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IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0.22 | 0.09 | 4.12 | 0.3 | 83 | 83 | 6596 | 328 | 342 | 127 | 28 | 334 | 100 | 4 | 1.2 | 9 | 0.11 | 0.04 |
1991 | 0.35 | 0.08 | 2.75 | 0.35 | 71 | 154 | 2349 | 407 | 766 | 148 | 52 | 326 | 114 | 3 | 0.7 | 16 | 0.23 | 0.04 |
1992 | 0.28 | 0.09 | 1.91 | 0.24 | 66 | 220 | 8375 | 409 | 1186 | 154 | 43 | 344 | 83 | 17 | 4.2 | 29 | 0.44 | 0.04 |
1993 | 0.34 | 0.11 | 1.29 | 0.31 | 97 | 317 | 3598 | 397 | 1596 | 137 | 47 | 347 | 106 | 2 | 0.5 | 23 | 0.24 | 0.05 |
1994 | 0.54 | 0.12 | 1.5 | 0.37 | 83 | 400 | 5996 | 577 | 2195 | 163 | 88 | 382 | 141 | 1 | 0.2 | 22 | 0.27 | 0.06 |
1995 | 0.63 | 0.19 | 2.76 | 0.77 | 83 | 483 | 16309 | 1312 | 3526 | 180 | 113 | 400 | 306 | 188 | 14.3 | 34 | 0.41 | 0.08 |
1996 | 0.8 | 0.22 | 2.77 | 0.86 | 103 | 586 | 10172 | 1599 | 5149 | 166 | 133 | 400 | 342 | 251 | 15.7 | 69 | 0.67 | 0.1 |
1997 | 0.84 | 0.22 | 2.87 | 1.04 | 107 | 693 | 5950 | 1966 | 7137 | 186 | 156 | 432 | 450 | 235 | 12 | 41 | 0.38 | 0.09 |
1998 | 0.93 | 0.26 | 2.86 | 1.01 | 111 | 804 | 14059 | 2284 | 9440 | 210 | 196 | 473 | 476 | 259 | 11.3 | 40 | 0.36 | 0.12 |
1999 | 0.83 | 0.27 | 3.08 | 1.09 | 53 | 857 | 6294 | 2585 | 12078 | 218 | 182 | 487 | 533 | 177 | 6.8 | 23 | 0.43 | 0.13 |
2000 | 1.53 | 0.32 | 3.64 | 1.6 | 85 | 942 | 4708 | 3363 | 15507 | 164 | 251 | 457 | 732 | 253 | 7.5 | 50 | 0.59 | 0.14 |
2001 | 1.48 | 0.35 | 3.55 | 1.56 | 91 | 1033 | 5789 | 3573 | 19176 | 138 | 204 | 459 | 715 | 234 | 6.5 | 62 | 0.68 | 0.15 |
2002 | 1.33 | 0.37 | 3.57 | 1.59 | 97 | 1130 | 9054 | 3952 | 23214 | 176 | 234 | 447 | 709 | 264 | 6.7 | 104 | 1.07 | 0.19 |
2003 | 1.9 | 0.4 | 4.27 | 1.94 | 95 | 1225 | 11228 | 5116 | 28439 | 188 | 357 | 437 | 849 | 238 | 4.7 | 130 | 1.37 | 0.19 |
2004 | 2.4 | 0.44 | 4.74 | 2.2 | 90 | 1315 | 5659 | 6140 | 34668 | 192 | 461 | 421 | 925 | 233 | 3.8 | 123 | 1.37 | 0.2 |
2005 | 2.57 | 0.45 | 4.92 | 2.33 | 83 | 1398 | 7711 | 6711 | 41553 | 185 | 475 | 458 | 1069 | 305 | 4.5 | 140 | 1.69 | 0.21 |
2006 | 2.62 | 0.46 | 5.2 | 2.78 | 130 | 1528 | 8618 | 7760 | 49501 | 173 | 453 | 456 | 1269 | 417 | 5.4 | 224 | 1.72 | 0.2 |
2007 | 2.64 | 0.42 | 4.39 | 2.7 | 187 | 1715 | 10246 | 7456 | 57034 | 213 | 563 | 495 | 1335 | 385 | 5.2 | 218 | 1.17 | 0.18 |
2008 | 2.86 | 0.44 | 5.11 | 3.21 | 168 | 1883 | 9328 | 9512 | 66649 | 317 | 908 | 585 | 1878 | 463 | 4.9 | 208 | 1.24 | 0.2 |
2009 | 2.35 | 0.43 | 5.12 | 2.6 | 104 | 1987 | 3516 | 10069 | 76824 | 355 | 834 | 658 | 1714 | 323 | 3.2 | 86 | 0.83 | 0.21 |
2010 | 1.91 | 0.43 | 4.71 | 2.52 | 145 | 2132 | 5243 | 9959 | 86869 | 272 | 519 | 672 | 1691 | 464 | 4.7 | 156 | 1.08 | 0.18 |
2011 | 1.94 | 0.45 | 5.16 | 2.52 | 146 | 2278 | 5003 | 11695 | 98630 | 249 | 482 | 734 | 1847 | 484 | 4.1 | 257 | 1.76 | 0.2 |
2012 | 2.16 | 0.45 | 5.46 | 2.49 | 167 | 2445 | 3926 | 13297 | 111972 | 291 | 629 | 750 | 1871 | 607 | 4.6 | 127 | 0.76 | 0.19 |
2013 | 2.07 | 0.5 | 5.57 | 2.46 | 95 | 2540 | 2463 | 14108 | 126110 | 313 | 648 | 730 | 1793 | 357 | 2.5 | 127 | 1.34 | 0.21 |
2014 | 2.21 | 0.51 | 5.44 | 2.3 | 145 | 2685 | 3184 | 14527 | 140712 | 262 | 579 | 657 | 1511 | 500 | 3.4 | 146 | 1.01 | 0.2 |
2015 | 2.29 | 0.5 | 5.29 | 2.31 | 195 | 2880 | 2630 | 15206 | 155942 | 240 | 550 | 698 | 1610 | 937 | 6.2 | 220 | 1.13 | 0.19 |
2016 | 1.78 | 0.5 | 5.09 | 1.92 | 147 | 3027 | 2102 | 15390 | 171350 | 340 | 606 | 748 | 1438 | 705 | 4.6 | 116 | 0.79 | 0.18 |
2017 | 1.61 | 0.5 | 4.88 | 1.73 | 125 | 3152 | 1015 | 15362 | 186741 | 342 | 550 | 749 | 1299 | 667 | 4.3 | 85 | 0.68 | 0.18 |
2018 | 1.85 | 0.54 | 4.6 | 1.89 | 123 | 3275 | 629 | 15030 | 201792 | 272 | 503 | 707 | 1336 | 691 | 4.6 | 62 | 0.5 | 0.21 |
2019 | 1.29 | 0.58 | 4.33 | 1.76 | 157 | 3432 | 837 | 14859 | 216657 | 248 | 319 | 735 | 1293 | 830 | 5.6 | 146 | 0.93 | 0.21 |
2020 | 1.63 | 0.75 | 4.51 | 1.84 | 148 | 3580 | 246 | 16150 | 232820 | 280 | 456 | 747 | 1378 | 734 | 4.5 | 67 | 0.45 | 0.29 |
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 | 9687 |
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 | 7662 |
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 | 7036 |
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 | 5110 |
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 | 4191 |
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 | 3496 |
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 | 3276 |
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 | 2441 |
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 | 2120 |
10 | 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 | 2022 |
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 | 1793 |
12 | 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 | 1789 |
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 | 1469 |
14 | 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 | 1439 |
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 | 1396 |
16 | 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 | 1346 |
17 | 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 | 1327 |
18 | 2005 | Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353. Full description at Econpapers || Download paper | 1276 |
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 | 1159 |
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 | 1120 |
21 | 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 | 1113 |
22 | 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 | 1088 |
23 | 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 | 1087 |
24 | 1988 | Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211. Full description at Econpapers || Download paper | 1056 |
25 | 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 | 1037 |
26 | 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 | 1029 |
27 | 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 | 1011 |
28 | 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 | 988 |
29 | 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 | 943 |
30 | 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 | 940 |
31 | 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 | 935 |
32 | 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 | 928 |
33 | 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 | 926 |
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 | 844 |
35 | 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 | 814 |
36 | 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 | 810 |
37 | 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 | 800 |
38 | 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 | 798 |
39 | 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 | 792 |
40 | 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 | 782 |
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 | 764 |
42 | 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 | 751 |
43 | 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 | 721 |
44 | 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 | 692 |
45 | 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 | 679 |
46 | 2005 | Reconsidering heterogeneity in panel data estimators of the stochastic frontier model. (2005). Greene, William. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:2:p:269-303. Full description at Econpapers || Download paper | 677 |
47 | 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 | 676 |
48 | 1985 | Panel data from time series of cross-sections. (1985). Deaton, Angus. In: Journal of Econometrics. RePEc:eee:econom:v:30:y:1985:i:1-2:p:109-126. Full description at Econpapers || Download paper | 669 |
49 | 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 | 638 |
50 | 2006 | Forecasting the term structure of government bond yields. (2006). Diebold, Francis ; Li, Canlin. In: Journal of Econometrics. RePEc:eee:econom:v:130:y:2006:i:2:p:337-364. Full description at Econpapers || Download paper | 635 |
# | 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 | 2169 |
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 | 1890 |
3 | 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 | 1102 |
4 | 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 | 1027 |
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 | 893 |
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 | 551 |
7 | 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 | 483 |
8 | 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 | 474 |
9 | 1977 | Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37. Full description at Econpapers || Download paper | 459 |
10 | 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 | 455 |
11 | 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 | 452 |
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 | 425 |
13 | 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 | 404 |
14 | 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 | 357 |
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 | 344 |
16 | 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 | 325 |
17 | 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 | 307 |
18 | 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 | 274 |
19 | 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 | 268 |
20 | 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 | 259 |
21 | 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 | 226 |
22 | 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 | 206 |
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2020 | Endogeneity Corrected Stochastic Frontier with Market Imperfections. (2020). Neogi, Chiranjib ; Maiti, Dibyendu. In: Working papers. RePEc:cde:cdewps:313. Full description at Econpapers || Download paper | |
2020 | Climate variability and farm inefficiency: A spatial stochastic frontier analysis of Senegalese agriculture. (2020). , Christian ; Christian, ; Adjin, Christophe K. In: Working Papers of Agricultural Policy. RePEc:zbw:cauapw:wp202009. Full description at Econpapers || Download paper | |
2020 | Nonparametric Regression with Selectively Missing Covariates. (2018). Haan, Peter ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1810.00411. Full description at Econpapers || Download paper | |
2020 | Understanding Systematic Risk: A Highââ¬ÂFrequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper | |
2020 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper | |
2020 | Factor stateââ¬âspace models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20. Full description at Econpapers || Download paper | |
2020 | High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494. Full description at Econpapers || Download paper | |
2020 | Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103. Full description at Econpapers || Download paper | |
2020 | Dynamic Spatial Network Quantile Autoregression. (2020). Wang, Weining ; shin, yongcheol ; Xu, Xiu. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020024. Full description at Econpapers || Download paper | |
2020 | Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00741-3. Full description at Econpapers || Download paper | |
2020 | Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378. Full description at Econpapers || Download paper | |
2020 | Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2020). Hauzenberger, Niko ; Cuaresma, Jesus Crespo ; Capek, Jan ; Reichel, Vlastimil. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp305. Full description at Econpapers || Download paper | |
2020 | A bivariate prediction approach for adapting the health care system response to the spread of COVID-19. (2020). Verzillo, Stefano ; Paruolo, Paolo ; Lovaglio, Pietro Giorgio ; Berta, Paolo. In: PLOS ONE. RePEc:plo:pone00:0240150. Full description at Econpapers || Download paper | |
2020 | A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance. (2020). van Dijk, Herman ; Casarin, Roberto ; Ravazzolo, Francesco ; Grassi, Stefano. In: Working Paper series. RePEc:rim:rimwps:20-27. Full description at Econpapers || Download paper | |
2020 | Bayesian state space models in macroeconometrics. (2020). Strachan, Rodney. In: CAMA Working Papers. RePEc:een:camaaa:2020-90. Full description at Econpapers || Download paper | |
2020 | Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2020). Äapek, Jan ; Reichel, Vlastimil ; Hauzenberger, Niko ; Cuaresma, Jesus Crespo ; Capek, Jan. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:7849. Full description at Econpapers || Download paper | |
2020 | Estimation for varying coefficient panel data model with cross-sectional dependence. (2020). Xu, Qunfang ; Pei, Youquan ; Liu, Hua. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:83:y:2020:i:3:d:10.1007_s00184-019-00739-0. Full description at Econpapers || Download paper | |
2020 | Nonparametric Quantile Regressions for Panel Data Models with Large T. (2019). Chen, Liang. In: Papers. RePEc:arx:papers:1911.01824. Full description at Econpapers || Download paper | |
2020 | Does the Impact of Carbon Price Determinants Change with the Different Quantiles of Carbon Prices? Evidence from China ETS Pilots. (2020). Du, MO ; Chen, XI ; Chai, Shanglei ; Chu, Wenjun. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:14:p:5581-:d:382935. Full description at Econpapers || Download paper | |
2020 | Testing Capital Asset Pricing Models using Functional-Coefficient Panel Data Models with Cross-Sectional Dependence. (2020). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202009. Full description at Econpapers || Download paper | |
2020 | Testing Financial Hierarchy Based on A PDQ-CRE Model. (2020). Wu, Wuqing ; Zhao, Yue ; Shi, Meng ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202011. Full description at Econpapers || Download paper | |
2020 | The impact of private capital flows on economic growth in the MENA region. (2020). Ben Salha, Ousama ; Mourad, Zmami ; Ousama, Ben-Salha. In: Economics and Business Review. RePEc:vrs:ecobur:v:6:y:2020:i:3:p:45-67:n:3. Full description at Econpapers || Download paper | |
2020 | Estimation of the Kronecker Covariance Model by Quadratic Form. (2020). Tang, H ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2050. Full description at Econpapers || Download paper | |
2020 | Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383. Full description at Econpapers || Download paper | |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
2020 | Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161. Full description at Econpapers || Download paper | |
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2020 | Robust Dynamic Panel Data Models Using õ-contamination. (2020). Lacroix, Guy ; BRESSON, Georges ; Baltagi, Badi ; Chaturvedi, Anoop. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-07. Full description at Econpapers || Download paper | |
2020 | Robust Dynamic Panel Data Models Using e-Contamination. (2020). Lacroix, Guy ; BRESSON, Georges ; Chaturvedi, Anoop ; Baltagi, Badi H. In: IZA Discussion Papers. RePEc:iza:izadps:dp13214. Full description at Econpapers || Download paper | |
2020 | Approximate least squares estimation for spatial autoregressive models with covariates. (2020). Wang, Hansheng ; Zhou, Fanying ; Lan, Wei ; Ma, Yingying. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301884. Full description at Econpapers || Download paper | |
2020 | QML estimation with non-summable weight matrices. (2020). Olejnik, Alicja. In: Journal of Geographical Systems. RePEc:kap:jgeosy:v:22:y:2020:i:4:d:10.1007_s10109-020-00326-2. Full description at Econpapers || Download paper | |
2020 | Adjusted QMLE for the spatial autoregressive parameter. (2020). Hillier, Grant ; Martellosio, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:488-506. Full description at Econpapers || Download paper | |
2020 | A Bayesian analysis of complete multiple breaks in a panel autoregressive (CMB-PAR(1)) time series model. (2020). Kumar, Jitendra ; Agiwal, Varun ; Shangodoyin, Dahud Kehinde. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:5:p:133-149. Full description at Econpapers || Download paper | |
2020 | On Random Extended Intervals and their ARMA Processes. (2020). SADEFO, Jules ; Ougouyandjou, Carlos ; Guemdjo, Babel Raissa. In: Working Papers. RePEc:hal:wpaper:hal-03169516. Full description at Econpapers || Download paper | |
2020 | Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach. (2020). Wang, Shouyang ; Zheng, Jiali ; Bao, Qin ; Sun, Yuying. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20300730. Full description at Econpapers || Download paper | |
2020 | Semiparametric Estimation of Dynamic Binary Choice Panel Data Models. (2020). Yang, Thomas Tao ; Ouyang, FU. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2020-671. Full description at Econpapers || Download paper | |
2020 | Semiparametric Estimation of Dynamic Binary Choice Panel Data Models. (2020). Yang, Thomas Tao ; Ouyang, FU. In: Discussion Papers Series. RePEc:qld:uq2004:626. Full description at Econpapers || Download paper | |
2020 | Finite Sample Inference for the Maximum Score Estimand. (2020). Rosen, Adam ; Ura, Takuya. In: CeMMAP working papers. RePEc:ifs:cemmap:22/20. Full description at Econpapers || Download paper | |
2020 | Indirect Inference for Locally Stationary Models. (2020). Koo, Bonsoo ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-30. Full description at Econpapers || Download paper | |
2020 | Point optimal testing with roots that are functionally local to unity. (2020). , Peter ; PEter, ; Bykhovskaya, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:231-259. Full description at Econpapers || Download paper | |
2020 | Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. (2020). Taylor, Robert ; Robert, A M ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:354-388. Full description at Econpapers || Download paper | |
2020 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
2020 | Inference Using Simulated Neural Moments. (2020). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:1182. Full description at Econpapers || Download paper | |
2020 | Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306. Full description at Econpapers || Download paper | |
2020 | Monte Carlo Evidence on the Estimation Method for Industry Dynamics. (2020). Yamana, Kazufumi ; Kazufumi, Yamana. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:9:y:2020:i:1:p:12:n:4. Full description at Econpapers || Download paper | |
2020 | Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000. Full description at Econpapers || Download paper | |
2020 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380. Full description at Econpapers || Download paper | |
2020 | Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486. Full description at Econpapers || Download paper | |
2020 | Backtesting portfolio valueââ¬Âatââ¬Ârisk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619. Full description at Econpapers || Download paper | |
2020 | The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902. Full description at Econpapers || Download paper | |
2020 | Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:32-81. Full description at Econpapers || Download paper | |
2020 | Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659. Full description at Econpapers || Download paper | |
2020 | First difference estimation of spatial dynamic panel data models with fixed effects. (2020). Lee, Lung-Fei ; Yu, Jihai ; Jin, Fei. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300392. Full description at Econpapers || Download paper | |
2020 | Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity. (2020). Yang, Zhenlin ; Li, Liyao. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219301139. Full description at Econpapers || Download paper | |
2020 | Do housing prices promote total factor productivity? Evidence from spatial panel data models in explaining the mediating role of population density. (2020). Zhou, Qian ; Chen, Jie ; Zhang, Xiaoling ; Shao, Qinglong. In: Land Use Policy. RePEc:eee:lauspo:v:91:y:2020:i:c:s0264837719309354. Full description at Econpapers || Download paper | |
2020 | Fixed effects spatial panel data models with time-varying spatial dependence. (2020). Qu, XI ; Guo, Juncong. In: Economics Letters. RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303220. Full description at Econpapers || Download paper | |
2020 | Specification testing with estimated variables. (2020). Lobato, Ignacio N ; Domnguez, Manuel A. In: Econometric Reviews. RePEc:taf:emetrv:v:39:y:2020:i:5:p:476-494. Full description at Econpapers || Download paper | |
2020 | Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:346-372. Full description at Econpapers || Download paper | |
2020 | Stochastic Modeling of Food Insecurity. (2020). Spencer, Phoebe Girouard ; Chamorro, Andres Fernando ; Johannes, Bo Pieter ; Wang, Dieter. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9413. Full description at Econpapers || Download paper | |
2020 | Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70. Full description at Econpapers || Download paper | |
2020 | A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2011.09029. Full description at Econpapers || Download paper | |
2020 | Recovering Latent Variables by Matching. (2020). Bonhomme, Stephane ; Arellano, Manuel. In: CeMMAP working papers. RePEc:ifs:cemmap:2/20. Full description at Econpapers || Download paper | |
2020 | On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls. (2019). Ferman, Bruno. In: Papers. RePEc:arx:papers:1906.06665. Full description at Econpapers || Download paper | |
2020 | The effect of interest rate caps on bankruptcy: Synthetic control evidence from recent payday lending bans. (2020). Dasgupta, Kabir ; Mason, Brenden J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301795. Full description at Econpapers || Download paper | |
2020 | Unobserved heterogeneity in auctions under restricted stochastic dominance. (2020). Luo, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:354-374. Full description at Econpapers || Download paper | |
2020 | Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms. (2019). Kang, Byunghoon. In: Papers. RePEc:arx:papers:1909.12162. Full description at Econpapers || Download paper | |
2020 | Weighted quantile regression in varying-coefficient model with longitudinal data. (2020). Zhu, Zhongyi ; Tang, Yanlin ; Lin, Fangzheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:145:y:2020:i:c:s0167947320300062. Full description at Econpapers || Download paper | |
2020 | The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States. (2020). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad. In: Working Papers. RePEc:pre:wpaper:202063. Full description at Econpapers || Download paper | |
2020 | A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models. (2020). Liao, Zhipeng ; Shi, Xiaoxia. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:3:p:983-1017. Full description at Econpapers || Download paper | |
2020 | High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty. (2020). Kyei, Clement ; GUPTA, RANGAN ; Subramaniam, Sowmya ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202085. Full description at Econpapers || Download paper | |
2020 | Inference for Large-Scale Linear Systems with Known Coefficients. (2020). Santos, Andres ; Fang, Zheng ; Torgovitsky, Alexander ; Shaikh, Azeem. In: Working Papers. RePEc:bfi:wpaper:2020-134. Full description at Econpapers || Download paper | |
2020 | Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038. Full description at Econpapers || Download paper | |
2020 | Tests of Conditional Predictive Ability: Existence, Size, and Power. (2020). McCracken, Michael W. In: Working Papers. RePEc:fip:fedlwp:89216. Full description at Econpapers || Download paper | |
2020 | Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects. (2020). Liu, Fei ; Gao, Jiti ; Peng, Bin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-44. Full description at Econpapers || Download paper | |
2020 | Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries. (2020). Gan, Christopher ; Joyo, Ahmed Shafique ; Hasan, Mudassar ; Arif, Muhammad ; Abidin, Sazali. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:222-:d:418011. Full description at Econpapers || Download paper | |
2020 | Panel threshold regressions with latent group structures. (2020). Su, Liangjun ; Wang, Wendun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:451-481. Full description at Econpapers || Download paper | |
2020 | Corruption, Tax reform and Fiscal space in Emerging and Developing Economies. (2020). Yohou, Djedje Hermann . In: Working Papers. RePEc:hal:wpaper:hal-02987268. Full description at Econpapers || Download paper | |
2020 | Panel threshold models with interactive fixed effects. (2020). Su, Liangjun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:137-170. Full description at Econpapers || Download paper | |
2020 | Demographics and the decline in firm entry: Lessons from a life-cycle model. (2020). StÃÆähler, Nikolai ; RÃÆöhe, Oke ; Stahler, Nikolai ; Rohe, Oke. In: Discussion Papers. RePEc:zbw:bubdps:152020. Full description at Econpapers || Download paper | |
2020 | Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62. Full description at Econpapers || Download paper | |
2020 | Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799. Full description at Econpapers || Download paper | |
2020 | A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891. Full description at Econpapers || Download paper | |
2020 | Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?. (2020). Yang, Chen ; Lv, Fei ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301812. Full description at Econpapers || Download paper | |
2020 | On a model of environmental performance and technology gaps. (2020). Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:3:p:1141-1152. Full description at Econpapers || Download paper | |
2020 | Learning from Forecast Errors: A New Approach to Forecast Combination. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202024. Full description at Econpapers || Download paper | |
2020 | Sparse vector error correction models with application to cointegrationââ¬Âbased trading. (2020). Wang, Xiaohang ; Lu, Renjie . In: Australian & New Zealand Journal of Statistics. RePEc:bla:anzsta:v:62:y:2020:i:3:p:297-321. Full description at Econpapers || Download paper | |
2020 | Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285. Full description at Econpapers || Download paper | |
2020 | Shilnikov Chaos, Low Interest Rates, and New Keynesian Macroeconomics. (2020). Barnett, William ; Venturi, Beatrice ; Mattana, Paolo ; Ghosh, Taniya ; Bella, Giobanni. In: MPRA Paper. RePEc:pra:mprapa:98417. Full description at Econpapers || Download paper | |
2020 | Equilibrium homophily in networks. (2020). Boucher, Vincent. In: European Economic Review. RePEc:eee:eecrev:v:123:y:2020:i:c:s0014292120300027. Full description at Econpapers || Download paper | |
2020 | Estimating efficiency effects in a panel data stochastic frontier model. (2020). Shankar, Sriram ; Paul, Satya. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:53:y:2020:i:2:d:10.1007_s11123-019-00568-3. Full description at Econpapers || Download paper | |
2020 | Chinese electricity demand and electricity consumption efficiency: Do the structural changes matter?. (2020). Lin, Boqiang ; Zhu, Junpeng. In: Applied Energy. RePEc:eee:appene:v:262:y:2020:i:c:s0306261920300179. Full description at Econpapers || Download paper | |
2020 | Does Chinas carbon regulatory policy improve total factor carbon efficiency? A fixed-effect panel stochastic frontier analysis. (2020). Choi, Yongrok ; Tan, Xiujie ; Huang, Xiaoqi ; Wang, Banban. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:160:y:2020:i:c:s0040162520310489. Full description at Econpapers || Download paper | |
2020 | Has the affordable care act affected health care efficiency?. (2020). Xue, Yuhan ; Lovett, Nicholas ; Kashian, Russ. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:58:y:2020:i:2:d:10.1007_s11149-020-09417-w. Full description at Econpapers || Download paper | |
2020 | Technical Efficiency of Public Middle Schools in New York City. (2020). Yang, YI ; Rothbart, Michah W ; Horrace, William C. In: Center for Policy Research Working Papers. RePEc:max:cprwps:235. Full description at Econpapers || Download paper | |
2020 | Sustainable Evolution of Chinaâs Regional Energy Efficiency Based on a Weighted SBM Model with Energy Substitutability. (2020). Shi, Jinfeng ; Shao, Yanmin ; Wang, DI ; Lu, Zudi ; Yang, Wei. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:23:p:10073-:d:455225. Full description at Econpapers || Download paper | |
2020 | An updated assessment of technical efficiency and returns to scale for U.S. electric power plants. (2020). Bernstein, David H. In: Energy Policy. RePEc:eee:enepol:v:147:y:2020:i:c:s0301421520306108. Full description at Econpapers || Download paper | |
2020 | Inference for high-dimensional instrumental variables regression. (2020). Lederer, Johannes ; Gold, David ; Tao, Jing. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:79-111. Full description at Econpapers || Download paper | |
2020 | On the Asymptotic Distribution of Ridge Regression Estimators Using Training and Test Samples. (2020). Sowell, Fallaw ; Sengupta, Nandana. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:39-:d:422323. Full description at Econpapers || Download paper | |
2020 | Regional spatial patterns and influencing factors of environmental auditing for sustainable development: summaries and illuminations from international experiences. (2020). Lu, Hai Yan ; Liu, Yunwei ; Yang, Suchang ; Wei, Yanqiang. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:22:y:2020:i:4:d:10.1007_s10668-019-00357-w. Full description at Econpapers || Download | |
2020 | Indirect Inference Estimation of Spatial Autoregressions. (2020). Yang, Lihong ; Liu, Xiaotian ; Bao, Yong. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:34-:d:408384. Full description at Econpapers || Download paper | |
2020 | True versus Spurious Long Memory in Cryptocurrencies. (2020). Mazibas, Murat ; Rambaccussing, Dooruj. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:186-:d:400757. Full description at Econpapers || Download paper | |
2020 | Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series. (2020). Sibbertsen, Philipp ; Wenger, Kai ; Wingert, Simon. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-676. Full description at Econpapers || Download paper | |
2020 | Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280. Full description at Econpapers || Download paper | |
2020 | Endogenous dynamic efficiency in the intertemporal optimization models of firm behavior. (2020). Malikov, Emir ; Kumbhakar, Subal ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:1:p:313-324. Full description at Econpapers || Download paper | |
2020 | Moving from a Poor Economy to a Rich One: The Contradictory Roles of Technology and Job Tasks. (2020). Yashiv, Eran. In: IZA Discussion Papers. RePEc:iza:izadps:dp13131. Full description at Econpapers || Download paper | |
2020 | The Economic Effects of Special Purpose Entities on Corporate Tax Avoidance. (2020). Lisowsky, Petro ; Donohoe, Michael P ; Demere, Paul. In: Contemporary Accounting Research. RePEc:wly:coacre:v:37:y:2020:i:3:p:1562-1597. Full description at Econpapers || Download paper | |
2020 | Counterfactual quantile decompositions with selection correction taking into account Huber/Melly (2015): An application to the German gender wage gap. (2020). Biewen, Martin ; Seckler, Matthias ; Fitzenberger, Bernd. In: Labour Economics. RePEc:eee:labeco:v:67:y:2020:i:c:s0927537120301317. Full description at Econpapers || Download paper | |
2020 | Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data. (2020). Tao, Jing ; Peng, Sida ; Ning, Yang. In: Papers. RePEc:arx:papers:2009.03151. Full description at Econpapers || Download paper | |
2020 | An Upper Bound for Functions of Estimators in High Dimensions. (2020). Han, XU ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2008.02636. Full description at Econpapers || Download paper | |
2020 | The uniform validity of impulse response inference in autoregressions. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:450-472. Full description at Econpapers || Download paper | |
2020 | Posterior distribution of nondifferentiable functions. (2020). Montiel, Jose Luis ; Kitagawa, Toru ; Velez, Amilcar ; Payne, Jonathan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:161-175. Full description at Econpapers || Download paper | |
2020 | Microeconometrics with Partial Identification. (2020). Molinari, Francesca. In: Papers. RePEc:arx:papers:2004.11751. Full description at Econpapers || Download paper | |
2020 | Robust Bayesian inference in proxy SVARs. (2020). Read, Matthew ; Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:13/20. Full description at Econpapers || Download paper | |
2020 | Robust Bayesian inference for set-identified models. (2020). Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:12/20. Full description at Econpapers || Download paper | |
2020 | Uncertain Identification. (2020). Volpicella, Alessio ; Kitagawa, Toru ; Giacomini, Raffaella. In: CeMMAP working papers. RePEc:ifs:cemmap:33/20. Full description at Econpapers || Download paper | |
2020 | Locally- but not globally-identified SVARs. (2020). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: CeMMAP working papers. RePEc:ifs:cemmap:40/20. Full description at Econpapers || Download paper | |
2020 | A scalable Bayesian nonparametric model for large spatio-temporal data. (2020). Rivaz, Firoozeh ; Barzegar, Zahra. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:1:d:10.1007_s00180-019-00905-y. Full description at Econpapers || Download paper | |
2020 | Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348. Full description at Econpapers || Download paper | |
2020 | What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294. Full description at Econpapers || Download paper | |
2020 | Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z. Full description at Econpapers || Download paper | |
2020 | Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility. (2020). Thiem, Christopher. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09559-1. Full description at Econpapers || Download paper | |
2020 | VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114. Full description at Econpapers || Download paper | |
2020 | The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR. (2020). Duc, Toan Luu. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309365. Full description at Econpapers || Download paper | |
2020 | Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991. Full description at Econpapers || Download paper | |
2020 | Looking into the Rear-View Mirror: Lessons from Japan for the Eurozone and the U.S?. (2020). Siklos, Pierre L. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-02. Full description at Econpapers || Download paper | |
2020 | Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures. (2020). Perron, Pierre ; Kim, Dukpa ; Estrada, Francisco ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:130-152. Full description at Econpapers || Download paper | |
2020 | Monetary policy after the crisis: A threat to hedge funds alphas?. (2020). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00160-7. Full description at Econpapers || Download paper | |
2020 | Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690. Full description at Econpapers || Download paper | |
2020 | Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model. (2020). Cai, Zongwu ; Ling, Shiqing ; Qingling, Shi ; Liu, Mengya ; Zhu, Fukang. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202021. Full description at Econpapers || Download paper | |
2020 | The persistently high rate of suicide in Lithuania: an updated view. (2020). Comunale, Mariarosaria. In: Bank of Lithuania Discussion Paper Series. RePEc:lie:dpaper:21. Full description at Econpapers || Download paper | |
2020 | Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719. Full description at Econpapers || Download paper | |
2020 | Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299. Full description at Econpapers || Download paper | |
2020 | Portfolio diversification based on stochastic dominance under incomplete probability information. (2020). Kuosmanen, Timo ; Xu, Peng ; Liesio, Juuso. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:2:p:755-768. Full description at Econpapers || Download paper | |
2020 | A competing risks model with timeââ¬Âvarying heterogeneity and simultaneous failure. (2020). Liu, Ruixuan. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:2:p:535-577. Full description at Econpapers || Download paper | |
2020 | Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470. Full description at Econpapers || Download paper | |
2020 | Discovering Treatment Effectiveness via Median Treatment Effectsââ¬âApplications to COVID-19 Clinical Trials. (2020). Mullahy, John. In: NBER Working Papers. RePEc:nbr:nberwo:27895. Full description at Econpapers || Download paper | |
2020 | Talent, Career Choice and Competition: The Gender Wage Gap at the Top. (2020). Norbäck, Pehr-Johan ; Heyman, Fredrik ; Persson, Lars ; Norback, Pehr-Johan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8657. Full description at Econpapers || Download paper | |
2020 | Inference on Consensus Ranking of Distributions. (2020). Kaplan, David. In: Working Papers. RePEc:umc:wpaper:2010. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558. Full description at Econpapers || Download paper | |
2020 | High-dimensional covariance matrix estimation. (2020). Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101667. Full description at Econpapers || Download paper | |
2020 | Change point detection for nonparametric regression under strongly mixing process. (2020). Yang, Qing ; Zhang, YI ; Li, Yu-Ning. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:4:d:10.1007_s00362-020-01196-y. Full description at Econpapers || Download paper | |
2020 | Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187. Full description at Econpapers || Download paper | |
2020 | Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19. Full description at Econpapers || Download paper | |
2020 | Identification of Random Coefficient Latent Utility Models. (2020). Rehbeck, John ; Allen, Roy. In: Papers. RePEc:arx:papers:2003.00276. Full description at Econpapers || Download paper | |
2020 | On the unbiased asymptotic normality of quantile regression with fixed effects. (2020). Volgushev, Stanislav ; Galvao, Antonio F. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:178-215. Full description at Econpapers || Download paper | |
2020 | A Correlated Random Coefficient Panel Model with Time-Varying Endogeneity. (2020). Laage, Louise. In: Papers. RePEc:arx:papers:2003.09367. Full description at Econpapers || Download paper | |
2020 | Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects. (2020). Jung Mo Yoon, ; Galvao, Antonio F. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:2:p:579-608. Full description at Econpapers || Download paper | |
2020 | Distributional impacts of soil erosion on agricultural productivity and welfare in Malawi. (2020). Pallante, Giacomo ; Palma, Alessandro ; Asfaw, Solomon. In: Ecological Economics. RePEc:eee:ecolec:v:177:y:2020:i:c:s0921800919320075. Full description at Econpapers || Download paper | |
2020 | Identifying the effects of technology transfer policy using a quantile regression: the case of South Korea. (2020). Han, Jaepil. In: The Journal of Technology Transfer. RePEc:kap:jtecht:v:45:y:2020:i:6:d:10.1007_s10961-019-09768-3. Full description at Econpapers || Download paper | |
2020 | Bayesian variable selection in linear quantile mixed models for longitudinal data with application to macular degeneration. (2020). Shi, Haifang ; Ji, Yonggang . In: PLOS ONE. RePEc:plo:pone00:0241197. Full description at Econpapers || Download paper | |
2020 | Identification of a class of index models: A topological approach. (2020). Kristensen, Dennis ; Fosgerau, Mogens. In: Papers. RePEc:arx:papers:2004.07900. Full description at Econpapers || Download paper | |
2020 | Theory of Weak Identification in Semiparametric Models. (2019). Kaji, Tetsuya. In: Papers. RePEc:arx:papers:1908.10478. Full description at Econpapers || Download paper | |
2020 | Testing for Time Stochastic Dominance. (2020). Linton, O ; Lee, K ; Whang, Y-J., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20121. Full description at Econpapers || Download paper | |
2020 | Card-Sales Response to Merchant Contactless Payment Acceptance. (2020). Camara, Youssouf ; Bounie, David. In: Post-Print. RePEc:hal:journl:hal-02296302. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Heterogeneous Effects of Job Displacement on Earnings. (2020). Callaway, Brantly ; Jahromi, Afrouz Azadikhah. In: Papers. RePEc:arx:papers:2006.04968. Full description at Econpapers || Download paper | |
2020 | Bank Lending and Monetary Transmission: Does Politics Matter?. (2020). Ghosh, Saibal. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:2:d:10.1007_s40953-019-00190-y. Full description at Econpapers || Download paper | |
2020 | Welfare consequences of access to health insurance for rural households: Evidence from the New Cooperative Medical Scheme in China. (2020). Ya, Jessica. In: Health Economics. RePEc:wly:hlthec:v:29:y:2020:i:3:p:337-352. Full description at Econpapers || Download paper | |
2020 | Difference-in-Differences for Ordinal Outcomes: Application to the Effect of Mass Shootings on Attitudes toward Gun Control. (2020). Yamauchi, Soichiro. In: Papers. RePEc:arx:papers:2009.13404. Full description at Econpapers || Download paper | |
2020 | Card-sales response to merchant contactless payment acceptance. (2020). Camara, Youssouf ; Bounie, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302004. Full description at Econpapers || Download paper | |
2020 | The impact of El Niño phenomenon on dry forest-dependent communities welfare in the northern coast of Peru. (2020). Pécastaing, Nicolas ; Chavez, Carlos ; Pecastaing, Nicolas. In: Ecological Economics. RePEc:eee:ecolec:v:178:y:2020:i:c:s0921800919313230. Full description at Econpapers || Download paper | |
2020 | Consistent Misspecification Testing in Spatial Autoregressive Models. (2020). Rossi, Francesca ; Lee, Jungyoon. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2256. Full description at Econpapers || Download paper | |
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2020 | Uniform Inference after Pretesting for Exogeneity. (2020). Wang, Wenjie ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-05. Full description at Econpapers || Download paper | |
2020 | On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test. (2020). Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:99109. Full description at Econpapers || Download paper | |
2020 | Uniform Inference after Pretesting for Exogeneity. (2020). Wang, Wenjie ; Doko Tchatoka, Firmin. In: MPRA Paper. RePEc:pra:mprapa:99243. Full description at Econpapers || Download paper | |
2020 | On the inconsistency of nonparametric bootstraps for the subvector Andersonââ¬âRubin test. (2020). Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301245. Full description at Econpapers || Download paper | |
2020 | On Bootstrap Validity for the Test of Overidentifying Restrictions with Many Instruments and Heteroskedasticity. (2020). Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:104858. Full description at Econpapers || Download paper | |
2020 | On the threeââ¬Âstep nonââ¬ÂGaussian quasiââ¬Âmaximum likelihood estimation of heavyââ¬Âtailed double autoregressive models. (2020). Li, Dong ; Gong, Huan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:883-891. Full description at Econpapers || Download paper | |
2020 | Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100. Full description at Econpapers || Download paper | |
2020 | Semiparametric estimation of a censored regression model with endogeneity. (2020). Wang, Qian ; Chen, Songnian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:239-256. Full description at Econpapers || Download paper | |
2020 | Foreign exchange interventions under a one-sided target zone regime and the Swiss franc. (2020). Hertrich, Markus. In: Discussion Papers. RePEc:zbw:bubdps:212020. Full description at Econpapers || Download paper | |
2020 | Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments. (2020). Wu, Yaqian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2006.14998. Full description at Econpapers || Download paper | |
2020 | Corrected Mallows criterion for model averaging. (2020). Zou, Guohua ; Liao, Jun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302579. Full description at Econpapers || Download paper | |
2020 | Limit of the optimal weight in least squares model averaging with non-nested models. (2020). Liu, Minhan ; Fang, Fang. In: Economics Letters. RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303530. Full description at Econpapers || Download paper | |
2020 | High-frequency factor models and regressions. (2020). Kalnina, Ilze ; Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:86-105. Full description at Econpapers || Download paper | |
2020 | Optimal iterative threshold-kernel estimation of jump diffusion processes. (2020). Figueroa-Lopez, Jose E ; Nisen, Jeffrey ; Li, Cheng. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09211-7. Full description at Econpapers || Download paper | |
2020 | Warnings about future jumps: properties of the exponential Hawkes model. (2020). Mancini, Cecilia ; Lilla, Francesca ; Foschi, Rachele . In: Working Papers. RePEc:ver:wpaper:13/2020. Full description at Econpapers || Download paper | |
2020 | A Doubly Corrected Robust Variance Estimator for Linear GMM. (2019). Lee, Seojeong ; Kang, Byunghoon ; Hwang, Jungbin. In: Papers. RePEc:arx:papers:1908.07821. Full description at Econpapers || Download paper | |
2020 | Finite-sample Corrected Inference for Two-step GMM in Time Series. (2020). Hwang, Jungbin ; Valdes, Gonzalo. In: Working papers. RePEc:uct:uconnp:2020-02. Full description at Econpapers || Download paper | |
2020 | Low Frequency Robust Cointegrated Regression in the Presence of a Near-Unity Regressor. (2020). Hwang, Jungbin ; Valdes, Gonzalo. In: Working papers. RePEc:uct:uconnp:2020-03. Full description at Econpapers || Download paper | |
2020 | Why Young Adults Retreat from Marriage? An Easterlin Relative Income Approach. (2020). Panagiotidis, Theodore ; Mavropoulos, Georgios. In: Discussion Paper Series. RePEc:mcd:mcddps:2020_01. Full description at Econpapers || Download paper | |
2020 | Examining the linkages between electricity consumption and economic growth in African economies. (2020). Ozturk, Ilhan ; Asaleye, Abiola John ; Olanipekun, Ifedolapo O ; Lawal, Adedoyin Isola. In: Energy. RePEc:eee:energy:v:208:y:2020:i:c:s0360544220314705. Full description at Econpapers || Download paper | |
2020 | Weak Identification with Bounds in a Class of Minimum Distance Models. (2020). Cox, Gregory. In: Papers. RePEc:arx:papers:2012.11222. Full description at Econpapers || Download paper | |
2020 | How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?. (2020). P̮̦tscher, Benedikt ; Preinerstorfer, David ; Potscher, Benedikt M. In: MPRA Paper. RePEc:pra:mprapa:100234. Full description at Econpapers || Download paper | |
2020 | Asymptotic F tests under possibly weak identification. (2020). Wang, Xuexin ; Sun, Yixiao ; Martinez-Iriarte, Julian. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:140-177. Full description at Econpapers || Download paper | |
2020 | Testing-optimal kernel choice in HAR inference. (2020). Yang, Jingjing ; Sun, Yixiao. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:123-136. Full description at Econpapers || Download paper | |
2020 | Estimation for double-nonlinear cointegration. (2020). Yao, Qiwei ; Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:175-191. Full description at Econpapers || Download paper | |
2020 | Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496. Full description at Econpapers || Download paper | |
2020 | Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits. (2020). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:52-70. Full description at Econpapers || Download paper | |
2020 | A survey on the magnet effect of circuit breakers in financial markets. (2020). Mohamad, Azhar ; Sifat, Imtiaz Mohammad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:138-151. Full description at Econpapers || Download paper | |
2020 | Stock mispricing, hard-to-value stocks and the influence of internet stock message boards. (2020). Meng, Yongqiang ; Xiong, Xiong ; Shen, Dehua ; Joseph, Nathan Lael. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302209. Full description at Econpapers || Download paper | |
2020 | The Greenium matters: evidence on the pricing of climate risk. (2019). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: Working Papers. RePEc:jrs:wpaper:201912. Full description at Econpapers || Download paper | |
2020 | The Greenium matters: evidence on the pricing of climate risk. (2019). Roberto, Panzica ; Elisa, Ossola ; Lucia, Alessi. In: Working Papers. RePEc:mib:wpaper:418. Full description at Econpapers || Download paper | |
2020 | Scaling up syngas production with controllable H2/CO ratio in a highly efficient, compact, and durable solid oxide coelectrolysis cell unit-bundle. (2020). Song, Rak-Hyun ; Lee, Seung-Bok ; Kim, Sangcho ; Mehran, Muhammad Taqi ; Lim, Tak-Hyoung ; Huh, Joo-Youl ; Hong, Jong-Eun ; Ko, Eun-Yong. In: Applied Energy. RePEc:eee:appene:v:257:y:2020:i:c:s0306261919317234. Full description at Econpapers || Download paper | |
2020 | Do Investors Care about Carbon Risk?. (2020). Bolton, Patrick ; Kacperczyk, Marcin. In: NBER Working Papers. RePEc:nbr:nberwo:26968. Full description at Econpapers || Download paper | |
2020 | Herds on green meadows: the decarbonization of institutional portfolios. (2020). Wilkens, Marco ; Paulus, Stefan ; Jacob, Andrea ; Benz, Lukas. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:1:d:10.1057_s41260-019-00147-z. Full description at Econpapers || Download paper | |
2020 | An inconvenient cost: The effects of climate change on municipal bonds. (2020). Painter, Marcus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:468-482. Full description at Econpapers || Download paper | |
2020 | Mitigating Disaster Risks to Sustain Growth. (2020). Wang, Neng ; Hong, Harrison ; Yang, Jinqiang. In: NBER Working Papers. RePEc:nbr:nberwo:27066. Full description at Econpapers || Download paper | |
2020 | Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: MPRA Paper. RePEc:pra:mprapa:100528. Full description at Econpapers || Download paper | |
2020 | Sustainable Investing in Equilibrium. (2020). Stambaugh, Robert ; Pastor, Lubos ; Taylor, Lucian A. In: Working Papers. RePEc:bfi:wpaper:2020-24. Full description at Econpapers || Download paper | |
2020 | Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-02931680. Full description at Econpapers || Download paper | |
2020 | Statistical analysis for predicting location-specific data center PUE and its improvement potential. (2020). Masanet, Eric ; Lei, Nuoa. In: Energy. RePEc:eee:energy:v:201:y:2020:i:c:s0360544220306630. Full description at Econpapers || Download paper | |
2020 | Designing for quality of life and sustainability. (2020). Pham, Kim ; Andereck, Kathleen L ; Vogt, Christine A. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320301079. Full description at Econpapers || Download paper | |
2020 | Current developments in green finance. (2020). Schwarz, Milena ; Rutkowski, Felix ; Noh, Lukas ; Liebich, Lena. In: Working Papers. RePEc:zbw:svrwwp:052020. Full description at Econpapers || Download paper | |
2020 | Climate risk and finance. (2020). Ginglinger, Edith. In: Post-Print. RePEc:hal:journl:halshs-02975207. Full description at Econpapers || Download paper | |
2020 | Fear of hazards in commodity futures markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301680. Full description at Econpapers || Download paper | |
2020 | The materiality and measurement of physical climate risk: evidence from Form 8-K. (2020). Gostlow, Glen. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:107045. Full description at Econpapers || Download paper | |
2020 | How Does Climate Change Interact with the Financial System? A Survey. (2020). Shiraki, Noriyuki ; Ichiue, Hibiki ; Furukawa, Kakuho. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp20e08. Full description at Econpapers || Download paper | |
2020 | Climate risk: The price of drought. (2020). Truong, Cameron ; Ha, Thu ; Huynh, Thanh D. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301942. Full description at Econpapers || Download paper | |
2020 | A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002. Full description at Econpapers || Download paper | |
2020 | A robust test for predictability with unknown persistence. (2020). Yao, Shuang ; Liu, Guannan. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300483. Full description at Econpapers || Download paper | |
2020 | Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006. Full description at Econpapers || Download paper | |
2020 | Dividend Growth Predictability and the Priceââ¬âDividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158. Full description at Econpapers || Download paper | |
2020 | The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x. Full description at Econpapers || Download paper | |
2020 | Cash-flow or return predictability at long horizons? The case of earnings yield. (2020). Xu, Danielle ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:172-192. Full description at Econpapers || Download paper | |
2020 | From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks. (2020). Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: EconStor Preprints. RePEc:zbw:esprep:218944. Full description at Econpapers || Download paper | |
2020 | Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector. (2020). VÃÆýrost, TomáÃ
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2020 | A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202017. Full description at Econpapers || Download paper | |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper | |
2020 | Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455. Full description at Econpapers || Download paper | |
2020 | Filtered and Unfiltered Treatment Effects with Targeting Instruments. (2020). Lee, Sokbae (Simon) ; Salani, Bernard. In: Papers. RePEc:arx:papers:2007.10432. Full description at Econpapers || Download paper | |
2020 | Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146. Full description at Econpapers || Download paper | |
2020 | Measurement of Factor Strength: Theory and Practice. (2020). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-7. Full description at Econpapers || Download paper | |
2020 | Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination. (2020). Ullah, Aman ; Lee, Tae Hwy ; Yi, Millie. In: Working Papers. RePEc:ucr:wpaper:202012. Full description at Econpapers || Download paper | |
2020 | Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6. Full description at Econpapers || Download paper | |
2020 | Global Business and Financial Cycles: A Tale of Two Capital Account Regimes. (2020). Rebucci, Alessandro ; Acalin, Julien. In: NBER Working Papers. RePEc:nbr:nberwo:27739. Full description at Econpapers || Download paper | |
2020 | Understanding the adoption of climate-smart agriculture: A farm-level typology with empirical evidence from southern Malawi. (2020). Miller, Daniel C ; McNamara, Paul E ; Amadu, Festus O. In: World Development. RePEc:eee:wdevel:v:126:y:2020:i:c:s0305750x19303407. Full description at Econpapers || Download paper | |
2020 | Unemployment duration, Fiscal and monetary policies, and the output gap: How do the quantile relationships look like?. (2020). Zamanzadeh, Akbar ; Chan, Marc ; Ehsani, Mohammad Ali ; Ganjali, Mojtaba. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:613-632. Full description at Econpapers || Download paper | |
2020 | Aggregate density forecasting from disaggregate components using Bayesian VARs. (2020). Cobb, Marcus. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01720-6. Full description at Econpapers || Download paper | |
2020 | From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142. Full description at Econpapers || Download paper | |
2020 | From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267. Full description at Econpapers || Download paper | |
2020 | Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20. Full description at Econpapers || Download paper | |
2020 | Forecasting Macroeconomic Risks. (2020). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias ; Adams, Patrick A. In: Staff Reports. RePEc:fip:fednsr:87480. Full description at Econpapers || Download paper | |
2020 | Forecasting Macroeconomic Risks. (2020). Adams, Patrick ; Adrian, Tobias ; Boyarchenko, Nina ; Giannone, Domenico. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14436. Full description at Econpapers || Download paper | |
2020 | Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16. Full description at Econpapers || Download paper | |
2020 | Inflation at Risk. (2020). Lopez-Salido, David ; Loria, Francesca. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-13. Full description at Econpapers || Download paper | |
2020 | The time-varying risk of Italian GDP. (2020). Pacella, Claudia ; Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1288_20. Full description at Econpapers || Download paper | |
2020 | Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089. Full description at Econpapers || Download paper | |
2020 | A strategic predictive distribution for tests of probabilistic calibration. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1380-1388. Full description at Econpapers || Download paper | |
2020 | Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039. Full description at Econpapers || Download paper | |
2020 | Monetary policy with judgment. (2020). Gelain, Paolo ; Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20202404. Full description at Econpapers || Download paper | |
2020 | Monetary Policy with Judgment. (2020). Manganelli, Simone ; Gelain, Paolo. In: Working Papers. RePEc:fip:fedcwq:88033. Full description at Econpapers || Download paper | |
2020 | Social Progress Around the World: Measurement, Evolution and Convergence. (2020). Picazo-Tadeo, Andres ; Peiro-Palomino, Jesus ; Rios, Vicente. In: Working Papers. RePEc:eec:wpaper:2006. Full description at Econpapers || Download paper | |
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2020 | Diversification of Russian Oil and Gas Upstream Companies. (2020). Kirichenko, Tatiana V ; Shcherbakova, Natalya S ; Nazarova, Yulia A ; Komzolov, Alexey A. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-03-14. Full description at Econpapers || Download paper | |
2020 | A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models. (2020). Garcia-Jimeno, Camilo ; Ditraglia, Francis J. In: Papers. RePEc:arx:papers:2011.07276. Full description at Econpapers || Download paper | |
2020 | Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182. Full description at Econpapers || Download paper | |
2020 | Determining the rank of cointegration with infinite variance. (2020). Trapani, Lorenzo ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Discussion Papers. RePEc:not:notgts:20/01. Full description at Econpapers || Download paper | |
2020 | Flexible Mixture Priors for Time-varying Parameter Models. (2020). Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2006.10088. Full description at Econpapers || Download paper | |
2020 | Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa ; Bitto-Nemling, Angela. In: Papers. RePEc:arx:papers:1907.07065. Full description at Econpapers || Download paper | |
2020 | A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935. Full description at Econpapers || Download paper | |
2020 | Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598. Full description at Econpapers || Download paper | |
2020 | Reply to Discussion of ââ¬ÅBayesian forecasting of multivariate time series: scalability, structure uncertainty and decisionsââ¬Â. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00744-0. Full description at Econpapers || Download paper | |
2020 | Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations. (2020). Pfarrhofer, Michael ; Koop, Gary ; Huber, Florian. In: Papers. RePEc:arx:papers:2002.10274. Full description at Econpapers || Download paper | |
2020 | Triple the Gammaââ¬âA Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models. (2020). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:20-:d:360596. Full description at Econpapers || Download paper | |
2020 | Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78. Full description at Econpapers || Download paper | |
2020 | Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x. Full description at Econpapers || Download paper | |
2020 | Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938. Full description at Econpapers || Download paper | |
2020 | On a High-Dimensional Model Representation method based on Copulas. (2020). Andrikopoulos, Athanasios ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:967-979. Full description at Econpapers || Download paper | |
2020 | Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. (2019). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1911.06206. Full description at Econpapers || Download paper | |
2020 | Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Ruiz, Esther ; Moura, Guilherme V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485. Full description at Econpapers || Download paper | |
2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper | |
2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper | |
2020 | Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186. Full description at Econpapers || Download paper | |
2020 | Modeling Turning Points In Global Equity Market. (2020). Ahelegbey, Daniel Felix ; Billio, Monica ; Casarin, Roberto. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0195. Full description at Econpapers || Download paper | |
2020 | Climate Risk and Commodity Currencies. (2020). Larsen, Vegard ; Kapfhammer, Felix ; Thorsrud, Leif Anders. In: Working Papers. RePEc:bny:wpaper:0093. Full description at Econpapers || Download paper | |
2020 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
2020 | Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers. (2020). Raviv, Alon ; Levy, Daniel ; Mayer, Tamir. In: Working Papers. RePEc:hal:wpaper:hal-02488796. Full description at Econpapers || Download paper | |
2020 | Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers. (2020). Raviv, Alon ; Levy, Daniel ; Mayer, Tamir. In: EconStor Preprints. RePEc:zbw:esprep:214194. Full description at Econpapers || Download paper | |
2020 | Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers. (2020). Raviv, Alon ; Levy, Daniel ; Mayer, Tamir. In: Working Papers. RePEc:biu:wpaper:2020-01. Full description at Econpapers || Download paper | |
2020 | Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers. (2020). Raviv, Alon ; Levy, Daniel ; Mayer, Tamir. In: MPRA Paper. RePEc:pra:mprapa:98785. Full description at Econpapers || Download paper | |
2020 | Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers. (2020). Raviv, Alon ; Levy, Daniel ; Mayer, Tamir. In: Working Paper series. RePEc:rim:rimwps:20-05. Full description at Econpapers || Download paper | |
2020 | Construction of Macroeconomic Uncertainty Indices for Financial Market Analysis Using a Supervised Topic Model. (2020). Izumi, Kiyoshi ; Shimada, Takashi ; Matsushima, Hiroyasu ; Sakaji, Hiroki ; Yono, Kyoto. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:79-:d:347519. Full description at Econpapers || Download paper | |
2020 | Measuring the diffusion of innovations with paragraph vector topic models. (2020). Winker, Peter ; Lenz, David. In: PLOS ONE. RePEc:plo:pone00:0226685. Full description at Econpapers || Download paper | |
2020 | ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS. (2020). Boudt, Kris ; Algaba, Andres ; Borms, Samuel ; Bluteau, Keven ; Ardia, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547. Full description at Econpapers || Download paper | |
2020 | Central Bank Communication: Information and Policy shocks. (2020). Ostapenko, Nataliia. In: MPRA Paper. RePEc:pra:mprapa:101278. Full description at Econpapers || Download paper | |
2020 | The Hard Problem of Prediction for Conflict Prevention. (2020). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2015. Full description at Econpapers || Download paper | |
2020 | Revealing the mood of economic agents based on search queries. (2020). Trunin, Pavel ; Petrova, Diana. In: Applied Econometrics. RePEc:ris:apltrx:0400. Full description at Econpapers || Download paper | |
2020 | Central Bank Communication: Information and Policy shocks. (2020). Ostapenko, Nataliia. In: MPRA Paper. RePEc:pra:mprapa:104501. Full description at Econpapers || Download paper | |
2020 | News Media vs. FRED-MD for Macroeconomic Forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8639. Full description at Econpapers || Download paper | |
2020 | Climate Risk and Commodity Currencies. (2020). Larsen, Vegard ; Kapfhammer, Felix ; Thorsrud, Leif Anders. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8788. Full description at Econpapers || Download paper | |
2020 | Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs. (2020). GUPTA, RANGAN ; Sun, Xiaojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303386. Full description at Econpapers || Download paper | |
2020 | Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472. Full description at Econpapers || Download paper | |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Korobilis, Dimitris ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2004.11486. Full description at Econpapers || Download paper | |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Pettenuzzo, Davide ; Korobilis, Dimitris. In: MPRA Paper. RePEc:pra:mprapa:100165. Full description at Econpapers || Download paper | |
2020 | Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088. Full description at Econpapers || Download paper | |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Working Papers. RePEc:brd:wpaper:130. Full description at Econpapers || Download paper | |
2020 | Machine Learning Econometrics: Bayesian algorithms and methods. (2020). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Working Papers. RePEc:gla:glaewp:2020_09. Full description at Econpapers || Download paper | |
2020 | Estimating taxable income responses with elasticity heterogeneity. (2020). Liang, Che-Yuan ; Kumar, Anil. In: Journal of Public Economics. RePEc:eee:pubeco:v:188:y:2020:i:c:s0047272720300736. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2020 | Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34. Full description at Econpapers || Download paper | |
2020 | Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars. In: Discussion Papers. RePEc:zbw:fubsbe:202017. Full description at Econpapers || Download paper | |
2020 | Efficient GMM Estimation with Incomplete Data. (2020). Muris, Chris. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:102:y:2020:i:3:p:518-530. Full description at Econpapers || Download paper | |
2020 | The impact of board directors on the innovation of new ventures. (2019). Stephan, Andreas ; L̮̦̮̦f, Hans ; Baum, Christopher ; Viklund-Ros, Ingrid. In: Working Paper Series in Economics and Institutions of Innovation. RePEc:hhs:cesisp:0483. Full description at Econpapers || Download paper | |
2020 | Child Labor and Rainfall Deviation: Panel Data Evidence from Rural Vietnam. (2020). Posso, Alberto ; Feeny, Simon ; Trinh, Tronganh. In: The Developing Economies. RePEc:bla:deveco:v:58:y:2020:i:1:p:63-76. Full description at Econpapers || Download paper | |
2020 | Time-invariant regressors under fixed effects: Simple identification via a proxy variable. (2020). Blin, Matj . In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304057. Full description at Econpapers || Download paper | |
2020 | Information asymmetry and leverage adjustments: a semiparametric varyingââ¬Âcoefficient approach. (2020). Kumbhakar, Subal ; Zhao, Shunan ; Jin, Man. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:581-605. Full description at Econpapers || Download paper | |
2020 | Board of directors and export spillovers: What is the impact on extensive margins of trade?. (2020). L̮̦̮̦f, Hans ; Ros, Ingrid Viklund ; Viklundros, Ingrid. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:5:p:1188-1215. Full description at Econpapers || Download paper | |
2020 | How Do Economic Shocks Affect Family Health Care Spending Burdens?. (2020). Grafova, Irina B ; Kumar, Rizie ; Monheit, Alan C. In: Journal of Family and Economic Issues. RePEc:kap:jfamec:v:41:y:2020:i:3:d:10.1007_s10834-020-09681-0. Full description at Econpapers || Download paper | |
2020 | Cream skimming: Theory and evidence from hospital transfers and capacity utilization. (2020). Chan, Marc ; Yong, Jongsay ; Cheng, Terence C ; Yang, OU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:173:y:2020:i:c:p:68-87. Full description at Econpapers || Download paper | |
2020 | Beyond Related Experience: Upstream vs. Downstream Experience in Innovation Contest Platforms with Interdependent Problem Domains. (2020). Ye, Shun ; Mishra, Anant ; Menon, Nirup. In: Manufacturing & Service Operations Management. RePEc:inm:ormsom:v:22:y:2020:i:5:p:1045-1065. Full description at Econpapers || Download paper | |
2020 | Household Inflation Expectations and Consumer Spending: Evidence from Panel Data. (2020). Ozdagli, Ali ; Burke, Mary A. In: Working Papers. RePEc:fip:fedbwp:89229. Full description at Econpapers || Download paper | |
2020 | The New school food standards and nutrition of school children: Direct and Indirect Effect Analysis. (2020). Ng, Shu Wen ; Valizadeh, Pourya. In: Economics & Human Biology. RePEc:eee:ehbiol:v:39:y:2020:i:c:s1570677x2030188x. Full description at Econpapers || Download paper | |
2020 | Effectiveness of the lead farmer approach in agricultural extension service provision: Nationally representative panel data analysis in Malawi. (2020). Ragasa, Catherine. In: Land Use Policy. RePEc:eee:lauspo:v:99:y:2020:i:c:s026483771930119x. Full description at Econpapers || Download paper | |
2020 | On the identification of joint distributions using marginals and aggregates. (2020). Felt, Marie-Helene. In: Economics Letters. RePEc:eee:ecolet:v:194:y:2020:i:c:s016517652030269x. Full description at Econpapers || Download paper | |
2020 | Propensity Score Weighting with Mismeasured Covariates: An Application to Two Financial Literacy Interventions. (2020). Millimet, Daniel ; Dong, Hao. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:290-:d:448984. Full description at Econpapers || Download paper | |
2020 | Propensity Score Weighting with Mismeasured Covariates: An Application to Two Financial Literacy Interventions. (2020). Millimet, Daniel ; Dong, Hao. In: Departmental Working Papers. RePEc:smu:ecowpa:2013. Full description at Econpapers || Download paper | |
2020 | Identifying the Distribution of Random Coefficients in BLP Demand Models Using One Single Variation in Product Characteristics. (2020). Wang, AO. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1304. Full description at Econpapers || Download paper | |
2020 | Discrete Labor Supply: Empirical Evidence and Implications. (2020). Matikka, Tuomas ; Kosonen, Tuomas. In: Working Papers. RePEc:fer:wpaper:132. Full description at Econpapers || Download paper | |
2020 | Reservation Wages and Workers Valuation of Job Flexibility: Evidence from a Natural Field Experiment. (2020). Mogstad, Magne ; List, John ; Ding, Min ; Chen, Kuan-Ming . In: Natural Field Experiments. RePEc:feb:natura:00715. Full description at Econpapers || Download paper | |
2020 | Reservation Wages and Workersââ¬â¢ Valuation of Job Flexibility: Evidence from a Natural Field Experiment. (2020). Mogstad, Magne ; List, John ; Ding, Claire ; Chen, Kuan-Ming . In: NBER Working Papers. RePEc:nbr:nberwo:27807. Full description at Econpapers || Download paper | |
2020 | Reservation Wages and Workersââ¬â¢ Valuation of Job Flexibility: Evidence from a Natural Field Experiment. (2020). Mogstad, Magne ; List, John ; Ding, Ning ; Chen, Kuan-Ming. In: Working Papers. RePEc:bfi:wpaper:2020-124. Full description at Econpapers || Download paper | |
2020 | Nonparametric identification in index models of link formation. (2020). Gao, Wayne Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:399-413. Full description at Econpapers || Download paper | |
2020 | Spatial Differencing for Sample Selection Models with Unobserved Heterogeneity. (2020). Tchuente, Guy ; Klein, Alexander. In: Papers. RePEc:arx:papers:2009.06570. Full description at Econpapers || Download paper | |
2020 | Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2020). Nielsen, Morten ; MacKinnon, James ; Webb, Matthew D. In: CREATES Research Papers. RePEc:aah:create:2020-06. Full description at Econpapers || Download paper | |
2020 | Peer effects and endogenous social interactions. (2020). Jochmans, Koen. In: Papers. RePEc:arx:papers:2008.07886. Full description at Econpapers || Download paper | |
2020 | Testing for the appropriate level of clustering in linear regression models. (2020). Webb, Matthew ; Nielsen, Morten ; MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1428. Full description at Econpapers || Download paper | |
2020 | Jump or kink: note on super-efficiency in segmented linear regression break-point estimation. (2020). Chen, Yining. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103488. Full description at Econpapers || Download paper | |
2020 | Government spending and economic growth in ECOWAS: An asymmetric analysis. (2020). Eluwole, Oluwatosin O ; Olaoye, Olumide O ; Afolabi, Olugbenga O ; Ayesha, Aziz. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s170349492030027x. Full description at Econpapers || Download paper | |
2020 | Desperate times call for desperate measures: government spending multipliers in hard times. (2020). Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae. In: CeMMAP working papers. RePEc:ifs:cemmap:29/20. Full description at Econpapers || Download paper | |
2020 | Estimation, Inference, and Interpretation in the Regression Discontinuity Design. (2020). Lalive, Rafael ; Melly, Blaise. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2016. Full description at Econpapers || Download paper | |
2020 | Testing for Stationarity at High Frequency. (2020). Park, Joon Y ; Lu, YE ; Jiang, Bibo. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:341-374. Full description at Econpapers || Download paper | |
2020 | Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span. (2020). Sun, Yixiao ; Pellatt, Daniel . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt19f0d9wz. Full description at Econpapers || Download paper | |
2020 | High-dimensional two-sample mean vectors test and support recovery with factor adjustment. (2020). Zhang, Mingjuan ; He, Yong ; Zhou, Wang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320300955. Full description at Econpapers || Download paper | |
2020 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
2020 | Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441. Full description at Econpapers || Download paper | |
2020 | Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405. Full description at Econpapers || Download paper | |
2020 | Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686. Full description at Econpapers || Download paper | |
2020 | Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. (2020). Yang, Lu ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3700-:d:386267. Full description at Econpapers || Download paper | |
2020 | Understanding the Information flows in FX Factors. (2020). cerrato, mario ; Zhang, Zhekai ; Li, Dangyang. In: Working Papers. RePEc:gla:glaewp:2020_01. Full description at Econpapers || Download paper | |
2020 | Predicting the global minimum variance portfolio. (2020). Liesenfeld, Roman ; Kruger, Fabian ; Reh, Laura. In: Working Paper Series in Economics. RePEc:zbw:kitwps:141. Full description at Econpapers || Download paper | |
2020 | Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072. Full description at Econpapers || Download paper | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2020 | Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020. Full description at Econpapers || Download paper | |
2020 | Jump Aggregation, Volatility Prediction, and Nonlinear Estimation of Banksâ Sustainability Risk. (2020). Zhu, Min ; Zhao, Qicheng ; Wang, Zhouwei ; Pang, Tao. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:21:p:8849-:d:434334. Full description at Econpapers || Download paper | |
2020 | Demand forecasting under fill rate constraintsâThe case of re-order points. (2020). Bruzda, Joanna. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1342-1361. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper | |
2020 | Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market?. (2020). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306661. Full description at Econpapers || Download paper | |
2020 | A random forest-based approach to identifying the most informative seasonality tests. (2020). Webel, Karsten ; Ollech, Daniel. In: Discussion Papers. RePEc:zbw:bubdps:552020. Full description at Econpapers || Download paper | |
2020 | Coverage Optimal Empirical Likelihood Inference for Regression Discontinuity Design. (2020). Yu, Zhengfei ; Ma, Jun. In: Papers. RePEc:arx:papers:2008.09263. Full description at Econpapers || Download paper | |
2020 | The heterogeneous impact of monetary policy on the US labor market. (2020). Zoerner, Thomas ; Böck, Maximilian ; Zorner, Thomas O ; Bock, Maximilian ; Zens, Gregor. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301573. Full description at Econpapers || Download paper | |
2020 | Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs. (2020). Pfarrhofer, Michael ; Huber, Florian ; Schreiner, Josef ; Onorante, Luca ; Koop, Gary. In: Papers. RePEc:arx:papers:2008.12706. Full description at Econpapers || Download paper | |
2020 | Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906. Full description at Econpapers || Download paper | |
2020 | Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8282. Full description at Econpapers || Download paper | |
2020 | Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: NBER Working Papers. RePEc:nbr:nberwo:27001. Full description at Econpapers || Download paper | |
2020 | Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: Working Papers. RePEc:gla:glaewp:2020_08. Full description at Econpapers || Download paper | |
2020 | Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity. (2020). Poon, Aubrey ; Hou, Chenghan ; Cross, Jamie L. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:899-915. Full description at Econpapers || Download paper | |
2020 | The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20. Full description at Econpapers || Download paper | |
2020 | Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty. (2020). Clements, Michael ; Galvao, Ana Beatriz. In: EMF Research Papers. RePEc:wrk:wrkemf:36. Full description at Econpapers || Download paper | |
2020 | Reconciled Estimates of Monthly GDP in the US. (2020). Koop, Gary ; Mitchell, James ; McIntyre, Stuart ; Poon, Aubrey. In: EMF Research Papers. RePEc:wrk:wrkemf:37. Full description at Econpapers || Download paper | |
2020 | Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577. Full description at Econpapers || Download paper | |
2020 | Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach. (2020). Zaman, Saeed ; Knotek, Edward. In: Working Papers. RePEc:fip:fedcwq:88961. Full description at Econpapers || Download paper | |
2020 | Reconciled Estimates of Monthly GDP in the US. (2020). Poon, Aubrey ; Mitchell, James ; McIntyre, Stuart ; Koop, Gary. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2020-16. Full description at Econpapers || Download paper | |
2020 | Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054. Full description at Econpapers || Download paper | |
2020 | Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions. (2020). Antonakakis, Nikolaos ; Gabauer, David ; Chatziantoniou, Ioannis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:84-:d:349823. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÆÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks. (2020). Kanazawa, Nobuyuki. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070420301361. Full description at Econpapers || Download paper | |
2020 | A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application. (2020). GAO, Jiti ; Peng, Bin ; Yan, Yayi. In: Papers. RePEc:arx:papers:2010.01492. Full description at Econpapers || Download paper | |
2020 | A Class of Time-Varying Vector Moving Average (infinity) Models. (2020). GAO, Jiti ; Peng, Bin ; Yan, Yayi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-39. Full description at Econpapers || Download paper | |
2020 | International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x. Full description at Econpapers || Download paper | |
2020 | Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032. Full description at Econpapers || Download paper | |
2020 | Empirical study of financial crises based on topological data analysis. (2020). Zhao, Xinyao ; Sun, Weihua ; Zhang, Xin ; Xia, Shengxiang ; Guo, Hongfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:558:y:2020:i:c:s0378437120304994. Full description at Econpapers || Download paper | |
2020 | Spurious relationships in high dimensional systems with strong or mild persistence. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31553. Full description at Econpapers || Download paper | |
2020 | Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097. Full description at Econpapers || Download paper | |
2020 | Text-Based Linkages and Local Risk Spillovers in the Equity Market. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20115. Full description at Econpapers || Download paper | |
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2020 | A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665. Full description at Econpapers || Download paper | |
2020 | Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254. Full description at Econpapers || Download paper | |
2020 | Quantile Factor Models. (2020). Dolado, Juan J ; Chen, Liang ; Gonzalo, Jesus. In: IZA Discussion Papers. RePEc:iza:izadps:dp13870. Full description at Econpapers || Download paper | |
2020 | Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2004.03414. Full description at Econpapers || Download paper | |
2020 | Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370. Full description at Econpapers || Download paper | |
2020 | Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009. Full description at Econpapers || Download paper | |
2020 | An Incidental Parameters Free Inference Approach for Panels with Common Shocks. (2020). Sarafidis, Vasilis ; Juodis, Arturas. In: MPRA Paper. RePEc:pra:mprapa:104906. Full description at Econpapers || Download paper | |
2020 | Intelligent Credit Limit Management in Consumer Loans Based on Causal Inference. (2020). Fang, Yanming ; Yu, Quan ; Jiang, Linbo ; Miao, Hang ; Zhao, Kui ; Wang, Zhun. In: Papers. RePEc:arx:papers:2007.05188. Full description at Econpapers || Download paper | |
2020 | Fertility as a Driver of Maternal Employment. (2020). Schmieder, Julia. In: IZA Discussion Papers. RePEc:iza:izadps:dp13496. Full description at Econpapers || Download paper | |
2020 | Fertility as a Driver of Maternal Employment. (2020). Schmieder, Julia. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1882. Full description at Econpapers || Download paper | |
2020 | Salvaging Falsified Instrumental Variable Models. (2019). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1812.11598. Full description at Econpapers || Download paper | |
2020 | Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects. (2020). Poskitt, Donald ; Zhao, Xueyan ; Frazier, David T ; Zhang, Lina. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-34. Full description at Econpapers || Download paper | |
2020 | Fertility as a Driver of Maternal Employment. (2020). Schmieder, Julia. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp13496. Full description at Econpapers || Download paper | |
2020 | Causal inference in case-control studies. (2020). Lee, Sokbae ; Jun, Sung Jae. In: CeMMAP working papers. RePEc:ifs:cemmap:19/20. Full description at Econpapers || Download paper | |
2020 | Effort and wages: Evidence from the payroll tax. (2020). Lang, Kevin. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:53:y:2020:i:1:p:108-139. Full description at Econpapers || Download paper | |
2020 | Lending to the Unbanked: Relational Contracting with Loan Sharks. (2020). Lang, Kevin ; Leong, Kaiwen ; Xu, Haibo ; Li, Huailu. In: IZA Discussion Papers. RePEc:iza:izadps:dp13360. Full description at Econpapers || Download paper | |
2020 | Randomization inference for difference-in-differences with few treated clusters. (2020). Webb, Matthew ; MacKinnon, James. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:435-450. Full description at Econpapers || Download paper | |
2020 | Lending to the Unbanked: Relational Contracting with Loan Sharks. (2020). Lang, Kevin ; Li, Huailu ; Leong, Kaiwen ; Xu, Haibo. In: Boston University - Department of Economics - The Institute for Economic Development Working Papers Series. RePEc:bos:iedwpr:dp-338. Full description at Econpapers || Download paper | |
2020 | Blocked Clusterwise Regression. (2020). Cytrynbaum, Max. In: Papers. RePEc:arx:papers:2001.11130. Full description at Econpapers || Download paper | |
2020 | Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Lajaunie, Quentin ; Hasse, Jean-Baptiste. In: Working Papers. RePEc:hal:wpaper:halshs-02549044. Full description at Econpapers || Download paper | |
2020 | Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Hasse, Jean-Baptiste ; Lajaunie, Quentin. In: AMSE Working Papers. RePEc:aim:wpaimx:2013. Full description at Econpapers || Download paper | |
2020 | Health Care Spending and Economic Growth: Armey-Rahn Curve in a Panel of European Economies. (2020). Trofimov, Ivan D. In: MPRA Paper. RePEc:pra:mprapa:106705. Full description at Econpapers || Download paper | |
2020 | The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk. (2020). Galan, Jorge. In: Working Papers. RePEc:bde:wpaper:2007. Full description at Econpapers || Download paper | |
2020 | Monetary policy and regional inequality. (2020). Hauptmeier, Sebastian ; Nikalexi, Katerina ; Holm-Hadulla, Federic. In: Working Paper Series. RePEc:ecb:ecbwps:20202385. Full description at Econpapers || Download paper | |
2020 | From frugal Jane to wasteful John: A quantile regression analysis of Swiss householdsââ¬â¢ electricity demand. (2020). Farsi, Mehdi ; Tilov, Ivan ; Volland, Benjamin. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421520300082. Full description at Econpapers || Download paper | |
2020 | The impact of climate-related fiscal and financial policies on carbon emissions in G20 countries: A panel quantile regression approach. (2020). D'Orazio, Paola ; Dirks, Maximilian W. In: Ruhr Economic Papers. RePEc:zbw:rwirep:860. Full description at Econpapers || Download paper | |
2020 | Inflation at risk in advanced and emerging economies. (2020). Mehrotra, Aaron ; Zampolli, Fabrizio ; Contreras, Juan ; Banerjee, Ryan Niladri. In: BIS Working Papers. RePEc:bis:biswps:883. Full description at Econpapers || Download paper | |
2020 | Capital Flows in Risky Times: Risk-On / Risk-Off and Emerging Market Tail Risk. (2020). Lundblad, Christian ; Chari, Anusha ; Stedman, Karlye Dilts. In: Research Working Paper. RePEc:fip:fedkrw:88624. Full description at Econpapers || Download paper | |
2020 | A note on the estimation of competition-productivity nexus: a panel quantile approach. (2020). POLEMIS, MICHAEL. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:4:d:10.1007_s40812-020-00155-w. Full description at Econpapers || Download paper | |
2020 | Agricultural subsidies retard urbanisation in China. (2020). Huang, Jikun ; Yan, Wenshou. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:64:y:2020:i:4:p:1308-1327. Full description at Econpapers || Download paper | |
2020 | A Natural Experiment on the Effect of Instruction Time and Quality: Lessons for the Covid-19 Outbreak. (2020). Sanz, Ismael ; Tenaa, J D. In: Working Papers. RePEc:liv:livedp:202032. Full description at Econpapers || Download paper | |
2020 | Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk. (2020). Lundblad, Christian ; Dilts Stedman, Karlye ; Chari, Anusha. In: NBER Working Papers. RePEc:nbr:nberwo:27927. Full description at Econpapers || Download paper | |
2020 | Breaking the Bank? A Probabilistic Assessment of Euro Area Bank Profitability. (2020). Mitra, Srobona ; Malik, Sheheryar ; Elekdag, Selim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302119. Full description at Econpapers || Download paper | |
2020 | Campaign Contributions by Nonââ¬Âprofit Executives and Government Grants. (2020). Cox, Christian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:4:p:916-933. Full description at Econpapers || Download paper | |
2020 | Interest rate risk and monetary policy normalisation in the euro area. (2020). Reghezza, Alessio ; Dacri, Costanza Rodriguez ; Molyneux, Philip ; Pancotto, Livia. In: Working Paper Series. RePEc:ecb:ecbwps:20202496. Full description at Econpapers || Download paper | |
2020 | sivqr: Smoothed IV quantile regression. (2020). Kaplan, David. In: Working Papers. RePEc:umc:wpaper:2009. Full description at Econpapers || Download paper | |
2020 | Does every Tom, Dick and Harry have a similar fuel price elasticity of car travel demand? Micro-level data reveals substantial heterogeneity. (2020). Weber, Sylvain ; Tilov, Ivan. In: IRENE Working Papers. RePEc:irn:wpaper:20-12. Full description at Econpapers || Download paper | |
2020 | To change or not to change: the impact of the law on mortgage origination. (2020). Sa, Ana Isabel. In: MPRA Paper. RePEc:pra:mprapa:104818. Full description at Econpapers || Download paper | |
2020 | To change or not to change: the impact of the law on mortgage origination. (2020). Sa, Ana Isabel. In: Working Papers. RePEc:ptu:wpaper:w202019. Full description at Econpapers || Download paper | |
2020 | How do gender differences in family responsibilities affect doctors labour supply? Evidence from Australian panel data. (2020). Cheng, Terence ; Song, Jia. In: Social Science & Medicine. RePEc:eee:socmed:v:265:y:2020:i:c:s0277953620306948. Full description at Econpapers || Download paper | |
2020 | Distributional and temporal heterogeneity in the climate change effects on U.S. agriculture. (2020). Malikov, Emir ; Zhang, Jingfang ; Miao, Ruiqing. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:104:y:2020:i:c:s0095069620301091. Full description at Econpapers || Download paper | |
2020 | The optimum size of public education spending: panel data evidence. (2020). Trofimov, Ivan D. In: MPRA Paper. RePEc:pra:mprapa:106847. Full description at Econpapers || Download paper | |
2020 | COVID-19, recession and fall in real wages in Argentina. Who will be most affected?. (2020). Navarro, Ana Ines ; Camusso, Jorge Eduardo. In: Asociación Argentina de EconomÃa PolÃtica: Working Papers. RePEc:aep:anales:4323. Full description at Econpapers || Download paper | |
2020 | Uncertainty and Exchange Rates: Global Dynamics (Well, I Dont Quite Know Anymore). (2020). Suah, Jing Lian. In: MPRA Paper. RePEc:pra:mprapa:109087. Full description at Econpapers || Download paper | |
2020 | Decentralization Estimators for Instrumental Variable Quantile Regression Models. (2019). WÃÆüthrich, Kaspar ; Kaido, Hiroaki ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10925. Full description at Econpapers || Download paper | |
2020 | Quantile selection in non-linear GMM quantile models. (2020). Montes-Rojas, Gabriel ; Galvao, Antonio F ; de Castro, Luciano. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302470. Full description at Econpapers || Download paper | |
2020 | A first-stage test for instrumental variables quantile regression.. (2020). Montes-Rojas, Gabriel ; Galvao, Antonio F ; Alejo, Javier. In: Asociación Argentina de EconomÃa PolÃtica: Working Papers. RePEc:aep:anales:4304. Full description at Econpapers || Download paper | |
2020 | Particle method for segmentation of breast tumors in ultrasound images. (2020). Karunanayake, N ; Makhanov, S S ; Lohitvisate, W ; Aimmanee, P. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:170:y:2020:i:c:p:257-284. Full description at Econpapers || Download paper | |
2020 | Nonparametric Significance Testing in Measurement Error Models. (2020). Taylor, Luke ; Dong, Hao. In: Departmental Working Papers. RePEc:smu:ecowpa:2003. Full description at Econpapers || Download paper | |
2020 | Propensity Score Weighting with Mismeasured Covariates: An Application to Two Financial Literacy Interventions. (2020). Millimet, Daniel L ; Dong, Hao. In: IZA Discussion Papers. RePEc:iza:izadps:dp13893. Full description at Econpapers || Download paper | |
2020 | Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88. Full description at Econpapers || Download paper | |
2020 | Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460. Full description at Econpapers || Download paper | |
2020 | Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:335-355. Full description at Econpapers || Download paper | |
2020 | Counterfactual and Welfare Analysis with an Approximate Model. (2020). Rehbeck, John ; Allen, Roy. In: Papers. RePEc:arx:papers:2009.03379. Full description at Econpapers || Download paper | |
2020 | Rationalizable Incentives: Interim Implementation of Sets in Rationalizable Strategies. (2020). Hjertstrand, Per ; Aguiar, Victor H ; Serrano, Roberto. In: Working Papers. RePEc:bro:econwp:2020-16. Full description at Econpapers || Download paper | |
2020 | A Rationalization of the Weak Axiom of Revealed Preference. (2020). Serrano, Roberto ; Hjertstrand, Per ; Aguiar, Victor H. In: Working Paper Series. RePEc:hhs:iuiwop:1321. Full description at Econpapers || Download paper | |
2020 | Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008. Full description at Econpapers || Download paper | |
2020 | Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846. Full description at Econpapers || Download paper | |
2020 | Are there any other safe haven assets? Evidence for âexoticâ and alternative assets. (2020). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Simos, Theodore. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:614-628. Full description at Econpapers || Download paper | |
2020 | A Riemannian Optimization Algorithm for Joint Maximum Likelihood Estimation of High-Dimensional Exploratory Item Factor Analysis. (2020). Liu, Yang. In: Psychometrika. RePEc:spr:psycho:v:85:y:2020:i:2:d:10.1007_s11336-020-09711-8. Full description at Econpapers || Download paper | |
2020 | Unknown latent structure and inefficiency in panel stochastic frontier models. (2020). Tran, Kien ; Tsionas, Mike G ; Kutlu, Levent. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:54:y:2020:i:1:d:10.1007_s11123-020-00584-8. Full description at Econpapers || Download paper | |
2020 | A spatial stochastic frontier model with endogenous frontier and environmental variables. (2020). Tran, Kien ; Tsionas, Mike G ; Kutlu, Levent. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:1:p:389-399. Full description at Econpapers || Download paper | |
2020 | Socio-institutional determinants of educational resource efficiency according to the capability approach: An endogenous stochastic frontier analysis. (2020). Guarini, Giulio ; Garofalo, Giuseppe ; Laureti, Tiziana. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:71:y:2020:i:c:s0038012119305695. Full description at Econpapers || Download paper | |
2020 | A solution to log of dependent variables with negative observations. (2020). Kutlu, Levent ; Karakaplan, Mustafa U ; Tsionas, Mike G. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:54:y:2020:i:2:d:10.1007_s11123-020-00587-5. Full description at Econpapers || Download paper | |
2020 | Identification and Inference in First-Price Auctions with Risk Averse Bidders and Selective Entry. (2020). Li, Tong ; Lu, Jingfeng ; Gentry, Matthew ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2257. Full description at Econpapers || Download paper | |
2020 | Identification and Estimation in a Third-Price Auction Model. (2020). FLORENS, Jean-Pierre ; Enache, Andreea. In: Post-Print. RePEc:hal:journl:hal-02929530. Full description at Econpapers || Download paper | |
2020 | Identification Through Sparsity in Factor Models. (2020). Freyaldenhoven, Simon. In: Working Papers. RePEc:fip:fedpwp:88229. Full description at Econpapers || Download paper | |
2020 | Robust kernels for kernel density estimation. (2020). Wu, Ximing ; Wen, Kuangyu ; Li, Ang ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301105. Full description at Econpapers || Download paper | |
2020 | An alternative test for conditional unconfoundedness using auxiliary variables. (2020). Lin, Ming ; Cai, Zongwu ; Tang, Shengfang ; Fang, Ying. In: Economics Letters. RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302111. Full description at Econpapers || Download paper | |
2020 | The tail dependence structure between investor sentiment and commodity markets. (2020). Abdoh, Hussein ; Maghyereh, Aktham. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302828. Full description at Econpapers || Download paper | |
2020 | Inference on distribution functions under measurement error. (2020). Whang, Yoon-Jae ; Otsu, Taisuke ; Kurisu, Daisuke ; Adusumilli, Karun. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:131-164. Full description at Econpapers || Download paper | |
2020 | Average derivative estimation under measurement error. (2020). Taylor, Luke ; Dong, Hao ; Otsu, Taisuke. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:106489. Full description at Econpapers || Download paper | |
2020 | Honest confidence sets in nonparametric IV regression and other ill-posed models. (2019). Babii, Andrii. In: Papers. RePEc:arx:papers:1611.03015. Full description at Econpapers || Download paper | |
2020 | Inference on distribution functions under measurement error. (2020). Whang, Yoon-Jae ; Otsu, Taisuke ; Kurisu, Daisies ; Adusumilli, Karun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102692. Full description at Econpapers || Download paper | |
2020 | Determining individual or time effects in panel data models. (2020). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:60-83. Full description at Econpapers || Download paper | |
2020 | Insurance Design and Pharmaceutical Innovation. (2020). Agha, Leila ; Li, Danielle ; Kim, Soomi. In: NBER Working Papers. RePEc:nbr:nberwo:27563. Full description at Econpapers || Download paper | |
2020 | Natural resource access and local economic growth. (2020). Klemp, Marc ; Gradstein, Mark. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s0014292120300738. Full description at Econpapers || Download paper | |
2020 | Inference with a single treated cluster. (2020). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2010.04076. Full description at Econpapers || Download paper | |
2020 | Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference. (2020). Xu, Haifeng ; Ullah, Aman ; Amanullah, ; Lee, Tae-Hwy ; Chu, Jianghao. In: Working Papers. RePEc:ucr:wpaper:202027. Full description at Econpapers || Download paper | |
2020 | The Relationship Between Nominal Wage and Price Flexibility: New Evidence. (2020). Huw, Dixon ; Diego, Solorzano. In: Working Papers. RePEc:bdm:wpaper:2020-20. Full description at Econpapers || Download paper | |
2020 | Identification and estimation in panel models with overspecified number of groups. (2020). Zhou, Qiankun ; Zhang, Yong Hui ; Shang, Zuofeng ; Liu, Ruiqi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:574-590. Full description at Econpapers || Download paper | |
2020 | Multiscale clustering of nonparametric regression curves. (2020). Linton, Oliver ; Vogt, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:305-325. Full description at Econpapers || Download paper | |
2020 | Efficient estimation of heterogeneous coefficients in panel data models with common shocks. (2020). Cui, Guowei ; Li, Kunpeng ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:327-353. Full description at Econpapers || Download paper | |
2020 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2020 | Complete Subset Averaging for Quantile Regressions. (2020). Shin, Youngki ; Lee, Ji Hyung. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2020-03. Full description at Econpapers || Download paper |
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2020 | Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÆÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | A Semiparametric Network Formation Model with Unobserved Linear Heterogeneity. (2020). Candelaria, Luis E. In: Papers. RePEc:arx:papers:2007.05403. Full description at Econpapers || Download paper | |
2020 | An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130. Full description at Econpapers || Download paper | |
2020 | How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477. Full description at Econpapers || Download paper | |
2020 | Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data. (2020). Tao, Jing ; Peng, Sida ; Ning, Yang. In: Papers. RePEc:arx:papers:2009.03151. Full description at Econpapers || Download paper | |
2020 | Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103. Full description at Econpapers || Download paper | |
2020 | A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application. (2020). GAO, Jiti ; Peng, Bin ; Yan, Yayi. In: Papers. RePEc:arx:papers:2010.01492. Full description at Econpapers || Download paper | |
2020 | Inference with a single treated cluster. (2020). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2010.04076. Full description at Econpapers || Download paper | |
2020 | The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data. (2020). , Weinan ; Huang, Guanhua ; Pang, Yue ; Yang, Yucheng. In: Papers. RePEc:arx:papers:2010.05172. Full description at Econpapers || Download paper | |
2020 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2020 | Robust Forecasting. (2020). Moon, Hyungsik Roger ; Christensen, Timothy ; Schorfheide, Frank. In: Papers. RePEc:arx:papers:2011.03153. Full description at Econpapers || Download paper | |
2020 | Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm. In: Papers. RePEc:arx:papers:2012.01819. Full description at Econpapers || Download paper | |
2020 | Weak Identification with Bounds in a Class of Minimum Distance Models. (2020). Cox, Gregory. In: Papers. RePEc:arx:papers:2012.11222. Full description at Econpapers || Download paper | |
2020 | Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690. Full description at Econpapers || Download paper | |
2020 | Get rich or die tryingââ¬Â¦ finding revenue model fit using machine learning and multiple cases. (2020). Eisenhardt, Kathleen M ; Tidhar, Ron. In: Strategic Management Journal. RePEc:bla:stratm:v:41:y:2020:i:7:p:1245-1273. Full description at Econpapers || Download paper | |
2020 | Endogeneity Corrected Stochastic Frontier with Market Imperfections. (2020). Neogi, Chiranjib ; Maiti, Dibyendu. In: Working papers. RePEc:cde:cdewps:313. Full description at Econpapers || Download paper | |
2020 | Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637. Full description at Econpapers || Download paper | |
2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202007. Full description at Econpapers || Download paper | |
2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2020034. Full description at Econpapers || Download paper | |
2020 | What do international energy prices have in common after taking into account the key drivers?. (2020). Camacho, Maximo ; Sanchez, Daniel Pea ; Navarro, Angela Caro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31647. Full description at Econpapers || Download paper | |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper | |
2020 | Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x. Full description at Econpapers || Download paper | |
2020 | Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229. Full description at Econpapers || Download paper | |
2020 | Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807. Full description at Econpapers || Download paper | |
2020 | On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343. Full description at Econpapers || Download paper | |
2020 | A note on Portmanteau tests for conditional heteroscedastistic models. (2020). Jiang, Feiyu ; Ben, Youhong. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257. Full description at Econpapers || Download paper | |
2020 | Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids. (2020). Guerre, Emmanuel ; Gimenes, Nathalie. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:1-18. Full description at Econpapers || Download paper | |
2020 | The time-varying asymmetry of exchange rate returns: A stochastic volatility â stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292. Full description at Econpapers || Download paper | |
2020 | Effective ways to reduce CO2 emissions from Chinas heavy industry? Evidence from semiparametric regression models. (2020). Lin, Boqiang ; Xu, Bin. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303145. Full description at Econpapers || Download paper | |
2020 | Structural breaks in online investor sentiment: A note on the nonstationarity of financial chatter. (2020). Behrendt, Simon ; Ballinari, Daniele. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319311821. Full description at Econpapers || Download paper | |
2020 | Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil. (2020). Cepoi, Cosmin-Octavian. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305912. Full description at Econpapers || Download paper | |
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2020 | Frequency-Domain Evidence for Climate Change. (2020). Reschenhofer, Erhard ; Mangat, Manveer Kaur. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:28-:d:387111. Full description at Econpapers || Download paper | |
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2020 | Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature. (2020). Johansen, Soren ; Schmith, Torben ; Hillebrand, Eric. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:4:p:41-:d:438688. Full description at Econpapers || Download paper | |
2020 | The Impacts of Energy Consumption, Energy Prices and Energy Import-Dependency on Gross and Sectoral Value-Added in Sri Lanka. (2020). , HaiderMahmood ; Murshed, Muntasir ; Bassim, Mohga ; Yousef, Tarek Tawfik ; Mahmood, Haider. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:24:p:6565-:d:461230. Full description at Econpapers || Download paper | |
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2020 | Forecasting Mid-price Movement of Bitcoin Futures Using Machine Learning. (2020). Uddin, Gazi ; Corbet, Shaen ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Working Papers. RePEc:hhs:cbsnow:2020_020. Full description at Econpapers || Download paper | |
2020 | Singular conditional autoregressive Wishart model for realized covariance matrices. (2020). Tyrcha, Joanna ; Javed, Farrukh ; Bodnar, Taras ; Alfelt, Gustav. In: Working Papers. RePEc:hhs:oruesi:2021_001. Full description at Econpapers || Download paper | |
2020 | Inference on winners. (2020). McCloskey, Adam ; Kitagawa, Toru ; Andrews, Isaiah. In: CeMMAP working papers. RePEc:ifs:cemmap:43/20. Full description at Econpapers || Download paper | |
2020 | Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. (2020). Grupe, Maximilian ; Wagner, Martin ; Knorre, Fabian. In: IHS Working Paper Series. RePEc:ihs:ihswps:27. Full description at Econpapers || Download paper | |
2020 | A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202017. Full description at Econpapers || Download paper | |
2020 | Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (2020). , Antonio ; Antonio, ; Monteiro, Ana M. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09156-x. Full description at Econpapers || Download paper | |
2020 | A Class of Time-Varying Vector Moving Average (infinity) Models. (2020). GAO, Jiti ; Peng, Bin ; Yan, Yayi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-39. Full description at Econpapers || Download paper |
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2019 | An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation. (2019). Wang, Xuexin ; Sun, Yixiao. In: Papers. RePEc:arx:papers:1911.03771. Full description at Econpapers || Download paper | |
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2019 | Pricing and Exercising American Options: an Asymptotic Expansion Approach. (2019). Ye, Yongxin ; Li, Chenxu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:11. Full description at Econpapers || Download paper | |
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2019 | Robust uniform inference for quantile treatment effects in regression discontinuity designs. (2019). Hsu, Yu-Chin ; Chiang, Harold D ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:589-618. Full description at Econpapers || Download paper |
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2018 | Threshold regression with endogeneity for short panels. (2018). WÃÆürtz, 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 | |
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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 | The de-biased group Lasso estimation for varying coefficient models. (2019). Honda, Toshio. In: Discussion Papers. RePEc:hit:econdp:2018-04. 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). ÃÆÃÂlvarez, 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 | A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. (2018). Li, Yuyi ; Jawadi, Fredj ; Bu, Ruijun. In: Working Papers. RePEc:liv:livedp:20183. 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). TerÃÆäsvirta, 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 | |
2018 | Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110. 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). TerÃÆäsvirta, 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 | 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). RodrÃÆÃÂguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; RodrÃÆÃÆÃâÃÂguez 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 | Revealed Price Preference: Theory and Stochastic Testing. (2017). Stoye, J̮̦rg ; Quah, John ; Deb, Rahul ; John , ; Kitamura, Yuichi. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2087. 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, F̮̩d̮̩ric. 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). LÃÆütkepohl, 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 | 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, F̮̩d̮̩ric. 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 | Nonparametric analysis of random utility models. (2017). Stoye, J̮̦rg ; Kitamura, Yuichi. In: CeMMAP working papers. RePEc:ifs:cemmap:56/17. 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 |
More than 50 citations. List broken...
# | Series | H | Cites | |
---|---|---|---|---|
1 | Journal of Econometrics / Elsevier | 203 | 4391 | |
2 | Papers / arXiv.org | 65 | 4119 | |
3 | MPRA Paper / University Library of Munich, Germany | 103 | 3516 | |
4 | Energy Economics / Elsevier | 135 | 1532 | |
5 | Economic Modelling / Elsevier | 69 | 1450 | |
6 | Empirical Economics / Springer | 59 | 1300 | |
7 | Sustainability / MDPI | 48 | 1133 | |
8 | IZA Discussion Papers / Institute of Labor Economics (IZA) | 104 | 1035 | |
9 | International Journal of Forecasting / Elsevier | 73 | 928 | |
10 | NBER Working Papers / National Bureau of Economic Research, Inc | 261 | 815 | |
11 | Economics Letters / Elsevier | 112 | 804 |