocks on euro-area exports. (2015). Venditti, Fabrizio ; Riggi, Marianna. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1035_15. Full description at Econpapers \|\| Download paper
2015	The time varying effect of oil price shocks on euro-area exports. (2015). Venditti, Fabrizio ; Riggi, Marianna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:75-94. Full description at Econpapers \|\| Download paper
2015	Measurement Errors and Monetary Policy: Then and Now. (2015). Matthes, Christian ; Amir Ahmadi, Pooyan ; Wang, Mu-Chun ; Amir-Ahmadi, Pooyan . In: Working Paper. RePEc:fip:fedrwp:15-13. Full description at Econpapers \|\| Download paper
2015	Evolutionary Sequential Monte Carlo Samplers for Change-point Models. (2015). . In: Cahiers de recherche. RePEc:lvl:lacicr:1518. Full description at Econpapers \|\| Download paper
2015	Forecasting long memory series subject to structural change: A two-stage approach. (2015). Dias, Gustavo Fruet . In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:4:p:1056-1066. Full description at Econpapers \|\| Download paper
2015	Changes in the global oil market. (2015). Osborn, Denise ; Bataa, Erdenebat. In: Working Papers. RePEc:lan:wpaper:75761696. Full description at Econpapers \|\| Download paper
2015	Realized range volatility forecasting: Dynamic features and predictive variables. (2015). Caporin, Massimiliano ; Velo, Gabriel G. In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:98-112. Full description at Econpapers \|\| Download paper
2015	GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold . In: Economics Series. RePEc:ihs:ihsesp:315. Full description at Econpapers \|\| Download paper
2015	GMM Estimation of Affine Term Structure Models. (2015). Hlouskova, Jaroslava ; Sogner, Leopold . In: Papers. RePEc:arx:papers:1508.01661. Full description at Econpapers \|\| Download paper
2015	A modified test against spurious long memory. (2015). Kruse, Robinson. In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:34-38. Full description at Econpapers \|\| Download paper
2015	Macroeconomic regimes. (2015). Moreno, Antonio ; Inghelbrecht, Koen ; Cho, Seonghoon ; Bekaert, Geert ; Baele, Lieven . In: Journal of Monetary Economics. RePEc:eee:moneco:v:70:y:2015:i:c:p:51-71. Full description at Econpapers \|\| Download paper
2015	Monetary Policy Drivers of Bond and Equity Risks. (2015). Viceira, Luis ; Pflueger, Carolin ; Campbell, John. In: Harvard Business School Working Papers. RePEc:hbs:wpaper:14-031. Full description at Econpapers \|\| Download paper
2015	Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility. (2015). Theodoridis, Konstantinos ; mumtaz, haroon. In: Working Papers. RePEc:qmw:qmwecw:wp760. Full description at Econpapers \|\| Download paper
2015	Oil and macroeconomic (in)stability. (2015). Larsen, Vegard ; BjÃÂ¸rnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0035. Full description at Econpapers \|\| Download paper
2015	Co-Movement, Spillovers and Excess Returns in Global Bond Markets?. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Working Papers. RePEc:gla:glaewp:2015_12. Full description at Econpapers \|\| Download paper
2015	Monetary/Fiscal Policy Mix and Asset Prices. (2015). Bianchi, Francesco ; Morales, Gonzalo ; Kung, Howard . In: 2015 Meeting Papers. RePEc:red:sed015:1224. Full description at Econpapers \|\| Download paper
2015	Semiparametric single-index panel data models with cross-sectional dependence. (2015). GAO, Jiti ; Peng, Bin ; Dong, Chaohua . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:301-312. Full description at Econpapers \|\| Download paper
2015	Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity. (2015). GAO, Jiti ; Cai, Biqing ; Dong, Chaohua . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-18. Full description at Econpapers \|\| Download paper
2015	Comparing consumption-based asset pricing models: The case of an Asian city. (2015). Leung, Charles ; Kwan, Yum K. ; Leung, Charles Ka Yui, . In: Journal of Housing Economics. RePEc:eee:jhouse:v:28:y:2015:i:c:p:18-41. Full description at Econpapers \|\| Download paper
2015	GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification. (2015). Hall, Alastair R. ; Donovon, Prosper . In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1505. Full description at Econpapers \|\| Download paper
2015	Testing index-based models in U.K. stock returns. (2015). Davies, J ; Marshall, Andrew ; Fletcher, Jonathan . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:45:y:2015:i:2:p:337-362. Full description at Econpapers \|\| Download paper
2015	Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models. (2015). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond . In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2015-09. Full description at Econpapers \|\| Download paper
2015	Econometricians Have Their Moments: GMM at 32. (2015). Dungey, Mardi ; Hall, Alastair R. In: The Economic Record. RePEc:bla:ecorec:v:91:y:2015:i::p:1-24. Full description at Econpapers \|\| Download paper
2015	Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function. (2015). Meintanis, Simos G ; Taufer, Emanuele ; Ngatchou-Wandji, Joseph . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:140:y:2015:i:c:p:171-192. Full description at Econpapers \|\| Download paper
2015	Should We Go One Step Further? Ã An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework. (2015). Sun, Yixiao ; Hwang, Jungbin . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt58r2z98m. Full description at Econpapers \|\| Download paper
2015	Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence. (2015). Hidalgo, Javier ; Schafgans, Marcia M. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:/2015/583. Full description at Econpapers \|\| Download paper
2015	A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data. (2015). Sun, Yixiao ; Kim, Min Seong ; Yang, Jingjing . In: Working Papers. RePEc:rye:wpaper:wp049. Full description at Econpapers \|\| Download paper
2015	Dynamic copula models and high frequency data. (2015). Patton, Andrew ; De Lira Salvatierra, Irving, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:30:y:2015:i:c:p:120-135. Full description at Econpapers \|\| Download paper
2015	Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2015-14. Full description at Econpapers \|\| Download paper
2015	Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223. Full description at Econpapers \|\| Download paper
2015	Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1505.00704. Full description at Econpapers \|\| Download paper
2015	COMFORT: A common market factor non-Gaussian returns model. (2015). Paolella, Marc S. ; Polak, Pawe . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:593-605. Full description at Econpapers \|\| Download paper
2015	The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements. (2015). Yao, Wenying. In: Working Papers. RePEc:tas:wpaper:22662. Full description at Econpapers \|\| Download paper
2015	Cojumps in Chinas spot and stock index futures markets. (2015). Wang, Hao ; Zhao, Hua ; Yue, Mengqi . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:35:y:2015:i:pb:p:541-557. Full description at Econpapers \|\| Download paper
2015	Permanent Wage Cost Subsidies for Older Workers. An Effective Tool for Increasing Working Time and Postponing Early Retirement?. (2015). Cockx, Bart ; Albanese, Andrea. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5301. Full description at Econpapers \|\| Download paper
2015	Income and employment effects of shale gas extraction windfalls: Evidence from the Marcellus region. (2015). Paredes, Dusan ; Loveridge, Scott ; Komarek, Timothy . In: Energy Economics. RePEc:eee:eneeco:v:47:y:2015:i:c:p:112-120. Full description at Econpapers \|\| Download paper
2015	Workplace health promotion and labour market performance of employees. (2015). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: Journal of Health Economics. RePEc:eee:jhecon:v:43:y:2015:i:c:p:170-189. Full description at Econpapers \|\| Download paper
2015	Heterogeneity of the Effects of Health Insurance on Household Savings: Evidence from Rural China. (2015). Cheung, Diana ; Padieu, Ysaline . In: World Development. RePEc:eee:wdevel:v:66:y:2015:i:c:p:84-103. Full description at Econpapers \|\| Download paper
2015	How learning a musical instrument affects the development of skills. (2015). Schupp, JÃÂ¼rgen ; Hille, Adrian. In: Economics of Education Review. RePEc:eee:ecoedu:v:44:y:2015:i:c:p:56-82. Full description at Econpapers \|\| Download paper
2015	Mozart or PelÃ©? The effects of teenagersâ participation in music and sports. (2015). Lechner, Michael ; Hille, Adrian ; CABANE, Charlotte. In: Economics Working Paper Series. RePEc:usg:econwp:2015:09. Full description at Econpapers \|\| Download paper
2015	Permanent Wage Cost Subsidies for Older Workers. An Effective Tool for Increasing Working Time and Postponing Early Retirement?. (2015). Cockx, Bart ; Albanese, Andrea. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2015006. Full description at Econpapers \|\| Download paper
2015	Heterogeneity of the Carnegie Effect. (2015). Thoresen, Thor ; Halvorsen, Elin ; Bo, Erlend Eide . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5339. Full description at Econpapers \|\| Download paper
2015	Mozart or PelÃ©? The Effects of Teenagers Participation in Music and Sports. (2015). Lechner, Michael ; Hille, Adrian ; CABANE, Charlotte. In: IZA Discussion Papers. RePEc:iza:izadps:dp8987. Full description at Econpapers \|\| Download paper
2015	Permanent Wage Cost Subsidies for Older Workers: An Effective Tool for Increasing Working Time and Postponing Early Retirement?. (2015). Cockx, Bart ; Albanese, Andrea. In: IZA Discussion Papers. RePEc:iza:izadps:dp8988. Full description at Econpapers \|\| Download paper
2015	Mozart or PelÃ©? The Effects of Teenagers Participation in Music and Sports. (2015). Lechner, Michael ; Hille, Adrian ; CABANE, Charlotte. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp749. Full description at Econpapers \|\| Download paper
2015	Direct and indirect effects of training vouchers for the unemployed. (2015). Lechner, Michael ; Huber, Martin ; Strittmatter, Anthony . In: FSES Working Papers. RePEc:fri:fribow:fribow00456. Full description at Econpapers \|\| Download paper
2015	Direct and indirect effects of training vouchers for the unemployed. (2015). Lechner, Michael ; Huber, Martin ; Strittmatter, Anthony . In: Economics Working Paper Series. RePEc:usg:econwp:2015:14. Full description at Econpapers \|\| Download paper
2015	Direct and indirect treatment effects: causal chains and mediation analysis with instrumental variables. (2015). Huber, Martin ; FrÃÂ¶lich, Markus ; Frolich, Markus . In: Working Paper Series. RePEc:hhs:ifauwp:2025_012. Full description at Econpapers \|\| Download paper
2015	Direct and Indirect Effects of Training Vouchers for the Unemployed. (2015). Lechner, Michael ; Huber, Martin ; Strittmatter, Anthony . In: IZA Discussion Papers. RePEc:iza:izadps:dp9138. Full description at Econpapers \|\| Download paper
2015	Leave the Drama on the Stage: The Effect of Cultural Participation on Health. (2015). Thiel, Lars . In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp767. Full description at Econpapers \|\| Download paper
2015	Direct and indirect treatment effects: causal chains and mediation analysis with instrumental variables. (2015). Huber, Martin ; FrÃÂ¶lich, Markus ; Frolich, Markus . In: Working Paper Series. RePEc:hhs:ifauwp:2015_012. Full description at Econpapers \|\| Download paper
2015	Long-run health effects of sports and exercise in Canada. (2015). Lechner, Michael ; Ca, Nazmi Sariusask . In: Economics Working Paper Series. RePEc:usg:econwp:2015:20. Full description at Econpapers \|\| Download paper
2015	Simple Tests for Selection Bias: Learning More from Instrumental Variables. (2015). Smith, Jeffrey ; Black, Dan ; Lalonde, Robert J ; Taylor, Evan J. In: IZA Discussion Papers. RePEc:iza:izadps:dp9346. Full description at Econpapers \|\| Download paper
2015	Labor market effects of sports and exercise: Evidence from Canadian panel data. (2015). Lechner, Michael. In: Labour Economics. RePEc:eee:labeco:v:35:y:2015:i:c:p:1-15. Full description at Econpapers \|\| Download paper
2015	The long term returns of attempting self-employment with regular employment as a fall back option. (2015). Daly, Moira. In: Labour Economics. RePEc:eee:labeco:v:35:y:2015:i:c:p:26-52. Full description at Econpapers \|\| Download paper
2015	Radius matching on the propensity score with bias adjustment: tuning parameters and finite sample behaviour. (2015). Steinmayr, Andreas ; Lechner, Michael ; Huber, Martin. In: Empirical Economics. RePEc:spr:empeco:v:49:y:2015:i:1:p:1-31. Full description at Econpapers \|\| Download paper
2015	Getting back into the labor market: the effects of start-up subsidies for unemployed females. (2015). KÃÂ¼nn, Steffen ; Caliendo, Marco ; Kunn, Steffen . In: Journal of Population Economics. RePEc:spr:jopoec:v:28:y:2015:i:4:p:1005-1043. Full description at Econpapers \|\| Download paper
2015	Are the children of uneducated farmers doubly disadvantaged ? farm, nonfarm and intergenerational educational mobility in rural China. (2015). Sun, Yan ; Emran, M. Shahe. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:7459. Full description at Econpapers \|\| Download paper
2015	Mozart or PelÃ©? The effects of teenagersâ participation in music and sports. (2015). Lechner, Michael ; Hille, Adrian ; CABANE, Charlotte. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10556. Full description at Econpapers \|\| Download paper
2015	Direct and indirect effects of training vouchers for the unemployed. (2015). Lechner, Michael ; Huber, Martin ; Strittmatter, Anthony . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10650. Full description at Econpapers \|\| Download paper
2015	The Effectiveness of Early Vacancy Information in the Presence of Monitoring and ALMP. (2015). Schmidl, Ricarda . In: IZA Discussion Papers. RePEc:iza:izadps:dp9575. Full description at Econpapers \|\| Download paper
2015	Working Time Reductions at the End of the Career: Do They Prolong the Time Spent in Employment?. (2015). Cockx, Bart ; Albanese, Andrea ; Thuy, Yannick . In: IZA Discussion Papers. RePEc:iza:izadps:dp9619. Full description at Econpapers \|\| Download paper
2015	Working Time Reductions at the End of the Career. Do they prolong the Time Spent in Employment?. (2015). Cockx, Bart ; Albanese, Andrea ; Thuy, Yannick . In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2015024. Full description at Econpapers \|\| Download paper
2015	Its all in the timing: Cash transfers and consumption smoothing in a developing country. (2015). sumarto, sudarno ; Suryahadi, Asep ; Bazzi, Samuel . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:119:y:2015:i:c:p:267-288. Full description at Econpapers \|\| Download paper
2015	PERMANENT WAGE COST SUBSIDIES FOR OLDER WORKERS. AN EFFECTIVE TOOL FOR INCREASING WORKING TIME AND POSTPONING EARLY RETIREMENT?. (2015). Cockx, Bart ; Albanese, Andrea. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:15/902. Full description at Econpapers \|\| Download paper
2015	WORKING TIME REDUCTIONS AT THE END OF THE CAREER. DO THEY PROLONG THE TIME SPENT IN EMPLOYMENT?. (2015). Cockx, Bart ; Albanese, Andrea ; Thuy, Yannick . In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:15/916. Full description at Econpapers \|\| Download paper
2015	THE SLX MODEL. (2015). Elhorst, J.Paul ; Vega, Solmaria Halleck . In: Journal of Regional Science. RePEc:bla:jregsc:v:55:y:2015:i:3:p:339-363. Full description at Econpapers \|\| Download paper
2015	A new spatial (social) interaction discrete choice model accommodating for unobserved effects due to endogenous network formation. (2015). Bhat, Chandra . In: Transportation. RePEc:kap:transp:v:42:y:2015:i:5:p:879-914. Full description at Econpapers \|\| Download paper
2015	Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables. (2015). Richard, Jean-Franois . In: Working Paper. RePEc:pit:wpaper:5778. Full description at Econpapers \|\| Download paper
2015	Jackknife model averaging for quantile regressions. (2015). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:40-58. Full description at Econpapers \|\| Download paper
2015	Toward optimal model averaging in regression models with time series errors. (2015). Cheng, Tzu-Chang F ; Yu, Shu-Hui ; Ing, Ching-Kang . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:321-334. Full description at Econpapers \|\| Download paper
2015	Some new asymptotic theory for least squares series: Pointwise and uniform results. (2015). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis . In: Journal of Econometrics. RePEc:eee:econom:v:186:y:2015:i:2:p:345-366. Full description at Econpapers \|\| Download paper
2015	Conditional quantile estimation based on optimal quantization: From theory to practice. (2015). Charlier, Isabelle ; Saracco, Jerome ; Paindaveine, Davy . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:91:y:2015:i:c:p:20-39. Full description at Econpapers \|\| Download paper
2015	Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions. (2015). Chen, Xiaohong . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:447-465. Full description at Econpapers \|\| Download paper
2015	Robust inference on average treatment effects with possibly more covariates than observations. (2015). Farrell, Max H. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:1-23. Full description at Econpapers \|\| Download paper
2015	Detecting non-simultaneous changes in means of vectors. (2015). Jarukova, Daniela . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:24:y:2015:i:4:p:681-700. Full description at Econpapers \|\| Download paper
2015	A New Class of Bivariate Threshold Cointegration Models. (2015). GAO, Jiti ; Cai, Biqing . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2015-1. Full description at Econpapers \|\| Download paper
2015	Nonparametric Regression Estimation for Multivariate Null Recurrent Processes. (2015). Cai, Biqing ; Tjostheim, Dag . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:265-288:d:48167. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2015-14. Full description at Econpapers \|\| Download paper
2015	Exponential Smoothing, Long Memory and Volatility Prediction. (2015). Proietti, Tommaso. In: CREATES Research Papers. RePEc:aah:create:2015-51. Full description at Econpapers \|\| Download paper
2015	Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Byrne, Joseph P ; Korobilis, Dimitris ; Cao, Shuo . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:679. Full description at Econpapers \|\| Download paper
2015	Robust Inference of Risks of Large Portfolios. (2015). Vickers, Byron ; Fan, Jianqing ; Liu, Han ; Han, Fang . In: Papers. RePEc:arx:papers:1501.02382. Full description at Econpapers \|\| Download paper
2015	Non Parametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca. In: Papers. RePEc:arx:papers:1502.03978. Full description at Econpapers \|\| Download paper
2015	Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). BarunÃÂk, Jozef ; Kley, Tobias . In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers \|\| Download paper
2015	THE SLX MODEL. (2015). Elhorst, J.Paul ; Vega, Solmaria Halleck . In: Journal of Regional Science. RePEc:bla:jregsc:v:55:y:2015:i:3:p:339-363. Full description at Econpapers \|\| Download paper
2015	Dynamic predictive density combinations for large data sets in economics and finance. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Working Paper. RePEc:bno:worpap:2015_12. Full description at Econpapers \|\| Download paper
2015	Sigma Point Filters For Dynamic Nonlinear Regime Switching Models. (2015). Maih, Junior ; Binning, Andrew. In: Working Papers. RePEc:bny:wpaper:0032. Full description at Econpapers \|\| Download paper
2015	Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Pettenuzzo, Davide . In: Working Papers. RePEc:bny:wpaper:0037. Full description at Econpapers \|\| Download paper
2015	Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0541. Full description at Econpapers \|\| Download paper
2015	Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0550. Full description at Econpapers \|\| Download paper
2015	Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs. (2015). Qu, Zhongjun ; Yoon, Jungmo ; Jung Mo Yoon, . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-009. Full description at Econpapers \|\| Download paper
2015	Residuals-based Tests for Cointegration with GLS Detrended Data. (2015). RodrÃÂguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-017. Full description at Econpapers \|\| Download paper
2015	Foreign Aid and Domestic Absorption. (2015). Van de Sijpe, Nicolas ; Temple, Jonathan. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:15/658. Full description at Econpapers \|\| Download paper
2015	Oil, Volatility and Institutions:Cross-Country Evidence from Major Oil Producers. (2015). Mohaddes, Kamiar ; Amany, Kamiar Mohaddes ; Nugent, Jeffrey B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1523. Full description at Econpapers \|\| Download paper
2015	Restrictions on Risk Prices in Dynamic Term Structure Models. (2015). Bauer, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5241. Full description at Econpapers \|\| Download paper
2015	Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Li, Jianan ; Bernhofen, Daniel M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5580. Full description at Econpapers \|\| Download paper
2015	NONLINEAR PANEL DATA ESTIMATION VIA QUANTILE REGRESSIONS. (2015). Arellano, Manuel ; Bonhomme, Stephane . In: Working Papers. RePEc:cmf:wpaper:wp2015_1505. Full description at Econpapers \|\| Download paper
2015	Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10618. Full description at Econpapers \|\| Download paper
2015	Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun . In: IFCS - Working Papers in Economic History.WH. RePEc:cte:whrepe:ws1504. Full description at Econpapers \|\| Download paper
2015	Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1504. Full description at Econpapers \|\| Download paper
2015	Revealed Preference and Aggregation. (2015). Vermeulen, Frederic ; De Rock, Bram ; Crawford, Ian ; Cherchye, Laurens. In: Working Papers ECARES. RePEc:eca:wpaper:2013/196733. Full description at Econpapers \|\| Download paper
2015	Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: Working Papers ECARES. RePEc:eca:wpaper:2013/200650. Full description at Econpapers \|\| Download paper
2015	Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/218748. Full description at Econpapers \|\| Download paper
2015	Estimation of linear dynamic panel data models with time-invariant regressors. (2015). Kripfganz, Sebastian ; Schwarz, Claudia . In: Working Paper Series. RePEc:ecb:ecbwps:20151838. Full description at Econpapers \|\| Download paper
2015	The course of realized volatility in the LME non-ferrous metal market. (2015). Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:1-12. Full description at Econpapers \|\| Download paper
2015	Consistent subsets: Computationally feasible methods to compute the HoutmanâMaks-index. (2015). Hjertstrand, Per ; Heufer, Jan. In: Economics Letters. RePEc:eee:ecolet:v:128:y:2015:i:c:p:87-89. Full description at Econpapers \|\| Download paper
2015	Consistency of model averaging estimators. (2015). Zhang, Xinyu . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:120-123. Full description at Econpapers \|\| Download paper
2015	Testing for no factor structures: On the use of Hausman-type statistics. (2015). Rossi, Eduardo ; Castagnetti, Carolina ; Trapani, Lorenzo . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:66-68. Full description at Econpapers \|\| Download paper
2015	Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach. (2015). GUPTA, RANGAN ; Bekiros, Stelios. In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:83-85. Full description at Econpapers \|\| Download paper
2015	Testing spatial effects and random effects in a nested panel data model. (2015). He, Ming ; Lin, Kuan-Pin . In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:85-91. Full description at Econpapers \|\| Download paper
2015	Productivity and employment dynamics of US manufacturing plants. (2015). Mukoyama, Toshihiko ; Lee, Yoonsoo . In: Economics Letters. RePEc:eee:ecolet:v:136:y:2015:i:c:p:190-193. Full description at Econpapers \|\| Download paper
2015	Econometric analysis of financial derivatives: An overview. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:403-407. Full description at Econpapers \|\| Download paper
2015	Nonparametric identification and estimation of transformation models. (2015). Kristensen, Dennis ; Komunjer, Ivana ; Chiappori, Pierre-Andre . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:22-39. Full description at Econpapers \|\| Download paper
2015	Maximum likelihood estimation of a spatial autoregressive Tobit model. (2015). Lee, Lung-Fei ; Xu, Xingbai . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:264-280. Full description at Econpapers \|\| Download paper
2015	Jackknife model averaging for quantile regressions. (2015). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:40-58. Full description at Econpapers \|\| Download paper
2015	New tools for understanding the local asymptotic power of panel unit root tests. (2015). Westerlund, Joakim ; Larsson, Rolf . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:59-93. Full description at Econpapers \|\| Download paper
2015	Testing error serial correlation in fixed effects nonparametric panel data models. (2015). Long, Wei ; hsiao, cheng ; Green, Carl . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:466-473. Full description at Econpapers \|\| Download paper
2015	Optimal smoothing in nonparametric conditional quantile derivative function estimation. (2015). Lin, Wei ; Su, LI ; Cai, Zongwu . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:502-513. Full description at Econpapers \|\| Download paper
2015	Robust inference on average treatment effects with possibly more covariates than observations. (2015). Farrell, Max H. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:1-23. Full description at Econpapers \|\| Download paper
2015	The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393. Full description at Econpapers \|\| Download paper
2015	Detecting structural changes using wavelets. (2015). Yazgan, Ege ; ozkan, Harun . In: Finance Research Letters. RePEc:eee:finlet:v:12:y:2015:i:c:p:23-37. Full description at Econpapers \|\| Download paper
2015	A simple and general approach to fitting the discount curve under no-arbitrage constraints. (2015). Fengler, Matthias ; Hin, Lin-Yee . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:78-84. Full description at Econpapers \|\| Download paper
2015	Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro . In: Journal of Financial Markets. RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37. Full description at Econpapers \|\| Download paper
2015	Public debt and growth: Heterogeneity and non-linearity. (2015). Presbitero, Andrea ; Eberhardt, Markus. In: Journal of International Economics. RePEc:eee:inecon:v:97:y:2015:i:1:p:45-58. Full description at Econpapers \|\| Download paper
2015	Good and bad uncertainty: Macroeconomic and financial market implications. (2015). Segal, Gill ; Yaron, Amir ; Shaliastovich, Ivan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:117:y:2015:i:2:p:369-397. Full description at Econpapers \|\| Download paper
2015	Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134. Full description at Econpapers \|\| Download paper
2015	Credit conditions and stock return predictability. (2015). Gallmeyer, Michael ; Chava, Sudheer ; Park, Heungju . In: Journal of Monetary Economics. RePEc:eee:moneco:v:74:y:2015:i:c:p:117-132. Full description at Econpapers \|\| Download paper
2015	Migration, labor tasks and production structure. (2015). Santoni, Gianluca ; Di Porto, Edoardo ; De Arcangelis, Giuseppe. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:53:y:2015:i:c:p:156-169. Full description at Econpapers \|\| Download paper

More than 50 citations. List broken...

Recent citations received in 2014

Year	Citing document
2014	Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2014-19. Full description at Econpapers \|\| Download paper
2014	Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor . In: CREATES Research Papers. RePEc:aah:create:2014-49. Full description at Econpapers \|\| Download paper
2014	The Incidence of Soda Taxes with Imperfect Information and Strategic Firm Behavior. (2014). Zheng, Hualu ; Huang, LU. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:170201. Full description at Econpapers \|\| Download paper
2014	Tail Dependence is to be Expected Among Crop Yields. (2014). Hennessy, David ; Feng, Hongli ; Du, Xiaodong. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:174315. Full description at Econpapers \|\| Download paper
2014	Transmission of beef and veal prices in different marketing channels. (2014). Finger, Robert ; el Benni, Nadja ; Hediger, Werner . In: 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia. RePEc:ags:eaae14:182696. Full description at Econpapers \|\| Download paper
2014	The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties. (2014). Mongeau Ospina, Christian Alexander ; Bagnai, Alberto ; Christian Alexander Mongeau Ospina, . In: a/ Working Papers Series. RePEc:ais:wpaper:1405. Full description at Econpapers \|\| Download paper
2014	Abatement strategies and the cost of environmental regulation: Emission standards on the European car market. (2014). Reynaert, Mathias. In: Working Papers. RePEc:ant:wpaper:2014025. Full description at Econpapers \|\| Download paper
2014	Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos . In: Papers. RePEc:arx:papers:1403.7179. Full description at Econpapers \|\| Download paper
2014	On parameter identification in stochastic differential equations by penalized maximum likelihood. (2014). Dunker, Fabian ; Hohage, Thorsten . In: Papers. RePEc:arx:papers:1404.0651. Full description at Econpapers \|\| Download paper
2014	Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit . In: Papers. RePEc:arx:papers:1409.7933. Full description at Econpapers \|\| Download paper
2014	International Spillovers of Policy Uncertainty. (2014). Sekkel, Rodrigo ; Kloner, Stefan . In: Staff Working Papers. RePEc:bca:bocawp:14-57. Full description at Econpapers \|\| Download paper
2014	Uncertainty Outside and Inside Economic Models. (2014). Hansen, Lars. In: Working Papers. RePEc:bfi:wpaper:2014-06. Full description at Econpapers \|\| Download paper
2014	The Term Structure of the Welfare Cost of Uncertainty. (2014). Lopez, Pierlauro. In: Working papers. RePEc:bfr:banfra:521. Full description at Econpapers \|\| Download paper
2014	Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models. (2014). Rossi, Barbara ; Giacomini, Raffaella . In: Working Papers. RePEc:bge:wpaper:819. Full description at Econpapers \|\| Download paper
2014	sftfe: A Stata command for fixed-effects stochastic frontier models estimation. (2014). Ilardi, Giuseppe ; Belotti, Federico. In: Italian Stata Users' Group Meetings 2014. RePEc:boc:isug14:05. Full description at Econpapers \|\| Download paper
2014	Nonparametric Identification of Endogenous and Heterogeneous Aggregate Demand Models: Complements, Bundles and the Market Level. (2014). Kaido, Hiroaki ; hoderlein, stefan ; Dunker, Fabian. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2014-005. Full description at Econpapers \|\| Download paper
2014	Theory and Practice of GVAR Modeling. (2014). Pesaran, M ; Chudik, Alexander. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1408. Full description at Econpapers \|\| Download paper
2014	Hedge Fund Portfolio Diversification Strategies Across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton . In: Working Papers in Economics. RePEc:cbt:econwp:14/27. Full description at Econpapers \|\| Download paper
2014	The Evidence on Globalization. (2014). Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4708. Full description at Econpapers \|\| Download paper
2014	Fiscal Transfers and Fiscal Sustainability. (2014). Reischmann, Markus ; Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4716. Full description at Econpapers \|\| Download paper
2014	A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices. (2014). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L.. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4834. Full description at Econpapers \|\| Download paper
2014	Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier. In: CIRANO Working Papers. RePEc:cir:cirwor:2014s-44. Full description at Econpapers \|\| Download paper
2014	A Note on Leverage and the Macroeconomy. (2014). Serletis, Apostolos ; Istiak, Khandokar . In: Working Papers. RePEc:clg:wpaper:2014-45. Full description at Econpapers \|\| Download paper
2014	DISTRIBUTIONAL LINKAGES BETWEEN EUROPEAN SOVEREIGN BOND AND BANK ASSET RETURNS. (2014). Galvez, Julio ; Mencia, Javier . In: Working Papers. RePEc:cmf:wpaper:wp2014_1407. Full description at Econpapers \|\| Download paper
2014	TESTING A LARGE NUMBER OF HYPOTHESES IN APPROXIMATE FACTOR MODELS. (2014). Repetto, Luca ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2014_1410. Full description at Econpapers \|\| Download paper
2014	Economic theory and forecasting: lessons from the literature. (2014). Giacomini, Raffaella . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10201. Full description at Econpapers \|\| Download paper
2014	Consumer valuation of fuel costs and the effectiveness of tax policy: Evidence from the European car market. (2014). Verboven, Frank ; Reynaert, Mathias ; Grigolon, Laura. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10301. Full description at Econpapers \|\| Download paper
2014	Identifying Industry Margins with Unobserved Price Constraints: Structural Estimation on Pharmaceuticals. (2014). Lasio, Laura ; Dubois, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9881. Full description at Econpapers \|\| Download paper
2014	Forecasting Exchange Rates under Model and Parameter Uncertainty. (2014). Beckmann, Joscha ; Schussler, Rainer . In: CQE Working Papers. RePEc:cqe:wpaper:3214. Full description at Econpapers \|\| Download paper
2014	Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions. (2014). Christensen, Timothy M. ; Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1976. Full description at Econpapers \|\| Download paper
2014	Rates of Return and Early Retirement Disincentives: Evidence from a German Pension Reform. (2014). LÃÂ¼then, Holger ; Luthen, Holger . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1389. Full description at Econpapers \|\| Download paper
2014	Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks. (2014). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/177444. Full description at Econpapers \|\| Download paper
2014	Does participating in health insurance benefit the migrant workers in China? An empirical investigation. (2014). Qin, Xuezheng ; Pan, Jay ; Liu, Gordon G.. In: China Economic Review. RePEc:eee:chieco:v:30:y:2014:i:c:p:263-278. Full description at Econpapers \|\| Download paper
2014	The indirect continuous-GMM estimation. (2014). Kotchoni, Rachidi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:464-488. Full description at Econpapers \|\| Download paper
2014	What (really) accounts for the fall in hours after a technology shock?. (2014). Rebei, Nooman. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:330-352. Full description at Econpapers \|\| Download paper
2014	Understanding 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. Full description at Econpapers \|\| Download paper
2014	Term 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. Full description at Econpapers \|\| Download paper
2014	Iterative algorithm for non parametric estimation of the instrumental variables quantiles. (2014). FEVE, FrÃÂ©dÃÂ©rique ; FLORENS, Jean-Pierre. In: Economics Letters. RePEc:eee:ecolet:v:123:y:2014:i:3:p:300-304. Full description at Econpapers \|\| Download paper
2014	A HausmanâTaylor instrumental variable approach to the penalized estimation of quantile panel models. (2014). Lamarche, Carlos ; Harding, Matthew . In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:2:p:176-179. Full description at Econpapers \|\| Download paper
2014	Estimating aggregate autoregressive processes when only macro data are available. (2014). Jondeau, Eric ; Pelgrin, Florian . In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:3:p:341-347. Full description at Econpapers \|\| Download paper
2014	Testing for individual and time effects in panel data models with interactive effects. (2014). Wu, Jianhong ; Li, Jinchang . In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:2:p:306-310. Full description at Econpapers \|\| Download paper
2014	Treatment effect estimation with covariate measurement error. (2014). Chesher, Andrew ; Battistin, Erich. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:707-715. Full description at Econpapers \|\| Download paper
2014	Testing for structural stability of factor augmented forecasting models. (2014). Swanson, Norman. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:100-118. Full description at Econpapers \|\| Download paper
2014	Bootstrapping factor-augmented regression models. (2014). Perron, Benoit ; Goncalves, Silvia ; Gonalves, Silvia . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:156-173. Full description at Econpapers \|\| Download paper
2014	Unpredictability in economic analysis, econometric modeling and forecasting. (2014). Mizon, Grayham ; Hendry, David. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:186-195. Full description at Econpapers \|\| Download paper
2014	Sieve M inference on irregular parameters. (2014). Liao, Zhipeng ; Chen, Xiaohong . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:70-86. Full description at Econpapers \|\| Download paper
2014	The evolution of corporate governance in Brazil. (2014). de Carvalho, Antonio Gledson ; Sampaio, Joelson Oliveira ; Black, Bernard S.. In: Emerging Markets Review. RePEc:eee:ememar:v:20:y:2014:i:c:p:176-195. Full description at Econpapers \|\| Download paper
2014	The impact of oil price shocks on U.S. bond market returns. (2014). Yoon, Kyung Hwan ; Ratti, Ronald ; Kang, Wensheng . In: Energy Economics. RePEc:eee:eneeco:v:44:y:2014:i:c:p:248-258. Full description at Econpapers \|\| Download paper
2014	Asymmetric adjustment toward optimal capital structure: Evidence from a crisis. (2014). shin, yongcheol ; Dang, Viet ; Kim, Minjoo . In: International Review of Financial Analysis. RePEc:eee:finana:v:33:y:2014:i:c:p:226-242. Full description at Econpapers \|\| Download paper
2014	CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008â2009 financial crisis. (2014). Calice, Giovanni . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:32:y:2014:i:c:p:20-37. Full description at Econpapers \|\| Download paper

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2013	Bias-corrected estimation in potentially mildly explosive autoregressive models. (2013). Kruse, Robinson ; Kaufmannz, Hendrik . In: CREATES Research Papers. RePEc:aah:create:2013-10. Full description at Econpapers \|\| Download paper
2013	Bootstrapping realized volatility and realized beta under a local Gaussianity assumption. (2013). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2013-30. Full description at Econpapers \|\| Download paper
2013	Generalizing smooth transition autoregressions. (2013). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2013-32. Full description at Econpapers \|\| Download paper
2013	A 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. Full description at Econpapers \|\| Download paper
2013	Exchange Rate Predictability. (2013). Rossi, Barbara. In: Journal of Economic Literature. RePEc:aea:jeclit:v:51:y:2013:i:4:p:1063-1119. Full description at Econpapers \|\| Download paper
2013	This 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. Full description at Econpapers \|\| Download paper
2013	On the correlation between commodity and equity returns: implications for portfolio allocation. (2013). Lombardi, Marco. In: BIS Working Papers. RePEc:bis:biswps:420. Full description at Econpapers \|\| Download paper
2013	Evaluating early warning indicators of banking crises: Satisfying policy requirements. (2013). Drehmann, Mathias ; Juselius, Mikael . In: BIS Working Papers. RePEc:bis:biswps:421. Full description at Econpapers \|\| Download paper
2013	Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica. In: Working Paper. RePEc:bno:worpap:2013_20. Full description at Econpapers \|\| Download paper
2013	Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations. (2013). Perron, Pierre ; Xu, Jiawen . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2013-006. Full description at Econpapers \|\| Download paper
2013	Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2013). Perron, Pierre ; Chang, Seong Yeon . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2013-020. Full description at Econpapers \|\| Download paper
2013	Computational aspects of portfolio risk estimation in volatile markets: a survey. (2013). Fabozzi, Frank ; Fabozzi Frank J., ; Stoyan, Stoyanov ; Rachev Svetlozar T., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:17:y:2013:i:1:p:103-120:n:1. Full description at Econpapers \|\| Download paper
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2013	The 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. Full description at Econpapers \|\| Download paper
2013	Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4392. Full description at Econpapers \|\| Download paper
2013	Heterogeneous Sports Participation and Labour Market Outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4434. Full description at Econpapers \|\| Download paper
2013	After-School Care and Parents Labor Supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4487. Full description at Econpapers \|\| Download paper
2013	Consumption, Income Changes and Heterogeneity: Evidence from Two Fiscal Stimulus Programmes. (2013). Surico, Paolo ; Misra, Kanishka . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9530. Full description at Econpapers \|\| Download paper
2013	Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals. (2013). Beber, Alessandro ; Brandt, Michael ; Luisi, Maurizio . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9538. Full description at Econpapers \|\| Download paper
2013	The effect of firms partial retirement policies on the labour market outcomes of their employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9574. Full description at Econpapers \|\| Download paper
2013	Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9642. Full description at Econpapers \|\| Download paper
2013	Heterogeneous sports participation and labour market outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9701. Full description at Econpapers \|\| Download paper
2013	After-school care and parentsâ labor supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9757. Full description at Econpapers \|\| Download paper
2013	Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns. (2013). Escribano, Alvaro ; Sucarrat, Genaro . In: UC3M Working papers. Economics. RePEc:cte:werepe:we1321. Full description at Econpapers \|\| Download paper
2013	Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression. (2013). Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1923. Full description at Econpapers \|\| Download paper
2013	Uniform 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. Full description at Econpapers \|\| Download paper
2013	How Learning a Musical Instrument Affects the Development of Skills. (2013). Schupp, JÃÂ¼rgen ; Hille, Adrian. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp591. Full description at Econpapers \|\| Download paper
2013	Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation. (2013). Neven, Anouk ; Ley, Christophe . In: Working Papers ECARES. RePEc:eca:wpaper:2013/143830. Full description at Econpapers \|\| Download paper
2013	A New Index of Financial Conditions. (2013). Koop, Gary ; Korobilis, Dimitris ; Gary, Koop ; Dimitris, Korobilis . In: SIRE Discussion Papers. RePEc:edn:sirdps:475. Full description at Econpapers \|\| Download paper
2013	Forecasting Binary Outcomes. (2013). Lahiri, Kajal ; Yang, Liu . In: Handbook of Economic Forecasting. RePEc:eee:ecofch:2-1025. Full description at Econpapers \|\| Download paper
2013	Time-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. Full description at Econpapers \|\| Download paper
2013	First-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. Full description at Econpapers \|\| Download paper
2013	How 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. Full description at Econpapers \|\| Download paper
2013	Linear 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. Full description at Econpapers \|\| Download paper
2013	Heavy 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. Full description at Econpapers \|\| Download paper
2013	Stable mixture GARCH models. (2013). Haas, Markus ; Broda, Simon ; Krause, Jochen ; Steude, Sven C. ; Paolella, Marc S.. In: Journal of Econometrics. RePEc:eee:econom:v:172:y:2013:i:2:p:292-306. Full description at Econpapers \|\| Download paper
2013	Risk 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. Full description at Econpapers \|\| Download paper
2013	Multivariate 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. Full description at Econpapers \|\| Download paper
2013	Least squares estimators for discretely observed stochastic processes driven by small LÃ©vy noises. (2013). Long, Hongwei ; Sun, Wei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:116:y:2013:i:c:p:422-439. Full description at Econpapers \|\| Download paper
2013	Dynamic relationship between precious metals. (2013). Åensoy, Ahmet ; Sensoy, Ahmet . In: Resources Policy. RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511. Full description at Econpapers \|\| Download paper
2013	Modelling 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. Full description at Econpapers \|\| Download paper
2013	Bias and bandwidth for local likelihood density estimation. (2013). Otneim, HÃÂ¥kon ; Tjostheim, Dag ; Karlsen, Hans Arnfinn . In: Statistics & Probability Letters. RePEc:eee:stapro:v:83:y:2013:i:5:p:1382-1387. Full description at Econpapers \|\| Download paper
2013	Stationary 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. Full description at Econpapers \|\| Download paper
2013	Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?. (2013). Wong, Benjamin. In: CAMA Working Papers. RePEc:een:camaaa:2013-59. Full description at Econpapers \|\| Download paper
2013	A proposal for an open-source financial risk model. (2013). Hwang, Jong Ho . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:59298. Full description at Econpapers \|\| Download paper
2013	Structural vector autoregressions. (2013). Kilian, Lutz . In: Chapters. RePEc:elg:eechap:14327_22. Full description at Econpapers \|\| Download paper
2013	Testing structural stability in macroeconometric models. (2013). Hall, Alastair R. ; Boldea, Otilia . In: Chapters. RePEc:elg:eechap:14327_9. Full description at Econpapers \|\| Download paper
2013	Contributions to the Theory of Optimal Tests. (2013). Moreira, Marcelo. In: Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:747. Full description at Econpapers \|\| Download paper

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Recent citations received in 2012

Year	Citing document
2012	Unit roots, nonlinearities and structural breaks. (2012). TerÃÂ¤svirta, Timo ; Kruse, Robinson ; Haldrup, Niels ; Varneskov, Rasmus T.. In: CREATES Research Papers. RePEc:aah:create:2012-14. Full description at Econpapers \|\| Download paper
2012	Asymptotic 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. Full description at Econpapers \|\| Download paper
2012	Are 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. Full description at Econpapers \|\| Download paper
2012	The 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. Full description at Econpapers \|\| Download paper
2012	Behavioral Heterogeneity in U.S. Inflation Dynamics. (2012). Massaro, Domenico ; Hommes, Cars ; Cornea-Madeira, Adriana. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:12-03. Full description at Econpapers \|\| Download paper
2012	Why Do Shoppers Use Cash? Evidence from Shopping Diary Data. (2012). Welte, Angelika ; Wakamori, Naoki. In: Staff Working Papers. RePEc:bca:bocawp:12-24. Full description at Econpapers \|\| Download paper
2012	Multiple Structural Breaks and Inflation Persistance in Belarus. (2012). Pelipas, Igor . In: BEROC Working Paper Series. RePEc:bel:wpaper:21. Full description at Econpapers \|\| Download paper
2012	Monetary Transmission Mechanism and Time Variation in the Euro Area. (2012). Bagzibagli, Kemal. In: Discussion Papers. RePEc:bir:birmec:12-12. Full description at Econpapers \|\| Download paper
2012	Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends. (2012). Perron, Pierre ; McCloskey, Adam. In: Working Papers. RePEc:bro:econwp:2012-15. Full description at Econpapers \|\| Download paper
2012	The 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. Full description at Econpapers \|\| Download paper
2012	SMOOTHED 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. Full description at Econpapers \|\| Download paper
2012	Beyond Ramsey: Gender-Based Taxation with Non-Cooperative Couples. (2012). Rainer, Helmut ; Meier, Volker. In: CESifo Working Paper Series. RePEc:ces:ceswps:_3966. Full description at Econpapers \|\| Download paper
2012	Identification 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. Full description at Econpapers \|\| Download paper
2012	Computationally efficient inference procedures for vast dimensional realized covariance models. (2012). Storti, Giuseppe ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2012028. Full description at Econpapers \|\| Download paper
2012	Dynamic conditional correlation models for realized covariance matrices. (2012). Violante, Francesco ; Storti, Giuseppe ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2012060. Full description at Econpapers \|\| Download paper
2012	Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries. (2012). Vigfusson, Robert ; Kilian, Lutz. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8980. Full description at Econpapers \|\| Download paper
2012	Improving the Performance of Random Coefficients Demand Models: the Role of Optimal Instruments. (2012). Verboven, Frank ; Reynaert, Mathias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9026. Full description at Econpapers \|\| Download paper
2012	Modelling the U.S. sovereign credit rating. (2012). Wickens, Michael ; Polito, Vito. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9150. Full description at Econpapers \|\| Download paper
2012	Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications. (2012). Phillips, Peter ; Liao, Zhipeng ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1871. Full description at Econpapers \|\| Download paper
2012	Quantiles 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. Full description at Econpapers \|\| Download paper
2012	Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models. (2012). van den Akker, Ramon ; Hallin, Marc ; Werker, Bas . In: Working Papers ECARES. RePEc:eca:wpaper:2013/132503. Full description at Econpapers \|\| Download paper
2012	Testing for a unit root in the presence of stochastic volatility and leverage effect. (2012). Li, Yong ; CHONG, Terence Tai Leung ; Zhang, Jie . In: Economic Modelling. RePEc:eee:ecmode:v:29:y:2012:i:5:p:2035-2038. Full description at Econpapers \|\| Download paper
2012	On 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. Full description at Econpapers \|\| Download paper
2012	News shocks or parametric indeterminacy? An observational equivalence result in linear rational expectations models. (2012). Sorge, Marco. In: Economics Letters. RePEc:eee:ecolet:v:114:y:2012:i:2:p:198-200. Full description at Econpapers \|\| Download paper
2012	Measurement 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. Full description at Econpapers \|\| Download paper
2012	Analysis of interactive fixed effects dynamic linear panel regression with measurement error. (2012). Weidner, Martin ; Moon, Hyungsik ; Lee, Nayoung. In: Economics Letters. RePEc:eee:ecolet:v:117:y:2012:i:1:p:239-242. Full description at Econpapers \|\| Download paper
2012	Identification 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. Full description at Econpapers \|\| Download paper
2012	Minimax regret treatment choice with covariates or with limited validity of experiments. (2012). Stoye, JÃÂ¶rg. In: Journal of Econometrics. RePEc:eee:econom:v:166:y:2012:i:1:p:138-156. Full description at Econpapers \|\| Download paper
2012	Inferring 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. Full description at Econpapers \|\| Download paper
2012	Distribution-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. Full description at Econpapers \|\| Download paper
2012	A 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. Full description at Econpapers \|\| Download paper
2012	Kernel-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. Full description at Econpapers \|\| Download paper
2012	Nonparametric 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. Full description at Econpapers \|\| Download paper
2012	Semiparametric 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. Full description at Econpapers \|\| Download paper
2012	Economic 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. Full description at Econpapers \|\| Download paper
2012	Statistical inference for DEA estimators of directional distances. (2012). Vanhems, Anne ; Simar, Leopold ; Wilson, Paul W.. In: European Journal of Operational Research. RePEc:eee:ejores:v:220:y:2012:i:3:p:853-864. Full description at Econpapers \|\| Download paper
2012	On the volatilityâvolume relationship in energy futures markets using intraday data. (2012). SÃÂ©vi, BenoÃÂ®t ; Chevallier, Julien. In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:6:p:1896-1909. Full description at Econpapers \|\| Download paper
2012	Common factors, principal components analysis, and the term structure of interest rates. (2012). Juneja, Januj . In: International Review of Financial Analysis. RePEc:eee:finana:v:24:y:2012:i:c:p:48-56. Full description at Econpapers \|\| Download paper
2012	Empirical bias in intraday volatility measures. (2012). SÃÂ©vi, BenoÃÂ®t ; Ielpo, Florian ; Fang, Yan . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:4:p:231-237. Full description at Econpapers \|\| Download paper
2012	The 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. Full description at Econpapers \|\| Download paper
2012	A note on spatialâtemporal 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. Full description at Econpapers \|\| Download paper
2012	Financial stress and economic dynamics: the transmission of crises. (2012). Tetlow, Robert ; Hubrich, Kirstin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2012-82. Full description at Econpapers \|\| Download paper
2012	Do 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. Full description at Econpapers \|\| Download paper
2012	DSGE model-based forecasting. (2012). Schorfheide, Frank ; Del Negro, Marco. In: Staff Reports. RePEc:fip:fednsr:554. Full description at Econpapers \|\| Download paper
2012	Mandatory labels, taxes and market forces: An empirical evaluation of fat policies. (2012). Lecocq, SÃÂ©bastien ; EtilÃÂ©, Fabrice ; Allais, Olivier. In: PSE Working Papers. RePEc:hal:psewpa:halshs-00736556. Full description at Econpapers \|\| Download paper
2012	Mandatory labels, taxes and market forces: An empirical evaluation of fat policies. (2012). Etile, Fabrice ; Lecocq, Sebastien ; Allais, Olivier . In: Working Papers. RePEc:hal:wpaper:halshs-00736556. Full description at Econpapers \|\| Download paper
2012	How Important is Secondary School Duration for Post-school Education Decisions? Evidence from a Natural Experiment. (2012). Thomsen, Stephan ; Meyer, Tobias . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-509. Full description at Econpapers \|\| Download paper
2012	Exchange Rates as Exchange Rate Common Factors. (2012). Wu, Jyh-lin ; Sul, Donggyu ; Mark, Nelson ; Greenaway-McGrevy, Ryan. In: Working Papers. RePEc:hkm:wpaper:212012. Full description at Econpapers \|\| Download paper
2012	Generalized Tests of Investment Fund Performance. (2012). Laurini, MÃÂ¡rcio. In: IBMEC RJ Economics Discussion Papers. RePEc:ibr:dpaper:2012-03. Full description at Econpapers \|\| Download paper
2012	Estimation of random coefficients logit demand models with interactive fixed effects. (2012). Weidner, Martin ; Shum, Matthew ; Moon, Hyungsik. In: CeMMAP working papers. RePEc:ifs:cemmap:08/12. Full description at Econpapers \|\| Download paper

More than 50 citations. List broken...

10 most frequent citing series

#	Series	Cites
1	Journal of Econometrics / Elsevier	1263
2	MPRA Paper / University Library of Munich, Germany	849
3	IZA Discussion Papers / Institute for the Study of Labor (IZA)	464
4	NBER Working Papers / National Bureau of Economic Research, Inc	409
5	Computational Statistics & Data Analysis / Elsevier	304
6	CEPR Discussion Papers / C.E.P.R. Discussion Papers	296
7	Economic Modelling / Elsevier	289
8	International Journal of Forecasting / Elsevier	281
9	Economics Letters / Elsevier	278
10	CREATES Research Papers / Department of Economics and Business Economics, Aarhus University	265
11	CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies	246

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.