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Journal of Econometrics / Elsevier

Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
191
Impact Factor
1.25
5 Years IF
1.61
Data available in this report

[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 CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0.2 0.08 3.75 0.28 83 83 6009 298 311 127 25 334 92 4 1.3 8 0.1 0.04
1991 0.33 0.08 2.56 0.33 71 154 2183 377 706 148 49 326 107 3 0.8 13 0.18 0.04
1992 0.24 0.09 1.77 0.22 66 220 7694 379 1096 154 37 344 75 17 4.5 26 0.39 0.04
1993 0.28 0.1 1.15 0.25 97 317 3335 352 1461 137 38 347 87 2 0.6 21 0.22 0.05
1994 0.46 0.11 1.34 0.31 83 400 5498 515 1997 163 75 382 120 1 0.2 19 0.23 0.06
1995 0.59 0.2 2.68 0.75 83 483 13863 1276 3291 180 107 400 298 188 14.7 34 0.41 0.08
1996 0.76 0.22 2.67 0.82 103 586 9117 1542 4856 166 126 400 328 251 16.3 66 0.64 0.1
1997 0.8 0.23 2.79 1.01 107 693 5452 1915 6789 186 149 432 435 236 12.3 38 0.36 0.1
1998 0.92 0.27 2.81 0.99 111 804 11968 2244 9050 210 193 473 468 261 11.6 39 0.35 0.12
1999 0.83 0.29 3.03 1.07 53 857 5287 2541 11643 218 180 487 521 177 7 23 0.43 0.14
2000 1.51 0.34 3.59 1.57 85 942 4280 3318 15022 164 248 457 717 253 7.6 49 0.58 0.15
2001 1.46 0.36 3.54 1.55 91 1033 5235 3561 18675 138 202 459 713 234 6.6 61 0.67 0.16
2002 1.31 0.4 3.62 1.6 97 1130 7860 3974 22765 176 231 447 714 267 6.7 110 1.13 0.21
2003 1.86 0.41 4.19 1.89 95 1225 9640 5016 27893 188 349 437 824 238 4.7 131 1.38 0.2
2004 2.34 0.46 4.59 2.14 90 1315 5103 5936 33923 192 449 421 901 233 3.9 121 1.34 0.21
2005 2.5 0.47 4.77 2.28 83 1398 6516 6488 40586 185 463 458 1045 308 4.7 139 1.67 0.22
2006 2.59 0.47 5.06 2.74 130 1528 7511 7535 48311 173 448 456 1251 417 5.5 225 1.73 0.21
2007 2.57 0.42 4.28 2.62 187 1715 8717 7257 55646 213 548 495 1297 387 5.3 219 1.17 0.19
2008 2.83 0.45 5.01 3.15 168 1883 7714 9323 65074 317 898 585 1843 464 5 208 1.24 0.21
2009 2.33 0.44 5.07 2.58 104 1987 2907 9965 75149 355 827 658 1695 324 3.3 87 0.84 0.21
2010 1.88 0.44 4.6 2.47 145 2132 4272 9729 84964 272 511 672 1659 465 4.8 156 1.08 0.18
2011 1.92 0.46 5.09 2.5 146 2278 4126 11538 96561 249 479 734 1836 486 4.2 261 1.79 0.21
2012 2.16 0.47 5.35 2.45 167 2445 3042 13046 109653 291 628 750 1836 607 4.7 124 0.74 0.19
2013 2.02 0.53 5.45 2.39 95 2540 1930 13828 123504 313 631 730 1748 357 2.6 126 1.33 0.22
2014 2.21 0.55 5.36 2.28 145 2685 2209 14308 137899 262 579 657 1497 501 3.5 144 0.99 0.21
2015 2.28 0.55 5.2 2.29 195 2880 1704 14961 152880 240 546 698 1599 938 6.3 233 1.19 0.21
2016 1.75 0.56 4.95 1.88 147 3027 1222 14987 167875 340 594 748 1406 707 4.7 110 0.75 0.2
2017 1.56 0.58 4.65 1.68 125 3152 540 14644 182535 342 533 749 1260 670 4.6 86 0.69 0.21
2018 1.76 0.7 4.29 1.8 123 3275 261 14039 196579 272 478 707 1271 692 4.9 60 0.49 0.28
2019 1.25 0.88 3.89 1.61 157 3432 199 13334 209913 248 311 735 1185 834 6.3 134 0.85 0.33
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
11998Initial conditions and moment restrictions in dynamic panel data models. (1998). Blundell, Richard ; Bond, Stephen . In: Journal of Econometrics. RePEc:eee:econom:v:87:y:1998:i:1:p:115-143.

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7937
21995Another look at the instrumental variable estimation of error-components models. (1995). Bover, Olympia ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:29-51.

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6242
31986Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327.

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6223
42003Testing for unit roots in heterogeneous panels. (2003). shin, yongcheol ; Pesaran, M ; Im, Kyung So, . In: Journal of Econometrics. RePEc:eee:econom:v:115:y:2003:i:1:p:53-74.

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4226
52002Unit root tests in panel data: asymptotic and finite-sample properties. (2002). Levin, Andrew ; Chu, Chia-Shang James ; Lin, Chien-Fu. In: Journal of Econometrics. RePEc:eee:econom:v:108:y:2002:i:1:p:1-24.

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3423
61992Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. (1992). shin, yongcheol ; Schmidt, Peter ; Phillips, Peter ; Kwiatkowski, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178.

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3137
71977Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37.

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2868
82005A finite sample correction for the variance of linear efficient two-step GMM estimators. (2005). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:1:p:25-51.

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2016
91995Estimating 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

1840
101996Impulse response analysis in nonlinear multivariate models. (1996). Potter, Simon ; Pesaran, M ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:119-147.

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1650
111974Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120.

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1618
121995Statistical inference in vector autoregressions with possibly integrated processes. (1995). Toda, Hiro Y. ; Yamamoto, Taku. In: Journal of Econometrics. RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250.

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1473
131992ARCH modeling in finance : A review of the theory and empirical evidence. (1992). Chou, Ray ; Bollerslev, Tim ; KRONER, Kenneth F.. In: Journal of Econometrics. RePEc:eee:econom:v:52:y:1992:i:1-2:p:5-59.

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1381
141982On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238.

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1191
152008Manipulation 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.

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1128
162008Regression discontinuity designs: A guide to practice. (2008). Lemieux, Thomas ; Imbens, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:615-635.

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1109
171999Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44.

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1102
182005Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353.

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1076
191982Formulation and estimation of dynamic models using panel data. (1982). hsiao, cheng ; Anderson, T. W.. In: Journal of Econometrics. RePEc:eee:econom:v:18:y:1982:i:1:p:47-82.

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1025
201996Residual-based tests for cointegration in models with regime shifts. (1996). Hansen, Bruce ; Gregory, Allan. In: Journal of Econometrics. RePEc:eee:econom:v:70:y:1996:i:1:p:99-126.

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991
211981Panel 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.

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967
221988Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211.

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953
231996Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:3-30.

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935
242003What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398.

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931
252007Estimation and inference in two-stage, semi-parametric models of production processes. (2007). Wilson, Paul ; Simar, Leopold. In: Journal of Econometrics. RePEc:eee:econom:v:136:y:2007:i:1:p:31-64.

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916
261986Random group effects and the precision of regression estimates. (1986). Moulton, Brent. In: Journal of Econometrics. RePEc:eee:econom:v:32:y:1986:i:3:p:385-397.

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910
271976Exact and superlative index numbers. (1976). Diewert, Walter. In: Journal of Econometrics. RePEc:eee:econom:v:4:y:1976:i:2:p:115-145.

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862
281997Further evidence on breaking trend functions in macroeconomic variables. (1997). Perron, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:80:y:1997:i:2:p:355-385.

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854
291995On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. (1995). Kiviet, Jan. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:53-78.

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843
302006Generalized 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.

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836
311999Threshold 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.

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803
321999GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45.

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766
331990Analysis of time series subject to changes in regime. (1990). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:45:y:1990:i:1-2:p:39-70.

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759
341986Errors in variables in panel data. (1986). Hausman, Jerry ; Griliches, Zvi. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:1:p:93-118.

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756
351988Limited information estimators and exogeneity tests for simultaneous probit models. (1988). Rivers, Douglas ; Vuong, Quang H.. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:3:p:347-366.

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738
361994Autoregressive conditional heteroskedasticity and changes in regime. (1994). Hamilton, James ; Susmel, Raul . In: Journal of Econometrics. RePEc:eee:econom:v:64:y:1994:i:1-2:p:307-333.

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728
371994On discrimination and the decomposition of wage differentials. (1994). Ransom, Michael ; Oaxaca, Ronald. In: Journal of Econometrics. RePEc:eee:econom:v:61:y:1994:i:1:p:5-21.

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698
381981Some properties of time series data and their use in econometric model specification. (1981). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:121-130.

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697
391996Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

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685
402003Testing for a unit root in the nonlinear STAR framework. (2003). snell, andy ; shin, yongcheol ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:112:y:2003:i:2:p:359-379.

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677
412007Approximately 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.

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676
421992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. (1992). juselius, katarina ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:53:y:1992:i:1-3:p:211-244.

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671
431987Forecasting 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.

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647
441980Long memory relationships and the aggregation of dynamic models. (1980). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:14:y:1980:i:2:p:227-238.

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622
451988Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. (1988). Coelli, Timothy ; Battese, George E.. In: Journal of Econometrics. RePEc:eee:econom:v:38:y:1988:i:3:p:387-399.

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608
461986Understanding spurious regressions in econometrics. (1986). Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:33:y:1986:i:3:p:311-340.

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598
472001Tests of equal forecast accuracy and encompassing for nested models. (2001). McCracken, Michael ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:85-110.

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568
481985Panel data from time series of cross-sections. (1985). Deaton, Angus. In: Journal of Econometrics. RePEc:eee:econom:v:30:y:1985:i:1-2:p:109-126.

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567
492001Long memory and regime switching. (2001). Inoue, Atsushi ; Diebold, Francis. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:131-159.

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558
501994Five alternative methods of estimating long-run equilibrium relationships. (1994). Gonzalo, Jesus. In: Journal of Econometrics. RePEc:eee:econom:v:60:y:1994:i:1-2:p:203-233.

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557
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11998Initial 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

1377
21995Another 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

1234
31986Generalized 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

711
42003Testing 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

647
52002Unit 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

503
62005A 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

374
72008Manipulation 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

320
81977Formulation 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

310
91996Impulse 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

309
101992Testing 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

290
111995Statistical 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

271
121995Estimating long-run relationships from dynamic heterogeneous panels. (1995). Smith, Ronald ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:79-113.

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267
132014On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2014). Yilmaz, Kamil ; Diebold, Francis ; Ylmaz, Kamil . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:119-134.

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256
142008Regression 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

254
151999Threshold 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

240
162007Estimation 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

195
171999Spurious 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

193
182006Generalized 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

183
191999GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45.

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181
202005Does 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

170
212007Approximately 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

160
222003What 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

143
231974Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120.

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143
241996Residual-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

127
251982On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238.

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122
262006Forecasting the term structure of government bond yields. (2006). Diebold, Francis ; Li, Canlin. In: Journal of Econometrics. RePEc:eee:econom:v:130:y:2006:i:2:p:337-364.

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120
271988Some 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

114
281995On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. (1995). Kiviet, Jan. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:53-78.

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113
292011Volatility 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.

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109
302008Regression discontinuity inference with specification error. (2008). Card, David ; Lee, David S.. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:655-674.

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89
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89
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87
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86
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86
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81
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78
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77
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77
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76
482008Forecasting economic time series using targeted predictors. (2008). Ng, Serena ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:146:y:2008:i:2:p:304-317.

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76
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74
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Citing documents used to compute impact factor: 311
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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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

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2019Ripples on financial networks. (2019). Chakrabarti, Anindya S ; Bansal, Avijit ; Kumar, Sudarshan. In: IIMA Working Papers. RePEc:iim:iimawp:14613.

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2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. (2019). Zhang, Dayong ; Ma, Yan-Ran ; Pan, Jiaofeng ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:536-544.

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2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2019). Hallin, Marc ; Valls, Pedro L ; Hotta, Luis K ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/298201.

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2019DSGE Models: Problem of Trends. (2019). Ivashchenko, Sergey M. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:190206:p:81-95.

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2019Endogenous Dynamic Efficiency in the Intertemporal Optimization Models of Firm Behavior. (2019). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: MPRA Paper. RePEc:pra:mprapa:97780.

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2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

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2019Explosive behavior in the prices of Bitcoin and altcoins. (2019). Cagli, Efe Caglar. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:398-403.

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2019Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile. (2019). Gil-Alana, Luis ; Valenzuela, Mario ; Costamagna, Rodrigo ; Dettoni, Robinson. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:269-281.

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2019Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework. (2019). Luo, Yao ; Guerre, Emmanuel. In: Papers. RePEc:arx:papers:1908.05476.

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2019Identification and estimation of triangular models with a binary treatment. (2019). Pereda-Fernández, Santiago ; Fernandez, Santiago Pereda . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1210_19.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Happy together: A regression discontinuity approach. (2019). Aistov, Andrey. In: Applied Econometrics. RePEc:ris:apltrx:0362.

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2019Disentangling the fiscal effects of local constitutions. (2019). Köppl-Turyna, Monika ; Kantorowicz, Jarosaw ; Kopplturyna, Monika. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:163:y:2019:i:c:p:63-87.

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2019The Mental Health Effects of Retirement. (2019). Picchio, Matteo ; van Ours, Jan C. In: IZA Discussion Papers. RePEc:iza:izadps:dp12791.

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2019The Mental Health Effects of Retirement. (2019). Picchio, Matteo ; van Ours, Jan C. In: GLO Discussion Paper Series. RePEc:zbw:glodps:426.

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2019THE MENTAL HEALTH EFFECTS OF RETIREMENT. (2019). van Ours, Jan ; Picchio, Matteo. In: Working Papers. RePEc:anc:wpaper:442.

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2019The Mental Health Effects of Retirement. (2019). Picchio, Matteo ; Ours, Janvan ; van Ours, Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190081.

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2019The Mental Health Effects of Retirement. (2019). van Ours, Jan C ; Picchio, Matteo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14135.

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2019The Impact of the 2012 Spanish Labour Market Reform on Unemployment Inflows and Outflows: a Regression Discontinuity Analysis using Duration Models. (2019). Domenech, Josep Mestres ; Garcia-Perez, Jose Ignacio. In: Hacienda Pública Española. RePEc:hpe:journl:y:2019:v:231:i:4:p:157-200.

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2019High-order coverage of smoothed Bayesian bootstrap intervals for population quantiles. (2019). Kaplan, David ; Hofmann, Lonnie. In: Working Papers. RePEc:umc:wpaper:1914.

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2019Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data. (2019). Kashner, Michael T ; White, Halbert ; Henley, Steven S ; Golden, Richard M. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:37-:d:264548.

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2019Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates. (2019). Cho, Jin Seo ; Huo, Lijuan . In: Working papers. RePEc:yon:wpaper:2019rwp-152.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Hybrid quantile estimation for asymmetric power GARCH models. (2019). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1911.09343.

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2019Testing the existence of moments for GARCH processes. (2019). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:98892.

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2019Shrinkage Estimation of Network Spillovers with Factor Structured Errors. (2019). Martellosio, Federico ; Higgins, Ayden. In: Papers. RePEc:arx:papers:1909.02823.

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2019Adjusted QMLE for the spatial autoregressive parameter. (2019). Hillier, Grant ; Martellosio, Federico. In: Papers. RePEc:arx:papers:1909.08141.

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2019Center-Outward R-Estimation for Semiparametric VARMA Models. (2019). Hallin, Marc ; Liu, H ; la Vecchia, Davide. In: Working Papers ECARES. RePEc:eca:wpaper:2013/294809.

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2019Carry trades and endogenous regime switches in exchange rate volatility. (2019). Cho, Dooyeon ; Lee, Na Kyeong ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268.

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2019Regime switching panel data models with interactive fixed effects. (2019). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:47-51.

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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:726.

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2019A regime-switching model for the federal funds rate target. (2019). Sirchenko, Andrei. In: UvA-Econometrics Working Papers. RePEc:ame:wpaper:1901.

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2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: MPRA Paper. RePEc:pra:mprapa:95965.

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2019Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle. (2019). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:375.

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2019Estimating the Economy-Wide Rebound Effect Using Empirically Identified Structural Vector Autoregressions. (2019). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: LEM Papers Series. RePEc:ssa:lemwps:2019/27.

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2019Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087.

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2019Data-driven structural BVAR analysis of unconventional monetary policy. (2019). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:1.

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2019Exporting and productivity as part of the growth process: Causal evidence from a data-driven structural VAR. (2019). Moneta, Alessio ; Coad, Alex ; Ciarli, Tommaso. In: LEM Papers Series. RePEc:ssa:lemwps:2019/39.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792.

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2019Proxy-SVAR as a Bridge for Identification with Higher Frequency Data. (2019). Vicondoa, Alejandro ; Gazzani, Andrea Giovanni. In: 2019 Meeting Papers. RePEc:red:sed019:855.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers. RePEc:lan:wpaper:257939806.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2019Analyzing credit risk transmission to the non-financial sector in Europe: A network approach. (2019). Siklos, Pierre ; Gross, Christian. In: CAMA Working Papers. RePEc:een:camaaa:2019-43.

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2019Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2019Analyzing credit risk transmission to the non-financial sector in Europe: a network approach. (2019). Gross, Christian. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203645.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02262202.

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2019Estimating and testing high dimensional factor models with multiple structural changes. (2019). Wang, FA ; Kao, Chihwa ; Baltagi, Badi H. In: MPRA Paper. RePEc:pra:mprapa:98489.

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2019Testing treatment effect heterogeneity in regression discontinuity designs. (2019). Shen, Shu ; Hsu, Yu-Chin. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:468-486.

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2019Asymptotic inference for the constrained quantile regression process. (2019). Parker, Thomas. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:174-189.

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2019Unbiased CCE estimator for Interactive Fixed Effects panels. (2019). Yan, Jingzhou ; Chen, Mingjing. In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:1-4.

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2019Panel evidence on the ability of oil returns to predict stock returns in the G7 area. (2019). Sharma, Susan Sunila ; Westerlund, Joakim. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:3-12.

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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_02-2019.

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2019Have Econometric Analyses of Happiness Data Been Futile? A Simple Truth About Happiness Scales. (2019). Srisuma, Sorawoot ; Powdthavee, Nattavudh ; Chen, Le-Yu ; Oparina, Ekaterina. In: Papers. RePEc:arx:papers:1902.07696.

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2019Have Econometric Analyses of Happiness Data Been Futile? A Simple Truth about Happiness Scales. (2019). Srisuma, Sorawoot ; Powdthavee, Nattavudh ; Chen, Le-Yu ; Oparina, Ekaterina. In: IZA Discussion Papers. RePEc:iza:izadps:dp12152.

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2019Identification and Estimation in a Third-Price Auction Model. (2019). FLORENS, Jean-Pierre ; Enache, Andrea. In: TSE Working Papers. RePEc:tse:wpaper:26557.

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2019Inference for First-Price Auctions with Guerre, Perrigne, and Vuongs Estimator. (2019). Marmer, Vadim ; Shneyerov, Artyom. In: Papers. RePEc:arx:papers:1903.06401.

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2019Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity. (2019). Zhu, YU ; Grundl, Serafin. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:363-378.

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2019Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator. (2019). Marmer, Vadim ; Shneyerov, Artyom. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:507-538.

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2019Essays in econometric theory. (2019). Sadikoglu, Serhan . In: Other publications TiSEM. RePEc:tiu:tiutis:99d83644-f9dc-49e3-a4e1-5ca8a8d3f784.

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2019Barriers to Mobility or Sorting? Sources and Aggregate Implications of Income Gaps across Sectors and Locations in Indonesia. (2019). Swiecki, Tomasz ; Pulido, Jose. In: 2019 Meeting Papers. RePEc:red:sed019:1298.

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2019The Efficient Deployment of Police Resources: Theory and New Evidence from a Randomized Drunk Driving Crackdown in India. (2019). Banerjee, Abhijit ; Keniston, Daniel ; Duflo, Esther. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13981.

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2019Indirect inference with a non-smooth criterion function. (2019). Oka, Tatsushi ; Frazier, David T ; Zhu, Dan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:623-645.

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2019A Scrambled Method of Moments. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1911.09128.

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2019The Efficient Deployment of Police Resources: Theory and New Evidence from a Randomized Drunk Driving Crackdown in India. (2019). Duflo, Esther ; Banerjee, Abhijit ; Singh, Nina ; Keniston, Daniel. In: NBER Working Papers. RePEc:nbr:nberwo:26224.

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2019Dynamic specification tests for dynamic factor models. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_07.

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2019Dynamic Factor Models in gretl. The DFM package. (2019). Venetis, Ioannis ; Lucchetti, Riccardo (Jack). In: gretl working papers. RePEc:anc:wgretl:7.

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

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2019Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method. (2019). Dai, Yimin ; Wei, YU ; Tang, Yong ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314414.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2019The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2019Indirect Inference: Which Moments to Match?. (2019). Frazier, David T ; Renault, Eric. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:14-:d:215228.

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2019Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2019Relevant moment selection under mixed identification strength. (2019). Dovonon, Prosper ; Doko Tchatoka, Firmin ; Aguessy, Michael. In: School of Economics Working Papers. RePEc:adl:wpaper:2019-04.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2019Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa. In: MPRA Paper. RePEc:pra:mprapa:92734.

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2019Behavioural New Keynesian models. (2019). Levine, Paul ; Calvert Jump, Robert. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:59-77.

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2019Forecasting with instabilities: an application to DSGE models with financial frictions. (2019). Villa, Stefania ; Paccagnini, Alessia ; Cardani, Roberta. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1234_19.

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2019Testing DSGE Models by Indirect Inference: a Survey of Recent Findings. (2019). Xu, Yongdeng ; Wickens, Michael ; Minford, Patrick ; Meenagh, David. In: Open Economies Review. RePEc:kap:openec:v:30:y:2019:i:3:d:10.1007_s11079-019-09526-w.

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2019Simultaneous Mean-Variance Regression. (2019). Stouli, Sami ; Spady, Richard. In: Papers. RePEc:arx:papers:1804.01631.

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2019Feasible generalized least squares using support vector regression. (2019). Startz, Richard ; Miller, Steve . In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:28-31.

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2019Do Right to Carry Laws Increase Violent Crime? A Comment on Donohue, Aneja, and Weber. (2019). Moody, Carlisle E ; Marvell, Thomas B. In: Econ Journal Watch. RePEc:ejw:journl:v:16:y:2019:i:1:p:84-96.

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2019Improving weighted least squares inference. (2019). Wolf, Michael ; Romano, Joseph P ; Diciccio, Cyrus J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:96-119.

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2019A Practical Guide to Harnessing the HAR Volatility Model. (2019). Preve, Daniel ; Clements, Adam. In: NCER Working Paper Series. RePEc:qut:auncer:2019_01.

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2019Optimized Regression Discontinuity Designs. (2019). Wager, Stefan ; Imbens, Guido. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:101:y:2019:i:2:p:264-278.

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2019A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46..

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2019Quantiles via moments. (2019). Santos Silva, João ; Santos Silva, J. M. C., ; Jose , . In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:145-173.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Working Paper Series in Economics. RePEc:zbw:kitwps:124.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2019Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures. (2019). Demuynck, Thomas ; Cherchye, Laurens ; de Rock, Bram. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:483-506.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2019A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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2019Feature screening in ultrahigh-dimensional partially linear models with missing responses at random. (2019). Yan, Xiaodong ; Xia, Linli ; Tang, Niansheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:208-227.

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2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019An Integrated Panel Data Approach to Modelling Economic Growth. (2019). GAO, Jiti ; Peng, Bin ; Feng, Guohua. In: Papers. RePEc:arx:papers:1903.07948.

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2019The marginal and double threshold effects of regional innovation on energy consumption structure: Evidence from resource-based regions in China. (2019). Deng, Feng ; Hao, Xiaoli. In: Energy Policy. RePEc:eee:enepol:v:131:y:2019:i:c:p:144-154.

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2019Estimation of Varying Coefficient Models with Measurement Error. (2019). Dong, Hao ; Taylor, Luke ; Otsu, Taisuke. In: Departmental Working Papers. RePEc:smu:ecowpa:1905.

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2019Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects. (2019). Rodriguez-Poo, Juan M ; Arteaga-Molina, Luis A. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:110-124.

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2019The impact of environmental policy stringency on industrial productivity growth: A semi-parametric study of OECD countries. (2019). McLaren, Keith ; Zhao, Xueyan ; Zhang, Xiaohui ; Yang, OU ; Feng, Guohua. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2019n16.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2019Adaptive Financial Fraud Detection in Imbalanced Data with Time-Varying Poisson Processes. (2019). Robert, Stephan ; Bovay, J'Erome ; Houssou, R'Egis. In: Papers. RePEc:arx:papers:1912.04308.

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2019Intraday momentum and stock return predictability: Evidence from China. (2019). Zhang, Yaojie ; Zhu, BO ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:319-329.

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2019Forecasting solar irradiance at short horizons: Frequency and time domain models. (2019). Hansen, Clifford ; Reikard, Gordon. In: Renewable Energy. RePEc:eee:renene:v:135:y:2019:i:c:p:1270-1290.

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2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120.

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2019Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Wei, YU ; Zhang, Yaojie ; Jin, Daxiang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433.

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2019Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach. (2019). Qu, Ling ; Ren, Yongping ; Lu, Xinsheng ; Cai, Yuxin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305771.

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2019A convergence-speed-dependent data quantity definition and its effect on risk estimation. (2019). Krause, Jakob. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:6:d:10.1057_s41260-019-00137-1.

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2019Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Algieri, Bernardina ; Leccadito, Arturo. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302786.

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2019Pension adequacy standards: an empirical estimation strategy and results for the United States and Germany. (2019). schmied, julian ; Dudel, Christian. In: MPIDR Working Papers. RePEc:dem:wpaper:wp-2019-003.

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2019Heterogeneous Effects of Job Displacement on Earnings. (2019). Callaway, Brantly ; Jahromi, Afrouz Azadikhah. In: DETU Working Papers. RePEc:tem:wpaper:1901.

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2019Partial identification of the treatment effect distribution and its functionals. (2019). Ridder, Geert ; Firpo, Sergio. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:210-234.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019Bayesian Lassos for spatial durbin error model with smoothness prior: Application to detect spillovers of Chinas treaty ports. (2019). Han, Xiaoyi ; Li, Jianan. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:77:y:2019:i:c:p:38-74.

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2019Nonparametric Gaussian inference for stable processes. (2019). Steland, Ansgar ; Mies, Fabian . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:22:y:2019:i:3:d:10.1007_s11203-018-9193-9.

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2019Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_03-2019.

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2019Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency. (2019). Piano Mortari, Andrea ; Ilardi, Giuseppe ; Belotti, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:459.

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2019Subspace Clustering for Panel Data with Interactive Effects. (2019). Tony, Hon Keung ; Qu, Hao ; Gao, Wei ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:1909.09928.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon. In: Papers. RePEc:arx:papers:1910.11965.

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2019Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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2019A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:122.

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2019A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:125.

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2019Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects. (2019). Gong, Xiaodong ; GAO, Jiti ; Liang, Xuan. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-26.

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2019Measuring financial cycle time. (2019). Lombardi, Marco ; Filardo, Andrew ; Raczko, Marek. In: Bank of England working papers. RePEc:boe:boeewp:0776.

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2019Asymptotic F Tests under Possibly Weak Identification. (2019). Wang, Xuexin ; Sun, Yixiao ; Martinez-Iriarte, Julian. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt6qk200q8.

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2019A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions. (2019). Sun, Yixiao ; Liu, Cheng. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt0ck2109g.

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2019A simple and trustworthy asymptotic t test in difference-in-differences regressions. (2019). Sun, Yixiao ; Liu, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:327-362.

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2019Cointegration, root functions and minimal bases. (2019). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20192.

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2019If You Were Me: Proxy Respondents Biases in Population Health Surveys. (2019). Paraponaris, Alain ; Joutard, Xavier ; Davin, Berengere. In: Working Papers. RePEc:hal:wpaper:halshs-02036434.

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2019“If You Were Me”: Proxy Respondents’ Biases in Population Health Surveys. (2019). Paraponaris, Alain ; Joutard, Xavier ; Davin, Brengre. In: AMSE Working Papers. RePEc:aim:wpaimx:1905.

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2019The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification. (2019). Poskitt, Donald ; Zhao, Xueyan ; Li, Chuhui. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:94-113.

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2019Family migration in China: Do migrant children affect parental settlement intention?. (2019). Zhang, Haifeng ; Ni, Jinlan ; Wang, Chunchao . In: Journal of Comparative Economics. RePEc:eee:jcecon:v:47:y:2019:i:2:p:416-428.

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2019Tenancy and energy choice for lighting and cooking: Evidence from Ghana. (2019). Martey, Edward. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:570-581.

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2019Q-complementarity in household adoption of photovoltaics and electricity-intensive goods: The case of electric vehicles. (2019). Reichl, Johannes ; Kollmann, Andrea ; Azarova, Valeriya ; Cohen, Jed. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:567-577.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2019Testing subspace Granger causality. (2019). Al-Sadoon, Majid M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:42-61.

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2019A time-varying true individual effects model with endogenous regressors. (2019). Tsionas, Mike ; Tran, Kien ; Kutlu, Levent. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:539-559.

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2019Does environmental heterogeneity affect the productive efficiency of grid utilities in China?. (2019). Pollitt, Michael ; Liu, Li-Qiu ; Xie, Bai-Chen. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:333-344.

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2019Evaluating the CDF of the distribution of the stochastic frontier composed error. (2019). Tsay, Wen-Jen ; Schmidt, Peter ; Amsler, Christine. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:52:y:2019:i:1:d:10.1007_s11123-019-00554-9.

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2019Estimating Selection Models without Instrument with Stata. (2019). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong ; Qiu, Xiaoyun. In: IZA Discussion Papers. RePEc:iza:izadps:dp12486.

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2019Estimating Selection Models without Instrument with Stata. (2019). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong ; Qiu, Xiaoyun. In: NBER Working Papers. RePEc:nbr:nberwo:25823.

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2019Robust Inference in First-Price Auctions : Experimental Findings as Identifying Restrictions. (2019). Zhu, YU ; Grundl, Serafin J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-06.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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2019The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models. (2019). Cagli, Efe Caglar ; Mandaci, Pinar Evrim ; Taskin, Dilvin. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354.

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2019Nonparametric Regression with Selectively Missing Covariates. (2018). Haan, Peter ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1810.00411.

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2019Testing Unconfoundedness Assumption Using Auxiliary Variables. (2019). Tang, Shengfang ; Lin, Ming ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201905.

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2019Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2019Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance. (2019). Wu, Jianhong. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:60-63.

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2019Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019A rank test for the number of factors with high-frequency data. (2019). Liu, Zhi ; Kong, Xin-Bing ; Zhou, Wang. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:439-460.

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2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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2019Energy security in decision making and governance - Methodological analysis of energy trilemma index. (2019). Vasi, Bojana ; Bjegovi, Miroslav ; Prajc, Polona. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:114:y:2019:i:c:19.

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2019Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

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2019Panel data analysis with heterogeneous dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:451-475.

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2019Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2019Inference on functionals under first order degeneracy. (2019). Fang, Zheng ; Chen, Qihui. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:459-481.

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2019Strict stationarity testing and GLAD estimation of double autoregressive models. (2019). Li, Dong ; Guo, Shaojun. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:319-337.

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2019Mutually Consistent Revealed Preference Demand Predictions. (2019). Adams, Abigail. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13580.

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2019A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2019Threshold Regression with Endogeneity for Short Panels. (2019). Würtz, Allan ; Gorgens, Tue. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:23-:d:233364.

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2019Testing for a Threshold in Models with Endogenous Regressors. (2019). Boldea, Otilia ; Rothfelder, Mario. In: Discussion Paper. RePEc:tiu:tiucen:94a7c921-f27f-43a0-82f4-4d4fe8259fa2.

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2019Optimal Experimental Design for Staggered Rollouts. (2019). Imbens, Guido ; Bayati, Mohsen ; Athey, Susan ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1911.03764.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2019Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review. (2019). Lin, Ming ; Fang, Ying ; Cai, Zongwu ; Liu, Zeqin. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201904.

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2019Inference on average treatment effects in aggregate panel data settings. (2019). Chernozhukov, Victor ; Wuthrich, Kaspar. In: CeMMAP working papers. RePEc:ifs:cemmap:32/19.

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2019Synthetic Difference In Differences. (2019). Imbens, Guido ; Athey, Susan ; Arkhangelsky, Dmitry ; Wager, Stefan ; Hirshberg, David A. In: NBER Working Papers. RePEc:nbr:nberwo:25532.

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2019Three-stage semi-parametric inference: Control variables and differentiability. (2019). Ridder, Geert ; Hahn, Jinyong. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:262-293.

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2019Relationships between different Macroeconomic Variables using VECM. (2019). Rawat, Saannidhya. In: Papers. RePEc:arx:papers:1907.04447.

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2019Discrete Choice and Welfare Analysis with Unobserved Choice Sets. (2019). Kashaev, Nail ; Aguiar, Victor H. In: Papers. RePEc:arx:papers:1907.04853.

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2019Identifying modern macro equations with old shocks. (2019). Mesters, Geert ; Barnichon, Régis. In: Economics Working Papers. RePEc:upf:upfgen:1659.

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2019A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries. (2019). McAleer, Michael ; Slottje, Daniel J ; Ryu, Hang K. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:1:p:31-61.

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2019Job loss expectations, durable consumption and household finances: Evidence from linked survey data. (2019). Vellekoop, Nathanaël ; Pettinicchi, Yuri. In: SAFE Working Paper Series. RePEc:zbw:safewp:249.

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2019On the estimation of treatment effects with endogenous misreporting. (2019). Tchernis, Rusty ; Denteh, Augustine ; Nguimkeu, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:487-506.

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2019Identifying the effect of a mis-classified, binary, endogenous regressor. (2019). Garcia-Jimeno, Camilo ; Ditraglia, Francis J. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:376-390.

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2019A Correction for Regression Discontinuity Designs with Group-Specific Mismeasurement of the Running Variable. (2019). Dieterle, Steven ; Brummet, Quentin ; Bartalotti, Otavio. In: IZA Discussion Papers. RePEc:iza:izadps:dp12366.

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2019Fiscal rules and budget forecast errors of Italian Municipalities. (2019). SANTOLINI, RAFFAELLA ; Picchio, Matteo. In: Working Papers. RePEc:anc:wpaper:438.

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2019Varying Random Coefficient Models. (2019). hoderlein, stefan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1804.03110.

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2019Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables. (2019). Khalil, Umair ; Yildiz, Nee ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:346-366.

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2019Estimating the returns to education using a parametric control function approach: evidences for a developing country. (2019). Zylberstajn, Eduardo ; Souza, Andre Portela. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:39:y:2019:i:2:a:69538.

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2019Inference on a distribution from noisy draws. (2019). Weidner, Martin ; Jochmans, Koen. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1946.

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2019Inference on a distribution from noisy draws. (2019). Jochmans, Koen ; Weidner, Martin. In: CeMMAP working papers. RePEc:ifs:cemmap:44/19.

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2019On the uniform convergence of deconvolution estimators from repeated measurements. (2019). Otsu, Taisuke ; Kurisu, Daisuke. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:604.

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2019Semiparametric estimation of the bid–ask spread in extended roll models. (2019). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:160-178.

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2019Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

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2019Do measures of risk attitude in the laboratory predict behavior under risk in and outside of the laboratory?. (2019). Villeval, Marie Claire ; Offerman, Theo ; Garcia, Thomas ; Charness, Gary. In: Working Papers. RePEc:hal:wpaper:halshs-02146618.

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2019Dynamics and heterogeneity of subjective stock market expectations. (2019). van Rooij, Maarten ; Heiss, Florian ; Winter, Joachim ; Rossmann, Tobias ; Hurd, Michael. In: DNB Working Papers. RePEc:dnb:dnbwpp:640.

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2019Do measures of risk attitude in the laboratory predict behavior under risk in and outside of the laboratory?. (2019). Villeval, Marie Claire ; Charness, Gary ; Offerman, Theo ; Garcia, Thomas. In: Working Papers. RePEc:gat:wpaper:1921.

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2019Dynamics and Heterogeneity of Subjective Stock Market Expectations. (2019). Winter, Joachim ; van Rooij, Maarten ; Heiss, Florian ; Rossmann, Tobias ; Hurd, Michael. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:157.

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2019Do Measures of Risk Attitude in the Laboratory Predict Behavior under Risk in and outside of the Laboratory?. (2019). Villeval, Marie Claire ; Offerman, Theo ; Garcia, Thomas ; Charness, Gary. In: IZA Discussion Papers. RePEc:iza:izadps:dp12395.

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2019Emotions, Risk Attitudes, and Patience. (2019). Meier, Armando. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp1041.

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2019Economic Uncertainty and Subjective Inflation Expectations. (2019). Rossmann, Tobias. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:160.

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2019Five Facts About Beliefs and Portfolios. (2019). Maggiori, Matteo ; Giglio, Stefano ; Utkus, Stephen ; Stroebel, Johannes. In: NBER Working Papers. RePEc:nbr:nberwo:25744.

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2019Looking at the bright side: The motivational value of confidence. (2019). Schildberg-Horisch, Hannah ; Chen, SI. In: European Economic Review. RePEc:eee:eecrev:v:120:y:2019:i:c:s0014292119301540.

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2019Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations. (2019). Bai, Jushan ; Liao, Yuan ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:1910.09004.

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2019A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects. (2019). Yamagata, Takashi ; Nagata, Shuichi ; Hayakawa, Kazuhiko ; Cui, Guowei. In: ISER Discussion Paper. RePEc:dpr:wpaper:1037r.

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2019Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice. (2019). Su, Liangjun ; Peng, Bin ; Feng, Guohua ; Yang, Thomas Tao. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:607-622.

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2019The communication and European Regional economic growth: The interactive fixed effects approach. (2019). Liu, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:299-311.

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2019Identification- and Singularity-Robust Inference for Moment Condition. (2019). Guggenberger, Patrik. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r2.

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2019Inference on Winners. (2019). McCloskey, Adam ; Kitagawa, Toru ; Andrews, Isaiah. In: NBER Working Papers. RePEc:nbr:nberwo:25456.

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2019Testing overidentifying restrictions with a restricted parameter space. (2019). Ketz, Philipp. In: Economics Letters. RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303738.

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2019From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Ganics, Gergely ; Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1689.

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2019From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947.

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2019Semiparametric Single-index Predictive Regression. (2019). GAO, Jiti ; Kew, Hsein ; Harris, David ; Zhou, Weilun. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-25.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: CEPN Working Papers. RePEc:upn:wpaper:2019-05.

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2019Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1810.04725.

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2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

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2019Continuous Record Asymptotics for Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881.

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2019Cross-Sectional Dispersion of Risk in Trading Time. (2019). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin. In: NBER Working Papers. RePEc:nbr:nberwo:26329.

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2019External Monitors and Score Manipulation in Italian Schools: Symptomatic Treatment or Cure?. (2019). brunello, giorgio ; Bertoni, Marco ; de Paola, Maria ; Depaola, Maria ; de Benedetto, Marco Alberto. In: IZA Discussion Papers. RePEc:iza:izadps:dp12591.

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2019COMPARISON IS THE THIEF OF JOY. DOES SOCIAL COMPARISON AFFECT MIGRANTS’ SUBJECTIVE WELL-BEING?. (2019). de Paola, Maria ; Depaola, Maria ; de Benedetto, Marco Alberto ; Brunello, Giorgio ; Bertoni, Marco. In: Working Papers. RePEc:clb:wpaper:201907.

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2019Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves. (2019). Phillips, Peter ; Cho, Jin Seo. In: Working papers. RePEc:yon:wpaper:2019rwp-153.

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2019Average Derivative Estimation Under Measurement Error. (2019). Otsu, Taisuke ; Dong, Hao ; Taylor, Luke. In: Departmental Working Papers. RePEc:smu:ecowpa:1901.

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2019Average derivative estimation under measurement error. (2019). Otsu, Taisuke ; Taylor, Luke ; Dong, Hao. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:602.

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2019Agricultural productivity growth in Brazil: Large and small farms excel. (2019). Magalhes, Marcelo ; Helfand, Steven ; Rada, Nicholas. In: Food Policy. RePEc:eee:jfpoli:v:84:y:2019:i:c:p:176-185.

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2019Heterogeneous Endogenous Effects in Networks. (2019). Peng, Sida. In: Papers. RePEc:arx:papers:1908.00663.

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2019How Fast Is Europe Getting Old? Analysis of Dynamics Applying the Spatial Shift–Share Approach. (2019). Lewandowska-Gwarda, Karolina ; Antczak, Elbieta. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:20:p:5661-:d:276279.

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2019On the Forecast Combination Puzzle. (2019). Yang, Yuhong ; Cheng, Gang ; Rolling, Craig A ; Qian, Wei. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:39-:d:265946.

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2019Change-in-mean tests in long-memory time series: a review of recent developments. (2019). Sibbertsen, Philipp ; Leschinski, Christian ; Wenger, Kai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:103:y:2019:i:2:d:10.1007_s10182-018-0328-5.

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2019Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration. (2019). Sibbertsen, Philipp ; Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-660.

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2019The de-biased group Lasso estimation for varying coefficient models. (2019). Honda, Toshio. In: Discussion Papers. RePEc:hit:econdp:2018-04.

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2019Many Average Partial Effects: with An Application to Text Regression. (2019). CHIANG, HAROLD. In: Papers. RePEc:arx:papers:1812.09397.

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2019Infinitely Stochastic Micro Forecasting. (2019). Pevsta, Michal ; Okhrin, Ostap ; MacIak, Mat'Uvs. In: Papers. RePEc:arx:papers:1908.10636.

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2019Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments. (2019). Russell, Thomas M. In: Papers. RePEc:arx:papers:1810.03180.

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2019Inference in high-dimensional set-identified affine models. (2019). Gafarov, Bulat. In: Papers. RePEc:arx:papers:1904.00111.

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2019Posterior Distribution of Nondifferentiable Functions. (2019). Velez Salamanca, Amilcar ; Payne, Jonathan ; Montiel, Jose Luis ; Kitagawa, Toru. In: Working Papers. RePEc:apc:wpaper:147.

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2019SVARs Identification through Bounds on the Forecast Error Variance. (2019). Volpicella, Alessio. In: Working Papers. RePEc:qmw:qmwecw:890.

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2019The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

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2019Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2019Tests of Conditional Predictive Ability: Some Simulation Evidence. (2019). McCracken, Michael. In: Working Papers. RePEc:fip:fedlwp:2019-011.

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2019Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2019Bootstrapping structural change tests. (2019). Hall, Alastair R ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:359-397.

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2019Can Higher Capital Discipline Bank Risk: Evidence from a Meta-Analysis. (2019). Nguyen, Quang V. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:134-:d:259155.

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2019Applied welfare analysis for discrete choice with interval-data on income. (2019). Bhattacharya, Debopam ; Lee, Ying-Ying. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:361-387.

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2019Exact computation of Censored Least Absolute Deviations estimator. (2019). Florios, Kostas ; Bilias, Yannis ; Skouras, Spyros. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:584-606.

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2019Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling. (2019). Hong, Yongmiao ; Zhang, Xun ; Sun, Yuying ; Wang, Shouyang. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:165-173.

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2019The heterogeneous effects of the minimum wage on employment across states. (2019). Su, Liangjun ; Phillips, Peter ; PEter, ; Wang, Wuyi. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:179-185.

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2019Nonparametric Quantile Regressions for Panel Data Models with Large T. (2019). Chen, Liang. In: Papers. RePEc:arx:papers:1911.01824.

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2019What drives renewable energy production in MENA Region? Investigating the roles of political stability, governance and financial sector. (2019). Fateh, BELAID ; Elsayed, Ahmed H ; Belaid, Fateh. In: Working Papers. RePEc:erg:wpaper:1322.

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2019A Simple Estimator for Quantile Panel Data Models Using Smoothed Quantile Regressions. (2019). Huo, Yulong ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.04729.

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2019High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2019High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Wang, Zixuan ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1230.

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2019Leave-out Estimation of Variance Components. (2019). Kline, Patrick ; Solvsten, Mikkel ; Saggio, Raffaele. In: NBER Working Papers. RePEc:nbr:nberwo:26244.

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2019Regression Discontinuity Design with Multiple Groups for Heterogeneous Causal Effect Estimation. (2019). Hoshino, Takahiro ; Wakano, Ayako ; Toda, Takayuki. In: Papers. RePEc:arx:papers:1905.04443.

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2019Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions. (2019). Chen, Jau-er ; Tien, Jia-Jyun. In: Papers. RePEc:arx:papers:1909.12592.

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2019Card-Sales Response to Merchant Contactless Payment Acceptance: Causal Evidence. (2019). Camara, Youssouf ; Bounie, David. In: Working Papers. RePEc:hal:wpaper:hal-02296302.

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2019International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?. (2019). Liu, Fang ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:168-183.

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2019Nonparametric Predictive Regressions for Stock Return Prediction. (2019). GAO, Jiti ; Linton, O ; Cheng, T. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1932.

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2019Nonparametric Predictive Regressions for Stock Return Prediction. (2019). Linton, Oliver ; Gao, Jiti ; Cheng, Tingting. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-4.

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2019An Integrated Panel Data Approach to Modelling Economic Growth. (2019). Peng, Bin ; Gao, Jiti ; Feng, Guohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-6.

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2019Statistical Inference on Partially Linear Panel Model under Unobserved Linearity. (2019). Shang, Zuofeng ; Boukai, Ben ; Liu, Ruiqi. In: Papers. RePEc:arx:papers:1911.08830.

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2019Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness. (2019). GAO, Jiti ; Yang, Yanrong ; Liu, Fei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-24.

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2019An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26.

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2019Structural Changes in Heterogeneous Panels with Endogenous Regressors. (2019). Feng, Qu ; Kao, Chihwa ; Baltagi, Badi. In: Center for Policy Research Working Papers. RePEc:max:cprwps:214.

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2019Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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2019The Effect of Interest Rate Caps on Bankruptcy: Synthetic Control Evidence from Recent Payday Lending Bans. (2019). Dasgupta, Kabir ; Mason, Brenden J. In: Working Papers. RePEc:aut:wpaper:201904.

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2019Forward-Selected Panel Data Approach for Program Evaluation. (2019). Huang, Jingyi ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1908.05894.

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2019Can employment subsidies save jobs? Evidence from a shipbuilding city in South Korea. (2019). Kim, Hye Jin ; Lee, Jungmin. In: Labour Economics. RePEc:eee:labeco:v:61:y:2019:i:c:s0927537119300892.

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2019Stochastic modeling of currency exchange rates with novel validation techniques. (2019). Michalak, Anna ; Sikora, Grzegorz ; Wyomaska, Agnieszka ; Mita, Pawe ; Bielak, Ukasz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1202-1215.

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2019A Doubly Corrected Robust Variance Estimator for Linear GMM. (2019). Lee, Seojeong ; Kang, Byunghoon ; Hwang, Jungbin. In: Papers. RePEc:arx:papers:1908.07821.

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2019About the Relationship Between Green Technology and Material Usage. (2019). Wendler, Tobias. In: Environmental & Resource Economics. RePEc:kap:enreec:v:74:y:2019:i:3:d:10.1007_s10640-019-00373-4.

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2019A Doubly Corrected Robust Variance Estimator for Linear GMM. (2019). Lee, Seojeong ; Kang, Byunghoon ; Hwang, Jungbin. In: Working Papers. RePEc:lan:wpaper:274731767.

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

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2019Multi-state choices with aggregate feedback on unfamiliar alternatives. (2019). Jehiel, Philippe ; Singh, Juni. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02183444.

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2019On asymptotic size distortions in the random coefficients logit model. (2019). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:413-432.

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2019Multi-state choices with aggregate feedback on unfamiliar alternatives. (2019). Jehiel, Philippe ; Singh, Juni. In: Working Papers. RePEc:hal:wpaper:halshs-02183444.

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2019Ridesourcing systems: A framework and review. (2019). Yang, Hai ; Wang, Hai. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:129:y:2019:i:c:p:122-155.

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2019Opinion Dynamics and Disagreements on Financial Networks. (2019). Casarin, Roberto ; Billio, Monica ; Frattarolo, Lorenzo ; Costola, Michele. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:24-51.

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2019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

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2019Public finance sustainability in Europe: a behavioral model. (2019). Suarez, Carolina Ulloa ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:1929.

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2019Estimation of Dynamic Panel Threshold Model using Stata. (2019). SEO, MYUNG HWAN ; Kim, Young-Joo. In: Papers. RePEc:arx:papers:1902.10318.

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2019Identification of Regression Models with a Misclassified and Endogenous Binary Regressor. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:1904.11143.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049.

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2019Simulation smoothing for nowcasting with large mixed-frequency VARs. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1907.01075.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa ; Bitto-Nemling, Angela. In: Papers. RePEc:arx:papers:1907.07065.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019Estimation of Conditional Average Treatment Effects with High-Dimensional Data. (2019). Lieli, Robert ; Zhang, Yichong ; Hsu, Yu-Chin ; Fan, Qingliang. In: Papers. RePEc:arx:papers:1908.02399.

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2019Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2019Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework. (2019). Luo, Yao ; Guerre, Emmanuel. In: Papers. RePEc:arx:papers:1908.05476.

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2019Measuring international uncertainty using global vector autoregressions with drifting parameters. (2019). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1908.06325.

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2019A Doubly Corrected Robust Variance Estimator for Linear GMM. (2019). Lee, Seojeong ; Kang, Byunghoon ; Hwang, Jungbin. In: Papers. RePEc:arx:papers:1908.07821.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Averaging estimation for instrumental variables quantile regression. (2019). Liu, Xin. In: Papers. RePEc:arx:papers:1910.04245.

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2019A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2019An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation. (2019). Wang, Xuexin ; Sun, Yixiao. In: Papers. RePEc:arx:papers:1911.03771.

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2019Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2019A Scrambled Method of Moments. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1911.09128.

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2019Mean-shift least squares model averaging. (2019). Takanashi, Kosaku ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1912.01194.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2019Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Papers. RePEc:arx:papers:1912.03100.

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2019Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2019Network Data. (2019). Graham, Bryan S. In: Papers. RePEc:arx:papers:1912.06346.

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2019Prediction Intervals for Synthetic Control Methods. (2019). Titiunik, Rocio ; Feng, Yingjie ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:1912.07120.

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2019Estimation of Auction Models with Shape Restrictions. (2019). Schurter, Karl ; Pinkse, Joris. In: Papers. RePEc:arx:papers:1912.07466.

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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2019From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947.

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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2019Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model. (2019). Huber, Florian ; Feldkircher, Martin ; Doppelhofer, Gernot ; Cuaresma, Jesus Crespo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:182:y:2019:i:3:p:831-861.

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2019News-driven inflation expectations and information rigidities. (2019). Thorsrud, Leif ; Larsen, Vegard ; Zhulanova, Julia. In: Working Papers. RePEc:bny:wpaper:0075.

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2019The impact of board directors on the innovation of new ventures. (2019). Stephan, Andreas ; Lööf, Hans ; Baum, Christopher ; Viklund-Ros, Ingrid. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:988.

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2019Housing wealth, household debt and financial assets: are there implications for consumption?. (2019). Papapetrou, Evangelia ; Palaios, Panagiotis ; Manou, Konstantina. In: Working Papers. RePEc:bog:wpaper:263.

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2019Influencers and Communities in Social Networks. (2019). Klochkov, Y ; Hardle, W K ; Chen, C. Y-H., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1998.

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2019Audits as Evidence: Experiments, Ensembles, and Enforcement. (2019). Kline, Patrick ; Walters, Christopher. In: Institute for Research on Labor and Employment, Working Paper Series. RePEc:cdl:indrel:qt3z72m9kn.

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2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

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2019The Hard Problem of Prediction for Conflict Prevention. (2019). Rauh, Christopher ; Mueller, Hannes Felix. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13748.

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2019Finance and Carbon Emissions. (2019). Popov, Alexander ; de Haas, Ralph. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14012.

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2019Inflation at Risk. (2019). Loria, Francesca ; Lopez-Salido, David J. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14074.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2019Finance and carbon emissions. (2019). Popov, Alexander ; De Haas, Ralph. In: Working Paper Series. RePEc:ecb:ecbwps:20192318.

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2019A time-varying parameter structural model of the UK economy. (2019). Waldron, Matt ; Masolo, Riccardo M. ; Petrova, Katerina ; Kapetanios, George. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:5.

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2019Pricing and Exercising American Options: an Asymptotic Expansion Approach. (2019). Ye, Yongxin ; Li, Chenxu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:11.

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2019Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons. (2019). Peng, Hongfeng ; Shi, Jing ; Liao, Yin ; Bu, DI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188918302483.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Threshold regression with endogeneity for short panels. (2018). Würtz, Allan ; Gorgens, Tue ; Wurtz, Allan H. In: CREATES Research Papers. RePEc:aah:create:2018-27.

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2018Effects of Taxes and Safety Net Pensions on life-cycle Labor Supply, Savings and Human Capital: the Case of Australia. (2018). Iskhakov, Fedor. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2018-661.

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2018Threshold regression with endogeneity for short panels. (2018). Würtz, Allan ; Gorgens, Tue ; Wurtz, Allan H. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2018-665.

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2018Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment. (2018). Sant'Anna, Pedro ; Callaway, Brantly. In: Papers. RePEc:arx:papers:1803.09015.

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2018Bootstrap Methods in Econometrics. (2018). Horowitz, Joel L. In: Papers. RePEc:arx:papers:1809.04016.

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2018Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2018Inference in Games Without Nash Equilibrium: An Application to Restaurants, Competition in Opening Hours. (2018). Xie, Erhao . In: Staff Working Papers. RePEc:bca:bocawp:18-60.

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2018Asymptotically unbiased inference for a panel VAR model with p lags. (2018). Melo-Velandia, Luis ; Cubillos-Rocha, Juan. In: Borradores de Economia. RePEc:bdr:borrec:1059.

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2018Evaluating research and education performance in Indian agricultural development. (2018). Schimmelpfennig, David ; Rada, Nicholas. In: Agricultural Economics. RePEc:bla:agecon:v:49:y:2018:i:3:p:395-406.

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2018Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations. (2018). Hamilton, James ; Baumeister, Christiane. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_014.

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2018High Dimensional Semiparametric Moment Restriction Models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1881.

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2018Applied Welfare Analysis for Discrete Choice with Interval-data on Income. (2018). Bhattacharya, Debopam ; Lee, Y-Y., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1882.

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2018Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations. (2018). Baumeister, Christiane ; Hamilton, James D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7048.

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2018A dynamic network model of the unsecured interbank lending market. (2018). Lelyveld, Iman ; Bräuning, Falk ; Blasques, Francisco ; van Lelyveld, Iman ; Brauning, Falk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:310-342.

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2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

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2018A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models. (2018). Xiang, Jingjie ; Cui, Guowei ; Li, Kunpeng. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:144-148.

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2018Nonparametric specification testing via the trinity of tests. (2018). Gupta, Abhimanyu. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:169-185.

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2018Testing for self-excitation in jumps. (2018). Boswijk, H. Peter ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2018Exit dynamics of start-up firms: Structural estimation using indirect inference. (2018). Golombek, Rolf ; Raknerud, Arvid. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:204-225.

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2018Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18.

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2018Improvement pathway of energy consumption structure in Chinas industrial sector: From the perspective of directed technical change. (2018). Shao, Shuai ; Miao, Zhuang ; Yang, Lili. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:166-176.

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2018Interval decomposition ensemble approach for crude oil price forecasting. (2018). Sun, Shaolong ; Wei, Yunjie ; Wang, Shouyang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:274-287.

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2018National research funding and energy efficiency: Evidence from the National Science Foundation of China. (2018). Du, Minzhe ; Zhang, Ning ; Wang, Bing. In: Energy Policy. RePEc:eee:enepol:v:120:y:2018:i:c:p:335-346.

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2018Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination. (2018). Zhang, Wenjie ; Srinivasan, Dipti ; Quan, Hao. In: Energy. RePEc:eee:energy:v:160:y:2018:i:c:p:810-819.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206.

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2018Estimating heterogeneous contributing strategies in threshold public goods provision: A structural analysis. (2018). Liu, Pengfei ; Hu, Yingyao ; An, Yonghong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:152:y:2018:i:c:p:124-146.

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2018Efficient implementation with interdependent valuations and maxmin agents. (2018). Song, Yangwei. In: Journal of Economic Theory. RePEc:eee:jetheo:v:176:y:2018:i:c:p:693-726.

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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2018Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations. (2018). Baumeister, Christiane ; Hamilton, James D. In: Journal of Monetary Economics. RePEc:eee:moneco:v:100:y:2018:i:c:p:48-65.

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2018Confidence regions for entries of a large precision matrix. (2018). Zou, Tao ; Yao, Qiwei ; Qiu, Yumou ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87513.

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2018Monte Carlo Comparison for Nonparametric Threshold Estimators. (2018). Chen, Chaoyi ; Sun, Yiguo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:49-:d:164335.

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2018The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632.

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2018Bootstrap methods in econometrics. (2018). Horowitz, Joel L. In: CeMMAP working papers. RePEc:ifs:cemmap:53/18.

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2018Robust Bayesian inference for set-identified models. (2018). Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:61/18.

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2018High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: CeMMAP working papers. RePEc:ifs:cemmap:69/18.

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2018Heterogeneous spillovers among Spanish provinces: a generalized spatial stochastic frontier model. (2018). Álvarez, Inmaculada ; Orea, Luis ; Gude, Alberto. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:50:y:2018:i:3:d:10.1007_s11123-018-0540-z.

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2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

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2018A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. (2018). Li, Yuyi ; Jawadi, Fredj ; Bu, Ruijun. In: Working Papers. RePEc:liv:livedp:20183.

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2018High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-23.

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2018Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations. (2018). Hamilton, James ; Baumeister, Christiane. In: NBER Working Papers. RePEc:nbr:nberwo:24597.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2018Productivity growth, firm turnover and new varieties. (2018). Iancu, Diana-Cristina ; Raknerud, Arvid ; von Brasch, Thomas. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-11.

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2018A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions.. (2018). Kruiniger, Hugo . In: MPRA Paper. RePEc:pra:mprapa:88623.

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2018Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean. (2018). Legrand, Romain. In: MPRA Paper. RePEc:pra:mprapa:88925.

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2018Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110.

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2018Energy Efficiency Transitions in China: How persistent are the movements to/from the frontier?. (2018). Zhang, Lin ; ADOM, PHILIP. In: MPRA Paper. RePEc:pra:mprapa:94797.

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2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Ferreira, Eva ; Casas, Isabel ; Orbe, Susan. In: CREATES Research Papers. RePEc:aah:create:2017-33.

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2017Improved asymptotic analysis of Gaussian QML estimators in spatial models. (2017). Olejnik, Alicja. In: Lodz Economics Working Papers. RePEc:ann:wpaper:9/2017.

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2017Comparing distributions by multiple testing across quantiles or CDF values. (2017). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1708.04658.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2017Staying at zero with affine processes : an application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Rue de la Banque. RePEc:bfr:rueban:2017:52.

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2017Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483.

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2017Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-010.

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2017Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-011.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2017Simple, Robust, and Accurate F and t Tests in Cointegrated Systems. (2017). Sun, Yixiao ; Hwang, Jungbin. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt83b4q8pk.

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2017Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence. (2017). Schafgans, Marcia M ; Hidalgo, Javier. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:597.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez, Carlos Vladimir . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2017Optimal Dimension Reduction for High-dimensional and Functional Time Series. (2017). Lippi, Marco ; Hallin, Marc ; Hormann, Siegfried. In: Working Papers ECARES. RePEc:eca:wpaper:2013/260201.

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2017Bounding Counterfactual Demand with Unobserved Heterogeneity and Endogenous Expenditures. (2017). Demuynck, Thomas ; De Rock, Bram ; Cherchye, Laurens. In: Working Papers ECARES. RePEc:eca:wpaper:2013/260414.

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2017Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area. (2017). Hubrich, Kirstin ; Holm-Hadulla, Fédéric. In: Working Paper Series. RePEc:ecb:ecbwps:20172119.

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2017Assessing DSGE model nonlinearities. (2017). Schorfheide, Frank ; Bocola, Luigi ; Aruoba, S. Boragan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:34-54.

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2017Confidence intervals in regressions with estimated factors and idiosyncratic components. (2017). Fosten, Jack. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:71-74.

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2017On testing for structural break of coefficients in factor-augmented regression models. (2017). Chen, Sanpan ; Zhang, Jianhua ; Cui, Guowei. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:141-145.

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2017A social interaction model with ordered choices. (2017). Liu, Xiaodong ; Zhou, Jiannan. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:86-89.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Inferences in panel data with interactive effects using large covariance matrices. (2017). Bai, Jushan ; Liao, Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:59-78.

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2017Understanding the effect of measurement error on quantile regressions. (2017). Chesher, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:223-237.

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2017Instrumental variable estimation of nonlinear models with nonclassical measurement error using control variables. (2017). Hahn, Jinyong ; Ridder, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:238-250.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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2017Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Hu, Charlie ; Feng, Phoenix ; Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69812.

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2017Inference without smoothing for large panels with cross-sectional and temporal dependence. (2017). , Marcia ; Hidalgo, Javier. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87748.

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2017This time it is different! Or not?. (2017). Franses, Philip Hans ; Janssens, E. In: Econometric Institute Research Papers. RePEc:ems:eureir:101764.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2017The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1702.

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2017The perils of counterfactual analysis with integrated processes. (2017). Medeiros, Marcelo ; Carvalho, Carlos ; Masini, Ricardo Pereira ; de Carvalho, Carlos Viana. In: Textos para discussão. RePEc:fgv:eesptd:455.

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2017Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa17-3.

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2017Non-Stationary Dynamic Factor Models for Large Datasets. (2017). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-24.

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2017Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison. (2017). Renne, Jean-Paul ; Mouabbi, Sarah ; Grishchenko, Olesya. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-102.

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2017Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area. (2017). Hubrich, Kirstin ; Holm-Hadulla, Fédéric. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-63.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2017Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles. (2017). Johansen, Soren ; Franchi, Massimo. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:25-:d:101429.

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2017Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market. (2017). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:40-:d:110779.

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2017Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models. (2017). Paruolo, Paolo ; Doornik, Jurgen ; Mosconi, Rocco . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536.

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2017Recent Developments in Cointegration. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2017:i:1:p:1-:d:124889.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures. (2017). Tarassow, Artur. In: Macroeconomics and Finance Series. RePEc:hep:macppr:201702.

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2017Understanding the effect of measurement error on quantile regressions. (2017). Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:19/17.

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2017Inference on breakdown frontiers. (2017). Poirier, Alexandre ; Masten, Matthew. In: CeMMAP working papers. RePEc:ifs:cemmap:20/17.

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2017Binarization for panel models with fixed effects. (2017). Botosaru, Irene ; Muris, Chris. In: CeMMAP working papers. RePEc:ifs:cemmap:31/17.

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2017Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve. (2017). Shintani, Mototsugu ; Kurozumi, Takushi ; Gemma, Yasufumi . In: IMES Discussion Paper Series. RePEc:ime:imedps:17-e-10.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; de Magistris, Paolo Santucci ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2016Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2016-24.

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2016Estimating Multi-Product Production Functions and Productivity using Control Functions. (2016). Malikov, Emir. In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts. RePEc:ags:aaea16:235108.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Fractional order statistic approximation for nonparametric conditional quantile inference. (2016). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1609.09035.

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2016Measuring Uncertainty and Its Impact on the Economy. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1639.

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2016Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing. (2016). Bibinger, Markus ; Mykland, Per A. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:43:y:2016:i:4:p:1078-1102.

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2016Alternative Bayesian compression in Vector Autoregressions and related models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:216.

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2016Alternatives to large VAR, VARMA and multivariate stochastic volatility models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:217.

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2016Confi dence Intervals for Projections of Partially Identi fied Parameters. (2016). Stoye, Jörg ; Molinari, Francesca ; Kaido, Hiroaki. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2016-001.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016On the Stock-Yogo Tables. (2016). Windmeijer, Frank ; Skeels, Christopher. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/679.

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2016Evaluating the Use of Commercial Data to Improve Survey Estimates of Property Taxes. (2016). Seeskin, Zachary H. In: CARRA Working Papers. RePEc:cen:cpaper:2016-06.

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2016VAR Models with Non-Gaussian Shocks. (2016). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy). In: Discussion Papers. RePEc:cfm:wpaper:1609.

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2016Nowcasting Mexico’s Short-Term GDP Growth in Real-Time: A Factor Model versus Professional Forecasters. (2016). Alvarez, Federico Hernandez ; Delajara, Marcelo ; Tirado, Abel Rodriguez . In: ECONOMIA JOURNAL. RePEc:col:000425:015160.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Production Function Estimation with Measurement Error in Inputs. (2016). De Loecker, Jan ; Collard-Wexler, Allan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11399.

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2016Adaptive state space models with applications to the business cycle and financial stress. (2016). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11599.

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2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

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2016Time Varying Quantile Lasso. (2016). Härdle, Wolfgang ; Wang, W ; Hardle, W K ; Zbonakova, L. In: Working Papers. RePEc:cty:dpaper:16/07.

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2016Identifying Uncertainty Shocks Using the Price of Gold. (2016). Podstawski, Maximilian ; Piffer, Michele . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1549.

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2016Crimea and Punishment: The Impact of Sanctions on Russian and European Economies. (2016). Netšunajev, Aleksei ; Kholodilin, Konstantin ; Netsunajev, Aleksei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1569.

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2016Semi-Parametric Measures of Scale Characteristics of German Natural Gas-Fired Electricity Generation. (2016). Seifert, Stefan. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1571.

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2016Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Podstawski, Maximilian ; Große Steffen, Christoph. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1602.

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2016The Spatial Efficiency Multiplier and Random Effects in Spatial Stochastic Frontier Models. (2016). Sickles, Robin ; Kenjegalieva, Karligash ; Glass, Anthony J ; Weyman-Jones, Thomas. In: Working Papers. RePEc:ecl:riceco:16-002.

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2016Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective. (2016). Wang, Minggang ; Tian, Zihao ; Jiang, Shumin ; Du, Ruijin ; Chen, Ying. In: Applied Energy. RePEc:eee:appene:v:175:y:2016:i:c:p:109-127.

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2016A newly identified source of potential CPI bias: Weekly versus monthly unit value price indexes. (2016). Fox, Kevin ; Diewert, Walter ; de Haan, Jan. In: Economics Letters. RePEc:eee:ecolet:v:141:y:2016:i:c:p:169-172.

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2016Inference on modelling cross-sectional dependence for a varying-coefficient model. (2016). Peng, Bin. In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:1-5.

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2016On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors. (2016). Tsionas, Mike ; Tran, Kien. In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:19-22.

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2016Model averaging with high-dimensional dependent data. (2016). Li, Hongjun ; Zhou, Jianhong ; Zhao, Shangwei. In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:68-71.

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2016Score-driven dynamic patent count panel data models. (2016). Escribano, Alvaro ; Blazsek, Szabolcs. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:116-119.

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2016Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24.

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2016Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, Frédérique ; Cazals, Catherine ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359.

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2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

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2016Robust econometric inference with mixed integrated and mildly explosive regressors. (2016). Phillips, Peter ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:433-450.

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2016Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202.

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2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016Consistent model specification tests based on k-nearest-neighbor estimation method. (2016). Li, Hongjun ; Liu, Ruixuan. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:187-202.

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2016Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models. (2016). Kock, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:71-85.

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2016Tail dependence of the Gaussian copula revisited. (2016). Kuznetsov, Alexey ; Zitikis, Riardas ; Furman, Edward ; Su, Jianxi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:97-103.

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2016Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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2016Democracy and growth: Evidence from a machine learning indicator. (2016). Gründler, Klaus ; Grundler, Klaus ; Krieger, Tommy . In: European Journal of Political Economy. RePEc:eee:poleco:v:45:y:2016:i:s:p:85-107.

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2016Spatial nonstationarity in the stochastic frontier model: An application to the Italian wine industry. (2016). Vidoli, Francesco ; Fusco, Elisa ; Canello, Jacopo ; Cardillo, Concetta . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:61:y:2016:i:c:p:153-164.

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2016VAR models with non-Gaussian shocks. (2016). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy). In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86238.

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2016Services Trade Policy and Manufacturing Productivity: The Role of Institutions. (2016). Hoekman, Bernard ; Fiorini, Matteo ; Beverelli, Cosimo. In: Working Papers. RePEc:erg:wpaper:1012.

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2016Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

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2016Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries. (2016). Schorfheide, Frank ; Cuba-Borda, Pablo ; Aruoba, S. Boragan. In: International Finance Discussion Papers. RePEc:fip:fedgif:1163.

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2016Forecasting Economic Activity with Mixed Frequency Bayesian VARs. (2016). Brave, Scott ; Justiniano, Alejandro ; Butters, Andrew R. In: Working Paper Series. RePEc:fip:fedhwp:wp-2016-05.

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