Roberto S. Mariano : Citation Profile

Deceased: 2025-04-17

14

H index

19

i10 index

7258

Citations

RESEARCH PRODUCTION:

31

Articles

35

Papers

1

Books

22

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   53 years (1970 - 2023). See details.
   Cites by year: 136
   Journals where Roberto S. Mariano has often published
   Relations with other researchers
   Recent citing documents: 611.    Total self citations: 10 (0.14 %)

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   Permalink: http://citec.repec.org/pma174
   Updated: 2025-12-20    RAS profile:    
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Relations with other researchers

Works with:

Ozmucur, Suleyman (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roberto S. Mariano.

Is cited by:

GUPTA, RANGAN (166)

Marcellino, Massimiliano (100)

Clark, Todd (63)

Swanson, Norman (61)

Kapetanios, George (49)

Salisu, Afees (48)

Diebold, Francis (42)

Perez Quiros, Gabriel (42)

McCracken, Michael (41)

Wang, Yudong (41)

Camacho, Maximo (41)

Cites to:

Kaminsky, Graciela (24)

Reinhart, Carmen (23)

Eichengreen, Barry (20)

Rose, Andrew (17)

Woodford, Michael (15)

Obstfeld, Maurice (12)

Frankel, Jeffrey (11)

Taylor, Alan (10)

Diebold, Francis (10)

Shambaugh, Jay (10)

wachter, susan (9)

Main data

Where Roberto S. Mariano has published?

Journals with more than one article published# docs
Philippine Review of Economics5
Econometrica5
Journal of Econometrics3
International Economic Review3
Journal of Business & Economic Statistics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
UP School of Economics Discussion Papers / University of the Philippines School of Economics7
Working Papers / Singapore Management University, School of Economics7
Finance Working Papers / East Asian Bureau of Economic Research4

Recent works citing Roberto S. Mariano (2025 and 2024)

YearTitle of citing document
2025Asymmetric Roles of Macroeconomic Variables in the Real Exchange Rate: Insights from U.S.-Korea Data. (2025). Kim, Hyeongwoo ; Behera, Sarthak. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2025-01.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169.

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2024Modelos FAVAR con factores estáticos y dinámicos para pronosticar la inflación en Costa Rica. (2024). Segura-Rodriguez, Carlos. In: Documentos de Trabajo. RePEc:apk:doctra:2403.

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2025Título del Documento en Inglés. (2025). Segura-Rodriguez, Carlos. In: Documentos de Trabajo. RePEc:apk:doctra:2509.

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2024Univariate inflation forecasts in Costa Rica: model evaluation and selection. (2024). Brenes-Soto, Carlos ; Jimnez-Montero, Susan ; Sand-Esquivel, Adriana ; Vindas-Quesada, Alberto. In: Notas Técnicas. RePEc:apk:nottec:2405.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024To Bag is to Prune. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2008.07063.

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2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Prewhitened Long-Run Variance Estimation Robust to Nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02235.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2025Tail-GAN: Learning to Simulate Tail Risk Scenarios. (2023). Xu, Renyuan ; Cont, Rama ; Cucuringu, Mihai ; Zhang, Chao. In: Papers. RePEc:arx:papers:2203.01664.

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2024Ensemble distributional forecasting for insurance loss reserving. (2024). Li, Yanfeng ; Wong, Bernard ; Avanzi, Benjamin ; Xian, Alan. In: Papers. RePEc:arx:papers:2206.08541.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Factor Network Autoregressions. (2025). Moramarco, Graziano ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2024Prediction intervals for economic fixed-event forecasts. (2024). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2024Unit Averaging for Heterogeneous Panels. (2024). Brownlees, Christian ; Morozov, Vladislav. In: Papers. RePEc:arx:papers:2210.14205.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121.

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2024Probabilistic Quantile Factor Analysis. (2024). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2024Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2024). Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2303.10019.

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2025GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2025). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2025Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Baruník, Jozef ; Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2024Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model. (2024). Tiozzo Pezzoli, Luca ; Pfarrhofer, Michael ; onorante, luca ; Huber, Florian ; Hirschbühl, Dominik ; Barbaglia, Luca ; Hauzenberger, Niko ; Frattarolo, Lorenzo ; Hirschbuehl, Dominik. In: Papers. RePEc:arx:papers:2401.10054.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024Monthly GDP nowcasting with Machine Learning and Unstructured Data. (2024). TENORIO, JUAN ; Perez, Wilder. In: Papers. RePEc:arx:papers:2402.04165.

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2024What drives the European carbon market? Macroeconomic factors and forecasts. (2024). Rossini, Luca ; Bastianin, Andrea ; Qin, Yan ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2402.04828.

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2024Electricity Price Forecasting in the Irish Balancing Market. (2024). Prestwich, Steven ; Collins, Joseph ; O'Connor, Ciaran ; Visentin, Andrea. In: Papers. RePEc:arx:papers:2402.06714.

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2024Supervised Autoencoder MLP for Financial Time Series Forecasting. (2024). Ślepaczuk, Robert ; Bieganowski, Bartosz. In: Papers. RePEc:arx:papers:2404.01866.

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2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

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2024Comparing predictive ability in presence of instability over a very short time. (2024). Rossini, Luca ; Iacone, Fabrizio ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2405.11954.

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2024MIDAS-QR with 2-Dimensional Structure. (2024). Szendrei, Tibor ; Schaffer, Mark ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2406.15157.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2025Online Distributional Regression. (2024). Hirsch, Simon ; Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2407.08750.

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2024Momentum Informed Inflation-at-Risk. (2024). Szendrei, Tibor ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2408.12286.

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2025EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods. (2024). Jiang, Zixiao ; Zhao, Xuanze ; Abdullah, Shamsul Nahar ; Ding, Hongcheng ; Dewi, Deshinta Arrova. In: Papers. RePEc:arx:papers:2408.13214.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024Green bubbles: a four-stage paradigm for detection and propagation. (2024). Grossi, Luigi ; Vriz, Gian Luca. In: Papers. RePEc:arx:papers:2410.06564.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2024Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data. (2024). Ślepaczuk, Robert ; Bieganowski, Bartosz. In: Papers. RePEc:arx:papers:2411.12753.

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2025The Value of Information from Sell-side Analysts. (2024). Lv, Linying. In: Papers. RePEc:arx:papers:2411.13813.

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2024Density forecast transformations. (2024). Odendahl, Florens ; Mogliani, Matteo. In: Papers. RePEc:arx:papers:2412.06092.

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2025Monthly GDP Growth Estimates for the U.S. States. (2025). Raftapostolos, Aristeidis ; Mitchell, James ; McIntyre, Stuart ; Koop, Gary. In: Papers. RePEc:arx:papers:2501.04607.

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2025Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025The Role of Deep Learning in Financial Asset Management: A Systematic Review. (2025). Reis, Pedro ; Serra, Ana Paula ; Gama, Joao. In: Papers. RePEc:arx:papers:2503.01591.

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2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025An Artificial Trend Index for Private Consumption Using Google Trends. (2025). Alpiste, Heidi ; Tenorio, Juan ; Rem, Jakelin ; Segil, Arian. In: Papers. RePEc:arx:papers:2503.21981.

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2025Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting. (2025). Hirsch, Simon. In: Papers. RePEc:arx:papers:2504.02518.

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2025Non-linear Phillips Curve for India: Evidence from Explainable Machine Learning. (2025). Pawar, Amit ; Pratap, Bhanu ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2504.05350.

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2025Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623.

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2025Asset Pricing in Pre-trained Transformer. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01575.

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2025Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01921.

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2025Sequential Scoring Rule Evaluation for Forecast Method Selection. (2025). Poskitt, Donald ; Frazier, David T. In: Papers. RePEc:arx:papers:2505.09090.

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2025Comparative analysis of financial data differentiation techniques using LSTM neural network. (2025). Gajda, Janusz ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19243.

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2025Conditional Method Confidence Set. (2025). Bauer, Lukas ; Kazak, Ekaterina. In: Papers. RePEc:arx:papers:2505.21278.

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2025Evaluating financial tail risk forecasts: Testing Equal Predictive Ability. (2025). Bauer, Lukas. In: Papers. RePEc:arx:papers:2505.23333.

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2025Neural Jumps for Option Pricing. (2025). Liu, Yanchu ; Guo, Hanzhong ; Zheng, Duosi ; Huang, Wei. In: Papers. RePEc:arx:papers:2506.05137.

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2025Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections. (2025). Keijsers, Bart ; Boot, Tom. In: Papers. RePEc:arx:papers:2506.09575.

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2025An Interpretable Machine Learning Approach in Predicting Inflation Using Payments System Data: A Case Study of Indonesia. (2025). Badrawani, Wishnu. In: Papers. RePEc:arx:papers:2506.10369.

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2025Machine Learning-Based Estimation of Monthly GDP. (2025). Jung, Yonggeun. In: Papers. RePEc:arx:papers:2506.14078.

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2025Tracking the economy at high frequency. (2025). Jarr, Juan ; Garc, Freddy. In: Papers. RePEc:arx:papers:2507.07450.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Call Option Price using Pearson Diffusion Processes. (2025). Meka, Sesha ; Sarkar, Barun ; Bhar, Suprio. In: Papers. RePEc:arx:papers:2508.14577.

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2025Is attention truly all we need? An empirical study of asset pricing in pretrained RNN sparse and global attention models. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2508.19006.

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2025Forecasting in small open emerging economies Evidence from Thailand. (2025). Aunsri, Nattapol ; Taveeapiradeecharoen, Paponpat. In: Papers. RePEc:arx:papers:2509.14805.

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2025Macroeconomic Forecasting and Machine Learning. (2025). Giannone, Domenico ; Ghigliazza, Raffaele M ; Fan, Ting-Han ; Chi, Ta-Chung. In: Papers. RePEc:arx:papers:2510.11008.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2025Diffusion Index Forecast with Tensor Data. (2025). Han, Yuefeng ; Chen, Bin ; Yu, Qiyang. In: Papers. RePEc:arx:papers:2511.02235.

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2025Measuring economic outlook in the news timely and efficiently. (2025). Rosenblatt-Wisch, Rina ; Beck, Elliot ; Eckert, Franziska ; Kuhne, Linus ; Liebert, Helge. In: Papers. RePEc:arx:papers:2511.04299.

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2025Words Matter: Forecasting Economic Downside Risks with Corporate Textual Data. (2025). Isler, Cansu. In: Papers. RePEc:arx:papers:2511.04935.

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2025Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840.

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2025When Reasoning Fails: Evaluating Thinking LLMs for Stock Prediction. (2025). Sodha, Rakeshkumar H. In: Papers. RePEc:arx:papers:2511.08608.

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2024Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters. (2024). Schick, Manuel. In: Working Papers. RePEc:awi:wpaper:0750.

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2024Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run. (2024). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:588.

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2024Nowcasting Italian industrial production: the predictive role of lubricant oils. (2024). Ropele, Tiziano ; Fruzzetti, Marco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_866_24.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2024Consumption of households in Colombia: What do the retail trade indices tell us?. (2024). Florez, Luz ; Arango Thomas, Luis ; Marin, Johana N ; Posada, Carlos E. In: Borradores de Economia. RePEc:bdr:borrec:1275.

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2024The Risk of Inflation Dispersion in the Euro Area. (2024). Lhuissier, Stéphane ; Tripier, Fabien ; Ortmans, Aymeric. In: Working papers. RePEc:bfr:banfra:954.

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2025The capital puzzle. (2025). Amaral, Eduardo. In: BIS Working Papers. RePEc:bis:biswps:1288.

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2025Harnessing artificial intelligence for monitoring financial markets. (2025). Gelos, R. Gaston ; Perez-Cruz, Fernando ; Park, Taejin ; Godoy, Douglas Kiarelly ; Aquilina, Matteo. In: BIS Working Papers. RePEc:bis:biswps:1291.

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2024Forecasting Key Macroeconomic Indicators Using DMA and DMS Methods. (2024). Pankratova, Anastasiia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:32-52.

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2024DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables. (2024). Kryzhanovskij, Oleg ; Shuvalova, Zhanna ; Murashov, Yaroslav ; Kryzhanovskiy, Oleg ; Mogilat, Anastasia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:2:p:3-25.

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2024Analysts Inflation Expectations vs Univariate Models of Inflation Forecasting in the Russian Economy. (2024). Perevyshin, Yury. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:2:p:54-76.

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2024New Approaches to Measuring, Analysing, and Forecasting Prices: A Review of the Bank of Russia, NES, and HSE University Workshop. (2024). Grishchenko, Vadim ; Krylov, Ivan. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:2:p:92-111.

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2024Bottom-up Inflation Forecasting Using Machine Learning Methods. (2024). Mikitchuk, Marina ; Postolit, Egor ; Akhmedova, Elena ; Latypov, Rodion. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:3:p:23-44.

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More than 100 citations found, this list is not complete...

Roberto S. Mariano has edited the books:

YearTitleTypeCited

Works by Roberto S. Mariano:

YearTitleTypeCited
1992FINITE-SAMPLE PROPERTIES OF STOCHASTIC PREDICTORS IN NONLINEAR SYSTEMS: SOME INITIAL RESULTS In: Economic Research Papers.
[Full Text][Citation analysis]		paper0
1985Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results..(1985) In: The Warwick Economics Research Paper Series (TWERPS).
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1995Comparing Predictive Accuracy. In: Journal of Business & Economic Statistics.
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2002Comparing Predictive Accuracy..(2002) In: Journal of Business & Economic Statistics.
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1994Comparing Predictive Accuracy.(1994) In: NBER Technical Working Papers.
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2006Monetary policy approaches and implementation in Asia: the Philippines and Indonesia In: BIS Papers chapters.
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2010A Coincident Index, Common Factors, and Monthly Real GDP* In: Oxford Bulletin of Economics and Statistics.
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2004Prediction of Currency Crises: Case of Turkey In: Review of Middle East Economics and Finance.
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1989Predictors in Dynamic Nonlinear Models: Large-Sample Behavior In: Econometric Theory.
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2007Financial Liberalization and Monetary Policy Cooperation in East Asia1 In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive.
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2006Underpriced Default Spread Exacerbates Market Crashes In: Finance Working Papers.
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2006Underpriced Default Spread Exacerbates Market Crashes.(2006) In: Working Papers.
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2005Sustainable External Debt Levels : Estimates for Selected Asian Countries In: Macroeconomics Working Papers.
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2005Sustainable External Debt Levels: Estimates for Selected Asian Countries.(2005) In: Working Papers.
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2009Misaligned Incentives and Mortgage Lending in Asia In: Microeconomics Working Papers.
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2007Misaligned Incentives and Mortgage Lending in Asia.(2007) In: Working Paper.
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2009Misaligned Incentives and Mortgage Lending in Asia.(2009) In: NBER Chapters.
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2009Misaligned Incentives and Mortgage Lending in Asia.(2009) In: Working Papers.
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1972The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators. In: Econometrica.
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1973Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables. In: Econometrica.
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1973Approximations to the Distribution Functions of Theils K-Class Estimators. In: Econometrica.
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1977Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients. In: Econometrica.
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1984Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System. In: Econometrica.
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2004Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model In: Econometric Society 2004 Far Eastern Meetings.
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2004Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model.(2004) In: Working Papers.
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2005Bank lending and real estate in Asia: market optimism and asset bubbles In: Journal of Asian Economics.
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2012Statistical tests for multiple forecast comparison In: Journal of Econometrics.
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1975Some large-concentration-parameter asymptotics for the k-class estimators In: Journal of Econometrics.
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1998Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations In: Journal of Econometrics.
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2008Markov switching GARCH models of currency turmoil in Southeast Asia In: Emerging Markets Review.
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2007Markov switching GARCH models of currency turmoil in southeast Asia.(2007) In: International Finance Discussion Papers.
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1985New tests of the life cycle and tax discounting hypotheses In: Journal of Monetary Economics.
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2006Capital Controls, Financial Crises and Cures: Simulations with an Econometric Model for Malaysia In: Chapters.
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1995Stochastic Prediction in Dynamic Nonlinear Systems In: Contributions to Economic Analysis.
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1991Comparing predictive accuracy I: an asymptotic test In: Discussion Paper / Institute for Empirical Macroeconomics.
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1997Testing under non-standard conditions in frequency domain: with applications to Markov regime-switching models of exchange rates and federal funds rate In: Staff Reports.
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1982Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case. In: International Economic Review.
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1983Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System. In: International Economic Review.
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1989Measures of Deterministic Prediction Bias in Nonlinear Models. In: International Economic Review.
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2003A new coincident index of business cycles based on monthly and quarterly series In: Journal of Applied Econometrics.
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1994Prediction, Filtering and Smoothing in Non-linear and Non-normal Cases Using Monte Carlo Integration. In: Journal of Applied Econometrics.
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1997Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea In: Asia-Pacific Financial Markets.
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2007External Debt, Adjustment, and Growth In: NBER Chapters.
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2006External Debt, Adjustment, and Growth.(2006) In: Working Papers.
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2023External Debt, Adjustment, and Growth.(2023) In: World Scientific Book Chapters.
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2011Comment on Commodity Prices, Commodity Currencies, and Global Economic Developments In: NBER Chapters.
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2011Comment on The Consumption Terms of Trade and Commodity Prices In: NBER Chapters.
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2010Comment on Population Aging and Economic Growth in Asia In: NBER Chapters.
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2010Comment on Demographic Transition, Childless Families and Economic Growth In: NBER Chapters.
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2003Markov Switching Garch Models of Currency Crises in Southeast Asia In: PIER Working Paper Archive.
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2020Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)Abstract: We study how the separation of time and risk preferences relates to a behavioral property that generalizes impatience to stochastic environments: Stochastic Impatience. We show that, within a broad class of models, Stochastic Impatience holds if and only if risk aversion is not too high relative to the inverse of the elasticity of intertemporal substitution. In par-ticular, in the models of Epstein and Zin (1989) and Hansen and Sargent (1995), Stochastic Impatience is violated for all commonly used parameters. In: PIER Working Paper Archive.
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Lawrence R. Klein’s Principles in Modeling and Contributions in Nowcasting, Real-Time Forecasting, and Machine Learning In: PIER Working Paper Archive.
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2020Fighting COVID-19:Performance of Countries in the First Half of 2020 In: PIER Working Paper Archive.
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2021Fighting COVID-19: Patterns in International Data, Expanded In: PIER Working Paper Archive.
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1990The PIDS-NEDA Annual Macroeconometric Model, Version 1989: A Summary In: Working Papers.
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1970On the Existence of Moments of the Ordianary Least Squares and Two-Stage Least Squares Estimators In: UP School of Economics Discussion Papers.
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1970Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables In: UP School of Economics Discussion Papers.
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1970Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Squares Least Squares Estimators in the Case of Two Included Endogenous Variables In: UP School of Economics Discussion Papers.
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1970Approximations to the Distribution Fuinctions of Theils K- Class Estimators in the Case of Two Included Endogenous Variables In: UP School of Economics Discussion Papers.
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1971A Macro-Economic Model of the Philippines, 1950-1969 In: UP School of Economics Discussion Papers.
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1979On the Effect of Multicollinearity Upon the Properties of Structural Coefficient Estimators In: UP School of Economics Discussion Papers.
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1979Large Sample Asymptotic Expansions for General Linear Simultaneous Systems Under Misspecification In: UP School of Economics Discussion Papers.
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2003The Bangko Sentral’s structural long-term inflation forecasting model for the Philippines In: Philippine Review of Economics.
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2009The NEDA quarterly macroeconomic model: theoretical structure and some empirical results In: Philippine Review of Economics.
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2018Potential output and output gap estimation models for the Philippines In: Philippine Review of Economics.
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2020Optimal saving and sustainable foreign debt In: Philippine Review of Economics.
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2023Optimal Saving and Sustainable Foreign Debt.(2023) In: World Scientific Book Chapters.
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2020Fighting COVID-19: patterns in international data In: Philippine Review of Economics.
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1993Complementarity and Conflict among Population and other Policies: Specifying an Economic-Demographic Model for a Developing Country In: The Pakistan Development Review.
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2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Financial Liberalization and Monetary Policy Cooperation in East Asia In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth) In: Journal of Quantitative Economics.
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2007Open vs. sealed-bid auctions: testing for revenue equivalence under Singapores vehicle quota system In: Applied Economics.
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2010MONETARY POLICY COOPERATION TO SUPPORT ASIAN ECONOMIC INTEGRATION In: The Singapore Economic Review (SER).
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2023Economic Adjustment and Growth:Theory and Practice In: World Scientific Books.
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2023The Basic Neoclassical Growth Model: A Review In: World Scientific Book Chapters.
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2023Testing the Neoclassical Theory of Economic Growth: A Panel Data Approach In: World Scientific Book Chapters.
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2023A Modified Neoclassical Growth Model with Endogenous Labor Participation In: World Scientific Book Chapters.
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2023Capital and Growth In: World Scientific Book Chapters.
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2023Finance and Endogenous Growth In: World Scientific Book Chapters.
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2023Openness, Human Development, and Fiscal Policies In: World Scientific Book Chapters.
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2023Does Monetary Policy Matter for Long-Run Growth? In: World Scientific Book Chapters.
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2023Outward-Oriented Trade Policies and Economic Growth In: World Scientific Book Chapters.
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2023Economic Adjustment and Growth: A Summing Up In: World Scientific Book Chapters.
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2023Stabilization Policies and Structural Reforms: The Philippine Case In: World Scientific Book Chapters.
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2018High-mixed-frequency forecasting models for GDP and inflation In: World Scientific Book Chapters.
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