Citation analysis for Journal of Econometrics / Elsevier

Journal of Econometrics / Elsevier

1.62

Impact Factor

2.07

5-Years IF

181

5-Years H index

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

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990	0.24	0.1	0.37	83	83	305	3.67	5640	127	30	334	123	207 (3.7%)	8	0.1	0.04
1991	0.36	0.1	0.46	71	154	386	2.51	2075	148	54	326	149	172 (8.3%)	12	0.17	0.04
1992	0.27	0.09	0.27	66	220	390	1.77	7269	154	41	344	93	244 (3.4%)	17	0.26	0.04
1993	0.28	0.11	0.29	97	317	364	1.15	3178	137	38	347	99	228 (7.2%)	14	0.14	0.05
1994	0.47	0.12	0.37	83	400	540	1.35	5159	163	76	382	140	246 (4.8%)	17	0.2	0.04
1995	0.65	0.19	0.95	83	483	1301	2.69	12070	180	117	400	378	237 (2%)	28	0.34	0.07
1996	0.79	0.23	1.02	103	586	1572	2.68	8417	166	131	400	408	373 (4.4%)	50	0.49	0.09
1997	0.85	0.26	1.25	107	693	1952	2.82	5146	186	158	432	539	303 (5.9%)	35	0.33	0.09
1998	1.03	0.28	1.24	111	804	2265	2.82	10640	210	216	473	587	265 (2.5%)	35	0.32	0.1
1999	0.86	0.32	1.31	53	857	2581	3.01	4644	218	188	487	639	215 (4.6%)	23	0.43	0.13
2000	1.63	0.39	1.98	85	942	3374	3.58	3966	164	267	457	905	278 (7%)	49	0.58	0.15
2001	1.51	0.39	1.87	91	1033	3641	3.52	4835	138	209	459	859	320 (6.6%)	53	0.58	0.14
2002	1.46	0.4	1.89	97	1130	4055	3.59	7148	176	257	447	844	298 (4.2%)	95	0.98	0.17
2003	1.95	0.43	2.17	95	1225	5099	4.16	8684	188	366	437	948	262 (3%)	121	1.27	0.18
2004	2.6	0.48	2.64	90	1315	5961	4.53	4672	192	500	421	1111	213 (4.6%)	105	1.17	0.19
2005	2.63	0.52	2.8	83	1398	6583	4.71	5805	185	487	458	1281	194 (3.3%)	129	1.55	0.2
2006	2.75	0.51	3.44	130	1528	7693	5.03	6699	173	476	456	1570	321 (4.8%)	196	1.51	0.2
2007	2.67	0.45	3.28	187	1715	7217	4.21	7683	213	569	495	1623	479 (6.2%)	195	1.04	0.18
2008	3.01	0.48	3.73	168	1883	9356	4.97	6507	317	955	585	2181	318 (4.9%)	163	0.97	0.2
2009	2.4	0.49	3.04	104	1987	10008	5.04	2497	355	853	658	2003	208 (8.3%)	82	0.79	0.19
2010	1.93	0.46	2.89	145	2132	9633	4.52	3602	272	526	672	1939	302 (8.4%)	143	0.99	0.17
2011	2.01	0.49	3.03	146	2278	11403	5.01	3389	249	501	734	2221	234 (6.9%)	198	1.36	0.19
2012	2.34	0.52	3.01	167	2445	12952	5.3	2368	291	682	750	2260	253 (10.7%)	117	0.7	0.19
2013	2.1	0.58	2.87	95	2540	13621	5.36	1505	313	657	730	2095	127 (8.4%)	124	1.31	0.2
2014	2.36	0.6	2.84	145	2685	14189	5.28	1566	262	618	657	1865	133 (8.5%)	137	0.94	0.2
2015	2.44	0.61	2.93	195	2880	14703	5.11	1102	240	586	698	2042	140 (12.7%)	146	0.75	0.19
2016	1.85	0.68	2.33	147	3027	14722	4.86	640	340	630	748	1741	48 (7.5%)	101	0.69	0.2
2017	1.62	0.73	2.07	125	3152	14066	4.46	230	342	554	749	1553	31 (13.5%)	79	0.63	0.22

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

#	Year	Title	Cited
1	1998	Initial conditions and moment restrictions in dynamic panel data models. (1998). Blundell, Richard ; Bond, Stephen . In: Journal of Econometrics. RePEc:eee:econom:v:87:y:1998:i:1:p:115-143. Full description at Econpapers \|\| Download paper	6843
2	1986	Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327. Full description at Econpapers \|\| Download paper	5682
3	1995	Another look at the instrumental variable estimation of error-components models. (1995). Bover, Olympia ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:29-51. Full description at Econpapers \|\| Download paper	5223
4	2003	Testing for unit roots in heterogeneous panels. (2003). shin, yongcheol ; Pesaran, M ; Im, Kyung So, . In: Journal of Econometrics. RePEc:eee:econom:v:115:y:2003:i:1:p:53-74. Full description at Econpapers \|\| Download paper	3747
5	2002	Unit root tests in panel data: asymptotic and finite-sample properties. (2002). Levin, Andrew ; Chu, Chia-Shang James ; Lin, Chien-Fu. In: Journal of Econometrics. RePEc:eee:econom:v:108:y:2002:i:1:p:1-24. Full description at Econpapers \|\| Download paper	3030
6	1992	Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. (1992). shin, yongcheol ; Schmidt, Peter ; Phillips, Peter ; Kwiatkowski, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178. Full description at Econpapers \|\| Download paper	2911
7	1977	Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37. Full description at Econpapers \|\| Download paper	2671
8	2005	A finite sample correction for the variance of linear efficient two-step GMM estimators. (2005). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:1:p:25-51. Full description at Econpapers \|\| Download paper	1742
9	1995	Estimating long-run relationships from dynamic heterogeneous panels. (1995). Smith, Ronald ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:79-113. Full description at Econpapers \|\| Download paper	1636
10	1974	Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120. Full description at Econpapers \|\| Download paper	1518
11	1996	Impulse response analysis in nonlinear multivariate models. (1996). Potter, Simon ; Pesaran, M ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:119-147. Full description at Econpapers \|\| Download paper	1439
12	1992	ARCH modeling in finance : A review of the theory and empirical evidence. (1992). Chou, Ray ; Bollerslev, Tim ; KRONER, Kenneth F.. In: Journal of Econometrics. RePEc:eee:econom:v:52:y:1992:i:1-2:p:5-59. Full description at Econpapers \|\| Download paper	1315
13	1995	Statistical inference in vector autoregressions with possibly integrated processes. (1995). Toda, Hiro Y. ; YAMAMOTO, Taku . In: Journal of Econometrics. RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250. Full description at Econpapers \|\| Download paper	1259
14	1982	On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238. Full description at Econpapers \|\| Download paper	1107
15	1999	Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44. Full description at Econpapers \|\| Download paper	973
16	2005	Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353. Full description at Econpapers \|\| Download paper	957
17	1982	Formulation and estimation of dynamic models using panel data. (1982). hsiao, cheng ; Anderson, T. W.. In: Journal of Econometrics. RePEc:eee:econom:v:18:y:1982:i:1:p:47-82. Full description at Econpapers \|\| Download paper	956
18	2008	Regression discontinuity designs: A guide to practice. (2008). Lemieux, Thomas ; Imbens, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:615-635. Full description at Econpapers \|\| Download paper	922
19	2008	Manipulation of the running variable in the regression discontinuity design: A density test. (2008). McCrary, Justin . In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:698-714. Full description at Econpapers \|\| Download paper	901
20	1981	Panel data and unobservable individual effects. (1981). Taylor, William ; Hausman, Jerry. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:155-155. Full description at Econpapers \|\| Download paper	889
21	1996	Residual-based tests for cointegration in models with regime shifts. (1996). Hansen, Bruce ; Gregory, Allan. In: Journal of Econometrics. RePEc:eee:econom:v:70:y:1996:i:1:p:99-126. Full description at Econpapers \|\| Download paper	886
22	1988	Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211. Full description at Econpapers \|\| Download paper	874
23	1996	Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:3-30. Full description at Econpapers \|\| Download paper	864
24	1986	Random group effects and the precision of regression estimates. (1986). Moulton, Brent. In: Journal of Econometrics. RePEc:eee:econom:v:32:y:1986:i:3:p:385-397. Full description at Econpapers \|\| Download paper	847
25	2003	What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398. Full description at Econpapers \|\| Download paper	832
26	1976	Exact and superlative index numbers. (1976). Diewert, Walter. In: Journal of Econometrics. RePEc:eee:econom:v:4:y:1976:i:2:p:115-145. Full description at Econpapers \|\| Download paper	808
27	1997	Further evidence on breaking trend functions in macroeconomic variables. (1997). Perron, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:80:y:1997:i:2:p:355-385. Full description at Econpapers \|\| Download paper	795
28	2007	Estimation and inference in two-stage, semi-parametric models of production processes. (2007). Wilson, Paul ; Simar, Leopold. In: Journal of Econometrics. RePEc:eee:econom:v:136:y:2007:i:1:p:31-64. Full description at Econpapers \|\| Download paper	794
29	1995	On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. (1995). Kiviet, Jan. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:53-78. Full description at Econpapers \|\| Download paper	752
30	1986	Errors in variables in panel data. (1986). Hausman, Jerry ; Griliches, Zvi. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:1:p:93-118. Full description at Econpapers \|\| Download paper	723
31	2006	Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:133:y:2006:i:1:p:97-126. Full description at Econpapers \|\| Download paper	715
32	1988	Limited information estimators and exogeneity tests for simultaneous probit models. (1988). Rivers, Douglas ; Vuong, Quang H.. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:3:p:347-366. Full description at Econpapers \|\| Download paper	705
33	1990	Analysis of time series subject to changes in regime. (1990). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:45:y:1990:i:1-2:p:39-70. Full description at Econpapers \|\| Download paper	686
34	1994	Autoregressive conditional heteroskedasticity and changes in regime. (1994). Hamilton, James ; Susmel, Raul . In: Journal of Econometrics. RePEc:eee:econom:v:64:y:1994:i:1-2:p:307-333. Full description at Econpapers \|\| Download paper	677
35	1994	On discrimination and the decomposition of wage differentials. (1994). Ransom, Michael ; Oaxaca, Ronald. In: Journal of Econometrics. RePEc:eee:econom:v:61:y:1994:i:1:p:5-21. Full description at Econpapers \|\| Download paper	654
36	1992	Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. (1992). juselius, katarina ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:53:y:1992:i:1-3:p:211-244. Full description at Econpapers \|\| Download paper	653
37	1996	Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:73:y:1996:i:1:p:5-59. Full description at Econpapers \|\| Download paper	646
38	1981	Some properties of time series data and their use in econometric model specification. (1981). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:121-130. Full description at Econpapers \|\| Download paper	638
39	1999	GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45. Full description at Econpapers \|\| Download paper	631
40	2003	Testing for a unit root in the nonlinear STAR framework. (2003). snell, andy ; shin, yongcheol ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:112:y:2003:i:2:p:359-379. Full description at Econpapers \|\| Download paper	627
41	1987	Forecasting and testing in co-integrated systems. (1987). Yoo, Byung Sam ; Engle, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:35:y:1987:i:1:p:143-159. Full description at Econpapers \|\| Download paper	626
42	1999	Threshold effects in non-dynamic panels: Estimation, testing, and inference. (1999). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:93:y:1999:i:2:p:345-368. Full description at Econpapers \|\| Download paper	618
43	1980	Long memory relationships and the aggregation of dynamic models. (1980). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:14:y:1980:i:2:p:227-238. Full description at Econpapers \|\| Download paper	584
44	1986	Understanding spurious regressions in econometrics. (1986). Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:33:y:1986:i:3:p:311-340. Full description at Econpapers \|\| Download paper	578
45	1988	Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. (1988). Coelli, Timothy ; Battese, George E.. In: Journal of Econometrics. RePEc:eee:econom:v:38:y:1988:i:3:p:387-399. Full description at Econpapers \|\| Download paper	564
46	2007	Approximately normal tests for equal predictive accuracy in nested models. (2007). West, Kenneth ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:138:y:2007:i:1:p:291-311. Full description at Econpapers \|\| Download paper	560
47	1994	Five alternative methods of estimating long-run equilibrium relationships. (1994). Gonzalo, Jesus. In: Journal of Econometrics. RePEc:eee:econom:v:60:y:1994:i:1-2:p:203-233. Full description at Econpapers \|\| Download paper	532
48	2001	Long memory and regime switching. (2001). Inoue, Atsushi ; Diebold, Francis. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:131-159. Full description at Econpapers \|\| Download paper	527
49	1990	Seasonal integration and cointegration. (1990). Yoo, Byung Sam ; Hylleberg, Svend ; Granger, Clive ; Engle, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:44:y:1990:i:1-2:p:215-238. Full description at Econpapers \|\| Download paper	526
50	2001	Tests of equal forecast accuracy and encompassing for nested models. (2001). McCracken, Michael ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:85-110. Full description at Econpapers \|\| Download paper	521

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

#	Year	Title	Cited
1	1998	Initial conditions and moment restrictions in dynamic panel data models. (1998). Blundell, Richard ; Bond, Stephen . In: Journal of Econometrics. RePEc:eee:econom:v:87:y:1998:i:1:p:115-143. Full description at Econpapers \|\| Download paper	1889
2	1995	Another look at the instrumental variable estimation of error-components models. (1995). Bover, Olympia ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:29-51. Full description at Econpapers \|\| Download paper	1514
3	1986	Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327. Full description at Econpapers \|\| Download paper	1002
4	2003	Testing for unit roots in heterogeneous panels. (2003). shin, yongcheol ; Pesaran, M ; Im, Kyung So, . In: Journal of Econometrics. RePEc:eee:econom:v:115:y:2003:i:1:p:53-74. Full description at Econpapers \|\| Download paper	855
5	2002	Unit root tests in panel data: asymptotic and finite-sample properties. (2002). Levin, Andrew ; Chu, Chia-Shang James ; Lin, Chien-Fu. In: Journal of Econometrics. RePEc:eee:econom:v:108:y:2002:i:1:p:1-24. Full description at Econpapers \|\| Download paper	717
6	2005	A finite sample correction for the variance of linear efficient two-step GMM estimators. (2005). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:1:p:25-51. Full description at Econpapers \|\| Download paper	538
7	1977	Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37. Full description at Econpapers \|\| Download paper	459
8	2008	Manipulation of the running variable in the regression discontinuity design: A density test. (2008). McCrary, Justin . In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:698-714. Full description at Econpapers \|\| Download paper	439
9	1992	Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. (1992). shin, yongcheol ; Schmidt, Peter ; Phillips, Peter ; Kwiatkowski, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178. Full description at Econpapers \|\| Download paper	413
10	1995	Statistical inference in vector autoregressions with possibly integrated processes. (1995). Toda, Hiro Y. ; YAMAMOTO, Taku . In: Journal of Econometrics. RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250. Full description at Econpapers \|\| Download paper	386
11	1996	Impulse response analysis in nonlinear multivariate models. (1996). Potter, Simon ; Pesaran, M ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:119-147. Full description at Econpapers \|\| Download paper	373
12	1995	Estimating long-run relationships from dynamic heterogeneous panels. (1995). Smith, Ronald ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:79-113. Full description at Econpapers \|\| Download paper	363
13	2008	Regression discontinuity designs: A guide to practice. (2008). Lemieux, Thomas ; Imbens, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:615-635. Full description at Econpapers \|\| Download paper	324
14	2007	Estimation and inference in two-stage, semi-parametric models of production processes. (2007). Wilson, Paul ; Simar, Leopold. In: Journal of Econometrics. RePEc:eee:econom:v:136:y:2007:i:1:p:31-64. Full description at Econpapers \|\| Download paper	255
15	2006	Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:133:y:2006:i:1:p:97-126. Full description at Econpapers \|\| Download paper	250
16	1999	Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44. Full description at Econpapers \|\| Download paper	249
17	2005	Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353. Full description at Econpapers \|\| Download paper	233
18	2003	What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398. Full description at Econpapers \|\| Download paper	232
19	1999	Threshold effects in non-dynamic panels: Estimation, testing, and inference. (1999). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:93:y:1999:i:2:p:345-368. Full description at Econpapers \|\| Download paper	205
20	2014	On 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. Full description at Econpapers \|\| Download paper	204
21	1974	Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120. Full description at Econpapers \|\| Download paper	200
22	1999	GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45. Full description at Econpapers \|\| Download paper	192
23	1982	On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238. Full description at Econpapers \|\| Download paper	185
24	2007	Approximately normal tests for equal predictive accuracy in nested models. (2007). West, Kenneth ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:138:y:2007:i:1:p:291-311. Full description at Econpapers \|\| Download paper	181
25	1988	Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211. Full description at Econpapers \|\| Download paper	177
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2017	Estimation and inference in semiparametric quantile factor models. (2017). LINTON, OLIVER ; GAO, Jiti ; Ma, Shujie. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-8. Full description at Econpapers \|\| Download paper
2017	Heterogeneous panel data models with cross-sectional dependence. (2017). GAO, Jiti ; Xia, Kai. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-16. Full description at Econpapers \|\| Download paper
2017	Inference in continuous systems with mildly explosive regressors. (2017). Yu, Jun ; Phillips, Peter ; Chen, YE ; PEter, ; JunYu, . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:400-416. Full description at Econpapers \|\| Download paper
2017	Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo ; Phillips, Peter. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2017_018. Full description at Econpapers \|\| Download paper
2017	Volatility, information feedback and market microstructure noise: A tale of two regimes. (2017). Hautsch, Nikolaus ; Andersen, Torben ; Cebiroglu, Gokhan . In: CFS Working Paper Series. RePEc:zbw:cfswop:569. Full description at Econpapers \|\| Download paper
2017	Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers \|\| Download paper
2017	A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series. (2017). Shang, Han Lin ; Rice, Gregory . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:591-609. Full description at Econpapers \|\| Download paper
2017	Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). GalvÃÂ£o, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604. Full description at Econpapers \|\| Download paper
2017	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339. Full description at Econpapers \|\| Download paper
2017	Change Point Estimation in Panel Data without Boundary Issue. (2017). Petova, Barbora ; Peta, Michal. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:7-:d:88504. Full description at Econpapers \|\| Download paper
2017	A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance. (2017). LINTON, OLIVER ; Koerber, Lena ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0640. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance. (2017). LINTON, OLIVER ; Koerber, Lena ; Boneva, L. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1703. Full description at Econpapers \|\| Download paper
2017	A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance. (2017). LINTON, OLIVER ; Koerber, Lena ; Boneva, Lena. In: CeMMAP working papers. RePEc:ifs:cemmap:02/17. Full description at Econpapers \|\| Download paper
2017	Cointegration in singular ARMA models. (2017). Wagner, Martin ; Deistler, Manfred. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:39-42. Full description at Econpapers \|\| Download paper
2017	Non-identifiability of VMA and VARMA systems in the mixed frequency case. (2017). Koelbl, Lukas ; Brian, ; Deistler, Manfred. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:31-38. Full description at Econpapers \|\| Download paper
2017	Learning from failure in healthcare: dynamic panel evidence of a physician shock effect. (2017). van Gestel, Mller R. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:17/24. Full description at Econpapers \|\| Download paper
2017	The Currency Union Effect: A PPML Re-assessment with High-Dimensional Fixed Effects. (2017). Zylkin, Thomas ; Yotov, Yoto ; Wanner, Joschka ; Larch, Mario. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6464. Full description at Econpapers \|\| Download paper
2017	International house price cycles, monetary policy and credit. (2017). Bauer, Gregory. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114. Full description at Econpapers \|\| Download paper
2017	Water scarcity and rioting: Disaggregated evidence from Sub-Saharan Africa. (2017). Laurent-Lucchetti, jÃÂ©rÃÂ©my ; Oechslin, Manuel ; Almer, Christian. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:86:y:2017:i:c:p:193-209. Full description at Econpapers \|\| Download paper
2017	Discretizing Unobserved Heterogeneity. (2017). Bonhomme, Stephane ; Manresa, Elena ; Lamadon, Thibaut. In: Working Paper Series. RePEc:hhs:ifauwp:2017_021. Full description at Econpapers \|\| Download paper
2017	probitfe and logitfe: Bias corrections for probit and logit models with two-way fixed effects. (2017). Fernandez-Val, Ivan ; Weidner, Martin ; Cruz-Gonzalez, Mario. In: Papers. RePEc:arx:papers:1610.07714. Full description at Econpapers \|\| Download paper
2017	Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; GuÃÂ©rin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13. Full description at Econpapers \|\| Download paper
2017	Business Cycle Dating after the Great Moderation: A Consistent Two â Stage Maximum Likelihood Method. (2017). Mbara, Gilbert . In: Working Papers. RePEc:war:wpaper:2017-13. Full description at Econpapers \|\| Download paper
2017	Varying coefficient functional autoregressive model with application to the U.S. treasuries. (2017). Xu, Meng ; Chen, Ying ; Li, Jialiang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:159:y:2017:i:c:p:168-183. Full description at Econpapers \|\| Download paper
2017	Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26. Full description at Econpapers \|\| Download paper
2017	Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers \|\| Download paper
2017	Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. (2017). Koopman, Siem Jan ; Blasques, Francisco ; Jan, Siem ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170059. Full description at Econpapers \|\| Download paper
2017	Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154. Full description at Econpapers \|\| Download paper
2017	Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742. Full description at Econpapers \|\| Download paper
2017	Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291. Full description at Econpapers \|\| Download paper
2017	Forecasting Financial Market Volatility Using a Dynamic Topic Model. (2017). Morimoto, Takayuki ; Kawasaki, Yoshinori. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9228-z. Full description at Econpapers \|\| Download paper
2017	Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785. Full description at Econpapers \|\| Download paper
2017	Realized volatility of CO2 futures. (2017). LÃÂ³pez Cabrera, Brenda ; Benschop, Thijs. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-025. Full description at Econpapers \|\| Download paper
2017	Technical efficiency, unions and decentralized labor contracts. (2017). vannoni, davide ; Manello, Alessandro ; Devicienti, Francesco. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1129-1141. Full description at Econpapers \|\| Download paper
2017	Institutional Environment and Microfinance Performance in Sub-Saharan Africa. (2017). Chikalipah, Sydney . In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:1:p:16-27. Full description at Econpapers \|\| Download paper
2017	Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers \|\| Download paper
2017	A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models. (2017). Janys, Lena . In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168077. Full description at Econpapers \|\| Download paper
2017	Weighted-Average Least Squares Estimation of Generalized Linear Models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170029. Full description at Econpapers \|\| Download paper
2017	Bonferroni-based size-correction for nonstandard testing problems. (2017). McCloskey, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:17-35. Full description at Econpapers \|\| Download paper
2017	Unbiased Shrinkage Estimation. (2017). Spiess, Jann. In: Papers. RePEc:arx:papers:1708.06436. Full description at Econpapers \|\| Download paper
2017	Weighted-average least squares estimation of generalized linear models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: EIEF Working Papers Series. RePEc:eie:wpaper:1711. Full description at Econpapers \|\| Download paper
2017	An econometric model of network formation with degree heterogeneity. (2017). Graham, Bryan. In: CeMMAP working papers. RePEc:ifs:cemmap:08/17. Full description at Econpapers \|\| Download paper
2017	On the existence of Pairwise stable weighted networks. (2017). Bich, Philippe ; Morhaim, Lisa . In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01564591. Full description at Econpapers \|\| Download paper
2017	The Estimation of Network Formation Games with Positive Spillovers. (2017). Boucher, Vincent. In: Cahiers de recherche. RePEc:lvl:crrecr:1710. Full description at Econpapers \|\| Download paper
2017	Asymptotic F and t tests in an efficient GMM setting. (2017). Sun, Yixiao ; Hwang, Jungbin. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:277-295. Full description at Econpapers \|\| Download paper
2017	Simple and Trustworthy Cluster-Robust GMM Inference. (2017). Hwang, Jungbin. In: Working papers. RePEc:uct:uconnp:2017-19. Full description at Econpapers \|\| Download paper
2017	Bootstrapping integrated covariance matrix estimators in noisy jumpâdiffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152. Full description at Econpapers \|\| Download paper
2017	Entropy measure of credit risk in highly correlated markets. (2017). Gottschalk, Sylvia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:478:y:2017:i:c:p:11-19. Full description at Econpapers \|\| Download paper
2017	Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (2017). Liu, Zhi. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0325-7. Full description at Econpapers \|\| Download paper
2017	Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42. Full description at Econpapers \|\| Download paper
2017	Geographic Inequality of Economic Well-being among U.S. Cities: Evidence from Micro Panel Data. (2017). Chudik, Alexander ; Choi, Chi-Young. In: Globalization Institute Working Papers. RePEc:fip:feddgw:330. Full description at Econpapers \|\| Download paper
2017	The âwrong skewnessâ problem: a re-specification of stochastic frontiers. (2017). Bonanno, Graziella ; Domma, Filippo ; de Giovanni, Domenico. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:47:y:2017:i:1:d:10.1007_s11123-017-0492-8. Full description at Econpapers \|\| Download paper
2017	Public subsidies, TFP and efficiency: A tale of complex relationships. (2017). Pellegrini, Guido ; Cerqua, Augusto ; Bernini, Cristina. In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:4:p:751-767. Full description at Econpapers \|\| Download paper
2017	Costs and Economies of Scale at Not-for-Profit Organizations: The Case of the Santa Casa da MisericÃ³rdia de Barcelos Between 2002 and 2013. (2017). MourÃÂ£o, Paulo ; Enes, Cristiana ; Mouro, Paulo . In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:132:y:2017:i:2:d:10.1007_s11205-016-1315-4. Full description at Econpapers \|\| Download paper
2017	The Effect of CAP Subsidies on the Technical Efficiency of Polish Dairy Farms. (2017). Pisulewski, Andrzej ; Marzec, Jerzy. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:3:p:243-273. Full description at Econpapers \|\| Download paper
2017	A primer on the theory and practice of efficiency and productivity analysis. (2017). ZofÃÂo, JosÃÂ© ; Orea, Luis ; Zofio, Jose L. In: Efficiency Series Papers. RePEc:oeg:wpaper:2017/05. Full description at Econpapers \|\| Download paper
2017	Efficiency Effects of Access to Information on Small-scale Agriculture: Empirical Evidence from Uganda using Stochastic Frontier and IRT Models. (2017). Phimister, Euan ; Abdul-Salam, Yakubu. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:494-517. Full description at Econpapers \|\| Download paper
2017	Endogeneity in panel stochastic frontier models: an application to the Japanese cotton spinning industry. (2017). Kutlu, Levent ; Karakaplan, Mustafa. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:59:p:5935-5939. Full description at Econpapers \|\| Download paper
2017	Recaudacion potencial, eficiencia recaudatoria y transferencias federales: Un analisis para las entidades federativas en Mexico utilizando el modelo de frontera estocastica. (2017). Guillermo, Sylvia Beatriz ; Casimiro, Israel Vargas. In: EconoQuantum, Revista de Economia y Negocios. RePEc:qua:journl:v:14:y:2017:i:1:p:35-71. Full description at Econpapers \|\| Download paper
2017	Yield Maps, Soil Maps, and Technical Efficiency: Evidence from U.S. Corn Fields. (2017). McFadden, Jonathan R. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258120. Full description at Econpapers \|\| Download paper
2017	THE ROLE OF THE LOCATIONS OF PUBLIC SECTOR VARIETAL DEVELOPMENT ACTIVITIES ON AGRICULTURAL PRODUCTIVITY: EVIDENCE FROM NORTHERN NIGERIA. (2017). Takeshima, Hiroyuki ; Nasir, Abdullahi Mohammed. In: Feed the Future Innovation Lab for Food Security Policy Research Papers. RePEc:ags:miffrp:264393. Full description at Econpapers \|\| Download paper
2017	Promotion through Connections: Favors or Information?. (2017). HuremoviÄ, Kenan ; BramoullÃÂ©, Yann. In: Papers. RePEc:arx:papers:1708.07723. Full description at Econpapers \|\| Download paper
2017	Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors. (2017). Chu, Ba. In: MPRA Paper. RePEc:pra:mprapa:79709. Full description at Econpapers \|\| Download paper
2017	Promotion through Connections: Favors or Information?. (2017). HuremoviÄ, Kenan ; BramoullÃÂ©, Yann ; Huremovic, Kenan ; Bramoulle, Yann. In: Working Papers. RePEc:hal:wpaper:halshs-01577251. Full description at Econpapers \|\| Download paper
2017	Spatial dynamic panel data models with interactive fixed effects. (2017). Shi, Wei ; Lee, Lung-Fei. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:323-347. Full description at Econpapers \|\| Download paper
2017	On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101. Full description at Econpapers \|\| Download paper
2017	AGE, TIME, VINTAGE, AND PRICE INDEXES: MEASURING THE DEPRECIATION PATTERN OF HOUSES. (2017). Syed, Iqbal ; de Haan, Jan. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:580-600. Full description at Econpapers \|\| Download paper
2017	CoVaR of families of copulas. (2017). Durante, Fabrizio ; Bernardi, M ; Jaworski, P. In: Statistics & Probability Letters. RePEc:eee:stapro:v:120:y:2017:i:c:p:8-17. Full description at Econpapers \|\| Download paper
2017	FRM: a Financial Risk Meter based on penalizing tail events occurrence. (2017). HÃÂ¤rdle, Wolfgang ; Borke, Lukas ; Benschop, Thijs ; Hardle, Wolfgang Karl ; Yu, Lining . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-003. Full description at Econpapers \|\| Download paper
2017	Industry Interdependency Dynamics in a Network Context. (2017). HÃÂ¤rdle, Wolfgang ; Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Qian, YA. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-012. Full description at Econpapers \|\| Download paper
2017	Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change. (2017). HÃÂ¤rdle, Wolfgang ; Hardle, Wolfgang Karl ; Zbonakova, Lenka ; Li, Xinjue. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-023. Full description at Econpapers \|\| Download paper
2017	Three decades of publishing research in population economics. (2017). Zimmermann, Klaus ; Brown, Alessio. In: Journal of Population Economics. RePEc:spr:jopoec:v:30:y:2017:i:1:d:10.1007_s00148-016-0620-1. Full description at Econpapers \|\| Download paper
2017	Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10. Full description at Econpapers \|\| Download paper
2017	The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions. (2017). GUPTA, RANGAN ; Suleman, Tahir ; Hassapis, Christis ; Christou, Christina. In: Working Papers. RePEc:pre:wpaper:201774. Full description at Econpapers \|\| Download paper
2017	Hypothesis tests in partial linear errors-in-variables models with missing response. (2017). Xu, Hong-Xia ; Chen, Zhen-Long ; Fan, Guo-Liang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:219-229. Full description at Econpapers \|\| Download paper
2017	Cross-Country Income Levels over Time: Did the Developing World Suddenly Become Much Richer?. (2017). Rao, D.S. Prasada ; Inklaar, Robert ; Prasada, D S. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:1:p:265-90. Full description at Econpapers \|\| Download paper
2017	The Role of Prices in Welfare Comparisons: Methodological Developments and a Selective Survey of the Empirical Literature. (2017). Ray, Ranjan . In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:301:p:314-332. Full description at Econpapers \|\| Download paper
2017	Endogeneity in Semiparametric Threshold Regression. (2017). Sun, Yiguo ; Stengos, Thanasis ; Kourtellos, Andros. In: Working Paper series. RePEc:rim:rimwps:17-13. Full description at Econpapers \|\| Download paper
2017	Corporate debt and investment: a firm level analysis for stressed euro area countries. (2017). Setzer, Ralph ; Westphal, Andreas ; Gebauer, Stefan. In: Working Paper Series. RePEc:ecb:ecbwps:20172101. Full description at Econpapers \|\| Download paper
2017	Panel kink regression with an unknown threshold. (2017). Zhou, Qiankun ; Jiang, LI ; Zhang, Yonghui. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:116-121. Full description at Econpapers \|\| Download paper
2017	Endogeneity in Semiparametric Threshold Regression. (2017). Stengos, Thanasis ; Sun, Yiguo ; Kourtellos, Andros. In: University of Cyprus Working Papers in Economics. RePEc:ucy:cypeua:10-2017. Full description at Econpapers \|\| Download paper
2017	Revisiting the Neoclassical Model of Out-farm Migration: Evidence from Nonlinear Panel Time Series Data. (2017). Tayebi, Zahra ; Onel, Gulcan. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259131. Full description at Econpapers \|\| Download paper
2017	Measurement error of global production. (2017). Bergeijk, Peter. In: ISS Working Papers - General Series. RePEc:ems:euriss:100849. Full description at Econpapers \|\| Download paper
2017	Common Factors, Trends, and Cycles in Large Datasets. (2017). Luciani, Matteo ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-111. Full description at Econpapers \|\| Download paper
2017	Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708. Full description at Econpapers \|\| Download paper
2017	Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708. Full description at Econpapers \|\| Download paper
2017	Identifying Uncertainty Shocks Using the Price of Gold. (2017). Podstawski, Maximilian ; Piffer, Michele . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6327. Full description at Econpapers \|\| Download paper
2017	Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18. Full description at Econpapers \|\| Download paper
2017	Inference for Impulse Responses under Model Uncertainty. (2017). Smeekes, Stephan ; Lieb, Lenard. In: Research Memorandum. RePEc:unm:umagsb:2017022. Full description at Econpapers \|\| Download paper
2017	Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2017). Podstawski, Maximilian ; GroÃÂe Steffen, Christoph. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168101. Full description at Econpapers \|\| Download paper
2017	Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing. (2017). Lloyd, Simon. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1735. Full description at Econpapers \|\| Download paper
2017	Structural vector autoregressions with smooth transition in variances. (2017). NetÅ¡unajev, Aleksei ; LÃÂ¼tkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57. Full description at Econpapers \|\| Download paper
2017	An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts. (2017). McCracken, Michael ; McGillicuddy, Joseph. In: Working Papers. RePEc:fip:fedlwp:2017-040. Full description at Econpapers \|\| Download paper
2017	Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711. Full description at Econpapers \|\| Download paper
2017	Impulse response matching estimators for DSGE models. (2017). Kilian, Lutz ; Guerron, Pablo ; Inoue, Atsushi ; Guerron-Quintana, Pablo. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:144-155. Full description at Econpapers \|\| Download paper
2017	Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models. (2017). Sun, Yiguo ; Malikov, Emir. In: MPRA Paper. RePEc:pra:mprapa:77253. Full description at Econpapers \|\| Download paper
2017	Semiparametric estimation and testing of smooth coefficient spatial autoregressive models. (2017). Sun, Yiguo ; Malikov, Emir. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:12-34. Full description at Econpapers \|\| Download paper
2017	Statistical inference of partially linear varying coefficient spatial autoregressive models. (2017). Wei, Chuanhua ; Zhai, Shufen ; Guo, Shuang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:553-559. Full description at Econpapers \|\| Download paper
2017	Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59. Full description at Econpapers \|\| Download paper
2017	Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920. Full description at Econpapers \|\| Download paper
2017	Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129. Full description at Econpapers \|\| Download paper
2017	Constrained principal components estimation of large approximate factor models. (2017). Ouysse, Rachida. In: Discussion Papers. RePEc:swe:wpaper:2017-12. Full description at Econpapers \|\| Download paper
2017	When and Why are Principal Component Scores a Good Tool for Visualizing High-dimensional Data?. (2017). Hellton, Kristoffer H ; Thoresen, Magne. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:3:p:581-597. Full description at Econpapers \|\| Download paper
2017	ESTIMATING SENSITIVE POPULATION PROPORTION USING A COMBINATION OF BINOMIAL AND HYPERGEOMETRIC RANDOMIZED RESPONSES BY DIRECT AND INVERSE MECHANISM. (2017). Dihidar, Kajal ; Bhattacharya, Manjima. In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:2:p:193-210. Full description at Econpapers \|\| Download paper
2017	Inference on Breakdown Frontiers. (2017). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1705.04765. Full description at Econpapers \|\| Download paper
2017	Confidence Intervals for Projections of Partially Identified Parameters. (2017). Stoye, JÃÂ¶rg ; Molinari, Francesca ; Kaido, Hiroaki. In: Papers. RePEc:arx:papers:1601.00934. Full description at Econpapers \|\| Download paper
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2017	Evidence of adverse selection in automobile insurance market: A seemingly unrelated probit modelling. (2017). Benlagha, Noureddine ; Elliott, Caroline ; Karaa, Imen. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1330303. Full description at Econpapers \|\| Download paper
2017	Estimation of Health Care Demand and its Implication on Income Effects of Individuals. (2017). Voia, Marcel ; Kavand, Hossein . In: Carleton Economic Papers. RePEc:car:carecp:16-01. Full description at Econpapers \|\| Download paper
2017	Trends in distributional characteristics : Existence of global warming. (2017). Gonzalo, Jesus ; Gadea, MarÃÂa. In: UC3M Working papers. Economics. RePEc:cte:werepe:24121. Full description at Econpapers \|\| Download paper
2017	A Functional Linear Regression Model in the Space of Probability Density Functions. (2017). Yoshiyuki, Arata. In: Discussion papers. RePEc:eti:dpaper:17015. Full description at Econpapers \|\| Download paper
2017	The Chang-Kim-Park Model of Cointegrated Density-Valued Time Series Cannot Accommodate a Stochastic Trend. (2017). Beare, Brendan. In: Econ Journal Watch. RePEc:ejw:journl:v:14:y:2017:i:2:p:133-137. Full description at Econpapers \|\| Download paper
2017	Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20175. Full description at Econpapers \|\| Download paper
2017	Cointegrated Linear Processes in Hilbert Space. (2017). Beare, Brendan ; Seo, Won-Ki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1010-1027. Full description at Econpapers \|\| Download paper
2017	The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166. Full description at Econpapers \|\| Download paper
2017	Finite Sample Optimality of Score-Driven Volatility Models. (2017). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170111. Full description at Econpapers \|\| Download paper
2017	Decomposing productivity indexes into explanatory factors. (2017). Fox, Kevin ; Diewert, Walter. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:275-291. Full description at Econpapers \|\| Download paper
2017	Model Averaging and its Use in Economics. (2017). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:81568. Full description at Econpapers \|\| Download paper
2017	Productivity Measurement in the Public Sector: Theory and Practice. (2017). Diewert, Walter. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:erwin_diewert-2017-1. Full description at Econpapers \|\| Download paper
2017	Substitution Bias in Multilateral Methods for CPI Construction using Scanner Data. (2017). Fox, Kevin ; Diewert, Walter. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:erwin_diewert-2017-3. Full description at Econpapers \|\| Download paper
2017	A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62. Full description at Econpapers \|\| Download paper
2017	Non-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. Full description at Econpapers \|\| Download paper
2017	How to Use One Instrument to Identify Two Elasticities. (2017). Gavrilova, Evelina ; Hopland, Arnt O ; Zoutman, Floris T. In: Discussion Papers. RePEc:hhs:nhhfms:2017_002. Full description at Econpapers \|\| Download paper
2017	Does the Adoption of Complex Software Impact Employment Composition and the Skill Content of Occupations? Evidence from Chilean Firms. (2017). Viollaz, Mariana ; Fernandes, Ana ; Almeida, Rita. In: IZA Discussion Papers. RePEc:iza:izadps:dp11016. Full description at Econpapers \|\| Download paper
2017	Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment. (2017). Holm-Hadulla, FÃÂ©dÃÂ©ric ; De Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20172052. Full description at Econpapers \|\| Download paper
2017	Services trade policy and manufacturing productivity: The role of institutions. (2017). Hoekman, Bernard ; Fiorini, Matteo ; Beverelli, Cosimo. In: Journal of International Economics. RePEc:eee:inecon:v:104:y:2017:i:c:p:166-182. Full description at Econpapers \|\| Download paper
2017	How Debit Cards Enable the Poor to Save More. (2017). Gertler, Paul ; Bachas, Pierre ; Seira, Enrique ; Higgins, Sean. In: NBER Working Papers. RePEc:nbr:nberwo:23252. Full description at Econpapers \|\| Download paper
2017	The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation. (2017). Kiviet, Jan ; Pleus, Milan . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:1-21. Full description at Econpapers \|\| Download paper
2017	The gender gap in entrepreneurship â The role of peer effects. (2017). RÃÂ¸ed, Knut ; Markussen, Simen ; Roed, Knut. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:134:y:2017:i:c:p:356-373. Full description at Econpapers \|\| Download paper
2017	High frequency trading and the 2008 short-sale ban. (2017). Brogaard, Jonathan ; Riordan, Ryan ; Hendershott, Terrence. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:22-42. Full description at Econpapers \|\| Download paper
2017	The Employment Effects of Countercyclical Infrastructure Investments. (2017). Watzinger, Martin ; Buchheim, Lukas. In: Discussion Papers in Economics. RePEc:lmu:muenec:34877. Full description at Econpapers \|\| Download paper
2017	The Marital Satisfaction of Differently-Aged Couples. (2017). McKinnish, Terra ; Lee, Wang-Sheng. In: IZA Discussion Papers. RePEc:iza:izadps:dp10863. Full description at Econpapers \|\| Download paper
2017	Immigration Enforcement and Foster Care Placements. (2017). Amuedo-Dorantes, Catalina ; Arenas-Arroyo, Esther. In: IZA Discussion Papers. RePEc:iza:izadps:dp10850. Full description at Econpapers \|\| Download paper
2017	How Do Entrepreneurial Portfolios Respond to Taxation?. (2017). Rostam-Afschar, Davud ; Fossen, Frank ; Steiner, Viktor ; Rees, Ray. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6558. Full description at Econpapers \|\| Download paper
2017	How Do Entrepreneurial Portfolios Respond to Income Taxation?. (2017). Rostam-Afschar, Davud ; Fossen, Frank ; Steiner, Viktor ; Rees, Ray. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1673. Full description at Econpapers \|\| Download paper
2017	Government borrowing cost and budget deficits: is investment spending different?. (2017). Peppel-Srebrny, Jemima. In: Economics Series Working Papers. RePEc:oxf:wpaper:827. Full description at Econpapers \|\| Download paper
2017	How do entrepreneurial portfolios respond to income taxation?. (2017). Rostam-Afschar, Davud ; Fossen, Frank ; Steiner, Viktor ; Rees, Ray. In: Discussion Papers. RePEc:zbw:fubsbe:201719. Full description at Econpapers \|\| Download paper
2017	The Marital Satisfaction of Differently-Aged Couples. (2017). McKinnish, Terra ; Lee, Wang-Sheng. In: GLO Discussion Paper Series. RePEc:zbw:glodps:84. Full description at Econpapers \|\| Download paper
2017	How Do Entrepreneurial Portfolios Respond to Income Taxation?. (2017). Rostam-Afschar, Davud ; Fossen, Frank ; Steiner, Viktor ; Rees, Ray. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp922. Full description at Econpapers \|\| Download paper
2017	Did Protestantism Promote Economic Prosperity via Higher Human Capital?. (2017). Edwards, Jeremy. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6646. Full description at Econpapers \|\| Download paper
2017	How Do Entrepreneurial Portfolios Respond to Income Taxation?. (2017). Rostam-Afschar, Davud ; Fossen, Frank ; Rees, Ray ; Steiner, Viktor . In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168302. Full description at Econpapers \|\| Download paper
2017	Robocalypse Now: Does Productivity Growth Threaten Employment?. (2017). Autor, David ; Salomons, Anna. In: NBER Chapters. RePEc:nbr:nberch:14019. Full description at Econpapers \|\| Download paper
2017	Do returns to education depend on how and whom you ask?. (2017). Serneels, Pieter ; Dillon, Andrew ; Beegle, Kathleen. In: Economics of Education Review. RePEc:eee:ecoedu:v:60:y:2017:i:c:p:5-19. Full description at Econpapers \|\| Download paper
2017	Did Protestantism promote economic prosperity via higher human capital?. (2017). Edwards, Jeremy. In: MPRA Paper. RePEc:pra:mprapa:82346. Full description at Econpapers \|\| Download paper
2017	Urban Revival in America, 2000 to 2010. (2017). Handbury, Jessie ; Couture, Victor. In: NBER Working Papers. RePEc:nbr:nberwo:24084. Full description at Econpapers \|\| Download paper
2017	Liquidity and the implied cost of equity capital. (2017). Saad, Mohsen ; Samet, Anis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:15-38. Full description at Econpapers \|\| Download paper
2017	Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors. (2017). Smith, Ronald ; Pesaran, M. In: BCAM Working Papers. RePEc:bbk:bbkcam:1707. Full description at Econpapers \|\| Download paper
2017	Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors. (2017). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6785. Full description at Econpapers \|\| Download paper
2017	Mediated Terrorism: US News and Al-Qaeda Attacks. (2017). Jetter, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6804. Full description at Econpapers \|\| Download paper
2017	Danger zone: Land use and the geography of neighborhood crime. (2017). Twinam, Tate. In: Journal of Urban Economics. RePEc:eee:juecon:v:100:y:2017:i:c:p:104-119. Full description at Econpapers \|\| Download paper
2017	On bootstrap validity for specification testing with many weak instruments. (2017). Kaffo, Maximilien ; Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:107-111. Full description at Econpapers \|\| Download paper
2017	The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12. Full description at Econpapers \|\| Download paper
2017	The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703. Full description at Econpapers \|\| Download paper
2017	On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. (2017). Cavaliere, Giuseppe ; Rahbek, Anders ; Nielsen, Heino Bohn . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:513-534. Full description at Econpapers \|\| Download paper
2017	Continuous time ARMA processes: Discrete time representation and likelihood evaluation. (2017). Chambers, Marcus ; Thornton, Michael A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:48-65. Full description at Econpapers \|\| Download paper
2017	Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497. Full description at Econpapers \|\| Download paper
2017	Identification of peer effects via a root estimator. (2017). Liu, Xiaodong. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:168-171. Full description at Econpapers \|\| Download paper
2017	The Yellen rules. (2017). Papell, David ; Nikolsko-Rzhevskyy, Alex ; Prodan, Ruxandra. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:54:y:2017:i:pa:p:59-71. Full description at Econpapers \|\| Download paper
2017	Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: KoÃ§ University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704. Full description at Econpapers \|\| Download paper
2017	Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704. Full description at Econpapers \|\| Download paper
2017	COSMO: A new COre Structural MOdel for Ireland. (2017). Smith, Donal ; Morgenroth, Edgar ; Holland, Dawn ; Conroy, Niall ; Bergin, Adele ; Rodriguez, Abian Garcia ; McInerney, Niall ; Niall Mc Inerney, . In: Papers. RePEc:esr:wpaper:wp553. Full description at Econpapers \|\| Download paper
2017	From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135. Full description at Econpapers \|\| Download paper
2017	Effects of a Government-Academic Partnership: Has the NSF-Census Bureau Research Network Helped Improve the U.S. Statistical System?. (2017). Weinberg, Daniel ; Vilhuber, Lars ; Shapiro, Matthew ; Levenstein, Margaret ; Abowd, John ; Olson, Kristen M ; Holan, Scott H ; Folch, David C ; Wikle, Christopher K ; Cressie, Noel ; Belli, Robert F ; Spielman, Seth E ; Spencer, Bruce D ; Soh, Leen-Kiat ; Smyth, Jolene ; Reiter, Jerome P. In: Working Papers. RePEc:cen:wpaper:17-59r. Full description at Econpapers \|\| Download paper
2017	Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28. Full description at Econpapers \|\| Download paper
2017	Inequality in Human Capital and Endogenous Credit Constraints. (2017). Heckman, James ; Hai, Rong. In: Review of Economic Dynamics. RePEc:red:issued:16-104. Full description at Econpapers \|\| Download paper
2017	The Impact of College Education on Old-Age Mortality: A Study of Marginal Treatment Effects. (2017). Taylor, Evan . In: Working Papers. RePEc:cen:wpaper:17-30. Full description at Econpapers \|\| Download paper
2017	The Effects of the Timing of Childbirth on Female Labour Supply: An Analysis using the Sequential Matching Approach. (2017). Islam, Nizamul ; Nizamul, Islam ; Kazuaki, Okamura. In: LISER Working Paper Series. RePEc:irs:cepswp:2017-14. Full description at Econpapers \|\| Download paper
2017	Early Tracking, Academic vs. Vocational Training and the Value of Second Chance Options. (2017). Biewen, Martin ; Tapalaga, Madalina . In: IZA Discussion Papers. RePEc:iza:izadps:dp11080. Full description at Econpapers \|\| Download paper
2017	Understanding the Effects of Income and Child Care Subsidies on Childrens Academic Achievement. (2017). Rodriguez, Jorge. In: 2017 Papers. RePEc:jmp:jm2017:pro1077. Full description at Econpapers \|\| Download paper
2017	Level and slope of volatility smiles in Long-Run Risk Models. (2017). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: SAFE Working Paper Series. RePEc:zbw:safewp:186. Full description at Econpapers \|\| Download paper
2017	Can macroeconomic dynamics explain the time variation of riskâreturn trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293. Full description at Econpapers \|\| Download paper
2017	The scale of predictability. (2017). Bandi, F M ; Tebaldi, C ; Tamoni, Andrea ; Perron, B. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646. Full description at Econpapers \|\| Download paper
2017	On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101. Full description at Econpapers \|\| Download paper
2017	A martingale-difference-divergence-based test for specification. (2017). Su, Liangjun ; Zheng, Xin. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:162-167. Full description at Econpapers \|\| Download paper
2017	Inferences 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. Full description at Econpapers \|\| Download paper
2017	A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels. (2017). Pesaran, M ; Chudik, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6688. Full description at Econpapers \|\| Download paper
2017	A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels. (2017). Pesaran, M ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:327. Full description at Econpapers \|\| Download paper
2017	Exponential class of dynamic binary choice panel data models with fixed effects. (2017). Pesaran, M ; Al-Sadoon, Majid ; Li, Tong. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:898-927. Full description at Econpapers \|\| Download paper
2017	Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-31. Full description at Econpapers \|\| Download paper
2017	Inference on Local Average Treatment Effects for Misclassified Treatment. (2017). Yanagi, Takahide. In: Discussion Papers. RePEc:hit:econdp:2017-02. Full description at Econpapers \|\| Download paper
2017	Measurement errors in quantile regression models. (2017). Song, Suyong ; Firpo, Sergio ; Galvao, Antonio F. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:146-164. Full description at Econpapers \|\| Download paper
2017	The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics. (2017). Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:154-168. Full description at Econpapers \|\| Download paper
2017	A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446. Full description at Econpapers \|\| Download paper
2017	R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247. Full description at Econpapers \|\| Download paper
2017	Should We Combine Difference In Differences with Conditioning on Pre-Treatment Outcomes?. (2017). Chabe-Ferret, Sylvain. In: TSE Working Papers. RePEc:tse:wpaper:31798. Full description at Econpapers \|\| Download paper
2017	Long-term Impact of Job Displacement on Job Quality and Satisfaction: Evidence from Germany. (2017). Toulemon, Lea ; Weber-Baghdiguian, Lexane. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/417l64npmp86ub068rsa2s16rt. Full description at Econpapers \|\| Download paper
2017	A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2017). Grammig, Joachim ; Kuchlin, Eva-Maria. In: CFR Working Papers. RePEc:zbw:cfrwps:1701. Full description at Econpapers \|\| Download paper
2017	A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2017). Grammig, Joachim ; Kuchlin, Eva-Maria. In: CFS Working Paper Series. RePEc:zbw:cfswop:572. Full description at Econpapers \|\| Download paper
2017	Bayesian testing for short term interest rate models. (2017). Chen, Zhongtian ; Li, Yong ; Zhang, Yonghui. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:146-152. Full description at Econpapers \|\| Download paper
2017	On a vector double autoregressive model. (2017). Zhu, Huafeng ; Li, Yuan ; Liang, Xin ; Zhang, Xingfa . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:86-95. Full description at Econpapers \|\| Download paper
2017	A fractionally integrated Wishart stochastic volatility model. (2017). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59. Full description at Econpapers \|\| Download paper
2017	A test for stationarity for irregularly spaced spatial data. (2017). Bandyopadhyay, Soutir ; Rao, Suhasini Subba . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:95-123. Full description at Econpapers \|\| Download paper
2017	A Spectral Domain Test for Stationarity of Spatio-Temporal Data. (2017). Rao, Tata Subba ; Jentsch, Carsten ; Bandyopadhyay, Soutir ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:326-351. Full description at Econpapers \|\| Download paper
2017	Fast fractional differencing in modeling long memory of conditional variance for high-frequency data. (2017). Walther, Thomas ; Klein, Tony. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:274-279. Full description at Econpapers \|\| Download paper
2017	Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59. Full description at Econpapers \|\| Download paper
2017	Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391. Full description at Econpapers \|\| Download paper
2017	Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: NBER Working Papers. RePEc:nbr:nberwo:23227. Full description at Econpapers \|\| Download paper
2017	Asset Pricing and Excess Returns over the Market Return. (2017). Horenstein, Alex ; Ahn, Seung C. In: Working Papers. RePEc:mia:wpaper:2017-12. Full description at Econpapers \|\| Download paper
2017	Model Selection in Factor-Augmented Regressions with Estimated Factors. (2017). Djogbenou, Antoine. In: Working Papers. RePEc:qed:wpaper:1391. Full description at Econpapers \|\| Download paper
2017	Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09. Full description at Econpapers \|\| Download paper
2017	Model Selection in Factor-Augmented Regressions with Estimated Factors. (2017). Djogbenou, Antoine A. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274717. Full description at Econpapers \|\| Download paper
2017	Consistent estimation of linear panel data models with measurement error. (2017). Meijer, Erik ; Wansbeek, Tom ; Spierdijk, Laura. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:169-180. Full description at Econpapers \|\| Download paper
2017	Inference in instrumental variables models with heteroskedasticity and many instruments. (2017). Mellace, Giovanni ; Crudu, Federico ; Sandor, Zsolt. In: Department of Economics University of Siena. RePEc:usi:wpaper:761. Full description at Econpapers \|\| Download paper
2017	Distribution of residuals in the nonparametric IV model with application to separability testing. (2017). Babii, Andrii ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:31686. Full description at Econpapers \|\| Download paper
2017	Testing Missing at Random using Instrumental Variables. (2017). Breunig, Christoph. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-007. Full description at Econpapers \|\| Download paper
2017	Testing Missing At Random Using Instrumental Variables. (2017). Breunig, Christoph. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:59. Full description at Econpapers \|\| Download paper
2017	Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248. Full description at Econpapers \|\| Download paper
2017	Penalized spline estimation in the partially linear model. (2017). Holland, Ashley D. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:211-235. Full description at Econpapers \|\| Download paper
2017	Inference in linear regression models with many covariates and heteroskedasticity. (2017). Jansson, Michael ; Cattaneo, Matias ; Newey, Whitney K. In: CeMMAP working papers. RePEc:ifs:cemmap:03/17. Full description at Econpapers \|\| Download paper
2017	The influence function of semiparametric estimators. (2017). Ichimura, Hidehiko ; Newey, Whitney K. In: CeMMAP working papers. RePEc:ifs:cemmap:06/17. Full description at Econpapers \|\| Download paper
2017	Honest confidence sets in nonparametric IV regression and other ill-posed models. (2017). Babii, Andrii . In: TSE Working Papers. RePEc:tse:wpaper:31687. Full description at Econpapers \|\| Download paper
2017	Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16. Full description at Econpapers \|\| Download paper
2017	High dimensional semiparametric moment restriction models. (2017). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-17. Full description at Econpapers \|\| Download paper
2017	Inference in Linear Regression Models with Many Covariates and Heteroskedasticity. (2017). Jansson, Michael ; Cattaneo, Matias ; Newey, Whitney K. In: Papers. RePEc:arx:papers:1507.02493. Full description at Econpapers \|\| Download paper
2017	Cross-fitting and fast remainder rates for semiparametric estimation. (2017). Newey, Whitney K ; Robins, James M. In: CeMMAP working papers. RePEc:ifs:cemmap:41/17. Full description at Econpapers \|\| Download paper
2017	Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects. (2017). Malikov, Emir ; Sun, Yiguo. In: MPRA Paper. RePEc:pra:mprapa:83671. Full description at Econpapers \|\| Download paper
2017	Nonparametric Estimation in Case of Endogenous Selection. (2017). Breunig, Christoph ; Simoni, Anna ; Mammen, Enno. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:58. Full description at Econpapers \|\| Download paper
2017	Determinants of firm-level domestic sales and exports with spillovers: Evidence from China. (2017). Egger, Peter ; Baltagi, Badi ; Kesina, Michaela. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:184-201. Full description at Econpapers \|\| Download paper
2017	Determinants of Firm-Level Domestic Sales and Exports with Spillovers: Evidence from China. (2017). Egger, Peter ; Baltagi, Badi ; Kesina, Michaela. In: Center for Policy Research Working Papers. RePEc:max:cprwps:209. Full description at Econpapers \|\| Download paper
2017	Double/Debiased Machine Learning for Treatment and Structural Parameters. (2017). Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Chernozhukov, Victor ; Robins, James ; Demirer, Mert ; Chetverikov, Denis. In: NBER Working Papers. RePEc:nbr:nberwo:23564. Full description at Econpapers \|\| Download paper
2017	Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060. Full description at Econpapers \|\| Download paper
2017	Double/debiased machine learning for treatment and structural parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney K ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:28/17. Full description at Econpapers \|\| Download paper
2017	Quantile graphical models: prediction and conditional independence with applications to systemic risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: CeMMAP working papers. RePEc:ifs:cemmap:54/17. Full description at Econpapers \|\| Download paper
2017	An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Bu, Ruijun ; Li, Yuyi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:116-127. Full description at Econpapers \|\| Download paper
2017	Modelling VIX and VIX derivatives with reducible diffusions. (2017). Tong, Zhigang. In: International Journal of Bonds and Derivatives. RePEc:ids:ijbder:v:3:y:2017:i:2:p:153-175. Full description at Econpapers \|\| Download paper
2017	Regression discontinuity with categorical outcomes. (2017). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:1-18. Full description at Econpapers \|\| Download paper
2017	Regression discontinuity: review with extensions. (2017). Lee, Myoung-jae ; Choi, Jin-Young. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0745-z. Full description at Econpapers \|\| Download paper
2017	Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367. Full description at Econpapers \|\| Download paper
2017	Smooth Transition Spatial Autoregressive Models. (2017). Koomen, Eric ; Blasques, Francisco ; Pieter, BO. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170050. Full description at Econpapers \|\| Download paper
2017	A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082. Full description at Econpapers \|\| Download paper
2017	On the role of the rank condition in CCE estimation of factor-augmented panel regressions. (2017). Reese, Simon ; Karabiyik, Hande ; Westerlund, Joakim. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:60-64. Full description at Econpapers \|\| Download paper
2017	Macroeconomic Trends and Factors of Production Affecting Potato Producer Price in Developing Countries. (2017). Salmensuu, Olli . In: MPRA Paper. RePEc:pra:mprapa:79163. Full description at Econpapers \|\| Download paper
2017	Common correlated effects and international risk sharing. (2017). Ventura, Luigi ; Fuleky, Peter ; Zhao, Qianxue . In: Working Papers. RePEc:hae:wpaper:2017-5r. Full description at Econpapers \|\| Download paper
2017	Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636. Full description at Econpapers \|\| Download paper
2017	THE EFFECT OF MINIMUM WAGES ON EMPLOYMENT: A FACTOR MODEL APPROACH. (2017). Totty, Evan. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:1712-1737. Full description at Econpapers \|\| Download paper
2017	A long-run analysis of push and pull factors of internal migration in Italy. Estimation of a gravity model with human capital using homogeneous and heterogeneous approaches. (2017). Piras, Romano. In: Papers in Regional Science. RePEc:bla:presci:v:96:y:2017:i:3:p:571-602. Full description at Econpapers \|\| Download paper
2017	Endogenous Sanctioning Institutions and Migration Patterns: Experimental Evidence. (2017). Cobo-Reyes, Ramon ; Meraglia, Simone ; Katz, Gabriel. In: Discussion Papers. RePEc:exe:wpaper:1702. Full description at Econpapers \|\| Download paper
2017	JIVE for Panel Dynamic Simultaneous Equations Models. (2017). Zhou, Qiankun ; hsiao, cheng. In: Departmental Working Papers. RePEc:lsu:lsuwpp:2017-10. Full description at Econpapers \|\| Download paper
2017	Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models. (2017). Zhou, Qiankun ; hsiao, cheng. In: Departmental Working Papers. RePEc:lsu:lsuwpp:2017-11. Full description at Econpapers \|\| Download paper
2017	Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations. (2017). Zakoian, Jean-Michel ; Monfort, Alain ; gourieroux, christian. In: MPRA Paper. RePEc:pra:mprapa:79623. Full description at Econpapers \|\| Download paper
2017	Direct instrumental nonparametric estimation of inverse regression functions. (2017). Krief, Jerome M. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:95-107. Full description at Econpapers \|\| Download paper
2017	Binarization for panel models with fixed effects. (2017). Botosaru, Irene ; Muris, Chris. In: CeMMAP working papers. RePEc:ifs:cemmap:31/17. Full description at Econpapers \|\| Download paper
2017	A forecasting performance comparison of dynamic factor models based on static and dynamic methods. (2017). Della Marra, Fabio. In: Economics Department Working Papers. RePEc:par:dipeco:2017-me01. Full description at Econpapers \|\| Download paper
2017	Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129. Full description at Econpapers \|\| Download paper
2017	Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676. Full description at Econpapers \|\| Download paper
2017	Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis. (2017). Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo ; Lippi, Marco. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:74-92. Full description at Econpapers \|\| Download paper
2017	Sufficient forecasting using factor models. (2017). Fan, Jianqing ; Xue, Lingzhou ; Yao, Jiawei . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306. Full description at Econpapers \|\| Download paper
2017	Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321. Full description at Econpapers \|\| Download paper
2017	Optimal Dimension Reduction for High-dimensional and Functional Time Series. (2017). Hallin, Marc ; Lippi, Marco ; Hormann, Siegfried. In: Working Papers ECARES. RePEc:eca:wpaper:2013/260201. Full description at Econpapers \|\| Download paper
2017	A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605. Full description at Econpapers \|\| Download paper
2017	Non-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. Full description at Econpapers \|\| Download paper
2017	M-Estimation of a Nonparametric Threshold Regression Model. (2017). Su, Liangjun ; Parmeter, Christopher ; Henderson, Daniel. In: Working Papers. RePEc:mia:wpaper:2017-15. Full description at Econpapers \|\| Download paper
2017	Efficient Estimation of Linear Panel Data Models with Sample Selection and Fixed Effects. (2017). Han, Chirok ; Lee, Goeun. In: Discussion Paper Series. RePEc:iek:wpaper:1707. Full description at Econpapers \|\| Download paper
2017	The Demand for Money for EMU: A Flexible Functional Form Approach. (2017). Barnett, William ; Gaekwad, Neepa . In: MPRA Paper. RePEc:pra:mprapa:81466. Full description at Econpapers \|\| Download paper
2017	Financial Firm Production of Inside Monetary and Credit Card Services: An Aggregation Theoretic Approach. (2017). Barnett, William ; Su, Liting . In: MPRA Paper. RePEc:pra:mprapa:82061. Full description at Econpapers \|\| Download paper
2017	The Demand for Money for EMU: A Flexible Functional Form Approach. (2017). Barnett, William ; Gaekwad, Neepa B. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201704. Full description at Econpapers \|\| Download paper
2017	FINANCIAL FIRM PRODUCTION OF INSIDE MONETARY AND CREDIT CARD SERVICES: AN AGGREGATION THEORETIC APPROACH1. (2017). Barnett, William ; Su, Liting . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201707. Full description at Econpapers \|\| Download paper
2017	Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach. (2017). Racine, Jeffrey ; Li, Kevin. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:72-94. Full description at Econpapers \|\| Download paper
2017	Testing for high-dimensional white noise using maximum cross correlations. (2017). Chang, Jinyuan ; Zhou, Wen ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531. Full description at Econpapers \|\| Download paper
2017	Spatial dynamic panel data models with interactive fixed effects. (2017). Shi, Wei ; Lee, Lung-Fei. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:323-347. Full description at Econpapers \|\| Download paper
2017	Fixed-effects dynamic spatial panel data models and impulse response analysis. (2017). Li, Kunpeng. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:102-121. Full description at Econpapers \|\| Download paper
2017	GMM gradient tests for spatial dynamic panel data models. (2017). Tapinar, Suleyman ; Bera, Anil K ; Doan, Osman. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:65:y:2017:i:c:p:65-88. Full description at Econpapers \|\| Download paper
2017	Heterogeneous panel data models with cross-sectional dependence. (2017). GAO, Jiti ; Xia, Kai. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-16. Full description at Econpapers \|\| Download paper
2017	GMM Gradient Tests for Spatial Dynamic Panel Data Models. (2017). Taspinar, Suleyman ; Bera, Anil K ; Dogan, Osman . In: MPRA Paper. RePEc:pra:mprapa:82830. Full description at Econpapers \|\| Download paper
2017	Rationalization and identification of binary games with correlated types. (2017). Xu, Haiqing ; Liu, Nianqing ; Vuong, Quang. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:249-268. Full description at Econpapers \|\| Download paper
2017	The Price Convergence of Individual Goods in the Russian Regions. (2017). Skrobotov, Anton ; Perevyshin, YU. In: Journal of the New Economic Association. RePEc:nea:journl:y:2017:i:35:p:71-102. Full description at Econpapers \|\| Download paper
2017	Governance, resources and growth. (2017). Hassan, M. Kabir ; Al Mamun, Md ; Sohag, Kazi. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:238-261. Full description at Econpapers \|\| Download paper
2017	QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices. (2017). Yu, Jihai ; Lee, Lung-Fei ; Qu, XI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:173-201. Full description at Econpapers \|\| Download paper
2017	Specification Test for Spatial Autoregressive Models. (2017). Su, Liangjun ; Qu, XI. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:572-584. Full description at Econpapers \|\| Download paper
2017	The spatial impact of employment centres on housing markets. (2017). Fuerst, Franz ; Laszkiewicz, Edyta ; Szumilo, Nikodem. In: Spatial Economic Analysis. RePEc:taf:specan:v:12:y:2017:i:4:p:472-491. Full description at Econpapers \|\| Download paper
2017	Statistic linear parametric techniques for residential electric energy demand forecasting. A review and an implementation to Chile. (2017). Verdejo, Humberto ; Olguin, Gabriel ; Becker, Cristhian ; Awerkin, Almendra . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:74:y:2017:i:c:p:512-521. Full description at Econpapers \|\| Download paper
2017	Quantile index coefficient model with variable selection. (2017). Zhao, Weihua ; Lian, Heng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:40-58. Full description at Econpapers \|\| Download paper
2017	Comparing Apples to Oranges: Differences in Womenâs and Menâs Incarceration and Sentencing Outcomes. (2017). Piehl, Anne ; Butcher, Kristin ; Park, Kyung H. In: NBER Working Papers. RePEc:nbr:nberwo:23079. Full description at Econpapers \|\| Download paper
2017	Bootstrapping the GMM overidentification test under first-order underidentification. (2017). Gonalves, Silvia ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:43-71. Full description at Econpapers \|\| Download paper
2017	The contribution of jumps to forecasting the density of returns. (2017). SÃÂ©vi, BenoÃÂ®t ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006. Full description at Econpapers \|\| Download paper
2017	Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26. Full description at Econpapers \|\| Download paper
2017	The contribution of jumps to forecasting the density of returns. (2017). SÃÂ©vi, BenoÃÂ®t ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618. Full description at Econpapers \|\| Download paper
2017	Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145. Full description at Econpapers \|\| Download paper
2017	Novelty, Knowledge Spillovers and Innovation: Evidence from Nobel Laureates. (2017). Ham, John ; Weinberg, Bruce A. In: GLO Discussion Paper Series. RePEc:zbw:glodps:30. Full description at Econpapers \|\| Download paper
2017	Do Islamic banks fail more than conventional banks?. (2017). Samargandi, Nahla ; Kutan, Ali ; Alandejani, Maha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:135-155. Full description at Econpapers \|\| Download paper
2017	On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments. (2017). Windmeijer, Frank ; Farbmacher, Helmut. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:17/22. Full description at Econpapers \|\| Download paper
2017	On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments. (2017). Windmeijer, Frank ; Farbmacher, Helmut ; Davies, Neil ; Smith, George Davey. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/674. Full description at Econpapers \|\| Download paper
2017	Gaming the Boston School Choice Mechanism in Beijing. (2017). HE, Yinghua. In: TSE Working Papers. RePEc:tse:wpaper:28970. Full description at Econpapers \|\| Download paper
2017	On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments. (2017). Windmeijer, Frank ; Farbmacher, Helmut ; Smith, George Davey ; Davies, Neil. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168196. Full description at Econpapers \|\| Download paper
2017	Calculating Degrees of Freedom in Multivariate Local Polynomial Regression. (2017). Parmeter, Christopher ; McCloud, Nadine. In: Working Papers. RePEc:mia:wpaper:2017-14. Full description at Econpapers \|\| Download paper
2017	American option valuation under time changed tempered stable LÃ©vy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:57-68. Full description at Econpapers \|\| Download paper
2017	Quantile regression for Panel data: An empirical approach for knowledge spillovers endogeneity. (2017). Vinci, Concetto Paolo ; Aldieri, Luigi. In: MPRA Paper. RePEc:pra:mprapa:76405. Full description at Econpapers \|\| Download paper
2017	Working Paper 247 - Credit constraints and farm productivity: Micro-level evidence from smallholder farmers in Ethiopia. (2017). Simpasa, Anthony ; Adamon, Mukasa ; Salami, Adeleke Oluwole . In: Working Paper Series. RePEc:adb:adbwps:2356. Full description at Econpapers \|\| Download paper
2017	Subcontracting and the survival of plants in the road construction industry: A panel quantile regression analysis. (2017). Lamarche, Carlos ; De Silva, Dakshina ; Kosmopoulou, Georgia . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:137:y:2017:i:c:p:113-131. Full description at Econpapers \|\| Download paper
2017	Regression Tree Model for Analysis of Demand with Heterogeneity and Censorship. (2017). Ozhegov, Evgeniy M ; Ozhegova, Alina . In: HSE Working papers. RePEc:hig:wpaper:174/ec/2017. Full description at Econpapers \|\| Download paper
2017	Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression. (2017). Chen, Xiaohong ; Christensen, Timothy . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1923r2. Full description at Econpapers \|\| Download paper
2017	Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression. (2017). Chen, Xiaohong ; Christensen, Timothy M. In: CeMMAP working papers. RePEc:ifs:cemmap:09/17. Full description at Econpapers \|\| Download paper
2017	Estimation and inference in semiparametric quantile factor models. (2017). LINTON, OLIVER ; GAO, Jiti ; Ma, Shujie. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-8. Full description at Econpapers \|\| Download paper
2017	Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression. (2017). Chen, Xiaohong ; Christensen, Timothy M. In: Papers. RePEc:arx:papers:1508.03365. Full description at Econpapers \|\| Download paper
2017	ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO. (2017). Benedetti, Giuseppe . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500200. Full description at Econpapers \|\| Download paper
2017	Additive nonparametric models with time variable and both stationary and nonstationary regressions. (2017). Dong, Chaohua ; Linton, Oliver. In: CeMMAP working papers. RePEc:ifs:cemmap:59/17. Full description at Econpapers \|\| Download paper
2017	Nonparametric Knn estimation with monotone constraints. (2017). Li, Zheng ; Liu, Guannan. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:988-1006. Full description at Econpapers \|\| Download paper
2017	Inference on Estimators defined by Mathematical Programming. (2017). Shum, Matthew ; Shi, Xiaoxia ; Hsieh, Yu-Wei. In: Papers. RePEc:arx:papers:1709.09115. Full description at Econpapers \|\| Download paper
2017	Sensitivity of the bounds on the ATE in the presence of sample selection. (2017). Laffers, Luka ; Nedela, Roman . In: Economics Letters. RePEc:eee:ecolet:v:158:y:2017:i:c:p:84-87. Full description at Econpapers \|\| Download paper
2017	An improved least squares Monte Carlo valuation method based on heteroscedasticity. (2017). Fabozzi, Frank J ; Tunaru, Radu ; Paletta, Tommaso . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:698-706. Full description at Econpapers \|\| Download paper
2017	Varying kernel marginal density estimator for a positive time series. (2017). Balakrishna, N ; Koul, Hira L. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:3:p:531-552. Full description at Econpapers \|\| Download paper
2017	Functional linear regression with functional response. (2017). Benatia, David ; FLORENS, Jean-Pierre ; Carrasco, Marine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291. Full description at Econpapers \|\| Download paper
2017	Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366. Full description at Econpapers \|\| Download paper
2017	Sparse seasonal and periodic vector autoregressive modeling. (2017). Baek, Changryong ; Davis, Richard A ; Pipiras, Vladas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:103-126. Full description at Econpapers \|\| Download paper
2017	VARX-L: Structured regularization for large vector autoregressions with exogenous variables. (2017). Nicholson, William B ; Bien, Jacob ; Matteson, David S. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:627-651. Full description at Econpapers \|\| Download paper
2017	Lasso Regressions and Forecasting Models in Applied Stress Testing. (2017). Chan-Lau, Jorge A. In: IMF Working Papers. RePEc:imf:imfwpa:17/108. Full description at Econpapers \|\| Download paper
2017	Impact of taxation on growth in Subsaharan Africa: new evidence based on a new data set. (2017). Gbato, Andre . In: MPRA Paper. RePEc:pra:mprapa:80903. Full description at Econpapers \|\| Download paper
2017	Foreign aid and domestic absorption. (2017). Van de Sijpe, Nicolas ; Temple, Jonathan. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:431-443. Full description at Econpapers \|\| Download paper
2017	The El NiÃ±o Southern Oscillation and Economic Growth in the Developing World. (2017). Ubilava, David ; Smith, Sarah C. In: Working Papers. RePEc:syd:wpaper:2017-11. Full description at Econpapers \|\| Download paper
2017	Inflation-targeting and real interest rate parity: A bias correction approach. (2017). Kim, Jaebeom ; Ding, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:132-137. Full description at Econpapers \|\| Download paper
2017	The long-run growth effects of R&D policy. (2017). Venturini, Francesco ; Minniti, Antonio. In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:1:p:316-326. Full description at Econpapers \|\| Download paper
2017	The real effects of household debt in the short and long run. (2017). SHIM, ILHYOCK ; Mohanty, Madhusudan ; Lombardi, Marco. In: BIS Working Papers. RePEc:bis:biswps:607. Full description at Econpapers \|\| Download paper
2017	Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility?. (2017). Raissi, Mehdi ; Mohaddes, Kamiar. In: Globalization Institute Working Papers. RePEc:fip:feddgw:304. Full description at Econpapers \|\| Download paper
2017	Joining the club? Procyclicality of private capital inflows in lower income developing economies. (2017). van Hombeeck, Carlos Eduardo ; Papageorgiou, Chris ; David, Antonio ; Araujo, Juliana D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:157-182. Full description at Econpapers \|\| Download paper
2017	Oil, Volatility and Institutions: Cross-Country Evidence from Major Oil Producers. (2017). Nugent, Jeffrey ; Mohaddes, Kamiar ; El-Anshasy, Amany . In: Globalization Institute Working Papers. RePEc:fip:feddgw:310. Full description at Econpapers \|\| Download paper
2017	Asymmetric credit growth and current account imbalances in the euro area. (2017). Unger, Robert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:435-451. Full description at Econpapers \|\| Download paper
2017	Human capital and natural resource dependence. (2017). Lin, Shu-Chin ; Kim, Dong-Hyeon. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:40:y:2017:i:c:p:92-102. Full description at Econpapers \|\| Download paper
2017	Semi-Autonomous Revenue Authorities in Sub-Saharan Africa: Silver Bullet or White Elephant. (2017). Dom, Roel . In: Discussion Papers. RePEc:not:notcre:17/01. Full description at Econpapers \|\| Download paper
2017	Aid, Taxes and Government Spending: A Heterogeneous Cointegrated Panel Analysis. (2017). , Abrams . In: Discussion Papers. RePEc:not:notcre:17/02. Full description at Econpapers \|\| Download paper
2017	Sovereign default risk in OECD countries: do global factors matter?. (2017). OrdoÃÂ±ez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel . In: Borradores de Economia. RePEc:bdr:borrec:996. Full description at Econpapers \|\| Download paper
2017	Macroeconomic Determinants of International Migration to the UK. (2017). Portes, Jonathan ; Forte, Giuseppe. In: GLO Discussion Paper Series. RePEc:zbw:glodps:69. Full description at Econpapers \|\| Download paper
2017	A heteroskedasticity robust BreuschâPagan test for Contemporaneous correlation in dynamic panel data models. (2017). Yamagata, Takashi ; Orme, Chris D ; Halunga, Andreea G. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:209-230. Full description at Econpapers \|\| Download paper
2017	Macroeconomic Determinants of International Migration to the UK. (2017). Portes, Jonathan ; Forte, Giuseppe. In: IZA Discussion Papers. RePEc:iza:izadps:dp10802. Full description at Econpapers \|\| Download paper
2017	Oil, Volatility and Institutions: Cross-Country Evidence From Major Oil Producers. (2017). Nugent, Jeffrey ; Mohaddes, Kamiar ; El-Anshasy, Amany . In: Working Papers. RePEc:erg:wpaper:1115. Full description at Econpapers \|\| Download paper
2017	Tax Structure and Economic Growth: A Panel Cointegrated VAR Analysis. (2017). di sanzo, silvestro ; Graziano, Giovanni ; Bella, Mariano. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:3:y:2017:i:2:d:10.1007_s40797-017-0056-0. Full description at Econpapers \|\| Download paper
2017	On estimating long-run effects in models with lagged dependent variables. (2017). Reed, W. ; Zhu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:302-311. Full description at Econpapers \|\| Download paper
2017	Interregional Migration, Human Capital Externalities and Unemployment Dynamics: Evidence from Italian Provinces. (2017). Russo, Giuseppe ; Basile, Roberto ; Mantuano, Marianna ; Girardi, Alessandro . In: EconStor Preprints. RePEc:zbw:esprep:168560. Full description at Econpapers \|\| Download paper
2017	The Volatility of Capital Flows in Emerging Markets: Measures and Determinants. (2017). Pagliari, Maria Sole ; Hannan, Swarnali Ahmed . In: Departmental Working Papers. RePEc:rut:rutres:201710. Full description at Econpapers \|\| Download paper
2017	The economics and politics of foreign aid and domestic revenue. (2017). , Abrams . In: WIDER Working Paper Series. RePEc:unu:wpaper:wp2017-180. Full description at Econpapers \|\| Download paper
2017	Sovereign default risk in OECD countries: Do global factors matter?. (2017). OrdoÃÂ±ez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:629-639. Full description at Econpapers \|\| Download paper
2017	Accounting for Nonlinearity, Asymmetry, Heterogeneity, and Cross-Sectional Dependence in Energy Modeling: US State-Level Panel Analysis. (2017). liddle, brantley. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:3:p:30-:d:108265. Full description at Econpapers \|\| Download paper
2017	Impact of Taxation on Growth in Sub-Saharan Africa: New Evidence Based on a New Data Set. (2017). Gbato, Andre . In: Post-Print. RePEc:hal:journl:hal-01673738. Full description at Econpapers \|\| Download paper
2017	Impact of Taxation on Growth in Sub-Saharan Africa: New Evidence Based on a New Data Set. (2017). Gbato, Andre . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:11:p:173-193. Full description at Econpapers \|\| Download paper
2017	Non-core liabilities and monetary policy transmission in Indonesia during the post-2007 global financial crisis. (2017). Siregar, Reza ; Pontines, Victor. In: CAMA Working Papers. RePEc:een:camaaa:2017-78. Full description at Econpapers \|\| Download paper
2017	Factor Models in Panels with Cross-sectional Dependence: An Application to the Extended SIPRI Military Expenditure Data. (2017). Smith, Ronald ; Cavatorta, Elisa . In: Defence and Peace Economics. RePEc:taf:defpea:v:28:y:2017:i:4:p:437-456. Full description at Econpapers \|\| Download paper
2017	Refugee Immigration and Total Factor Productivity. (2017). Herzer, Dierk. In: International Economic Journal. RePEc:taf:intecj:v:31:y:2017:i:3:p:390-414. Full description at Econpapers \|\| Download paper
2017	Toward an objective and reproducible model choice via variable selection deviation. (2017). Yang, Wenjing . In: Biometrics. RePEc:bla:biomet:v:73:y:2017:i:1:p:20-30. Full description at Econpapers \|\| Download paper
2017	Implied volatility and state price density estimation: arbitrage analysis. (2017). Kopa, Milo ; Hendrych, Radek ; Tich, Toma ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:4:d:10.1007_s10287-017-0283-8. Full description at Econpapers \|\| Download paper
2017	A semiparametric generalized ridge estimator and link with model averaging. (2017). Ullah, Aman ; Amanullah, ; Zou, Guohua ; Zhang, Xinyu ; Wang, Huansha ; Alan, . In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:370-384. Full description at Econpapers \|\| Download paper
2017	Nonparametric least squares methods for stochastic frontier models. (2017). Zelenyuk, Valentin ; Simar, Leopold ; Keilegom, Ingrid . In: Journal of Productivity Analysis. RePEc:kap:jproda:v:47:y:2017:i:3:d:10.1007_s11123-016-0474-2. Full description at Econpapers \|\| Download paper
2017	Immigration Policy and Remittance Behaviour. (2017). Tchuente, Guy ; tani, max ; Piracha, Matloob. In: GLO Discussion Paper Series. RePEc:zbw:glodps:94. Full description at Econpapers \|\| Download paper
2017	Immigration Policy and Remittance Behaviour. (2017). Tchuente, Guy ; tani, max ; Piracha, Matloob. In: IZA Discussion Papers. RePEc:iza:izadps:dp10927. Full description at Econpapers \|\| Download paper
2017	Estimation of average treatment effects with panel data: Asymptotic theory and implementation. (2017). Bell, David R ; Li, Kathleen T. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:65-75. Full description at Econpapers \|\| Download paper
2017	Determining 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. Full description at Econpapers \|\| Download paper
2017	Investmentâcash flow sensitivity measures investment thirst, but not financial constraint. (2017). Deng, Kebin ; Walsh, Kathy ; Zhou, Qing ; Zhu, Yushu ; Ding, Zhong. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:1:p:165-197. Full description at Econpapers \|\| Download paper
2017	Local Government Debt and Firm Leverage: Evidence from China. (2017). Liang, Yousha ; Xu, Juanyi ; Wang, Lisheng ; Shi, Kang. In: Asian Economic Policy Review. RePEc:bla:asiapr:v:12:y:2017:i:2:p:210-232. Full description at Econpapers \|\| Download paper
2017	Tests of equal accuracy for nested models with estimated factors. (2017). McCracken, Michael ; Goncalves, Silvia ; Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:231-252. Full description at Econpapers \|\| Download paper
2017	Directed Graphs and Variable Selection in Large Vector Autoregressive Models. (2017). Kascha, Christian ; Bruggemann, Ralf . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1706. Full description at Econpapers \|\| Download paper
2017	Model Averaging and its Use in Economics. (2017). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:81568. Full description at Econpapers \|\| Download paper
2017	Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751. Full description at Econpapers \|\| Download paper
2017	Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98. Full description at Econpapers \|\| Download paper
2017	Weighted-Average Least Squares Estimation of Generalized Linear Models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170029. Full description at Econpapers \|\| Download paper
2017	Focused information criterion and model averaging in censored quantile regression. (2017). Du, Jiang ; Xie, Tianfa ; Zhang, Zhongzhan. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:5:d:10.1007_s00184-017-0616-1. Full description at Econpapers \|\| Download paper
2017	Weighted-average least squares estimation of generalized linear models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: EIEF Working Papers Series. RePEc:eie:wpaper:1711. Full description at Econpapers \|\| Download paper
2017	Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; GuÃÂ©rin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13. Full description at Econpapers \|\| Download paper
2017	Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527. Full description at Econpapers \|\| Download paper
2017	Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Ko, Kyunghwan. In: Working Papers. RePEc:bok:wpaper:1714. Full description at Econpapers \|\| Download paper
2017	A Unified Framework for Dimension Reduction in Forecasting. (2017). Barbarino, Alessandro ; Bura, Efstathia. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-04. Full description at Econpapers \|\| Download paper
2017	Identification and critical time forecasting of real estate bubbles in the USA. (2017). Ardila, Diego ; Sornette, Didier ; Cauwels, Peter ; Sanadgol, Dorsa. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:613-631. Full description at Econpapers \|\| Download paper
2017	Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Brzeszczyski, Janusz ; Marco, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111. Full description at Econpapers \|\| Download paper
2017	Is economic uncertainty priced in the cross-section of stock returns?. (2017). Brown, Stephen ; Tang, YI ; Bali, Turan G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:471-489. Full description at Econpapers \|\| Download paper
2017	Testing endogeneity of spatial and social networks. (2017). Cheng, Wei ; Lee, Lung-Fei. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:64:y:2017:i:c:p:81-97. Full description at Econpapers \|\| Download paper
2017	The Eurozone Convergence through Crises and Structural Changes. (2017). Uctum, Remzi ; Vijverberg, Chu-Ping C. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-38. Full description at Econpapers \|\| Download paper
2017	Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339. Full description at Econpapers \|\| Download paper
2017	Testing identifying assumptions in nonseparable panel data models. (2017). Ghanem, Dalia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:202-217. Full description at Econpapers \|\| Download paper
2017	Value-at-Risk under LÃ©vy GARCH models: Evidence from global stock markets. (2017). BenSaÃÂ¯da, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53. Full description at Econpapers \|\| Download paper
2017	Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285.. Full description at Econpapers \|\| Download paper
2017	Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance. (2017). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150084. Full description at Econpapers \|\| Download paper
2017	Forecasting GDP with global components: This time is different. (2017). Thorsrud, Leif ; Ravazzolo, Francesco ; BjÃÂ¸rnland, Hilde. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:153-173. Full description at Econpapers \|\| Download paper
2017	Improving the power of the DieboldâMarianoâWest test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626. Full description at Econpapers \|\| Download paper
2017	Mismatch and the Forecasting Performance of Matching Functions. (2017). Weber, Enzo ; Hutter, Christian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:1:p:101-123. Full description at Econpapers \|\| Download paper
2017	Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317391. Full description at Econpapers \|\| Download paper
2017	Fractional order statistic approximation for nonparametric conditional quantile inference. (2017). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:331-346. Full description at Econpapers \|\| Download paper
2017	A rank approach for studying cross-currency bases and the covered interest rate parity. (2017). OrdoÃÂ±ez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gomez-Malagon, Santiago ; Ordoez-Callamand, Daniel . In: Borradores de Economia. RePEc:bdr:borrec:994. Full description at Econpapers \|\| Download paper
2017	Higher-order properties of approximate estimators. (2017). SalaniÃÂ©, Bernard ; Kristensen, Dennis ; Salanie, Bernard. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:189-208. Full description at Econpapers \|\| Download paper
2017	Bonferroni-based size-correction for nonstandard testing problems. (2017). McCloskey, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:17-35. Full description at Econpapers \|\| Download paper
2017	Conditional sure independence screening by conditional marginal empirical likelihood. (2017). Hu, Qinqin ; Lin, LU. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:69:y:2017:i:1:d:10.1007_s10463-015-0534-9. Full description at Econpapers \|\| Download paper
2017	A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks. (2017). GAO, Jiti ; Feng, Guohua ; Zhang, Xiaohui ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:68-82. Full description at Econpapers \|\| Download paper
2017	Semiparametric Panel Data Using Neural Networks. (2017). Crane-Droesch, Andrew. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258128. Full description at Econpapers \|\| Download paper
2017	Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211. Full description at Econpapers \|\| Download paper
2017	Tests for serial correlation of unknown form in dynamic least squares regression with wavelets. (2017). Li, Meiyu ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:104-110. Full description at Econpapers \|\| Download paper
2017	Real and complex wavelets in asset classification: An application to the US stock market. (2017). Bruzda, Joanna. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:115-125. Full description at Econpapers \|\| Download paper
2017	Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets. (2017). SaÃÂ¢daoui, Foued ; Aldohaiman, Mohamed S ; al Dohaiman, Mohamed S ; Naifar, Nader ; Saadaoui, Foued. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:552-568. Full description at Econpapers \|\| Download paper
2017	Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65. Full description at Econpapers \|\| Download paper
2017	Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702. Full description at Econpapers \|\| Download paper
2017	Gender differentials in agricultural productivity: an empirical evidence from Uganda. (2017). Campus, Daniela. In: 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy. RePEc:ags:aiea17:261259. Full description at Econpapers \|\| Download paper
2017	Maximum likelihood estimation of the equity premium. (2017). Avdis, Efstathios ; Wachter, Jessica A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:589-609. Full description at Econpapers \|\| Download paper
2017	The direct and indirect CO2 rebound effect for private cars in China. (2017). Zhang, Yue-Jun ; Tan, Tai-De ; Qin, Chang-Xiong ; Liu, Zhao. In: Energy Policy. RePEc:eee:enepol:v:100:y:2017:i:c:p:149-161. Full description at Econpapers \|\| Download paper
2017	Real-time inflation forecasting with high-dimensional models: The case of Brazil. (2017). Medeiros, Marcelo. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:679-693. Full description at Econpapers \|\| Download paper
2017	GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander. In: Economics Working Paper Series. RePEc:usg:econwp:2017:02. Full description at Econpapers \|\| Download paper
2017	Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods. (2017). Xiao, Shuang ; Jia, Yunjing ; Li, Guo. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:34:y:2017:i:01:n:s0217595917400097. Full description at Econpapers \|\| Download paper
2017	Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. (2017). Elst, Harry Vander ; Veredas, David. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:1:p:106-138.. Full description at Econpapers \|\| Download paper
2017	Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920. Full description at Econpapers \|\| Download paper
2017	A simple nonlinear predictive model for stock returns. (2017). GAO, Jiti ; Cai, Biqing. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-18. Full description at Econpapers \|\| Download paper
2017	A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874. Full description at Econpapers \|\| Download paper
2017	Estimation and model selection of higher-order spatial autoregressive model: An efficient Bayesian approach. (2017). Hsieh, Chih-Sheng ; Lee, Lung-Fei ; Han, Xiaoyi . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:63:y:2017:i:c:p:97-120. Full description at Econpapers \|\| Download paper
2017	Inference based on many conditional moment inequalities. (2017). , Donald ; Shi, Xiaoxia. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:275-287. Full description at Econpapers \|\| Download paper
2017	Set Identification, Moment Restrictions and Inference. (2017). Magnac, Thierry ; Bontemps, Christian. In: TSE Working Papers. RePEc:tse:wpaper:31337. Full description at Econpapers \|\| Download paper
2017	Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Casas, Isabel ; Orbe, Susan ; Ferreira, Eva. In: CREATES Research Papers. RePEc:aah:create:2017-33. Full description at Econpapers \|\| Download paper
2017	Pseudolikelihood estimation of the stochastic frontier model. (2017). Parmeter, Christopher ; Andor, Mark. In: Ruhr Economic Papers. RePEc:zbw:rwirep:693. Full description at Econpapers \|\| Download paper
2017	Returns to Scale in Electricity Generation: Revisited and Replicated. (2017). Parmeter, Christopher ; Bernstein, David. In: Working Papers. RePEc:mia:wpaper:2017-08. Full description at Econpapers \|\| Download paper
2017	Pseudolikelihood estimation of the stochastic frontier model. (2017). Parmeter, Christopher ; Andor, Mark. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:55:p:5651-5661. Full description at Econpapers \|\| Download paper
2017	Social interactions under incomplete information with heterogeneous expectations. (2017). Yang, Chao ; Lee, Lung-Fei. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:65-83. Full description at Econpapers \|\| Download paper
2017	Testing for Stochastic Dominance in Social Networks. (2017). Masson, Virginie ; Garrard, Robert ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2017-02. Full description at Econpapers \|\| Download paper
2017	The Estimation of Network Formation Games with Positive Spillovers. (2017). Boucher, Vincent. In: Cahiers de recherche. RePEc:lvl:crrecr:1710. Full description at Econpapers \|\| Download paper
2017	Comparing distributions by multiple testing across quantiles or CDF values. (2017). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1708.04658. Full description at Econpapers \|\| Download paper
2017	Restoration of Monotonicity Respecting in Dynamic Regression. (2017). Huang, Yijian. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:518:p:613-622. Full description at Econpapers \|\| Download paper
2017	Robust estimation in stochastic frontier models. (2017). Kang, Jiwon ; Oh, Dong-Hyun ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:243-267. Full description at Econpapers \|\| Download paper
2017	Does fiscal decentralization enhance citizensâ access to public services and reduce poverty? Evidence from a conflict setting. (2017). Sanogo, Tiangboho. In: Working Papers. RePEc:cdi:wpaper:1887. Full description at Econpapers \|\| Download paper
2017	Random-intercept misspecification in generalized linear mixed models for binary responses. (2017). Yu, Shun ; Huang, Xianzheng. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-017-0376-0. Full description at Econpapers \|\| Download paper
2017	Does fiscal decentralization enhance citizensâ access to public services and reduce poverty? Evidence from a conflict setting. (2017). Sanogo, Tiangboho. In: Working Papers. RePEc:hal:wpaper:halshs-01582478. Full description at Econpapers \|\| Download paper
2017	Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data. (2017). Pigini, Claudia ; Bartolucci, Francesco ; Bacci, Silvia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:112-131. Full description at Econpapers \|\| Download paper
2017	Effect of central transfers on municipalitiesâ own revenue mobilization: Do conflict and local revenue management matter?. (2017). Brun, Jean ; Sanogo, Tiangboho. In: Working Papers. RePEc:cdi:wpaper:1888. Full description at Econpapers \|\| Download paper
2017	Effect of central transfers on municipalities own revenue mobilization: Do conflict and local revenue management matter?. (2017). Brun, Jean-Franois ; Sanogo, Tiangboho. In: Working Papers. RePEc:hal:wpaper:halshs-01613108. Full description at Econpapers \|\| Download paper
2017	Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188. Full description at Econpapers \|\| Download paper
2017	Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7. Full description at Econpapers \|\| Download paper
2017	A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344. Full description at Econpapers \|\| Download paper
2017	Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: Papers. RePEc:arx:papers:1709.08238. Full description at Econpapers \|\| Download paper
2017	Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492. Full description at Econpapers \|\| Download paper
2017	Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327. Full description at Econpapers \|\| Download paper
2017	The effect of non-trading days on volatility forecasts in equity markets. (2017). MolnÃÂ¡r, Peter ; LyÃÂ³csa, Å tefan ; Lyocsa, Tefan ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49. Full description at Econpapers \|\| Download paper
2017	The role of jumps and leverage in forecasting volatility in international equity markets. (2017). Buncic, Daniel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:1-19. Full description at Econpapers \|\| Download paper
2017	Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). MolnÃÂ¡r, Peter ; LyÃÂ³csa, Å tefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247. Full description at Econpapers \|\| Download paper
2017	Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: CFS Working Paper Series. RePEc:zbw:cfswop:581. Full description at Econpapers \|\| Download paper
2017	Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108. Full description at Econpapers \|\| Download paper
2017	A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric . In: Papers. RePEc:arx:papers:1710.00643. Full description at Econpapers \|\| Download paper
2017	A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric . In: Research Memorandum. RePEc:unm:umagsb:2017023. Full description at Econpapers \|\| Download paper
2017	Risk Measure Inference. (2017). Smeekes, Stephan ; Quaedvlieg, Rogier ; Laurent, SÃÂ©bastien ; Hurlin, Christophe. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:499-512. Full description at Econpapers \|\| Download paper
2017	Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-3. Full description at Econpapers \|\| Download paper
2017	Heteroskedasticity-robust unit root testing for trending panels. (2017). Walle, Yabibal ; Maxand, Simone ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:314. Full description at Econpapers \|\| Download paper
2017	The Asymptotic Validity of Standard Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions. (2017). Wagner, Martin ; Kawka, Rafael ; Grabarczyk, Peter ; Stypka, Oliver. In: Economics Series. RePEc:ihs:ihsesp:333. Full description at Econpapers \|\| Download paper
2017	Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals. (2017). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1000-1009. Full description at Econpapers \|\| Download paper
2017	A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62. Full description at Econpapers \|\| Download paper
2017	Wealth, Top Incomes and Inequality. (2017). Olivera, Javier ; Nolan, Brian ; van Kerm, Philippe ; Cowell, Frank. In: LWS Working papers. RePEc:lis:lwswps:24. Full description at Econpapers \|\| Download paper
2017	Survival Ambiguity and Welfare. (2017). Slavov, Sita ; Gorry, Aspen ; Caliendo, Frank. In: NBER Working Papers. RePEc:nbr:nberwo:23648. Full description at Econpapers \|\| Download paper
2017	Retirement spending and biological age. (2017). Salisbury, T S ; Milevsky, M A ; Huang, H. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:58-76. Full description at Econpapers \|\| Download paper
2017	Weak s- Convergence: Theory and Applications. (2017). Sul, Donggyu ; Phillips, Peter ; PEter, ; Kong, Jianning . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2072. Full description at Econpapers \|\| Download paper
2017	Market structure and performance: An empirical study of the Chinese solar cell industry. (2017). Li, Yun ; Zhao, Xingang ; Nie, Dan . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:70:y:2017:i:c:p:78-82. Full description at Econpapers \|\| Download paper
2017	Estimation of fractionally integrated panels with fixed effects and cross-section dependence. (2017). Velasco, Carlos ; Ergemen, Yunus Emre . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:248-258. Full description at Econpapers \|\| Download paper
2017	Varying coefficient functional autoregressive model with application to the U.S. treasuries. (2017). Xu, Meng ; Chen, Ying ; Li, Jialiang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:159:y:2017:i:c:p:168-183. Full description at Econpapers \|\| Download paper
2017	Quantile Aggregation of Density Forecasts. (2017). Busetti, Fabio. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:495-512. Full description at Econpapers \|\| Download paper
2017	A family of block-wise one-factor distributions for modeling high-dimensional binary data. (2017). Marbac, Matthieu ; Sedki, Mohammed . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:130-145. Full description at Econpapers \|\| Download paper
2017	The triangular model with random coefficients. (2017). hoderlein, stefan ; Meister, Alexander ; Holzmann, Hajo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:144-169. Full description at Econpapers \|\| Download paper
2017	Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach. (2017). Wohar, Mark ; GUPTA, RANGAN ; Christou, Christina ; Nyakabawo, Wendy. In: Working Papers. RePEc:pre:wpaper:201707. Full description at Econpapers \|\| Download paper
2017	The windowed scalogram difference: A novel wavelet tool for comparing time series. (2017). Bolos, V J ; Jammazi, R ; Ferrer, R ; Benitez, R. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:312:y:2017:i:c:p:49-65. Full description at Econpapers \|\| Download paper
2017	Another look on the relationships between oil prices and energy prices. (2017). Shahbaz, Muhammad ; miloudi, anthony ; Benkraiem, Ramzi ; Lahiani, Amine. In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:318-331. Full description at Econpapers \|\| Download paper
2017	Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821. Full description at Econpapers \|\| Download paper
2017	Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers \|\| Download paper
2017	Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552. Full description at Econpapers \|\| Download paper
2017	Modeling Dependence in High Dimensions With Factor Copulas. (2017). Oh, Donghwan ; Patton, Andrew J. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:139-154. Full description at Econpapers \|\| Download paper
2017	The Features of Management of Innovation Risks at Pre-investment Stage of the Project in Modern Economic Realities. (2017). Zozulya, Valentina ; Zuykov, Andrey ; Romanchenko, Olga . In: International Review of Management and Marketing. RePEc:eco:journ3:2017-02-07. Full description at Econpapers \|\| Download paper
2017	The perils of counterfactual analysis with integrated processes. (2017). Medeiros, Marcelo ; Carvalho, Carlos ; Masini, Ricardo Pereira ; de Carvalho, Carlos Viana. In: Textos para discussÃ£o. RePEc:fgv:eesptd:455. Full description at Econpapers \|\| Download paper
2017	Do Chinas high-speed-rail projects promote local economy?âNew evidence from a panel data approach. (2017). hsiao, cheng ; Hong, Yongmiao ; Chen, Haiqiang ; Ke, Xiao . In: China Economic Review. RePEc:eee:chieco:v:44:y:2017:i:c:p:203-226. Full description at Econpapers \|\| Download paper
2017	Dual influences of regulatory polices on real estate enterprisesâ investment âbased on the perspective of supply-side reform in China. (2017). Zeng, Yanni ; Yu, Shoujin ; Zhang, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:50-57. Full description at Econpapers \|\| Download paper
2017	Home purchase restriction and housing price: A distribution dynamics analysis. (2017). Li, Victor Jing ; Se, Tsun ; Wing, Andy Wui. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:67:y:2017:i:c:p:1-10. Full description at Econpapers \|\| Download paper
2017	Mapping Chinaâs time-varying house price landscape. (2017). Leiva-Leon, Danilo ; Funke, Michael ; Tsang, Andrew. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_021. Full description at Econpapers \|\| Download paper
2017	Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers \|\| Download paper
2017	Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3. Full description at Econpapers \|\| Download paper
2017	Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20. Full description at Econpapers \|\| Download paper
2017	Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742. Full description at Econpapers \|\| Download paper
2017	Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591. Full description at Econpapers \|\| Download paper
2017	Estimation 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. Full description at Econpapers \|\| Download paper
2017	Dirichlet ARMA models for compositional time series. (2017). Zheng, Tingguo ; Chen, Rong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:31-46. Full description at Econpapers \|\| Download paper
2017	Regression Kink With an Unknown Threshold. (2017). Hansen, Bruce E. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:2:p:228-240. Full description at Econpapers \|\| Download paper
2017	Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90. Full description at Econpapers \|\| Download paper
2017	Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Ali, Azwadi ; Raza, Naveed. In: MPRA Paper. RePEc:pra:mprapa:78595. Full description at Econpapers \|\| Download paper
2017	The relationship between oil prices and rig counts: The importance of lags. (2017). Khalifa, Ahmed ; Caporin, Massimiliano ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:213-226. Full description at Econpapers \|\| Download paper
2017	Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; ChuliÃÂ¡, Helena ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191. Full description at Econpapers \|\| Download paper
2017	Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; ChuliÃÂ¡, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46. Full description at Econpapers \|\| Download paper
2017	Reduced form vector directional quantiles. (2017). Montes-Rojas, Gabriel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:20-30. Full description at Econpapers \|\| Download paper
2017	Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃÂk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers \|\| Download paper
2017	Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Ali, Azwadi ; Raza, Naveed ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319. Full description at Econpapers \|\| Download paper
2017	Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; ChuliÃÂ¡, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68. Full description at Econpapers \|\| Download paper
2017	Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?. (2017). Ghysels, Eric ; Liu, Hanwei . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12180. Full description at Econpapers \|\| Download paper
2017	Mis-classified, Binary, Endogenous Regressors: Identification and Inference. (2017). DiTraglia, Francis ; Garcia-Jimeno, Camilo. In: NBER Working Papers. RePEc:nbr:nberwo:23814. Full description at Econpapers \|\| Download paper
2017	LATE with Mismeasured or Misspecified Treatment: An application to Womens Empowerment in India. (2017). Tommasi, Denni ; Lewbel, Arthur ; Calvi, Rossella. In: Working Papers ECARES. RePEc:eca:wpaper:2013/251754. Full description at Econpapers \|\| Download paper
2017	Examples of L2-complete and boundedly-complete distributions. (2017). , Donald. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:213-220. Full description at Econpapers \|\| Download paper
2017	Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Naik, Narayan Y ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510. Full description at Econpapers \|\| Download paper
2017	Emerging and developing economies: Entering a rough patch or protracted low gear?. (2017). Narita, Futoshi ; Gupta, Rupa Dutta ; Duttagupta, Rupa. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:4:p:680-698. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers \|\| Download paper
2017	Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28. Full description at Econpapers \|\| Download paper
2017	Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Casas, Isabel ; Orbe, Susan ; Ferreira, Eva. In: CREATES Research Papers. RePEc:aah:create:2017-33. Full description at Econpapers \|\| Download paper
2017	Model Selection in Factor-Augmented Regressions with Estimated Factors. (2017). Djogbenou, Antoine A. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274717. Full description at Econpapers \|\| Download paper
2017	Improved asymptotic analysis of Gaussian QML estimators in spatial models. (2017). Olejnik, Alicja. In: Lodz Economics Working Papers. RePEc:ann:wpaper:9/2017. Full description at Econpapers \|\| Download paper
2017	Comparing distributions by multiple testing across quantiles or CDF values. (2017). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1708.04658. Full description at Econpapers \|\| Download paper
2017	Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers \|\| Download paper
2017	Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55. Full description at Econpapers \|\| Download paper
2017	Staying 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. Full description at Econpapers \|\| Download paper
2017	Identification 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. Full description at Econpapers \|\| Download paper
2017	Continuous 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. Full description at Econpapers \|\| Download paper
2017	Continuous 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. Full description at Econpapers \|\| Download paper
2017	Matrix 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. Full description at Econpapers \|\| Download paper
2017	Simple, 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. Full description at Econpapers \|\| Download paper
2017	Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence. (2017). Hidalgo, Javier ; Schafgans, Marcia M. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:597. Full description at Econpapers \|\| Download paper
2017	Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). RodrÃÂguez Caballero, Carlos ; RodrÃguez Caballero, Carlos ; RodrÃÂÃÂguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614. Full description at Econpapers \|\| Download paper
2017	Optimal Dimension Reduction for High-dimensional and Functional Time Series. (2017). Hallin, Marc ; Lippi, Marco ; Hormann, Siegfried. In: Working Papers ECARES. RePEc:eca:wpaper:2013/260201. Full description at Econpapers \|\| Download paper
2017	Bounding 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. Full description at Econpapers \|\| Download paper
2017	Assessing 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. Full description at Econpapers \|\| Download paper
2017	Confidence 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. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Determining 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. Full description at Econpapers \|\| Download paper
2017	A 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. Full description at Econpapers \|\| Download paper
2017	Inferences 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. Full description at Econpapers \|\| Download paper
2017	Understanding 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. Full description at Econpapers \|\| Download paper
2017	Instrumental 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. Full description at Econpapers \|\| Download paper
2017	Scenario 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. Full description at Econpapers \|\| Download paper
2017	Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18. Full description at Econpapers \|\| Download paper
2017	Inference without smoothing for large panels with cross-sectional and temporal dependence. (2017). Hidalgo, Javier . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87748. Full description at Econpapers \|\| Download paper
2017	This time it is different! Or not?. (2017). Franses, Philip Hans ; Janssens, E. In: Econometric Institute Research Papers. RePEc:ems:eureir:101764. Full description at Econpapers \|\| Download paper
2017	Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576. Full description at Econpapers \|\| Download paper
2017	The 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. Full description at Econpapers \|\| Download paper
2017	The perils of counterfactual analysis with integrated processes. (2017). Medeiros, Marcelo ; Carvalho, Carlos ; Masini, Ricardo Pereira ; de Carvalho, Carlos Viana. In: Textos para discussÃ£o. RePEc:fgv:eesptd:455. Full description at Econpapers \|\| Download paper
2017	Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-3. Full description at Econpapers \|\| Download paper
2017	Non-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. Full description at Econpapers \|\| Download paper
2017	Measuring 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. Full description at Econpapers \|\| Download paper
2017	Estimation 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. Full description at Econpapers \|\| Download paper
2017	Improved 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. Full description at Econpapers \|\| Download paper
2017	Short-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. Full description at Econpapers \|\| Download paper
2017	Formula 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. Full description at Econpapers \|\| Download paper
2017	Recent Developments in Cointegration. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2017:i:1:p:1-:d:124889. Full description at Econpapers \|\| Download paper
2017	Volatility 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. Full description at Econpapers \|\| Download paper
2017	Forecasting 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. Full description at Econpapers \|\| Download paper
2017	Understanding the effect of measurement error on quantile regressions. (2017). Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:19/17. Full description at Econpapers \|\| Download paper
2017	Inference on breakdown frontiers. (2017). Poirier, Alexandre ; Masten, Matthew. In: CeMMAP working papers. RePEc:ifs:cemmap:20/17. Full description at Econpapers \|\| Download paper
2017	Binarization for panel models with fixed effects. (2017). Botosaru, Irene ; Muris, Chris. In: CeMMAP working papers. RePEc:ifs:cemmap:31/17. Full description at Econpapers \|\| Download paper
2017	Trend 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. Full description at Econpapers \|\| Download paper
2017	U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules. (2017). Chang, Yoosoon ; Kwak, Boreum . In: Caepr Working Papers. RePEc:inu:caeprp:2017016. Full description at Econpapers \|\| Download paper
2017	Do Good Working Conditions Make You Work Longer? Evidence on Retirement Decisions Using Linked Survey and Register Data. (2017). Ilmakunnas, Pekka ; BÃÂ¶ckerman, Petri ; Bockerman, Petri. In: IZA Discussion Papers. RePEc:iza:izadps:dp10964. Full description at Econpapers \|\| Download paper

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Recent citations received in 2016

Year	Citing document
2016	Modeling 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. Full description at Econpapers \|\| Download paper
2016	Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea ; de Magistris, Paolo Santucci. In: CREATES Research Papers. RePEc:aah:create:2016-20. Full description at Econpapers \|\| Download paper
2016	Convergence 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. Full description at Econpapers \|\| Download paper
2016	Estimating 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. Full description at Econpapers \|\| Download paper
2016	Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193. Full description at Econpapers \|\| Download paper
2016	Fractional order statistic approximation for nonparametric conditional quantile inference. (2016). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1609.09035. Full description at Econpapers \|\| Download paper
2016	Measuring Uncertainty and Its Impact on the Economy. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1639. Full description at Econpapers \|\| Download paper
2016	Inference 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. Full description at Econpapers \|\| Download paper
2016	Alternative Bayesian compression in Vector Autoregressions and related models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:216. Full description at Econpapers \|\| Download paper
2016	Alternatives to large VAR, VARMA and multivariate stochastic volatility models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:217. Full description at Econpapers \|\| Download paper
2016	Confi dence Intervals for Projections of Partially Identi fied Parameters. (2016). Stoye, JÃÂ¶rg ; Molinari, Francesca ; Kaido, Hiroaki. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2016-001. Full description at Econpapers \|\| Download paper
2016	Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4. Full description at Econpapers \|\| Download paper
2016	On the Stock-Yogo Tables. (2016). Windmeijer, Frank ; Skeels, Christopher. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/679. Full description at Econpapers \|\| Download paper
2016	Evaluating 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. Full description at Econpapers \|\| Download paper
2016	VAR Models with Non-Gaussian Shocks. (2016). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy). In: Discussion Papers. RePEc:cfm:wpaper:1609. Full description at Econpapers \|\| Download paper
2016	Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2016041. Full description at Econpapers \|\| Download paper
2016	Production Function Estimation with Measurement Error in Inputs. (2016). De Loecker, Jan ; Collard-Wexler, Allan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11399. Full description at Econpapers \|\| Download paper
2016	Adaptive 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. Full description at Econpapers \|\| Download paper
2016	A 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. Full description at Econpapers \|\| Download paper
2016	Time Varying Quantile Lasso. (2016). HÃÂ¤rdle, Wolfgang ; Wang, W ; Hardle, W K ; Zbonakova, L. In: Working Papers. RePEc:cty:dpaper:16/07. Full description at Econpapers \|\| Download paper
2016	Identifying Uncertainty Shocks Using the Price of Gold. (2016). Podstawski, Maximilian ; Piffer, Michele . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1549. Full description at Econpapers \|\| Download paper
2016	Crimea and Punishment: The Impact of Sanctions on Russian and European Economies. (2016). NetÅ¡unajev, Aleksei ; Kholodilin, Konstantin ; Netsunajev, Aleksei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1569. Full description at Econpapers \|\| Download paper
2016	Semi-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. Full description at Econpapers \|\| Download paper
2016	Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Podstawski, Maximilian ; GroÃÂe Steffen, Christoph. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1602. Full description at Econpapers \|\| Download paper
2016	The Spatial Efficiency Multiplier and Random Effects in Spatial Stochastic Frontier Models. (2016). Sickles, Robin ; Weyman-Jones, Thomas ; Glass, Anthony J ; Kenjegalieva, Karligash . In: Working Papers. RePEc:ecl:riceco:16-002. Full description at Econpapers \|\| Download paper
2016	Fluctuation 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. Full description at Econpapers \|\| Download paper
2016	A 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. Full description at Econpapers \|\| Download paper
2016	Inference 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. Full description at Econpapers \|\| Download paper
2016	On 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. Full description at Econpapers \|\| Download paper
2016	Model 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. Full description at Econpapers \|\| Download paper
2016	Score-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. Full description at Econpapers \|\| Download paper
2016	Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, TomÃÂ¡s. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24. Full description at Econpapers \|\| Download paper
2016	Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, FrÃÂ©dÃÂ©rique ; Cazals, Catherine ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359. Full description at Econpapers \|\| Download paper
2016	Shrinkage 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. Full description at Econpapers \|\| Download paper
2016	Robust 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. Full description at Econpapers \|\| Download paper
2016	Testing 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. Full description at Econpapers \|\| Download paper
2016	Model 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. Full description at Econpapers \|\| Download paper
2016	Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; GÃÂ¶tz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432. Full description at Econpapers \|\| Download paper
2016	Consistent 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. Full description at Econpapers \|\| Download paper
2016	Oracle 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. Full description at Econpapers \|\| Download paper
2016	Tail 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. Full description at Econpapers \|\| Download paper
2016	Sparse PCA-based on high-dimensional ItÃ´ 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. Full description at Econpapers \|\| Download paper
2016	Democracy and growth: Evidence from a machine learning indicator. (2016). GrÃÂ¼ndler, Klaus ; Grundler, Klaus ; Krieger, Tommy . In: European Journal of Political Economy. RePEc:eee:poleco:v:45:y:2016:i:s:p:85-107. Full description at Econpapers \|\| Download paper
2016	Spatial 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. Full description at Econpapers \|\| Download paper
2016	VAR 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. Full description at Econpapers \|\| Download paper
2016	Services Trade Policy and Manufacturing Productivity: The Role of Institutions. (2016). Hoekman, Bernard ; Fiorini, Matteo ; Beverelli, Cosimo. In: Working Papers. RePEc:erg:wpaper:1012. Full description at Econpapers \|\| Download paper
2016	Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). MolnÃÂ¡r, Peter ; LyÃÂ³csa, Å tefan ; Fedorko, Igor. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475. Full description at Econpapers \|\| Download paper
2016	Macroeconomic 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. Full description at Econpapers \|\| Download paper
2016	Forecasting 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. Full description at Econpapers \|\| Download paper
2016	Escaping the Great Recession. (2016). Melosi, Leonardo ; Bianchi, Francesco. In: Working Paper Series. RePEc:fip:fedhwp:wp-2016-16. Full description at Econpapers \|\| Download paper

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Recent citations received in 2015

Year	Citing document
2015	Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2015-14. Full description at Econpapers \|\| Download paper
2015	Exponential Smoothing, Long Memory and Volatility Prediction. (2015). Proietti, Tommaso. In: CREATES Research Papers. RePEc:aah:create:2015-51. Full description at Econpapers \|\| Download paper
2015	Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Byrne, Joseph P ; Korobilis, Dimitris ; Cao, Shuo . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon. RePEc:ags:aaea07:679. Full description at Econpapers \|\| Download paper
2015	Iterative Bias Correction Procedures Revisited: A Small Scale Monte Carlo Study. (2015). Juodis, ArtÅ«ras. In: UvA-Econometrics Working Papers. RePEc:ame:wpaper:1502. Full description at Econpapers \|\| Download paper
2015	Robust Inference of Risks of Large Portfolios. (2015). Fan, Jianqing ; Vickers, Byron ; Liu, Han ; Han, Fang. In: Papers. RePEc:arx:papers:1501.02382. Full description at Econpapers \|\| Download paper
2015	Non Parametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca. In: Papers. RePEc:arx:papers:1502.03978. Full description at Econpapers \|\| Download paper
2015	Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). BarunÃÂk, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers \|\| Download paper
2015	Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence. (2015). Dunker, Fabian. In: Papers. RePEc:arx:papers:1511.03977. Full description at Econpapers \|\| Download paper
2015	COMPARACIÃN DE MÃTODOS PARA LA ESTIMACIÃN DE LA INCERTIDUMBRE DEL VALOR EN RIESGO.. (2015). Melo-Velandia, Luis ; Gamba, Santiago ; Jaulin, Oscar Fernando ; Santamaria, Santiago Gamba ; Quicazan, Carlos Andres . In: Temas de Estabilidad Financiera. RePEc:bdr:temest:83. Full description at Econpapers \|\| Download paper
2015	THE SLX MODEL. (2015). Elhorst, J.Paul ; Vega, Solmaria Halleck. In: Journal of Regional Science. RePEc:bla:jregsc:v:55:y:2015:i:3:p:339-363. Full description at Econpapers \|\| Download paper
2015	Dynamic predictive density combinations for large data sets in economics and finance. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Working Paper. RePEc:bno:worpap:2015_12. Full description at Econpapers \|\| Download paper
2015	Sigma Point Filters For Dynamic Nonlinear Regime Switching Models. (2015). Maih, Junior ; Binning, Andrew. In: Working Papers. RePEc:bny:wpaper:0032. Full description at Econpapers \|\| Download paper
2015	Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Ravazzolo, Francesco ; Pettenuzzo, Davide. In: Working Papers. RePEc:bny:wpaper:0037. Full description at Econpapers \|\| Download paper
2015	Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0541. Full description at Econpapers \|\| Download paper
2015	Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0550. Full description at Econpapers \|\| Download paper
2015	Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs. (2015). Qu, Zhongjun ; Yoon, Jungmo ; Jung Mo Yoon, . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-009. Full description at Econpapers \|\| Download paper
2015	Residuals-based Tests for Cointegration with GLS Detrended Data. (2015). RodrÃÂguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-017. Full description at Econpapers \|\| Download paper
2015	Foreign Aid and Domestic Absorption. (2015). Van de Sijpe, Nicolas ; Temple, Jonathan. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:15/658. Full description at Econpapers \|\| Download paper
2015	Oil, Volatility and Institutions:Cross-Country Evidence from Major Oil Producers. (2015). Nugent, Jeffrey ; Mohaddes, Kamiar ; Amany, Kamiar Mohaddes . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1523. Full description at Econpapers \|\| Download paper
2015	Restrictions on Risk Prices in Dynamic Term Structure Models. (2015). Bauer, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5241. Full description at Econpapers \|\| Download paper
2015	Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Bernhofen, Daniel ; Li, Jianan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5580. Full description at Econpapers \|\| Download paper
2015	Nonlinear Panel Data Estimation via Quantile Regression. (2015). Arellano, Manuel ; Bonhomme, Stephane. In: Working Papers. RePEc:cmf:wpaper:wp2015_1505. Full description at Econpapers \|\| Download paper
2015	Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10618. Full description at Econpapers \|\| Download paper
2015	Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun. In: IFCS - Working Papers in Economic History.WH. RePEc:cte:whrepe:ws1504. Full description at Econpapers \|\| Download paper
2015	Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1504. Full description at Econpapers \|\| Download paper
2015	Revealed Preference and Aggregation. (2015). Vermeulen, Frederic ; De Rock, Bram ; Crawford, Ian ; Cherchye, Laurens. In: Working Papers ECARES. RePEc:eca:wpaper:2013/196733. Full description at Econpapers \|\| Download paper
2015	Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/200650. Full description at Econpapers \|\| Download paper
2015	Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/218748. Full description at Econpapers \|\| Download paper
2015	Estimation of linear dynamic panel data models with time-invariant regressors. (2015). Schwarz, Claudia ; Kripfganz, Sebastian. In: Working Paper Series. RePEc:ecb:ecbwps:20151838. Full description at Econpapers \|\| Download paper
2015	The course of realized volatility in the LME non-ferrous metal market. (2015). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:1-12. Full description at Econpapers \|\| Download paper
2015	Consistent subsets: Computationally feasible methods to compute the HoutmanâMaks-index. (2015). Hjertstrand, Per ; Heufer, Jan. In: Economics Letters. RePEc:eee:ecolet:v:128:y:2015:i:c:p:87-89. Full description at Econpapers \|\| Download paper
2015	Consistency of model averaging estimators. (2015). Zhang, Xinyu. In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:120-123. Full description at Econpapers \|\| Download paper
2015	Testing for no factor structures: On the use of Hausman-type statistics. (2015). Trapani, Lorenzo ; Rossi, Eduardo ; Castagnetti, Carolina. In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:66-68. Full description at Econpapers \|\| Download paper
2015	Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach. (2015). GUPTA, RANGAN ; Bekiros, Stelios. In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:83-85. Full description at Econpapers \|\| Download paper
2015	Testing spatial effects and random effects in a nested panel data model. (2015). He, Ming ; Lin, Kuan-Pin . In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:85-91. Full description at Econpapers \|\| Download paper
2015	Productivity and employment dynamics of US manufacturing plants. (2015). Mukoyama, Toshihiko ; Lee, Yoonsoo . In: Economics Letters. RePEc:eee:ecolet:v:136:y:2015:i:c:p:190-193. Full description at Econpapers \|\| Download paper
2015	Econometric analysis of financial derivatives: An overview. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:403-407. Full description at Econpapers \|\| Download paper
2015	Nonparametric identification and estimation of transformation models. (2015). Kristensen, Dennis ; Komunjer, Ivana ; Chiappori, Pierre-Andre. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:22-39. Full description at Econpapers \|\| Download paper
2015	Maximum likelihood estimation of a spatial autoregressive Tobit model. (2015). Lee, Lung-Fei ; Xu, Xingbai. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:264-280. Full description at Econpapers \|\| Download paper
2015	Jackknife model averaging for quantile regressions. (2015). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:40-58. Full description at Econpapers \|\| Download paper
2015	New tools for understanding the local asymptotic power of panel unit root tests. (2015). , Joakimwesterlund ; Larsson, Rolf ; Westerlund, Joakim. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:59-93. Full description at Econpapers \|\| Download paper
2015	Testing error serial correlation in fixed effects nonparametric panel data models. (2015). Long, Wei ; hsiao, cheng ; Green, Carl . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:466-473. Full description at Econpapers \|\| Download paper
2015	Optimal smoothing in nonparametric conditional quantile derivative function estimation. (2015). Li, Zheng ; CAI, ZONGWU ; Lin, Wei ; Su, LI. In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:502-513. Full description at Econpapers \|\| Download paper
2015	Robust inference on average treatment effects with possibly more covariates than observations. (2015). Farrell, Max H. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:1-23. Full description at Econpapers \|\| Download paper
2015	The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393. Full description at Econpapers \|\| Download paper
2015	Detecting structural changes using wavelets. (2015). Yazgan, Ege ; Ozkan, Harun. In: Finance Research Letters. RePEc:eee:finlet:v:12:y:2015:i:c:p:23-37. Full description at Econpapers \|\| Download paper
2015	A simple and general approach to fitting the discount curve under no-arbitrage constraints. (2015). Fengler, Matthias ; Hin, Lin-Yee. In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:78-84. Full description at Econpapers \|\| Download paper
2015	Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro. In: Journal of Financial Markets. RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37. Full description at Econpapers \|\| Download paper
2015	Public debt and growth: Heterogeneity and non-linearity. (2015). Presbitero, Andrea ; Eberhardt, Markus. In: Journal of International Economics. RePEc:eee:inecon:v:97:y:2015:i:1:p:45-58. Full description at Econpapers \|\| Download paper
2015	Good and bad uncertainty: Macroeconomic and financial market implications. (2015). Segal, Gill ; Yaron, Amir ; Shaliastovich, Ivan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:117:y:2015:i:2:p:369-397. Full description at Econpapers \|\| Download paper

More than 50 citations. List broken...

Recent citations received in 2014

Year	Citing document
2014	Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2014-19. Full description at Econpapers \|\| Download paper
2014	Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2014-49. Full description at Econpapers \|\| Download paper
2014	The Incidence of Soda Taxes with Imperfect Information and Strategic Firm Behavior. (2014). Zheng, Hualu ; Huang, LU. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:170201. Full description at Econpapers \|\| Download paper
2014	Tail Dependence is to be Expected Among Crop Yields. (2014). Hennessy, David ; Feng, Hongli ; Du, Xiaodong. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:174315. Full description at Econpapers \|\| Download paper
2014	Transmission of beef and veal prices in different marketing channels. (2014). Finger, Robert ; el Benni, Nadja ; Hediger, Werner. In: 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia. RePEc:ags:eaae14:182696. Full description at Econpapers \|\| Download paper
2014	The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties. (2014). Mongeau Ospina, Christian Alexander ; Bagnai, Alberto ; Christian Alexander Mongeau Ospina, . In: a/ Working Papers Series. RePEc:ais:wpaper:1405. Full description at Econpapers \|\| Download paper
2014	Abatement strategies and the cost of environmental regulation: Emission standards on the European car market. (2014). Reynaert, Mathias. In: Working Papers. RePEc:ant:wpaper:2014025. Full description at Econpapers \|\| Download paper
2014	Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos. In: Papers. RePEc:arx:papers:1403.7179. Full description at Econpapers \|\| Download paper
2014	On parameter identification in stochastic differential equations by penalized maximum likelihood. (2014). Dunker, Fabian ; Hohage, Thorsten . In: Papers. RePEc:arx:papers:1404.0651. Full description at Econpapers \|\| Download paper
2014	Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit. In: Papers. RePEc:arx:papers:1409.7933. Full description at Econpapers \|\| Download paper
2014	International Spillovers of Policy Uncertainty. (2014). Sekkel, Rodrigo ; Kloner, Stefan . In: Staff Working Papers. RePEc:bca:bocawp:14-57. Full description at Econpapers \|\| Download paper
2014	Uncertainty Outside and Inside Economic Models. (2014). Hansen, Lars. In: Working Papers. RePEc:bfi:wpaper:2014-06. Full description at Econpapers \|\| Download paper
2014	The Term Structure of the Welfare Cost of Uncertainty. (2014). Lopez, Pierlauro. In: Working papers. RePEc:bfr:banfra:521. Full description at Econpapers \|\| Download paper
2014	Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models. (2014). Rossi, Barbara ; Giacomini, Raffaella. In: Working Papers. RePEc:bge:wpaper:819. Full description at Econpapers \|\| Download paper
2014	Bayesian semiparametric regression in the presence of conditionally heteroscedastic measurement and regression errors. (2014). Sarkar, Abhra ; Carroll, Raymond J ; Mallick, Bani K. In: Biometrics. RePEc:bla:biomet:v:70:y:2014:i:4:p:823-834. Full description at Econpapers \|\| Download paper
2014	NON-PARAMETRIC ESTIMATION OF HIGH-FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS. (2014). Zhang, BO ; Li, Zeng ; Fang, Yue ; Zhao, Xujie ; Yu, Chao . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:6:p:572-591. Full description at Econpapers \|\| Download paper
2014	sftfe: A Stata command for fixed-effects stochastic frontier models estimation. (2014). Ilardi, Giuseppe ; Belotti, Federico. In: Italian Stata Users' Group Meetings 2014. RePEc:boc:isug14:05. Full description at Econpapers \|\| Download paper
2014	Mapping Koreas International Linkages using Generalised Connectedness Measures. (2014). shin, yongcheol ; Park, Hail. In: Working Papers. RePEc:bok:wpaper:1416. Full description at Econpapers \|\| Download paper
2014	Nonparametric Identification of Endogenous and Heterogeneous Aggregate Demand Models: Complements, Bundles and the Market Level. (2014). Kaido, Hiroaki ; hoderlein, stefan ; Dunker, Fabian. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2014-005. Full description at Econpapers \|\| Download paper
2014	Theory and Practice of GVAR Modeling. (2014). Pesaran, M ; Chudik, Alexander. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1408. Full description at Econpapers \|\| Download paper
2014	Hedge Fund Portfolio Diversification Strategies Across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton. In: Working Papers in Economics. RePEc:cbt:econwp:14/27. Full description at Econpapers \|\| Download paper
2014	The Evidence on Globalization. (2014). Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4708. Full description at Econpapers \|\| Download paper
2014	Fiscal Transfers and Fiscal Sustainability. (2014). Reischmann, Markus ; Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4716. Full description at Econpapers \|\| Download paper
2014	A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices. (2014). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L.. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4834. Full description at Econpapers \|\| Download paper
2014	Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier. In: CIRANO Working Papers. RePEc:cir:cirwor:2014s-44. Full description at Econpapers \|\| Download paper
2014	A Note on Leverage and the Macroeconomy. (2014). Serletis, Apostolos ; Istiak, Khandokar. In: Working Papers. RePEc:clg:wpaper:2014-45. Full description at Econpapers \|\| Download paper
2014	Distributional Linkages between European Sovereign Bond and Bank Asset Returns. (2014). Mencia, Javier ; Galvez, Julio. In: Working Papers. RePEc:cmf:wpaper:wp2014_1407. Full description at Econpapers \|\| Download paper
2014	Testing a Large Number of Hypotheses in Approximate Factor Models. (2014). Repetto, Luca ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2014_1410. Full description at Econpapers \|\| Download paper
2014	Economic theory and forecasting: lessons from the literature. (2014). Giacomini, Raffaella. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10201. Full description at Econpapers \|\| Download paper
2014	Consumer valuation of fuel costs and the effectiveness of tax policy: Evidence from the European car market. (2014). Verboven, Frank ; Reynaert, Mathias ; Grigolon, Laura. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10301. Full description at Econpapers \|\| Download paper
2014	Identifying Industry Margins with Unobserved Price Constraints: Structural Estimation on Pharmaceuticals. (2014). Lasio, Laura ; Dubois, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9881. Full description at Econpapers \|\| Download paper
2014	Forecasting Exchange Rates under Model and Parameter Uncertainty. (2014). Beckmann, Joscha ; Schussler, Rainer . In: CQE Working Papers. RePEc:cqe:wpaper:3214. Full description at Econpapers \|\| Download paper
2014	Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions. (2014). Chen, Xiaohong ; Christensen, Timothy M.. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1976. Full description at Econpapers \|\| Download paper
2014	Rates of Return and Early Retirement Disincentives: Evidence from a German Pension Reform. (2014). LÃÂ¼then, Holger ; Luthen, Holger. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1389. Full description at Econpapers \|\| Download paper
2014	Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks. (2014). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/177444. Full description at Econpapers \|\| Download paper
2014	Does participating in health insurance benefit the migrant workers in China? An empirical investigation. (2014). Qin, Xuezheng ; Pan, Jay ; Liu, Gordon G.. In: China Economic Review. RePEc:eee:chieco:v:30:y:2014:i:c:p:263-278. Full description at Econpapers \|\| Download paper
2014	The indirect continuous-GMM estimation. (2014). Kotchoni, Rachidi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:464-488. Full description at Econpapers \|\| Download paper
2014	What (really) accounts for the fall in hours after a technology shock?. (2014). Rebei, Nooman. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:330-352. Full description at Econpapers \|\| Download paper
2014	Understanding the role of time-varying unobserved ability heterogeneity in education production. (2014). Lehrer, Steven ; Ding, Weili. In: Economics of Education Review. RePEc:eee:ecoedu:v:40:y:2014:i:c:p:55-75. Full description at Econpapers \|\| Download paper
2014	Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129. Full description at Econpapers \|\| Download paper
2014	Iterative algorithm for non parametric estimation of the instrumental variables quantiles. (2014). FEVE, FrÃÂ©dÃÂ©rique ; FLORENS, Jean-Pierre. In: Economics Letters. RePEc:eee:ecolet:v:123:y:2014:i:3:p:300-304. Full description at Econpapers \|\| Download paper
2014	A HausmanâTaylor instrumental variable approach to the penalized estimation of quantile panel models. (2014). Lamarche, Carlos ; Harding, Matthew. In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:2:p:176-179. Full description at Econpapers \|\| Download paper
2014	Estimating aggregate autoregressive processes when only macro data are available. (2014). Jondeau, Eric ; Pelgrin, Florian . In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:3:p:341-347. Full description at Econpapers \|\| Download paper
2014	Testing for individual and time effects in panel data models with interactive effects. (2014). Wu, Jian Hong ; Li, Jinchang . In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:2:p:306-310. Full description at Econpapers \|\| Download paper
2014	Treatment effect estimation with covariate measurement error. (2014). Chesher, Andrew ; Battistin, Erich. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:707-715. Full description at Econpapers \|\| Download paper
2014	Testing for structural stability of factor augmented forecasting models. (2014). Swanson, Norman ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:100-118. Full description at Econpapers \|\| Download paper
2014	Bootstrapping factor-augmented regression models. (2014). Perron, Benoit ; Goncalves, Silvia ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:156-173. Full description at Econpapers \|\| Download paper
2014	Unpredictability in economic analysis, econometric modeling and forecasting. (2014). Mizon, Grayham ; Hendry, David. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:186-195. Full description at Econpapers \|\| Download paper
2014	Sieve M inference on irregular parameters. (2014). Liao, Zhipeng ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:70-86. Full description at Econpapers \|\| Download paper
2014	The evolution of corporate governance in Brazil. (2014). Black, Bernard ; de Carvalho, Antonio Gledson ; Sampaio, Joelson Oliveira . In: Emerging Markets Review. RePEc:eee:ememar:v:20:y:2014:i:c:p:176-195. Full description at Econpapers \|\| Download paper

More than 50 citations. List broken...

10 most frequent citing series

#	Series	Cites
1	Journal of Econometrics / Elsevier	1276
2	MPRA Paper / University Library of Munich, Germany	698
3	IZA Discussion Papers / Institute for the Study of Labor (IZA)	435
4	NBER Working Papers / National Bureau of Economic Research, Inc	379
5	Papers / arXiv.org	360
6	CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies	291
7	Economics Letters / Elsevier	264
8	Economic Modelling / Elsevier	243
9	CREATES Research Papers / Department of Economics and Business Economics, Aarhus University	242
10	CEPR Discussion Papers / C.E.P.R. Discussion Papers	235
11	International Journal of Forecasting / Elsevier	197

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