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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0.19 | 0.08 | 3.71 | 0.27 | 83 | 83 | 5874 | 295 | 308 | 127 | 24 | 334 | 91 | 4 | 1.4 | 8 | 0.1 | 0.04 |
1991 | 0.33 | 0.08 | 2.56 | 0.33 | 71 | 154 | 2142 | 377 | 703 | 148 | 49 | 326 | 107 | 3 | 0.8 | 13 | 0.18 | 0.04 |
1992 | 0.24 | 0.08 | 1.75 | 0.22 | 66 | 220 | 7535 | 375 | 1089 | 154 | 37 | 344 | 75 | 17 | 4.5 | 26 | 0.39 | 0.04 |
1993 | 0.28 | 0.1 | 1.14 | 0.25 | 97 | 317 | 3286 | 349 | 1451 | 137 | 38 | 347 | 86 | 2 | 0.6 | 21 | 0.22 | 0.05 |
1994 | 0.45 | 0.11 | 1.32 | 0.31 | 83 | 400 | 5375 | 507 | 1979 | 163 | 74 | 382 | 117 | 1 | 0.2 | 19 | 0.23 | 0.05 |
1995 | 0.59 | 0.19 | 2.67 | 0.75 | 83 | 483 | 13205 | 1274 | 3271 | 180 | 107 | 400 | 298 | 188 | 14.8 | 33 | 0.4 | 0.08 |
1996 | 0.76 | 0.22 | 2.68 | 0.82 | 103 | 586 | 8879 | 1547 | 4841 | 166 | 126 | 400 | 329 | 251 | 16.2 | 66 | 0.64 | 0.1 |
1997 | 0.81 | 0.22 | 2.8 | 1.01 | 107 | 693 | 5338 | 1921 | 6780 | 186 | 150 | 432 | 438 | 236 | 12.3 | 38 | 0.36 | 0.09 |
1998 | 0.92 | 0.26 | 2.81 | 0.99 | 111 | 804 | 11504 | 2239 | 9036 | 210 | 193 | 473 | 468 | 261 | 11.7 | 39 | 0.35 | 0.12 |
1999 | 0.83 | 0.28 | 3.02 | 1.07 | 53 | 857 | 5010 | 2538 | 11626 | 218 | 180 | 487 | 520 | 177 | 7 | 23 | 0.43 | 0.14 |
2000 | 1.51 | 0.33 | 3.59 | 1.57 | 85 | 942 | 4167 | 3318 | 15005 | 164 | 248 | 457 | 717 | 253 | 7.6 | 49 | 0.58 | 0.15 |
2001 | 1.46 | 0.36 | 3.54 | 1.55 | 91 | 1033 | 5089 | 3563 | 18660 | 138 | 201 | 459 | 711 | 234 | 6.6 | 62 | 0.68 | 0.15 |
2002 | 1.31 | 0.39 | 3.59 | 1.59 | 97 | 1130 | 7588 | 3948 | 22722 | 176 | 231 | 447 | 709 | 267 | 6.8 | 105 | 1.08 | 0.21 |
2003 | 1.85 | 0.4 | 4.18 | 1.88 | 95 | 1225 | 9270 | 5007 | 27841 | 188 | 348 | 437 | 822 | 238 | 4.8 | 131 | 1.38 | 0.2 |
2004 | 2.33 | 0.45 | 4.56 | 2.13 | 90 | 1315 | 4933 | 5899 | 33836 | 192 | 447 | 421 | 897 | 233 | 3.9 | 121 | 1.34 | 0.2 |
2005 | 2.5 | 0.46 | 4.75 | 2.28 | 83 | 1398 | 6297 | 6467 | 40478 | 185 | 462 | 458 | 1042 | 308 | 4.8 | 137 | 1.65 | 0.22 |
2006 | 2.59 | 0.46 | 5.06 | 2.75 | 130 | 1528 | 7217 | 7537 | 48205 | 173 | 448 | 456 | 1253 | 417 | 5.5 | 225 | 1.73 | 0.21 |
2007 | 2.55 | 0.42 | 4.26 | 2.61 | 187 | 1715 | 8332 | 7232 | 55515 | 213 | 543 | 495 | 1290 | 387 | 5.4 | 219 | 1.17 | 0.18 |
2008 | 2.83 | 0.44 | 4.99 | 3.15 | 168 | 1883 | 7260 | 9300 | 64919 | 317 | 897 | 585 | 1840 | 464 | 5 | 208 | 1.24 | 0.21 |
2009 | 2.33 | 0.44 | 5.06 | 2.57 | 104 | 1987 | 2745 | 9948 | 74977 | 355 | 826 | 658 | 1691 | 324 | 3.3 | 87 | 0.84 | 0.21 |
2010 | 1.86 | 0.43 | 4.57 | 2.44 | 145 | 2132 | 4002 | 9662 | 84718 | 272 | 507 | 672 | 1643 | 465 | 4.8 | 155 | 1.07 | 0.18 |
2011 | 1.92 | 0.46 | 5.08 | 2.49 | 146 | 2278 | 3866 | 11504 | 96279 | 249 | 478 | 734 | 1828 | 486 | 4.2 | 257 | 1.76 | 0.21 |
2012 | 2.16 | 0.47 | 5.34 | 2.44 | 167 | 2445 | 2753 | 13006 | 109331 | 291 | 629 | 750 | 1831 | 607 | 4.7 | 124 | 0.74 | 0.19 |
2013 | 2.01 | 0.53 | 5.42 | 2.38 | 95 | 2540 | 1772 | 13756 | 123110 | 313 | 628 | 730 | 1737 | 357 | 2.6 | 126 | 1.33 | 0.22 |
2014 | 2.21 | 0.55 | 5.33 | 2.28 | 145 | 2685 | 1963 | 14237 | 137434 | 262 | 578 | 657 | 1496 | 501 | 3.5 | 144 | 0.99 | 0.22 |
2015 | 2.28 | 0.56 | 5.17 | 2.28 | 195 | 2880 | 1475 | 14864 | 152318 | 240 | 546 | 698 | 1589 | 938 | 6.3 | 235 | 1.21 | 0.21 |
2016 | 1.73 | 0.58 | 4.91 | 1.86 | 147 | 3027 | 983 | 14855 | 167181 | 340 | 589 | 748 | 1395 | 707 | 4.8 | 111 | 0.76 | 0.2 |
2017 | 1.54 | 0.6 | 4.59 | 1.66 | 125 | 3152 | 413 | 14453 | 181647 | 342 | 528 | 749 | 1245 | 670 | 4.6 | 86 | 0.69 | 0.22 |
2018 | 1.72 | 0.76 | 4.21 | 1.77 | 123 | 3275 | 187 | 13781 | 195430 | 272 | 468 | 707 | 1252 | 692 | 5 | 62 | 0.5 | 0.31 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | 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 | 7547 |
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 | 6022 |
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 | 5881 |
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 | 4034 |
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 | 3276 |
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 | 3048 |
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 | 2787 |
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 | 1935 |
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 | 1759 |
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 | 1580 |
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 | 1580 |
12 | 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 | 1385 |
13 | 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 | 1359 |
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 | 1154 |
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 | 1051 |
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 | 1041 |
17 | 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 | 1041 |
18 | 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 | 1031 |
19 | 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 | 998 |
20 | 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 | 960 |
21 | 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 | 942 |
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 | 931 |
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 | 907 |
24 | 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 | 896 |
25 | 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 | 887 |
26 | 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 | 871 |
27 | 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 | 843 |
28 | 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 | 835 |
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 | 811 |
30 | 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 | 797 |
31 | 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 | 740 |
32 | 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 | 734 |
33 | 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 | 728 |
34 | 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 | 726 |
35 | 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 | 715 |
36 | 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 | 697 |
37 | 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 | 682 |
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 | 671 |
39 | 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 | 666 |
40 | 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 | 664 |
41 | 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 | 654 |
42 | 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 | 638 |
43 | 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 | 625 |
44 | 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 | 610 |
45 | 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 | 588 |
46 | 1988 | Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. (1988). Coelli, Timothy ; Battese, George E.. In: Journal of Econometrics. RePEc:eee:econom:v:38:y:1988:i:3:p:387-399. Full description at Econpapers || Download paper | 586 |
47 | 2001 | Long memory and regime switching. (2001). Inoue, Atsushi ; Diebold, Francis. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:131-159. Full description at Econpapers || Download paper | 550 |
48 | 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 | 545 |
49 | 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 | 543 |
50 | 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 | 540 |
# | 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 | 1804 |
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 | 1521 |
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 | 886 |
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 | 809 |
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 | 654 |
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 | 512 |
7 | 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 | 402 |
8 | 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 | 399 |
9 | 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 | 372 |
10 | 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 | 364 |
11 | 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 | 337 |
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 | 334 |
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 | 299 |
14 | 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 | 264 |
15 | 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 | 257 |
16 | 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 | 246 |
17 | 1999 | Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44. Full description at Econpapers || Download paper | 233 |
18 | 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 | 232 |
19 | 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 | 220 |
20 | 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 | 201 |
21 | 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 | 201 |
22 | 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 | 182 |
23 | 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 | 171 |
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39 | 2008 | Panel data methods for fractional response variables with an application to test pass rates. (2008). Wooldridge, Jeffrey ; Papke, Leslie. In: Journal of Econometrics. RePEc:eee:econom:v:145:y:2008:i:1-2:p:121-133. Full description at Econpapers || Download paper | 108 |
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41 | 2004 | Ability sorting and the returns to college major. (2004). Arcidiacono, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:121:y:2004:i:1-2:p:343-375. Full description at Econpapers || Download paper | 104 |
42 | 2003 | Testing for a unit root in the nonlinear STAR framework. (2003). snell, andy ; shin, yongcheol ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:112:y:2003:i:2:p:359-379. Full description at Econpapers || Download paper | 101 |
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44 | 2004 | Estimating the social return to higher education: evidence from longitudinal and repeated cross-sectional data. (2004). moretti, enrico. In: Journal of Econometrics. RePEc:eee:econom:v:121:y:2004:i:1-2:p:175-212. Full description at Econpapers || Download paper | 98 |
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Year | Title | |
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2018 | Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:84275. Full description at Econpapers || Download paper | |
2018 | DSGE Models with observation-driven time-varying volatility. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:169-171. Full description at Econpapers || Download paper | |
2018 | Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44. Full description at Econpapers || Download paper | |
2018 | Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392. Full description at Econpapers || Download paper | |
2018 | On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474. Full description at Econpapers || Download paper | |
2018 | Modeling Euro STOXX 50 Volatility with Common and Marketâspecific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26. Full description at Econpapers || Download paper | |
2018 | Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905. Full description at Econpapers || Download paper | |
2018 | Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Santucci de Magistris, Paolo ; Ranaldo, Angelo. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:23. Full description at Econpapers || Download paper | |
2018 | Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:24506. Full description at Econpapers || Download paper | |
2018 | Effects of asset purchases and financial stability measures on term premia in the euro area. (2018). Moessner, Richhild. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:489. Full description at Econpapers || Download paper | |
2018 | A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Meldrum, Andrew C ; Andreasen, Martin M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56. Full description at Econpapers || Download paper | |
2018 | Term premia: models and some stylised facts. (2018). Hördahl, Peter ; Cohen, Benjamin ; Xia, Dora ; Hordahl, Peter. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809h. Full description at Econpapers || Download paper | |
2018 | Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857. Full description at Econpapers || Download paper | |
2018 | PCA-based estimation for functional linear regression with functional responses. (2018). Imaizumi, Masaaki ; Kato, Kengo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:163:y:2018:i:c:p:15-36. Full description at Econpapers || Download paper | |
2018 | Issues in the estimation of mis-specified models of fractionally integrated processes. (2018). Poskitt, Donald ; Nadarajah, K ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-18. Full description at Econpapers || Download paper | |
2018 | The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046. Full description at Econpapers || Download paper | |
2018 | Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR. (2018). Muriel, Nelson ; Gonzalez-Farias, Graciela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:46-62. Full description at Econpapers || Download paper | |
2018 | Simultaneous Generalized Method of Moments Estimator for Panel Data Models with Spatially Correlated Error Components. (2018). Amba, Claude Marius ; Mbratana, Taoufiki. In: MPRA Paper. RePEc:pra:mprapa:84746. Full description at Econpapers || Download paper | |
2018 | GMM estimation of the spatial autoregressive model in a system of interrelated networks. (2018). Lee, Lung-Fei ; Wang, Wei ; Bao, Yan. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:69:y:2018:i:c:p:167-198. Full description at Econpapers || Download paper | |
2018 | Broadbandââ¬â¢s Relationship to Rural Housing Values. (2018). Whitacre, Brian ; Deller, Steven. In: Staff Paper Series. RePEc:ecl:wisagr:591. Full description at Econpapers || Download paper | |
2018 | Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects. (2018). Malikov, Emir ; Sun, Yiguo. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:359-378. Full description at Econpapers || Download paper | |
2018 | Endogenous Scope Economies in Microfinance Institutions. (2018). Malikov, Emir ; Hartarska, Valentina. In: MPRA Paper. RePEc:pra:mprapa:87450. Full description at Econpapers || Download paper | |
2018 | Endogenous scope economies in microfinance institutions. (2018). Malikov, Emir ; Hartarska, Valentina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:162-182. Full description at Econpapers || Download paper | |
2018 | Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786. Full description at Econpapers || Download paper | |
2018 | Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach. (2018). Siklos, Pierre ; Gross, Christian. In: CQE Working Papers. RePEc:cqe:wpaper:7218. Full description at Econpapers || Download paper | |
2018 | Analyzing credit risk transmission to the non-financial sector in Europe: a network approach. (2018). Siklos, Pierre ; Gross, Christian. In: ESRB Working Paper Series. RePEc:srk:srkwps:201878. Full description at Econpapers || Download paper | |
2018 | Optimal dimension reduction for high-dimensional and functional time series. (2018). Lippi, Marco ; Hallin, Marc ; Hormann, Siegfried. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:2:d:10.1007_s11203-018-9172-1. Full description at Econpapers || Download paper | |
2018 | Sluggish private investment in Japanâs Lost Decade: Mixed frequency vector autoregression approach. (2018). Motegi, Kaiji ; Sadahiro, Akira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:118-128. Full description at Econpapers || Download paper | |
2018 | Mixed frequency models with MA components. (2018). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Discussion Papers. RePEc:zbw:bubdps:022018. Full description at Econpapers || Download paper | |
2018 | Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes. (2018). Hecq, Alain ; Götz, Thomas ; Goetz, Thomas. In: MPRA Paper. RePEc:pra:mprapa:87746. Full description at Econpapers || Download paper | |
2018 | Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?. (2018). Walther, Thomas ; Charfeddine, Lanouar ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:16. Full description at Econpapers || Download paper | |
2018 | Current account dynamics and the housing cycle in Spain. (2018). Rüth, Sebastian ; Mayer, Eric ; Ruth, Sebastian K ; Maas, Daniel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:22-43. Full description at Econpapers || Download paper | |
2018 | Large mixed-frequency VARs with a parsimonious time-varying parameter structure. (2018). Götz, Thomas ; Hauzenberger, Klemens ; Gotz, Thomas B. In: Discussion Papers. RePEc:zbw:bubdps:402018. Full description at Econpapers || Download paper | |
2018 | Mixed frequency models with MA components. (2018). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20182206. Full description at Econpapers || Download paper | |
2018 | Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth. (2018). Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia ; Zhuo, Xingxuan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:221-236. Full description at Econpapers || Download paper | |
2018 | Using low frequency information for predicting high frequency variables. (2018). Marcellino, Massimiliano ; Guérin, Pierre ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787. Full description at Econpapers || Download paper | |
2018 | Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017. (2018). Mitchell, James ; McIntyre, Stuart ; Koop, Gary ; Poon, Aubrey. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-14. Full description at Econpapers || Download paper | |
2018 | Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978. Full description at Econpapers || Download paper | |
2018 | Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938. Full description at Econpapers || Download paper | |
2018 | Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:90437. Full description at Econpapers || Download paper | |
2018 | The usefulness of experiments. (2018). Smith, Jeffrey. In: IZA World of Labor. RePEc:iza:izawol:journl:y:2018:n:436. Full description at Econpapers || Download paper | |
2018 | Randomization bias in field trials to evaluate targeting methods. (2018). Potash, Eric. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:131-135. Full description at Econpapers || Download paper | |
2018 | Testing against constant factor loading matrix with large panel high-frequency data. (2018). Kong, Xin-Bing ; Liu, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:301-319. Full description at Econpapers || Download paper | |
2018 | A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes. (2018). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:258-278. Full description at Econpapers || Download paper | |
2018 | Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2018). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180026. Full description at Econpapers || Download paper | |
2018 | Dynamic factor analysis for short panels: estimating performance trajectories for water utilities. (2018). Zirogiannis, Nikolaos ; Tripodis, Yorghos. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:1:d:10.1007_s10260-017-0394-y. Full description at Econpapers || Download paper | |
2018 | A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). Li, Degui ; LINTON, OLIVER ; Chen, Jia. In: Discussion Papers. RePEc:yor:yorken:18/14. Full description at Econpapers || Download paper | |
2018 | A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1876. Full description at Econpapers || Download paper | |
2018 | Measuring monetary policy deviations from the Taylor rule. (2018). Palma, Nuno ; Madeira, Joao ; Smith, Richard J ; Grant, Nicky L. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1803. Full description at Econpapers || Download paper | |
2018 | GEL-Based Inference from Unconditional Moment Inequality Restrictions. (2018). Smith, Richard J ; Grant, Nicky L. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1802. Full description at Econpapers || Download paper | |
2018 | GEL-based inference with unconditional moment inequality restrictions. (2018). Smith, Richard J ; Grant, Nicky L. In: CeMMAP working papers. RePEc:ifs:cemmap:23/18. Full description at Econpapers || Download paper | |
2018 | Applied Welfare Analysis for Discrete Choice with Interval-data on Income. (2018). Bhattacharya, Debopam ; Lee, Y-Y., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1882. Full description at Econpapers || Download paper | |
2018 | Robust Bayesian inference for set-identified models. (2018). Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:61/18. Full description at Econpapers || Download paper | |
2018 | Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91. Full description at Econpapers || Download paper | |
2018 | Hamiltonian Sequential Monte Carlo with Application to Consumer Choice Behavior. (2018). Daviet, Remi ; Burda, Martin. In: Working Papers. RePEc:tor:tecipa:tecipa-618. Full description at Econpapers || Download paper | |
2018 | Price Discrimination in International Airline Markets. (2018). Murry, Charles ; Aryal, Gaurab ; Williams, Jonathan W. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:968. Full description at Econpapers || Download paper | |
2018 | Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Working Papers. RePEc:umc:wpaper:1801. Full description at Econpapers || Download paper | |
2018 | Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:143-166. Full description at Econpapers || Download paper | |
2018 | Comment on âWhat Do Interpolated Nonparametric Confidence Intervals for Population Quantiles Guarantee?â, Frey and Zhang (2017). (2018). Hutson, Alan. In: The American Statistician. RePEc:taf:amstat:v:72:y:2018:i:3:p:302-302. Full description at Econpapers || Download paper | |
2018 | Exponentially tilted likelihood inference on growing dimensional unconditional moment models. (2018). Tang, Niansheng ; Zhao, Puying ; Yan, Xiaodong. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:57-74. Full description at Econpapers || Download paper | |
2018 | Moment redundancy test with application to efficiency-improving copulas. (2018). Hao, Bowen ; Qian, Hailong ; Prokhorov, Artem. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33. Full description at Econpapers || Download paper | |
2018 | A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise. (2018). Li, Yingying ; Zhang, Zhiyuan. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:187-222. Full description at Econpapers || Download paper | |
2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142. Full description at Econpapers || Download paper | |
2018 | Publication patterns and coauthorship in the Journal of Corporate Finance. (2018). Andrikopoulos, Andreas ; Trichas, Georgios. In: Journal of Corporate Finance. RePEc:eee:corfin:v:51:y:2018:i:c:p:98-108. Full description at Econpapers || Download paper | |
2018 | Count and duration time series with equal conditional stochastic and mean orders. (2018). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:90838. Full description at Econpapers || Download paper | |
2018 | Rate Optimal Specification Test When the Number of Instruments is Large. (2018). Iwasawa, Masamune ; Nishiyama, Yoshihiko ; Hitomi, Kohtaro. In: KIER Working Papers. RePEc:kyo:wpaper:986. Full description at Econpapers || Download paper | |
2018 | Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39. Full description at Econpapers || Download paper | |
2018 | The case for Divisia monetary statistics: A Bayesian time-varying approach. (2018). Ellington, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:26-41. Full description at Econpapers || Download paper | |
2018 | Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002. Full description at Econpapers || Download paper | |
2018 | Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092. Full description at Econpapers || Download paper | |
2018 | Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267. Full description at Econpapers || Download paper | |
2018 | Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3. Full description at Econpapers || Download paper | |
2018 | Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85. Full description at Econpapers || Download paper | |
2018 | Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers || Download paper | |
2018 | Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109. Full description at Econpapers || Download paper | |
2018 | Panel models with interactive effects. (2018). Hsiao, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:645-673. Full description at Econpapers || Download paper | |
2018 | Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29. Full description at Econpapers || Download paper | |
2018 | Nonparametric specification testing via the trinity of tests. (2018). Gupta, Abhimanyu. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:169-185. Full description at Econpapers || Download paper | |
2018 | Varieties of innovation and business survival: Does pursuit of incremental or far-ranging innovation make manufacturing establishments more resilient?. (2018). Wojan, Timothy ; Rupasingha, Anil ; Crown, Daniel. In: Research Policy. RePEc:eee:respol:v:47:y:2018:i:9:p:1801-1810. Full description at Econpapers || Download paper | |
2018 | The Impact of the New Rural Pension Scheme on Retirement Sustainability in China: Evidence of Regional Differences in Formal and Informal Labor Supply. (2018). Lin, Benxi ; Liu, Weiping ; Zhang, Yu Yvette. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4366-:d:184977. Full description at Econpapers || Download paper | |
2018 | Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun. In: Papers. RePEc:arx:papers:1801.04672. Full description at Econpapers || Download paper | |
2018 | What do panel data say on inequality and GDP? New evidence at US state-level. (2018). Costantini, Mauro ; Paradiso, Antonio. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:115-117. Full description at Econpapers || Download paper | |
2018 | Efficient Shrinkage for Generalized Linear Mixed Models Under Linear Restrictions. (2018). Thomson, T ; Hossain, S. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:80:y:2018:i:2:d:10.1007_s13171-017-0122-6. Full description at Econpapers || Download paper | |
2018 | Identifying latent grouped patterns in panel data models with interactive fixed effects. (2018). Su, Liangjun. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:554-573. Full description at Econpapers || Download paper | |
2018 | Estimation of an unbalanced panel data Tobit model with interactive effects. (2018). Ye, Xiaoqing ; Wu, Xiangjun ; Xu, Juan. In: Journal of choice modelling. RePEc:eee:eejocm:v:28:y:2018:i:c:p:108-123. Full description at Econpapers || Download paper | |
2018 | A spatial panel data model with time varying endogenous weights matrices and common factors. (2018). Lee, Lung-Fei ; Shi, Wei. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:72:y:2018:i:c:p:6-34. Full description at Econpapers || Download paper | |
2018 | An Averaging GMM Estimator Robust to Misspecification. (2018). Shi, Ruoyao ; Liao, Zhipeng. In: Working Papers. RePEc:ucr:wpaper:201803. Full description at Econpapers || Download paper | |
2018 | Weighted-average least squares estimation of generalized linear models. (2018). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:1-17. Full description at Econpapers || Download paper | |
2018 | Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation. (2018). Pellegrino, Giovanni ; Castelnuovo, Efrem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:277-296. Full description at Econpapers || Download paper | |
2018 | Economic Growth and Income Inequality in Resource Countries: Theory and Evidence. (2018). Reisinezhad, Arsham. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01707976. Full description at Econpapers || Download paper | |
2018 | Health and education during industrialization: Evidence from early twentieth century Japan. (2018). Ogasawara, Kota. In: International Journal of Educational Development. RePEc:eee:injoed:v:61:y:2018:i:c:p:40-54. Full description at Econpapers || Download paper | |
2018 | How mobile phones can improve nutrition among pastoral communities: Panel data evidence from Northern Kenya. (2018). Musshoff, Oliver ; Qaim, Matin ; Parlasca, Martin C. In: GlobalFood Discussion Papers. RePEc:ags:gagfdp:274651. Full description at Econpapers || Download paper | |
2018 | Inversion copulas from nonlinear state space models with an application to inflation forecasting. (2018). Smith, Michael Stanley ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:389-407. Full description at Econpapers || Download paper | |
2018 | Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel. In: Working Paper Series. RePEc:uts:ecowps:49. Full description at Econpapers || Download paper | |
2018 | Structural Estimation of Behavioral Heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1802.03735. Full description at Econpapers || Download paper | |
2018 | Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach. (2018). Han, Heejoon ; Kyeong, NA. In: Korean Economic Review. RePEc:kea:keappr:ker-20180701-34-2-05. Full description at Econpapers || Download paper | |
2018 | Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53. Full description at Econpapers || Download paper | |
2018 | State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Maih, Junior ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0067. Full description at Econpapers || Download paper | |
2018 | Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel. In: MPRA Paper. RePEc:pra:mprapa:90682. Full description at Econpapers || Download paper | |
2018 | State Space Models with Endogenous Regime Switching. (2018). Maih, Junior ; Chang, Yoosoon ; Tan, Fei. In: CAEPR Working Papers. RePEc:inu:caeprp:2018011. Full description at Econpapers || Download paper | |
2018 | Regime switching panel data models with interative fixed effects. (2018). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-21. Full description at Econpapers || Download paper | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988. Full description at Econpapers || Download paper | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247. Full description at Econpapers || Download paper | |
2018 | Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449. Full description at Econpapers || Download paper | |
2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Working Papers. RePEc:hal:wpaper:halshs-01944656. Full description at Econpapers || Download paper | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815. Full description at Econpapers || Download paper | |
2018 | Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803. Full description at Econpapers || Download paper | |
2018 | Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282. Full description at Econpapers || Download paper | |
2018 | Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05. Full description at Econpapers || Download paper | |
2018 | Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-22. Full description at Econpapers || Download paper | |
2018 | Lean against the wind or float with the storm? Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach. (2018). Rohloff, Hannes ; Maxand, Simone ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:354. Full description at Econpapers || Download paper | |
2018 | Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181631. Full description at Econpapers || Download paper | |
2018 | Social Investment and youth labour market participation: a EU regional analysis. (2018). Giannetti, Caterina ; Ecchia, Giulio ; Gagliardi, Francesca. In: Discussion Papers. RePEc:pie:dsedps:2018/236. Full description at Econpapers || Download paper | |
2018 | How do shocks to bank capital affect lending and growth?. (2018). Miettinen, Paavo ; Tolo, Eero. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_025. Full description at Econpapers || Download paper | |
2018 | Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804. Full description at Econpapers || Download paper | |
2018 | Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802. Full description at Econpapers || Download paper | |
2018 | ||
2018 | Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339.. Full description at Econpapers || Download paper | |
2018 | Consistent estimator of nonparametric structural spurious regression model for high frequency data. (2018). Jeong, Minsoo. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:18-21. Full description at Econpapers || Download paper | |
2018 | Understanding Regressions with Observations Collected at High Frequency over Long Span. (2018). Chang, Yoosoon ; Park, Joon Y ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2018-10. Full description at Econpapers || Download paper | |
2018 | The Janus face nature of debt : results from a data-driven cointegrated SVAR approach. (2018). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/574jpbbn0f8f5r56hqi6mjgm9d. Full description at Econpapers || Download paper | |
2018 | Trending Mixture Copula Models with Copula Selection. (2018). Hafner, Christian ; Liu, Guannan ; Cai, Zongwu ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201809. Full description at Econpapers || Download paper | |
2018 | Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10. Full description at Econpapers || Download paper | |
2018 | Additive nonparametric models with time variable and both stationary and nonstationary regressors. (2018). LINTON, OLIVER ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:212-236. Full description at Econpapers || Download paper | |
2018 | Time varying cointegration and the UK great ratios. (2018). Price, Simon ; Millard, Stephen ; Petrova, Katerina ; Kapetanios, George. In: CAMA Working Papers. RePEc:een:camaaa:2018-53. Full description at Econpapers || Download paper | |
2018 | Time varying cointegration and the UK Great Ratios. (2018). Price, Simon ; Millard, Stephen ; Petrova, Katerina ; Kapetanios, George. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23320. Full description at Econpapers || Download paper | |
2018 | Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579. Full description at Econpapers || Download paper | |
2018 | Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141. Full description at Econpapers || Download paper | |
2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692. Full description at Econpapers || Download paper | |
2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09. Full description at Econpapers || Download paper | |
2018 | On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140. Full description at Econpapers || Download paper | |
2018 | The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54. Full description at Econpapers || Download paper | |
2018 | Does a financial accelerator improve forecasts during financial crises?: Evidence from Japan with Prediction Pool Methods. (2018). Nakamura, Daisuke ; Iiboshi, Hirokuni ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: MPRA Paper. RePEc:pra:mprapa:85523. Full description at Econpapers || Download paper | |
2018 | Combining predictive distributions for the statistical post-processing of ensemble forecasts. (2018). Baran, Sandor ; Lerch, Sebastian. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:477-496. Full description at Econpapers || Download paper | |
2018 | Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices. (2018). Drachal, Krzysztof. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2801-:d:162455. Full description at Econpapers || Download paper | |
2018 | Forecasting for the Russian Economy Using Small-Scale DSGE Models. (2018). Kreptsev, Dmitry ; Seleznev, Sergei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:77:y:2018:i:2:p:51-67. Full description at Econpapers || Download paper | |
2018 | The Evolution of Forecast Density Combinations in Economics. (2018). van Dijk, Herman ; Mitchell, James ; Aastveit, Knut Are ; Ravazzolo, Francesco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180069. Full description at Econpapers || Download paper | |
2018 | A Composite Likelihood Approach for Dynamic Structural Models. (2018). Canova, Fabio ; Matthes, Christian. In: Working Paper. RePEc:fip:fedrwp:18-12. Full description at Econpapers || Download paper | |
2018 | Robust Macroprudential Policy Rules under Model Uncertainty. (2018). Lieberknecht, Philipp ; Wieland, Volker ; Quintana, Jorge ; Binder, Michael. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181503. Full description at Econpapers || Download paper | |
2018 | Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models. (2018). Holtemöller, Oliver ; Schult, Christoph ; Holtemoller, Oliver. In: IWH Discussion Papers. RePEc:zbw:iwhdps:152018. Full description at Econpapers || Download paper | |
2018 | Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies. (2018). van Dijk, Herman ; Grassi, Stefano ; BaÅtürk, Nalan ; Hoogerheide, Lennart ; Borowska, Agnieszka ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180076. Full description at Econpapers || Download paper | |
2018 | Debt regimes and the effectiveness of monetary policy. (2018). Huber, Florian ; de Luigi, Clara. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:218-238. Full description at Econpapers || Download paper | |
2018 | Forecasting the Australian economy with DSGE and BVAR models. (2018). Robinson, Tim ; Langcake, Sean. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:3:p:251-267. Full description at Econpapers || Download paper | |
2018 | Predicting relative forecasting performance : An empirical investigation. (2018). Sekhposyan, Tatevik ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_023. Full description at Econpapers || Download paper | |
2018 | A composite likelihood approach for dynamic structural models. (2018). Canova, Fabio ; Matthes, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13245. Full description at Econpapers || Download paper | |
2018 | A composite likelihood approach for dynamic structural models. (2018). Matthes, Christian ; Canova, Fabio. In: Working Papers. RePEc:bny:wpaper:0068. Full description at Econpapers || Download paper | |
2018 | A Frequency-Domain Approach to Dynamic Macroeconomic Models. (2018). Tan, Fei. In: MPRA Paper. RePEc:pra:mprapa:90487. Full description at Econpapers || Download paper | |
2018 | The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis. (2018). Bernanke, Ben S. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:50:y:2018:i:2018-02:p:251-342. Full description at Econpapers || Download paper | |
2018 | PERSISTENCE IN CONVERGENCE AND CLUB FORMATION. (2018). Stengos, Thanasis ; Zkan, Harun ; Yazgan, Ege M. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:2:p:119-138. Full description at Econpapers || Download paper | |
2018 | Factor augmented VAR revisited - A sparse dynamic factor model approach. (2018). Kaufmann, Sylvia ; Beyeler, Simon. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181602. Full description at Econpapers || Download paper | |
2018 | Multidimensional Parameter Heterogeneity in Panel Data Models. (2018). Neal, Timothy. In: Discussion Papers. RePEc:swe:wpaper:2016-15a. Full description at Econpapers || Download paper | |
2018 | From NY to LA: A Look at the Wage Phillips Curve Using Cross-Geographical Data. (2018). Wilson, Daniel ; Leduc, Sylvain. In: 2018 Meeting Papers. RePEc:red:sed018:1290. Full description at Econpapers || Download paper | |
2018 | Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns. (2018). Lovcha, Yuliya ; Laborda, alex Perez . In: Working Papers. RePEc:urv:wpaper:2072/307362. Full description at Econpapers || Download paper | |
2018 | Monetary policy shocks, inflation persistence, and long memory. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:117-127. Full description at Econpapers || Download paper | |
2018 | Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812. Full description at Econpapers || Download paper | |
2018 | Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data. (2018). Hoshino, Tadao. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:160-172. Full description at Econpapers || Download paper | |
2018 | The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17. Full description at Econpapers || Download paper | |
2018 | Tackling Income Inequality: What Works and Why?. (2018). Cuesta, Jose ; Schmidt, Maika ; Revenga, Ana ; Negre, Mario. In: Journal of Income Distribution. RePEc:jid:journl:y:2018:v:26:i:1:p:1-48. Full description at Econpapers || Download paper | |
2018 | Advancing the economics of gender: New insights and a roadmap for the future. (2018). Sauer, Robert ; Cozzi, Guido ; Mantovan, Noemi ; Lundberg, Shelly ; Francesconi, Marco. In: European Economic Review. RePEc:eee:eecrev:v:109:y:2018:i:c:p:1-8. Full description at Econpapers || Download paper | |
2018 | Personality traits, intra-household allocation and the gender wage gap. (2018). Flinn, Christopher J ; Zhang, Weilong ; Todd, Petra E. In: European Economic Review. RePEc:eee:eecrev:v:109:y:2018:i:c:p:191-220. Full description at Econpapers || Download paper | |
2018 | Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao. In: Working Papers. RePEc:umc:wpaper:1709. Full description at Econpapers || Download paper | |
2018 | Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao. In: Papers. RePEc:arx:papers:1607.00393. Full description at Econpapers || Download paper | |
2018 | Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287. Full description at Econpapers || Download paper | |
2018 | The Empirical Content of Binary Choice Models. (2018). Bhattacharya, Debopam. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1883. Full description at Econpapers || Download paper | |
2018 | Estimation of a nonseparable heterogenous demand function with shape restrictions and Berkson errors. (2018). Blundell, Richard ; Parey, Matthias ; Horowitz, Joel L. In: CeMMAP working papers. RePEc:ifs:cemmap:67/18. Full description at Econpapers || Download paper | |
2018 | Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach. (2018). Economou, Fotini ; Tsouma, Ekaterini ; Panagopoulos, Yannis. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:459-470. Full description at Econpapers || Download paper | |
2018 | Aspects of Governance and $$\hbox {CO}_2$$ CO 2 Emissions: A Non-linear Panel Data Analysis. (2018). Tarverdi, Yashar. In: Environmental & Resource Economics. RePEc:kap:enreec:v:69:y:2018:i:1:d:10.1007_s10640-016-0071-x. Full description at Econpapers || Download paper | |
2018 | Globalization and productivity: A robust nonparametric world frontier analysis. (2018). Simar, Leopold ; Mastromarco, Camilla. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:134-149. Full description at Econpapers || Download paper | |
2018 | Modelling spatial regimes in farms technologies. (2018). Billé, Anna Gloria ; Benedetti, R ; Salvioni, C. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:49:y:2018:i:2:d:10.1007_s11123-018-0529-7. Full description at Econpapers || Download paper | |
2018 | Estimating Models with Dynamic Network Interactions and Unobserved Heterogeneity. (2018). Corrado, Luisa ; di Novo, Salvatore. In: CEIS Research Paper. RePEc:rtv:ceisrp:439. Full description at Econpapers || Download paper | |
2018 | CREDIBLY IDENTIFYING SOCIAL EFFECTS: ACCOUNTING FOR NETWORK FORMATION AND MEASUREMENT ERROR. (2018). Malde, Bansi ; Advani, Arun. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1016-1044. Full description at Econpapers || Download paper | |
2018 | Assessing the Productivity Consequences of Agri-Environmental Practices When Adoption Is Endogenous. (2018). Laukkanen, Marita ; Simola, Antti ; Bostian, Moriah B. In: Working Papers. RePEc:fer:wpaper:112. Full description at Econpapers || Download paper | |
2018 | Stochastic frontier models with network selectivity. (2018). Horrace, William C ; Jung, Hyunseok. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:50:y:2018:i:3:d:10.1007_s11123-018-0537-7. Full description at Econpapers || Download paper | |
2018 | A Bootstrap Approach for Bandwidth Selection in Estimating Conditional Efficiency Measures. (2018). Simar, Leopold ; Badin, Luiza ; Daraio, Cinzia. In: DIAG Technical Reports. RePEc:aeg:report:2018-02. Full description at Econpapers || Download paper | |
2018 | A novel model of costly technical efficiency. (2018). Tsionas, Mike G ; Izzeldin, Marwan. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:2:p:653-664. Full description at Econpapers || Download paper | |
2018 | Environmental factors in frontier estimation â A Monte Carlo analysis. (2018). Seifert, Stefan ; Nieswand, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:133-148. Full description at Econpapers || Download paper | |
2018 | Fast and Efficient Computation of Directional Distance Estimators. (2018). Wilson, Paul ; Simar, Leopold ; Daraio, Cinzia. In: DIAG Technical Reports. RePEc:aeg:report:2018-05. Full description at Econpapers || Download paper | |
2018 | Fast and Efficient Computation of Directional Distance Estimators. (2018). Wilson, Paul ; Simar, Leopold ; Daraio, Cinzia. In: LEM Papers Series. RePEc:ssa:lemwps:2018/21. Full description at Econpapers || Download paper | |
2018 | Estimation of cost efficiency without cost data. (2018). Kutlu, Levent ; Wang, Ran. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:49:y:2018:i:2:d:10.1007_s11123-018-0527-9. Full description at Econpapers || Download paper | |
2018 | Multicollinearity in regression: an efficiency comparison between Lp-norm and least squares estimators. (2018). Mattera, Raffaele ; Panarello, Demetrio ; Giacalone, Massimiliano. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:52:y:2018:i:4:d:10.1007_s11135-017-0571-y. Full description at Econpapers || Download paper | |
2018 | Improvement pathway of energy consumption structure in Chinas industrial sector: From the perspective of directed technical change. (2018). Shao, Shuai ; Miao, Zhuang ; Yang, Lili. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:166-176. Full description at Econpapers || Download paper | |
2018 | On estimating efficiency effects in a stochastic frontier model. (2018). Paul, Satya ; Shankar, Sriram. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:769-774. Full description at Econpapers || Download paper | |
2018 | Exploring the effect of crisis on cooperatives: A Bayesian performance analysis of French craftsmen cooperatives. (2018). Rousselière, Damien ; Rousseliere, Damien ; Musson, Anne. In: Working Papers. RePEc:ags:inrasl:279350. Full description at Econpapers || Download paper | |
2018 | Cost, Revenue, and Profit Function Estimates. (2018). Kutlu, Levent ; Sickles, Robin C ; Liu, Shasha. In: Working Papers. RePEc:ecl:riceco:18-006. Full description at Econpapers || Download paper | |
2018 | Operational Efficiency of Bank Loans and Deposits: A Case Study of Vietnamese Banking System. (2018). Ngo, Thanh ; Tripe, David ; Nguyen, Tram . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:1:p:14-:d:128829. Full description at Econpapers || Download paper | |
2018 | Relative Effectiveness of Energy Efficiency Programs versus Market Based Climate Policies in the Chemical Industry. (2018). Lee, Jonathan ; Boyd, Gale. In: Working Papers. RePEc:cen:wpaper:18-16. Full description at Econpapers || Download paper | |
2018 | Agricultural reforms and production in China: Changes in provincial production function and productivity in 1978â2015. (2018). Gong, Binlei. In: Journal of Development Economics. RePEc:eee:deveco:v:132:y:2018:i:c:p:18-31. Full description at Econpapers || Download paper | |
2018 | Identifying factor productivity from micro-data: The case of EU agriculture. (2018). Petrick, Martin ; Kloss, Mathias. In: IAMO Discussion Papers. RePEc:zbw:iamodp:171. Full description at Econpapers || Download paper | |
2018 | Endogeneity, heterogeneity, and determinants of inefficiency in Norwegian crop-producing farms. (2018). Kumbhakar, Subal ; Lien, Gudbrand ; Alem, Habtamu. In: International Journal of Production Economics. RePEc:eee:proeco:v:201:y:2018:i:c:p:53-61. Full description at Econpapers || Download paper | |
2018 | Stochastic Frontier Analysis: Foundations and Advances. (2018). Zelenyuk, Valentin ; Kumbhakar, Subal ; Parameter, Christopher F. In: CEPA Working Papers Series. RePEc:qld:uqcepa:123. Full description at Econpapers || Download paper | |
2018 | Identifying factor productivity from micro-data: the case of EU agriculture. (2018). Petrick, Martin ; Kloss, Mathias. In: IAMO Discussion Papers. RePEc:ags:iamodp:271870. Full description at Econpapers || Download paper | |
2018 | The Spatial Efficiency Multiplier and Common Correlated Effects in a Spatial Autoregressive Stochastic Frontier Model. (2018). Kenjegalieva, Karligash ; Weyman-Jones, Thomas ; Sickles, Robin C ; Glass, Anthony J. In: Working Papers. RePEc:ecl:riceco:18-003. Full description at Econpapers || Download paper | |
2018 | Interstate Competition in Agriculture: Cheer or Fear? Evidence from the United States and China. (2018). GONG, Binlei. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277462. Full description at Econpapers || Download paper | |
2018 | US Bank Efficiency and FED Activity. (2018). Kutlu, Levent ; al Masud, Mohammad I. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00992. Full description at Econpapers || Download paper | |
2018 | Effects of agricultural mechanization on economies of scope in crop production in Nigeria. (2018). Takeshima, Hiroyuki ; Hatzenbuehler, Patrick ; Edeh, Hyacinth. In: NSSP working papers. RePEc:fpr:nsspwp:53. Full description at Econpapers || Download paper | |
2018 | Interstate competition in agriculture: Cheer or fear? Evidence from the United States and China. (2018). Gong, Binlei. In: Food Policy. RePEc:eee:jfpoli:v:81:y:2018:i:c:p:37-47. Full description at Econpapers || Download paper | |
2018 | Shadow directional distance functions with bads: GMM estimation of optimal directions and efficiencies. (2018). Atkinson, Scott E ; Tsionas, Mike G. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:1:d:10.1007_s00181-017-1233-6. Full description at Econpapers || Download paper | |
2018 | Statistical inference in efficient production with bad inputs and outputs using latent prices and optimal directions. (2018). Atkinson, Scott E ; Tsionas, Mike G ; Primont, Daniel . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:131-146. Full description at Econpapers || Download paper | |
2018 | Environmental efficiency evaluation of thermal power generation in China based on a slack-based endogenous directional distance function model. (2018). Song, Malin ; Wang, Jianlin. In: Energy. RePEc:eee:energy:v:161:y:2018:i:c:p:325-336. Full description at Econpapers || Download paper | |
2018 | Revisiting Transformation and Directional Technology Distance Functions. (2018). Kolomiytseva, Yaryna. In: Papers. RePEc:arx:papers:1812.10108. Full description at Econpapers || Download paper | |
2018 | Direction Selection in Stochastic Directional Distance Functions. (2018). Sickles, Robin C ; Layer, Kevin ; Johnson, Andrew L ; Ferrier, Gary D. In: Working Papers. RePEc:ecl:riceco:18-010. Full description at Econpapers || Download paper | |
2018 | Focused econometric estimation for noisy and small datasets: A Bayesian Minimum Expected Loss estimator approach. (2018). RamÃÂrez Hassan, Andrés ; Correa-Giraldo, Manuel ; Ramirez-Hassan, Andres. In: Papers. RePEc:arx:papers:1809.06996. Full description at Econpapers || Download paper | |
2018 | Sensitivity Analysis using Approximate Moment Condition Models. (2018). Kolesar, Michal ; Armstrong, Timothy B. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2158. Full description at Econpapers || Download paper | |
2018 | Higher Order Approximation of IV Estimators with Invalid Instruments. (2018). Kang, Byunghoon. In: Working Papers. RePEc:lan:wpaper:257105320. Full description at Econpapers || Download paper | |
2018 | Duality in Production. (2018). Diewert, Walter. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:erwin_diewert-2018-2. Full description at Econpapers || Download paper | |
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2018 | Scanner Data, Elementary Price Indexes and the Chain Drift Problem. (2018). Marandola, Tina ; Diewert, Erwin. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:tina_marandola-2018-9. Full description at Econpapers || Download paper | |
2018 | Scanner Data, Elementary Price Indexes and the Chain Drift Problem. (2018). Diewert, Walter. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:erwin_diewert-2018-10. Full description at Econpapers || Download paper | |
2018 | Technology, offshoring and the rise of non-routine jobs. (2018). de Vries, Gaaitzen. In: Journal of Development Economics. RePEc:eee:deveco:v:135:y:2018:i:c:p:412-432. Full description at Econpapers || Download paper | |
2018 | Rank-based poverty measures and poverty ordering with an application to Tunisia. (2018). chtioui, naouel ; Ayadi, Mohamed. In: Portuguese Economic Journal. RePEc:spr:portec:v:17:y:2018:i:2:d:10.1007_s10258-017-0140-2. Full description at Econpapers || Download paper | |
2018 | Household Economic Inequality in Australia. (2018). Kaplan, Greg ; Stone, Tahlee ; la Cava, Gianni. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:305:p:117-134. Full description at Econpapers || Download paper | |
2018 | Econometric Perspectives on Economic Measurement. (2018). Gorajek, Adam. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2018-08. Full description at Econpapers || Download paper | |
2018 | Sales and the (Mis)measurement of price level fluctuations. (2018). Glandon, P J. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:58:y:2018:i:c:p:60-77. Full description at Econpapers || Download paper | |
2018 | Short-term forecasting economic activity in Germany: A supply and demand side system of bridge equations. (2018). Pinkwart, Nicolas . In: Discussion Papers. RePEc:zbw:bubdps:362018. Full description at Econpapers || Download paper | |
2018 | MEASUREMENT ERROR IN MACROECONOMIC DATA AND ECONOMICS RESEARCH: DATA REVISIONS, GROSS DOMESTIC PRODUCT, AND GROSS DOMESTIC INCOME. (2018). Li, Phillip ; Chang, Andrew C. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1846-1869. Full description at Econpapers || Download paper | |
2018 | Measuring Spatial Price Level Differences within a Country: Current status and Future Developments /Medición de las diferencias de nivel de precios espaciales dentro de un paÃs: Estado actual y evol. (2018). Rao, D.S. Prasada ; Prasada, D S ; Laureti, Tiziana. In: Estudios de EconomÃa Aplicada. RePEc:lrk:eeaart:36_1_9. Full description at Econpapers || Download paper | |
2018 | Spatial Chaining in International Comparisons of Prices and Real Incomes. (2018). Rao, D.S. Prasada ; Hill, Robert ; Hajargasht, Gholamreza ; Shankar, Sriram ; Prasada, D S. In: Graz Economics Papers. RePEc:grz:wpaper:2018-03. Full description at Econpapers || Download paper | |
2018 | Discussion of âNonparametric Bayesian Inference in Applicationsâ: Bayesian nonparametric methods in econometrics. (2018). Steel, Mark ; Kalli, Maria ; Griffin, Jim . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0384-0. Full description at Econpapers || Download paper | |
2018 | Testing for parameter instability in predictive regression models. (2018). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:101-118. Full description at Econpapers || Download paper | |
2018 | Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987. Full description at Econpapers || Download paper | |
2018 | Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03. Full description at Econpapers || Download paper | |
2018 | Network and Panel Quantile Effects Via Distribution Regression. (2018). Weidner, Martin ; Chernozhukov, Victor ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1803.08154. Full description at Econpapers || Download paper | |
2018 | Binary choice model with interactive effects. (2018). Xue, Sen ; Zhou, Qiankun ; Yang, Thomas Tao . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:338-350. Full description at Econpapers || Download paper | |
2018 | Spinning the Web: The Impact of ICT on Trade in Intermediates and Technology Diffusion. (2018). Steinwender, Claudia ; Juhasz, Reka. In: NBER Working Papers. RePEc:nbr:nberwo:24590. Full description at Econpapers || Download paper | |
2018 | Learning from failure in healthcare: Dynamic panel evidence of a physician shock effect. (2018). Raf, Tobias Mueller. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1809. Full description at Econpapers || Download paper | |
2018 | Social Networks and Entrepreneurship. Evidence from a Historical Episode of Industrialization. (2018). Mejia, Javier. In: Documentos CEDE. RePEc:col:000089:016380. Full description at Econpapers || Download paper | |
2018 | Network and panel quantile effects via distribution regression. (2018). Weidner, Martin ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:21/18. Full description at Econpapers || Download paper | |
2018 | Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. (2018). Bai, Jushan ; Ando, Tomohiro. In: MPRA Paper. RePEc:pra:mprapa:88765. Full description at Econpapers || Download paper | |
2018 | Social Networks and Entrepreneurship. Evidence from a Historical Episode of Industrialization. (2018). Mejia, Javier. In: Working Papers. RePEc:nad:wpaper:20180020. Full description at Econpapers || Download paper | |
2018 | Can households see into the future? Survey evidence from the Netherlands. (2018). Pettinicchi, Yuri ; Massenot, Baptiste. In: SAFE Working Paper Series. RePEc:zbw:safewp:233. Full description at Econpapers || Download paper | |
2018 | Determinants of distress in the UK owner-occupier and buy-to-let mortgage markets. (2018). Hinterschweiger, Marc ; Lazarov, Vladimir . In: Bank of England working papers. RePEc:boe:boeewp:0760. Full description at Econpapers || Download paper | |
2018 | Quantile Factor Models. (2018). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12716. Full description at Econpapers || Download paper | |
2018 | The Role of Weather on Schooling and Work of Young Adults in Madagascar. (2018). Tiberti, Luca ; Marchetta, Francesca ; Sahn, David E. In: Working Papers PMMA. RePEc:lvl:pmmacr:2018-08. Full description at Econpapers || Download paper | |
2018 | Do cultural differences affect the trade of cultural goods? A study in trade of music. (2018). Takara, Yuki. In: Journal of Cultural Economics. RePEc:kap:jculte:v:42:y:2018:i:3:d:10.1007_s10824-017-9313-1. Full description at Econpapers || Download paper | |
2018 | Nonlinear factor models for network and panel data. (2018). Weidner, Martin ; Fernandez-Val, Ivan ; Chen, Mingli. In: CeMMAP working papers. RePEc:ifs:cemmap:38/18. Full description at Econpapers || Download paper | |
2018 | Network and panel quantile effects via distribution regression. (2018). Weidner, Martin ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:70/18. Full description at Econpapers || Download paper | |
2018 | On the density estimation of air pollution in Beijing. (2018). Fan, Yanqin ; Yan, Karen X ; Hou, Lei. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:110-113. Full description at Econpapers || Download paper | |
2018 | Why Cities Emerge and Grow? Explanations of Theoretical and Empirical Studies. (2018). Kolomak, Evgeniya. In: Spatial Economics=Prostranstvennaya Ekonomika. RePEc:far:spaeco:y:2018:i:2:p:134-153. Full description at Econpapers || Download paper | |
2018 | Cointegration in functional autoregressive processes. (2018). Paruolo, Paolo ; Franchi, Massimo. In: Papers. RePEc:arx:papers:1712.07522. Full description at Econpapers || Download paper | |
2018 | Semiparametric model average prediction in panel data analysis. (2018). Huang, Tao ; Li, Jialiang. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:30:y:2018:i:1:p:125-144. Full description at Econpapers || Download paper | |
2018 | Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Gerlach, Richard ; Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:83893. Full description at Econpapers || Download paper | |
2018 | Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108. Full description at Econpapers || Download paper | |
2018 | Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287. Full description at Econpapers || Download paper | |
2018 | Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory. (2018). Liu, Guangqiang ; Hu, Yang ; Yu, Jiang ; Chen, Yongfei ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:288-297. Full description at Econpapers || Download paper | |
2018 | Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85. Full description at Econpapers || Download paper | |
2018 | Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330. Full description at Econpapers || Download paper | |
2018 | Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473. Full description at Econpapers || Download paper | |
2018 | Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229. Full description at Econpapers || Download paper | |
2018 | An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388. Full description at Econpapers || Download paper | |
2018 | The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386. Full description at Econpapers || Download paper | |
2018 | Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Qu, Hui ; Niu, Mengyi ; Duan, Qingling. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776. Full description at Econpapers || Download paper | |
2018 | Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409. Full description at Econpapers || Download paper | |
2018 | Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: MPRA Paper. RePEc:pra:mprapa:94289. Full description at Econpapers || Download paper | |
2018 | Combining Multivariate Volatility Forecasts using Weighted Losses. (2018). Clements, Adam ; Doolan, M. In: NCER Working Paper Series. RePEc:qut:auncer:2018_02. Full description at Econpapers || Download paper | |
2018 | Directional Predictability of Daily Stock Returns. (2018). Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-624. Full description at Econpapers || Download paper | |
2018 | Unified Tests for a Dynamic Predictive Regression. (2018). Cai, Zongwu ; Peng, Liang ; Liu, Xiaohui ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201808. Full description at Econpapers || Download paper | |
2018 | Public Education Spending and Economic Growth: The Governance Threshold Effect. (2018). Trabelsi, Salwa. In: Journal of Economic Development. RePEc:jed:journl:v:43:y:2018:i:1:p:101-124. Full description at Econpapers || Download paper | |
2018 | On the examination of non-linear relationship between market structure and performance in the US manufacturing industry. (2018). Stengos, Thanasis ; POLEMIS, MICHAEL ; Chen, Chaoyi. In: Economics Letters. RePEc:eee:ecolet:v:164:y:2018:i:c:p:1-4. Full description at Econpapers || Download paper | |
2018 | Economic growth and government size in developed European countries: A panel threshold approach. (2018). Hajamini, Mehdi ; Falahi, Mohammad Ali. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:58:y:2018:i:c:p:1-13. Full description at Econpapers || Download paper | |
2018 | Corporate debt and investment: A firm-level analysis for stressed euro area countries. (2018). Gebauer, Stefan ; Westphal, Andreas ; Setzer, Ralph. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:112-130. Full description at Econpapers || Download paper | |
2018 | Re-examining the Asymmetric Gasoline Pricing Mechanism in EU: A Panel Threshold Analysis. (2018). Stengos, Thanasis ; POLEMIS, MICHAEL ; Chen, Chaoyi. In: MPRA Paper. RePEc:pra:mprapa:89575. Full description at Econpapers || Download paper | |
2018 | Threshold regression with endogeneity for short panels. (2018). Würtz, Allan ; Gorgens, Tue ; Wurtz, Allan H. In: CREATES Research Papers. RePEc:aah:create:2018-27. Full description at Econpapers || Download paper | |
2018 | On the Examination of Competition in the Petroleum Industry: A Pooled Panel Threshold Analysis. (2018). Stengos, Thanasis ; POLEMIS, MICHAEL ; Chen, Chaoyi. In: MPRA Paper. RePEc:pra:mprapa:89671. Full description at Econpapers || Download paper | |
2018 | Threshold regression with endogeneity for short panels. (2018). Würtz, Allan ; Gorgens, Tue ; Wurtz, Allan H. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2018-665. Full description at Econpapers || Download paper | |
2018 | Does computer penetration increase farmersâ income? An empirical study from China. (2018). Gao, Yanyan ; Sun, Jun ; Zang, Leizhen . In: Telecommunications Policy. RePEc:eee:telpol:v:42:y:2018:i:5:p:345-360. Full description at Econpapers || Download paper | |
2018 | Econometrics with system priors. (2018). Plašil, Miroslav ; Plail, Miroslav ; Andrle, Michal. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:134-137. Full description at Econpapers || Download paper | |
2018 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2018 | Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18. Full description at Econpapers || Download paper | |
2018 | Systemic risk network of Chinese financial institutions. (2018). Fang, Libing ; Yu, Honghai ; Li, Huijing ; Sun, Boyang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:190-206. Full description at Econpapers || Download paper | |
2018 | LASSO-Driven Inference in Time and Space. (2018). Härdle, Wolfgang ; Chernozhukov, Victor ; Wang, W ; Huang, C ; Hardle, W K. In: Working Papers. RePEc:cty:dpaper:18/04. Full description at Econpapers || Download paper | |
2018 | Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Fang, Ying ; Cai, Zongwu ; Tian, Dingshi. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201807. Full description at Econpapers || Download paper | |
2018 | Measuring Network Systemic Risk Contributions: A Leave-one-out Approach. (2018). Tokpavi, Sessi ; Hue, Sullivan. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2608. Full description at Econpapers || Download paper | |
2018 | Nets: network estimation for time series. (2018). Barigozzi, Matteo ; Brownlees, Christian T. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90493. Full description at Econpapers || Download paper | |
2018 | Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91. Full description at Econpapers || Download paper | |
2018 | Identifying Noise Shocks. (2018). Chan, Joshua ; Koop, Gary ; Eisenstat, Eric ; Benati, Luca. In: Working Paper Series. RePEc:uts:ecowps:41. Full description at Econpapers || Download paper | |
2018 | A mixture autoregressive model based on Students $t$-distribution. (2018). Saikkonen, Pentti ; Preve, Daniel ; Meitz, Mika. In: Papers. RePEc:arx:papers:1805.04010. Full description at Econpapers || Download paper | |
2018 | State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074. Full description at Econpapers || Download paper | |
2018 | A mixture autoregressive model based on Studentâs tâdistribution. (2018). Saikkonen, Pentti ; Preve, Daniel ; Meitz, Mika. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_013. Full description at Econpapers || Download paper | |
2018 | Factors behind the Freight Rates in the Liner Shipping Industry. (2018). Vallee, Thomas ; Moussa, Zakaria ; Kutin, Nikola. In: Working Papers. RePEc:hal:wpaper:halshs-01828633. Full description at Econpapers || Download paper | |
2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1762. Full description at Econpapers || Download paper | |
2018 | Calculating joint confidence bands for impulse response functions using highest density regions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1325-3. Full description at Econpapers || Download paper | |
2018 | Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:187-225. Full description at Econpapers || Download paper | |
2018 | Sequential testing for structural stability in approximate factor models. (2018). Barigozzi, Matteo ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/04. Full description at Econpapers || Download paper | |
2018 | Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:88110. Full description at Econpapers || Download paper | |
2018 | Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows. (2018). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:1802.00793. Full description at Econpapers || Download paper | |
2018 | Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data. (2018). van der Wel, Michel ; Posch, Olaf ; Liemen, Max Ole. In: 2018 Meeting Papers. RePEc:red:sed018:1049. Full description at Econpapers || Download paper | |
2018 | Asymptotic collinearity in CCE estimation of interactive effects models. (2018). , Joakimwesterlund ; Petrova, Yana ; Westerlund, Joakim. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:331-337. Full description at Econpapers || Download paper | |
2018 | On the choice of test statistic for conditional moment inequalities. (2018). Armstrong, Timothy B. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:241-255. Full description at Econpapers || Download paper | |
2018 | Generalized instrumental variable models, methods, and applications. (2018). Rosen, Adam ; Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:43/18. Full description at Econpapers || Download paper | |
2018 | Asymptotic Theory for Rough Fractional Vasicek Models. (2018). Yu, Jun ; JunYu, ; Xiao, Weilin. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_007. Full description at Econpapers || Download paper | |
2018 | The Grid Bootstrap for Continuous Time Models. (2018). Yu, Jun ; Xiao, Weilin ; Lui, Yiu Lim. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_020. Full description at Econpapers || Download paper | |
2018 | Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908. Full description at Econpapers || Download paper | |
2018 | Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110. Full description at Econpapers || Download paper | |
2018 | MATS: Inference for potentially singular and heteroscedastic MANOVA. (2018). Friedrich, Sarah ; Pauly, Markus. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:165:y:2018:i:c:p:166-179. Full description at Econpapers || Download paper | |
2018 | Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105. Full description at Econpapers || Download paper | |
2018 | Bootstrap- and permutation-based inference for the MannâWhitney effect for right-censored and tied data. (2018). Dobler, Dennis ; Pauly, Markus. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:3:d:10.1007_s11749-017-0565-z. Full description at Econpapers || Download paper | |
2018 | Testing for strict stationarity in a random coefficient autoregressive model. (2018). Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/02. Full description at Econpapers || Download paper | |
2018 | Testing for randomness in a random coefficient autoregression model. (2018). Horvath, Lajos ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/03. Full description at Econpapers || Download paper | |
2018 | International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236. Full description at Econpapers || Download paper | |
2018 | Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312. Full description at Econpapers || Download paper | |
2018 | A global network topology of stock markets: Transmitters and receivers of spillover effects. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Zakaria, Muhammad ; Al-Yahyaee, Khamis Hamed ; Ur, Mobeen ; Hernandez, Jose Areola. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:2136-2153. Full description at Econpapers || Download paper | |
2018 | Oil volatility and sovereign risk of BRICS. (2018). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Bouri, Elie ; Raza, Naveed ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:258-269. Full description at Econpapers || Download paper | |
2018 | Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825. Full description at Econpapers || Download paper | |
2018 | Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Nguyen, Duc Khuong ; Martin, Franck ; Le, Tan. In: Working Papers. RePEc:hal:wpaper:hal-01806733. Full description at Econpapers || Download paper | |
2018 | Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Martin, Franck ; Nguyen, Duc K. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2018-04. Full description at Econpapers || Download paper | |
2018 | Risk transmitters and receivers in global currency markets. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:1-9. Full description at Econpapers || Download paper | |
2018 | Uncovering the nonlinear predictive causality between natural gas and electricity prices. (2018). Uribe, Jorge ; Mosquera-Lopez, Stephania ; Guillen, Montserrat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:904-916. Full description at Econpapers || Download paper | |
2018 | Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). Wang, Shixuan ; Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:297-307. Full description at Econpapers || Download paper | |
2018 | Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:377-388. Full description at Econpapers || Download paper | |
2018 | Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis. (2018). Labidi, Chiaz ; Bekiros, Stelios ; Uddin, Gazi Salah ; Hedstrom, Axel ; Lutfur, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:179-211. Full description at Econpapers || Download paper | |
2018 | General Quantile Time Series Regressions for Applications in Population Demographics. (2018). Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588. Full description at Econpapers || Download paper | |
2018 | Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258. Full description at Econpapers || Download paper | |
2018 | Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. (2018). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:65-79. Full description at Econpapers || Download paper | |
2018 | Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework. (2018). Hwang, Jungbin ; Sun, Yixiao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:381-405. Full description at Econpapers || Download paper | |
2018 | Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:69-79. Full description at Econpapers || Download paper | |
2018 | Machine Learning Macroeconometrics: A Primer. (2018). Korobilis, Dimitris. In: Working Paper series. RePEc:rim:rimwps:18-30. Full description at Econpapers || Download paper | |
2018 | A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257. Full description at Econpapers || Download paper | |
2018 | High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431. Full description at Econpapers || Download paper | |
2018 | Paid Parental Leave and Female Labour Supply: AÃ Review. (2018). Kalb, Guyonne. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:304:p:80-100. Full description at Econpapers || Download paper | |
2018 | The small sample properties of Indirect Inference in testing and estimating DSGE models. (2018). Xu, Yongdeng ; Wickens, Michael ; Minford, A. Patrick ; Meenagh, David. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/7. Full description at Econpapers || Download paper | |
2018 | Supply-side policy and economic growth: A case study of the UK. (2018). Meenagh, David ; Minford, Lucy. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/10. Full description at Econpapers || Download paper | |
2018 | Growth of industrial CO2 emissions in Shanghai city: Evidence from a dynamic vector autoregression analysis. (2018). Lin, Boqiang ; Xu, Bin. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:167-177. Full description at Econpapers || Download paper | |
2018 | Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation. (2018). Pellegrino, Giovanni ; Castelnuovo, Efrem. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0219. Full description at Econpapers || Download paper | |
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2018 | Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195. Full description at Econpapers || Download paper | |
2018 | Panel data approach vs synthetic control method. (2018). hsiao, cheng ; Xie, Yimeng ; WAN, Shui-Ki . In: Economics Letters. RePEc:eee:ecolet:v:164:y:2018:i:c:p:121-123. Full description at Econpapers || Download paper | |
2018 | ArCo: An artificial counterfactual approach for high-dimensional panel time-series data. (2018). Carvalho, Carlos ; Medeiros, Marcelo C ; Masini, Ricardo . In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:352-380. Full description at Econpapers || Download paper | |
2018 | Do parole abolition and Truth-in-Sentencing deter violent crimes in Virginia?. (2018). Li, QI ; Long, Wei. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1332-4. Full description at Econpapers || Download paper | |
2018 | Rule of Law and Avoided Deforestation from Protected Areas. (2018). Abman, Ryan . In: Ecological Economics. RePEc:eee:ecolec:v:146:y:2018:i:c:p:282-289. Full description at Econpapers || Download paper | |
2018 | Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996. Full description at Econpapers || Download paper | |
2018 | Volatility-of-volatility risk. (2018). Thimme, Julian ; Shaliastovich, Ivan ; Schlag, Christian ; Huang, Darien. In: SAFE Working Paper Series. RePEc:zbw:safewp:210. Full description at Econpapers || Download paper | |
2018 | Misclassification and the hidden silent rivalry. (2018). Lin, Zhongjian ; Hu, Yingyao. In: CeMMAP working papers. RePEc:ifs:cemmap:12/18. Full description at Econpapers || Download paper | |
2018 | The nutrient-income elasticity in ultra-poor households: Evidence from Kenya. (2018). Thiele, Rainer ; Jawara, Hamidou. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2114. Full description at Econpapers || Download paper | |
2018 | Inference for structural impulse responses in SVAR-GARCH models. (2018). Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:281. Full description at Econpapers || Download paper | |
2018 | The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada. (2018). Zhou, Xiaoqing ; Kilian, Lutz. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7005. Full description at Econpapers || Download paper | |
2018 | Identifying macroeconomic effects of refugee migration to Germany. (2018). Weigand, Roland ; Weber, Enzo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00126. Full description at Econpapers || Download paper | |
2018 | Identification and estimation issues in Structural Vector Autoregressions with external instruments. (2018). Fanelli, Luca ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1122. Full description at Econpapers || Download paper | |
2018 | Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH. (2018). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1750. Full description at Econpapers || Download paper | |
2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018. Full description at Econpapers || Download paper | |
2018 | The propagation of regional shocks in housing markets: Evidence from oil price shocks in Canada. (2018). Zhou, Xiaoqing ; Kilian, Lutz. In: CFS Working Paper Series. RePEc:zbw:cfswop:606. Full description at Econpapers || Download paper | |
2018 | The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada. (2018). Kilian, Lutz ; Zhou, Xiaoqing. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12845. Full description at Econpapers || Download paper | |
2018 | The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada. (2018). Zhou, Xiaoqing ; Kilian, Lutz. In: Staff Working Papers. RePEc:bca:bocawp:18-56. Full description at Econpapers || Download paper | |
2018 | Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430. Full description at Econpapers || Download paper | |
2018 | Exclusion Restrictions in Dynamic Binary Choice Panel Data Models. (2018). Tang, Xun ; Khan, Shakeeb ; Chen, Songnian. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:947. Full description at Econpapers || Download paper | |
2018 | Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351. Full description at Econpapers || Download paper | |
2018 | Heterogeneous spillovers among Spanish provinces: a generalized spatial stochastic frontier model. (2018). ÃÂlvarez, Inmaculada ; Orea, Luis ; Gude, Alberto. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:50:y:2018:i:3:d:10.1007_s11123-018-0540-z. Full description at Econpapers || Download paper | |
2018 | MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63. Full description at Econpapers || Download paper | |
2018 | Varying-coefficient panel data models with partially observed factor structure. (2018). GAO, Jiti ; Peng, Bin ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-1. Full description at Econpapers || Download paper | |
2018 | Inference on trending panel data. (2018). Velasco, Carlos ; Robinson, Peter M. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:282-304. Full description at Econpapers || Download paper | |
2018 | How efficient are Chinas macroeconomic forecasts? Evidences from a new forecasting evaluation approach. (2018). Sun, Yuying ; Zhang, Xun ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:506-513. Full description at Econpapers || Download paper | |
2018 | When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34. Full description at Econpapers || Download paper | |
2018 | The macroeconomic and fiscal implications of inflation forecast errors. (2018). Tavlas, George ; Gibson, Heather ; Hall, Stephen G ; Dellas, Harris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:203-217. Full description at Econpapers || Download paper | |
2018 | Size matters: Estimation sample length and electricity price forecasting accuracy. (2018). Mosetti, Luca ; Fezzi, Carlo. In: DEM Working Papers. RePEc:trn:utwprg:2018/10. Full description at Econpapers || Download paper | |
2018 | THIS TIME IT IS DIFFERENT! OR NOT? DISCOUNTING PAST DATA WHEN PREDICTING THE FUTURE. (2018). Franses, Philip Hans ; Janssens, Eva. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500057. Full description at Econpapers || Download paper | |
2018 | The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632. Full description at Econpapers || Download paper | |
2018 | A spatial latent class model. (2018). Lee, Jiyon . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:62-68. Full description at Econpapers || Download paper | |
2018 | Simple tests for endogeneity of spatial weights matrices. (2018). Bera, Anil K ; Tapinar, Suleyman ; Doan, Osman. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:69:y:2018:i:c:p:130-142. Full description at Econpapers || Download paper | |
2018 | Networks in risk spillovers: A multivariate GARCH perspective. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Frattarolo, Lorenzo. In: SAFE Working Paper Series. RePEc:zbw:safewp:225. Full description at Econpapers || Download paper | |
2018 | Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992. Full description at Econpapers || Download paper | |
2018 | Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation. (2018). Bartalotti, Otavio. In: IZA Discussion Papers. RePEc:iza:izadps:dp11560. Full description at Econpapers || Download paper | |
2018 | Forecasting Indias Economic Growth: A Time-Varying Parameter Regression Approach.. (2018). Mundle, Sudipto ; Chakravarti, Parma ; Bhattacharya, Rudrani. In: Working Papers. RePEc:npf:wpaper:18/238. Full description at Econpapers || Download paper | |
2018 | Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Varneskov, Rasmus T ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2018-16. Full description at Econpapers || Download paper | |
2018 | Pairwise distance-based tests for conditional symmetry. (2018). Niu, Cuizhen ; Zhu, Lixing ; Li, Yong ; Guo, XU. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:145-162. Full description at Econpapers || Download paper | |
2018 | Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65. Full description at Econpapers || Download paper | |
2018 | Perpetual learning and apparent long memory. (2018). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:343-365. Full description at Econpapers || Download paper | |
2018 | Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445. Full description at Econpapers || Download paper | |
2018 | Measuring financial cycle time. (2018). Lombardi, Marco ; Filardo, Andrew ; Raczko, Marek. In: BIS Working Papers. RePEc:bis:biswps:755. Full description at Econpapers || Download paper | |
2018 | A note on the different interpretation of the correlation parameters in the Bivariate Probit and the Recursive Bivariate Probit. (2018). Martinez-Cruz, Adan ; Kumar, Nilkanth ; Filippini, Massimo ; Greene, William H. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:104-107. Full description at Econpapers || Download paper | |
2018 | U.S. worldwide taxation and domestic mergers and acquisitions. (2018). Harris, Jeremiah ; O'Brien, William . In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:66:y:2018:i:2:p:419-438. Full description at Econpapers || Download paper | |
2018 | Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Liao, Yuan ; Fan, Jianqing ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041. Full description at Econpapers || Download paper | |
2018 | Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices. (2018). Zagidullina, Aygul ; Pohlmeier, Winfried ; Daniele, Maurizio. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1807. Full description at Econpapers || Download paper | |
2018 | Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata. (2018). Sun, Yixiao ; Ye, Xiaoqing. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt0bb8d0s9. Full description at Econpapers || Download paper | |
2018 | Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800. Full description at Econpapers || Download paper | |
2018 | Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. Eduardo. In: Papers. RePEc:arx:papers:1801.06677. Full description at Econpapers || Download paper | |
2018 | Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models. (2018). Windmeijer, Frank. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:18/696. Full description at Econpapers || Download paper | |
2018 | Uniform confidence bands: Characterization and optimality. (2018). Freyberger, Joachim ; Rai, Yoshiyasu. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:119-130. Full description at Econpapers || Download paper | |
2018 | Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure. (2018). Yamagata, Takashi ; Sarafidis, Vasilis ; Norkute, Milda . In: ISER Discussion Paper. RePEc:dpr:wpaper:1019. Full description at Econpapers || Download paper | |
2018 | Estimation of random coefficients logit demand models with interactive fixed effects. (2018). Shum, Matthew ; Weidner, Martin ; Moon, Hyungsik Roger. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:613-644. Full description at Econpapers || Download paper | |
2018 | The effects of gun control on crimes: a spatial interactive fixed effects approach. (2018). Lee, Lung-Fei ; Shi, Wei. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:1:d:10.1007_s00181-017-1415-2. Full description at Econpapers || Download paper | |
2018 | Common Factors and Spatial Dependence: An Application to US House Prices. (2018). Yang, Cynthia Fan. In: MPRA Paper. RePEc:pra:mprapa:89032. Full description at Econpapers || Download paper | |
2018 | Firms Beliefs and Learning: Models, Identification, and Empirical Evidence. (2018). Aguirregabiria, Victor ; Jeon, Jihye. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13255. Full description at Econpapers || Download paper | |
2018 | Estimating heterogeneous contributing strategies in threshold public goods provision: A structural analysis. (2018). Liu, Pengfei ; Hu, Yingyao ; An, Yonghong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:152:y:2018:i:c:p:124-146. Full description at Econpapers || Download paper | |
2018 | Inference in Games Without Nash Equilibrium: An Application to Restaurants, Competition in Opening Hours. (2018). Xie, Erhao . In: Staff Working Papers. RePEc:bca:bocawp:18-60. Full description at Econpapers || Download paper | |
2018 | Spatial panel data models with structural change. (2018). Li, Kunpeng. In: MPRA Paper. RePEc:pra:mprapa:85388. Full description at Econpapers || Download paper | |
2018 | The Double-Edged Sword of Global Integration: Robustness, Fragility \& Contagion in the International Firm Network. (2018). Grant, Everett. In: 2018 Meeting Papers. RePEc:red:sed018:506. Full description at Econpapers || Download paper | |
2018 | The Heterogeneous Effects of Global and National Business Cycles on Employment in U.S. States and Metropolitan Areas. (2018). Wynne, Mark ; Koech, Janet ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:343. Full description at Econpapers || Download paper | |
2018 | Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR. (2018). Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1874. Full description at Econpapers || Download paper | |
2018 | Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR. (2018). Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:351. Full description at Econpapers || Download paper | |
2018 | On Bootstrap inconsistency and Bonferroni-based size-correction for the subset AndersonâRubin test under conditional homoskedasticity. (2018). Doko Tchatoka, Firmin ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:188-211. Full description at Econpapers || Download paper | |
2018 | Mortgage supply and the US housing boom: The role of the Community Reinvestment Act. (2016). Saadi, Vahid . In: SAFE Working Paper Series. RePEc:zbw:safewp:155. Full description at Econpapers || Download paper | |
2018 | Regional Integration: Do intra-African trade and migration improve income in Africa?. (2018). Gnimassoun, Blaise. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-9. Full description at Econpapers || Download paper | |
2018 | The marital satisfaction of differently aged couples. (2018). McKinnish, Terra ; Lee, Wang-Sheng. In: Journal of Population Economics. RePEc:spr:jopoec:v:31:y:2018:i:2:d:10.1007_s00148-017-0658-8. Full description at Econpapers || Download paper | |
2018 | Information Frictions, Internet and the Relationship between Distance and Trade*. (2018). Mogstad, Magne ; Leuven, Edwin ; Akerman, Anders. In: Memorandum. RePEc:hhs:osloec:2018_001. Full description at Econpapers || Download paper | |
2018 | Determinants of industrial location: Kingdom of Yugoslavia in the interwar period. (2018). Nikoli, Stefan. In: European Review of Economic History. RePEc:oup:ereveh:v:22:y:2018:i:1:p:101-133.. Full description at Econpapers || Download paper | |
2018 | The effects of cooperation in accreditation on international trade: Empirical evidence on ISO 9000 certifications. (2018). Blind, Knut ; Pohlisch, Jakob ; Mangelsdorf, Axel. In: International Journal of Production Economics. RePEc:eee:proeco:v:198:y:2018:i:c:p:50-59. Full description at Econpapers || Download paper | |
2018 | Blessing a Curse? Institutional Reform and Resource Booms in Colombia. (2018). Maldonado, Stanislao ; Gallego, Jorge ; Trujillo, Lorena. In: Working Papers. RePEc:apc:wpaper:122. Full description at Econpapers || Download paper | |
2018 | Fiscal multipliers and foreign holdings of public debt. (2018). Martin, Alberto ; Erce, Aitor ; Clancy, Daragh ; Broner, Fernando. In: Economics Working Papers. RePEc:upf:upfgen:1610. Full description at Econpapers || Download paper | |
2018 | Fiscal Multipliers and Foreign Holdings of Public Debt. (2018). Martin, Alberto ; Erce, Aitor ; Clancy, Daragh ; Broner, Fernando. In: Working Papers. RePEc:bge:wpaper:1040. Full description at Econpapers || Download paper | |
2018 | Fiscal devaluations: evidence using bilateral trade balance data. (2018). VukÅ¡iÄ, Goran ; Vizek, MaruÅ¡ka ; Tkalec, Marina ; Holzner, Mario ; Vuki, Goran. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:154:y:2018:i:2:d:10.1007_s10290-018-0309-5. Full description at Econpapers || Download paper | |
2018 | Growth effects of inequality and redistribution: What are the transmission channels?. (2018). Gründler, Klaus ; Scheuermeyer, Philipp ; Grundler, Klaus. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:293-313. Full description at Econpapers || Download paper | |
2018 | The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Saborowski, Christian ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7127. Full description at Econpapers || Download paper | |
2018 | Government Consumption and Investment: Does the Composition of Purchases Affect the Multiplier?. (2018). Boehm, Christoph. In: Working Papers. RePEc:mie:wpaper:662. Full description at Econpapers || Download paper | |
2018 | Peer Effects in Legislative Voting. (2018). Kamenica, Emir ; Fisman, Raymond ; Harmon, Nikolaj. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:dp-304. Full description at Econpapers || Download paper | |
2018 | Consumption Network Effects. (2018). De Giorgi, Giacomo ; DeGiorgi, Giacomo . In: 2018 Meeting Papers. RePEc:red:sed018:692. Full description at Econpapers || Download paper | |
2018 | Fertility Transitions in Developing Countries: Convergence, Timing, and Causes. (2018). Papagni, Erasmo. In: GLO Discussion Paper Series. RePEc:zbw:glodps:248. Full description at Econpapers || Download paper | |
2018 | Fiscal multipliers and foreign holdings of public debt. (2018). Martin, Alberto ; Erce, Aitor ; Clancy, Daragh ; Broner, Fernando. In: Working Papers. RePEc:stm:wpaper:30. Full description at Econpapers || Download paper | |
2018 | How do fuel taxes impact new car purchases? An evaluation using French consumer-level data. (2018). GIVORD, Pauline ; Naegele, Helene ; Grislain-Letremy, Celine. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:76-96. Full description at Econpapers || Download paper | |
2018 | Applicability of agglomeration to tourism economics. (2018). Adachi, Yusuke. In: Japan and the World Economy. RePEc:eee:japwor:v:47:y:2018:i:c:p:58-67. Full description at Econpapers || Download paper | |
2018 | Gender- and education-related effects of financial literacy and confidence on financial wealth. (2018). Bannier, Christina ; Schwarz, Milena. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:67:y:2018:i:c:p:66-86. Full description at Econpapers || Download paper | |
2018 | The Contribution of Foreign Migration to Local Labor Market Adjustment. (2018). Amior, Michael. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1582. Full description at Econpapers || Download paper | |
2018 | On the StockâYogo Tables. (2018). Windmeijer, Frank ; Skeels, Christopher L. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573. Full description at Econpapers || Download paper | |
2018 | The Effect of Media Coverage on Mass Shootings. (2018). Walker, Jay ; Jetter, Michael. In: IZA Discussion Papers. RePEc:iza:izadps:dp11900. Full description at Econpapers || Download paper | |
2018 | Growth, inequality and poverty: A robust relationship?. (2018). Servén, Luis ; Marrero, Gustavo ; Serven, Luis. In: Working Papers. RePEc:inq:inqwps:ecineq2018-478. Full description at Econpapers || Download paper | |
2018 | Fiscal Multipliers and Foreign Holdings of Public Debt. (2018). Martin, Alberto ; Erce, Aitor ; Clancy, Daragh ; Broner, Fernando A. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12960. Full description at Econpapers || Download paper | |
2018 | Path dependencies versus efficiencies in regulation: Evidence from old and new broadband markets in the EU. (2018). Vogelsang, Ingo ; Briglauer, Wolfgang ; Camarda, Enrico Maria. In: ZEW Discussion Papers. RePEc:zbw:zewdip:18051. Full description at Econpapers || Download paper | |
2018 | Global capital markets, housing prices, and partisan fiscal policies. (2018). Ansell, Ben W ; Flaherty, Thomas ; Broz, Lawrence J. In: Economics and Politics. RePEc:bla:ecopol:v:30:y:2018:i:3:p:307-339. Full description at Econpapers || Download paper | |
2018 | On the design of stabilising fiscal rules. (2018). Vilerts, Karlis ; Reuter, Wolf Heinrich ; Tkacevs, Olegs. In: Working Papers. RePEc:ltv:wpaper:201805. Full description at Econpapers || Download paper | |
2018 | Labor Market Impacts of States Issuing of Driving Licenses to Undocumented Immigrants. (2018). Arenas-Arroyo, Esther ; Amuedo-Dorantes, Catalina ; Sevilla, Almudena. In: IZA Discussion Papers. RePEc:iza:izadps:dp12049. Full description at Econpapers || Download paper | |
2018 | The contribution of foreign migration to local labor market adjustment. (2018). Amior, Michael. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:91705. Full description at Econpapers || Download paper | |
2018 | On the design of stabilising fiscal rules. (2018). Vilerts, Karlis ; Tkaevs, Oegs ; Reuter, Wolf Heinrich. In: Working Papers. RePEc:zbw:svrwwp:112018. Full description at Econpapers || Download paper | |
2018 | Peer Effects in Legislative Voting. (2018). Kamenica, Emir ; Fisman, Raymond ; Harmon, Nikolaj. In: Boston University - Department of Economics - The Institute for Economic Development Working Papers Series. RePEc:bos:iedwpr:dp-304. Full description at Econpapers || Download paper | |
2018 | Commute Time and Labor Supply. (2018). Tham, Wing Wah ; Sojli, Elvira ; Agarwal, Sumit. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_015. Full description at Econpapers || Download paper | |
2018 | Partial identification and inference in censored quantile regression. (2018). Fan, Yanqin ; Liu, Ruixuan. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:1-38. Full description at Econpapers || Download paper | |
2018 | Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods. (2018). Oka, Tatsushi ; Callaway, Brantly ; Li, Tong. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:395-413. Full description at Econpapers || Download paper | |
2018 | Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:430. Full description at Econpapers || Download paper | |
2018 | Tobit models with social interactions: Complete vs incomplete information. (2018). Lee, Lung-Fei ; Yang, Chao ; Qu, XI. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:73:y:2018:i:c:p:30-50. Full description at Econpapers || Download paper | |
2018 | Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model. (2018). Guardabascio, Barbara ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:397. Full description at Econpapers || Download paper | |
2018 | Credit Conditions and the Effects of Economic Shocks: Amplifications and Asymmetries. (2018). Marcellino, Massimiliano ; Galvão, Ana ; Carriero, Andrea ; Galvao, Ana Beatriz. In: EMF Research Papers. RePEc:wrk:wrkemf:17. Full description at Econpapers || Download paper | |
2018 | The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18. Full description at Econpapers || Download paper | |
2018 | Bayesian Dynamic Tensor Regression. (2018). Kaufmann, Sylvia ; Billio, Monica ; Iacopini, Matteo ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2018:13. Full description at Econpapers || Download paper | |
2018 | A scoring rule for factor and autoregressive models under misspecification. (2018). Sartore, Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2018:18. Full description at Econpapers || Download paper | |
2018 | On the Estimation of Treatment Effects with Endogenous Misreporting. (2018). Tchernis, Rusty ; Denteh, Augustine ; Nguimkeu, Pierre. In: Working Papers. RePEc:hka:wpaper:2018-019. Full description at Econpapers || Download paper | |
2018 | On the Estimation of Treatment Effects with Endogenous Misreporting. (2018). Tchernis, Rusty ; Denteh, Augustine ; Nguimkeu, Pierre. In: IZA Discussion Papers. RePEc:iza:izadps:dp11426. Full description at Econpapers || Download paper | |
2018 | Nonparametric identification of the distribution of random coefficients in binary response static games of complete information. (2018). Kaido, Hiroaki ; hoderlein, stefan ; Sherman, Robert ; Dunker, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:83-102. Full description at Econpapers || Download paper | |
2018 | The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111. Full description at Econpapers || Download paper | |
2018 | The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941. Full description at Econpapers || Download paper | |
2018 | Identification of heterogeneous treatment effects as a function of potential untreated outcome under the nonignorable assignment condition. (2018). Takahata, Keisuke ; Hoshino, Takahiro. In: Keio-IES Discussion Paper Series. RePEc:keo:dpaper:2018-005. Full description at Econpapers || Download paper | |
2018 | Individual results may vary: Inequality-probability bounds for some health-outcome treatment effects. (2018). Mullahy, John. In: Journal of Health Economics. RePEc:eee:jhecon:v:61:y:2018:i:c:p:151-162. Full description at Econpapers || Download paper | |
2018 | A distribution-free stochastic frontier model with endogenous regressors. (2018). Kutlu, Levent. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:152-154. Full description at Econpapers || Download paper | |
2018 | Production risk and technical (in)efficiency amongst smallholder livestock farmers in Botswana: An exploratory investigation. (2018). Amuakwa-Mensah, Franklin ; Bahta, S ; Surry, Y ; Chube, B. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277276. Full description at Econpapers || Download paper | |
2018 | Estimation of the two-tiered stochastic frontier model with the scaling property. (2018). Parmeter, Christopher. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:49:y:2018:i:1:d:10.1007_s11123-017-0520-8. Full description at Econpapers || Download paper | |
2018 | Ratios of Parameters: Some Econometric Examples. (2018). Hirschberg, Joseph ; Lye, Jenny. In: Australian Economic Review. RePEc:bla:ausecr:v:51:y:2018:i:4:p:578-602. Full description at Econpapers || Download paper | |
2018 | Internet usage and TV and online media trust: Case of Russia. (2018). Malakhov, Dmitry . In: Applied Econometrics. RePEc:ris:apltrx:0344. Full description at Econpapers || Download paper | |
2018 | Mental Health and Reporting Bias: Analysis of the GHQ - 12. (2018). Taylor, Karl ; Srivastava, Preety Pratima ; Harris, Mark ; Brown, Sarah. In: Working Papers. RePEc:shf:wpaper:2018013. Full description at Econpapers || Download paper | |
2018 | Mental Health and Reporting Bias: Analysis of the GHQ-12. (2018). Taylor, Karl ; Srivastava, Preety Pratima ; Harris, Mark ; Brown, Sarah. In: IZA Discussion Papers. RePEc:iza:izadps:dp11771. Full description at Econpapers || Download paper | |
2018 | The impact of the minimum wage on health. (2018). Andreyeva, Elena ; Ukert, Benjamin. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:18:y:2018:i:4:d:10.1007_s10754-018-9237-0. Full description at Econpapers || Download paper | |
2018 | Inference on Local Average Treatment Effects for Misclassified Treatment. (2018). Yanagi, Takahide. In: Papers. RePEc:arx:papers:1804.03349. Full description at Econpapers || Download paper | |
2018 | Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178. Full description at Econpapers || Download paper | |
2018 | Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-36. Full description at Econpapers || Download paper | |
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2018 | Looking at the Bright Side: The Motivation Value of Overconfidence. (2018). Schildberg-Hoerisch, Hannah ; Schildberg-Horisch, Hannah ; Chen, SI. In: IZA Discussion Papers. RePEc:iza:izadps:dp11564. Full description at Econpapers || Download paper | |
2018 | Looking at the bright side: The motivation value of overconfidence. (2018). Schildberg-Hoerisch, Hannah ; Schildberg-Horisch, Hannah ; Chen, SI. In: DICE Discussion Papers. RePEc:zbw:dicedp:291. Full description at Econpapers || Download paper | |
2018 | Cognition, Optimism and the Formation of Age-Dependent Survival Beliefs. (2018). Zimper, Alexander ; Ludwig, Alexander ; Groneck, Max ; Grevenbrock, Nils. In: MEA discussion paper series. RePEc:mea:meawpa:201801. Full description at Econpapers || Download paper | |
2018 | Inference on winners. (2018). McCloskey, Adam ; Kitagawa, Toru ; Andrews, Isaiah. In: CeMMAP working papers. RePEc:ifs:cemmap:31/18. Full description at Econpapers || Download paper | |
2018 | BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810. Full description at Econpapers || Download paper | |
2018 | Subvector inference when the true parameter vector may be near or at the boundary. (2018). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:285-306. Full description at Econpapers || Download paper | |
2018 | Identification- and Singularity-Robust Inference for Moment Condition. (2018). Guggenberger, Patrik. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r. Full description at Econpapers || Download paper | |
2018 | Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883. Full description at Econpapers || Download paper | |
2018 | Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14. Full description at Econpapers || Download paper | |
2018 | Identification and estimation of semiâ⬠parametric censored dynamic panel data models of short time periods. (2018). Hu, Yingyao ; Shiu, Jia Liang. In: Econometrics Journal. RePEc:wly:emjrnl:v:21:y:2018:i:1:p:55-85. Full description at Econpapers || Download paper | |
2018 | Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics. (2018). Kaplan, David ; Goldman, Matt. In: Working Papers. RePEc:umc:wpaper:1620. Full description at Econpapers || Download paper | |
2018 | Estimating efficiency in a spatial autoregressive stochastic frontier model. (2018). Kutlu, Levent. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:155-157. Full description at Econpapers || Download paper | |
2018 | Spatial dependency and technical efficiency: an application of a Bayesian stochastic frontier model to irrigated and rainfed rice farmers in Bohol, Philippines. (2018). Pede, Valerien ; McKinley, Justin ; Kajisa, Kei ; Areal, Francisco ; Singbo, Alphonse. In: Agricultural Economics. RePEc:bla:agecon:v:49:y:2018:i:3:p:301-312. Full description at Econpapers || Download paper | |
2018 | Evaluating countriesââ¬â¢ innovation potential: an international perspective. (2018). Tziogkidis, Panagiotis ; Philippas, Dionisis ; Sickles, Robin C ; Leontitsis, Alexandros. In: Working Papers. RePEc:ecl:riceco:18-011. Full description at Econpapers || Download paper | |
2018 | Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45. Full description at Econpapers || Download paper | |
2018 | Missing Observations in Observation-Driven Time Series Models. (2018). Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180013. Full description at Econpapers || Download paper | |
2018 | DSGE Models with Observation-Driven Time-Varying parameters. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180030. Full description at Econpapers || Download paper | |
2018 | Editorial for the special issue entitled: New advances in spatial econometrics: Interactions matter. (2018). Debarsy, Nicolas ; Yang, Zhenlin. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:72:y:2018:i:c:p:1-5. Full description at Econpapers || Download paper |
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2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
2018 | Threshold regression with endogeneity for short panels. (2018). Würtz, Allan ; Gorgens, Tue ; Wurtz, Allan H. In: CREATES Research Papers. RePEc:aah:create:2018-27. Full description at Econpapers || Download paper | |
2018 | Effects of Taxes and Safety Net Pensions on life-cycle Labor Supply, Savings and Human Capital: the Case of Australia. (2018). Iskhakov, Fedor. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2018-661. Full description at Econpapers || Download paper | |
2018 | Threshold regression with endogeneity for short panels. (2018). Würtz, Allan ; Gorgens, Tue ; Wurtz, Allan H. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2018-665. Full description at Econpapers || Download paper | |
2018 | Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment. (2018). Sant'Anna, Pedro ; Callaway, Brantly. In: Papers. RePEc:arx:papers:1803.09015. Full description at Econpapers || Download paper | |
2018 | Bootstrap Methods in Econometrics. (2018). Horowitz, Joel L. In: Papers. RePEc:arx:papers:1809.04016. Full description at Econpapers || Download paper | |
2018 | Nonparametric Regression with Selectively Missing Covariates. (2018). Haan, Peter ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1810.00411. Full description at Econpapers || Download paper | |
2018 | The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715. Full description at Econpapers || Download paper | |
2018 | Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157. Full description at Econpapers || Download paper | |
2018 | Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125. Full description at Econpapers || Download paper | |
2018 | Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312. Full description at Econpapers || Download paper | |
2018 | Inference in Games Without Nash Equilibrium: An Application to Restaurants, Competition in Opening Hours. (2018). Xie, Erhao . In: Staff Working Papers. RePEc:bca:bocawp:18-60. Full description at Econpapers || Download paper | |
2018 | Asymptotically unbiased inference for a panel VAR model with p lags. (2018). Melo-Velandia, Luis ; Cubillos-Rocha, Juan. In: Borradores de Economia. RePEc:bdr:borrec:1059. Full description at Econpapers || Download paper | |
2018 | Evaluating research and education performance in Indian agricultural development. (2018). Schimmelpfennig, David ; Rada, Nicholas. In: Agricultural Economics. RePEc:bla:agecon:v:49:y:2018:i:3:p:395-406. Full description at Econpapers || Download paper | |
2018 | Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations. (2018). Hamilton, James ; Baumeister, Christiane. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_014. Full description at Econpapers || Download paper | |
2018 | High Dimensional Semiparametric Moment Restriction Models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1881. Full description at Econpapers || Download paper | |
2018 | Applied Welfare Analysis for Discrete Choice with Interval-data on Income. (2018). Bhattacharya, Debopam ; Lee, Y-Y., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1882. Full description at Econpapers || Download paper | |
2018 | Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations. (2018). Baumeister, Christiane ; Hamilton, James D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7048. Full description at Econpapers || Download paper | |
2018 | A dynamic network model of the unsecured interbank lending market. (2018). Lelyveld, Iman ; Bräuning, Falk ; Blasques, Francisco ; van Lelyveld, Iman ; Brauning, Falk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:310-342. Full description at Econpapers || Download paper | |
2018 | Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129. Full description at Econpapers || Download paper | |
2018 | A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models. (2018). Xiang, Jingjie ; Cui, Guowei ; Li, Kunpeng. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:144-148. Full description at Econpapers || Download paper | |
2018 | Nonparametric specification testing via the trinity of tests. (2018). Gupta, Abhimanyu. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:169-185. Full description at Econpapers || Download paper | |
2018 | Testing for self-excitation in jumps. (2018). Boswijk, H. Peter ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266. Full description at Econpapers || Download paper | |
2018 | Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267. Full description at Econpapers || Download paper | |
2018 | Exit dynamics of start-up firms: Structural estimation using indirect inference. (2018). Golombek, Rolf ; Raknerud, Arvid. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:204-225. Full description at Econpapers || Download paper | |
2018 | Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18. Full description at Econpapers || Download paper | |
2018 | Improvement pathway of energy consumption structure in Chinas industrial sector: From the perspective of directed technical change. (2018). Shao, Shuai ; Miao, Zhuang ; Yang, Lili. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:166-176. Full description at Econpapers || Download paper | |
2018 | Interval decomposition ensemble approach for crude oil price forecasting. (2018). Sun, Shaolong ; Wei, Yunjie ; Wang, Shouyang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:274-287. Full description at Econpapers || Download paper | |
2018 | National research funding and energy efficiency: Evidence from the National Science Foundation of China. (2018). Du, Minzhe ; Zhang, Ning ; Wang, Bing. In: Energy Policy. RePEc:eee:enepol:v:120:y:2018:i:c:p:335-346. Full description at Econpapers || Download paper | |
2018 | Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination. (2018). Zhang, Wenjie ; Srinivasan, Dipti ; Quan, Hao. In: Energy. RePEc:eee:energy:v:160:y:2018:i:c:p:810-819. Full description at Econpapers || Download paper | |
2018 | Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168. Full description at Econpapers || Download paper | |
2018 | Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206. Full description at Econpapers || Download paper | |
2018 | Estimating heterogeneous contributing strategies in threshold public goods provision: A structural analysis. (2018). Liu, Pengfei ; Hu, Yingyao ; An, Yonghong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:152:y:2018:i:c:p:124-146. Full description at Econpapers || Download paper | |
2018 | Efficient implementation with interdependent valuations and maxmin agents. (2018). Song, Yangwei. In: Journal of Economic Theory. RePEc:eee:jetheo:v:176:y:2018:i:c:p:693-726. Full description at Econpapers || Download paper | |
2018 | Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183. Full description at Econpapers || Download paper | |
2018 | Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations. (2018). Baumeister, Christiane ; Hamilton, James D. In: Journal of Monetary Economics. RePEc:eee:moneco:v:100:y:2018:i:c:p:48-65. Full description at Econpapers || Download paper | |
2018 | Confidence regions for entries of a large precision matrix. (2018). Zou, Tao ; Yao, Qiwei ; Qiu, Yumou ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87513. Full description at Econpapers || Download paper | |
2018 | Monte Carlo Comparison for Nonparametric Threshold Estimators. (2018). Chen, Chaoyi ; Sun, Yiguo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:49-:d:164335. Full description at Econpapers || Download paper | |
2018 | The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632. Full description at Econpapers || Download paper | |
2018 | Bootstrap methods in econometrics. (2018). Horowitz, Joel L. In: CeMMAP working papers. RePEc:ifs:cemmap:53/18. Full description at Econpapers || Download paper | |
2018 | Robust Bayesian inference for set-identified models. (2018). Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:61/18. Full description at Econpapers || Download paper | |
2018 | High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: CeMMAP working papers. RePEc:ifs:cemmap:69/18. Full description at Econpapers || Download paper | |
2018 | Heterogeneous spillovers among Spanish provinces: a generalized spatial stochastic frontier model. (2018). ÃÂlvarez, Inmaculada ; Orea, Luis ; Gude, Alberto. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:50:y:2018:i:3:d:10.1007_s11123-018-0540-z. Full description at Econpapers || Download paper | |
2018 | BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810. Full description at Econpapers || Download paper | |
2018 | High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-23. Full description at Econpapers || Download paper | |
2018 | Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations. (2018). Hamilton, James ; Baumeister, Christiane. In: NBER Working Papers. RePEc:nbr:nberwo:24597. Full description at Econpapers || Download paper | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018. Full description at Econpapers || Download paper | |
2018 | Productivity growth, firm turnover and new varieties. (2018). Iancu, Diana-Cristina ; Raknerud, Arvid ; von Brasch, Thomas. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-11. Full description at Econpapers || Download paper | |
2018 | A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions.. (2018). Kruiniger, Hugo . In: MPRA Paper. RePEc:pra:mprapa:88623. Full description at Econpapers || Download paper | |
2018 | Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean. (2018). Legrand, Romain. In: MPRA Paper. RePEc:pra:mprapa:88925. Full description at Econpapers || Download paper |
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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). Teräsvirta, 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). Ferreira, Eva ; Casas, Isabel ; Orbe, Susan. In: CREATES Research Papers. RePEc:aah:create:2017-33. 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). Schafgans, Marcia M ; Hidalgo, Javier. 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 ; Ergemen, Yunus Emre ; Rodriguez, Carlos Vladimir . 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). Lippi, Marco ; Hallin, Marc ; 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 | Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area. (2017). Hubrich, Kirstin ; Holm-Hadulla, Fédéric. In: Working Paper Series. RePEc:ecb:ecbwps:20172119. 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). Lütkepohl, Helmut ; 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 | Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Hu, Charlie ; Feng, Phoenix ; Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69812. Full description at Econpapers || Download paper | |
2017 | Inference without smoothing for large panels with cross-sectional and temporal dependence. (2017). , Marcia ; Hidalgo, Javier. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87748. 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 discussão. RePEc:fgv:eesptd:455. Full description at Econpapers || Download paper | |
2017 | Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Supervisory Research and Analysis Working Papers. 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 | Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area. (2017). Hubrich, Kirstin ; Holm-Hadulla, Fédéric. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-63. 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 |
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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 ; de Magistris, Paolo Santucci ; Barletta, Andrea. 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, Jörg ; 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 | Nowcasting Mexicoâs Short-Term GDP Growth in Real-Time: A Factor Model versus Professional Forecasters. (2016). Alvarez, Federico Hernandez ; Delajara, Marcelo ; Tirado, Abel Rodriguez . In: ECONOMIA JOURNAL. RePEc:col:000425:015160. 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). Härdle, 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). Netšunajev, 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 ; Kenjegalieva, Karligash ; Glass, Anthony J ; Weyman-Jones, Thomas. 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, Tomás. 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, Frédérique ; 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 ; Götz, 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 Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189. Full description at Econpapers || Download paper | |
2016 | Democracy and growth: Evidence from a machine learning indicator. (2016). Gründler, Klaus ; Grundler, Klaus ; Krieger, Tommy . In: European Journal of Political Economy. RePEc:eee:poleco:v:45:y:2016:i:s:p:85-107. 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). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475. 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 |
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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). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P. 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, Artūras. 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 | 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 ; Santamaria, Santiago Gamba ; Quicazan, Carlos Andres ; Jaulin, Oscar Fernando . 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 | |
2015 | Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor. In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134. Full description at Econpapers || Download paper |
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