## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C1: Econometric and Statistical Methods and Methodology: General

/ / /

**C13: Estimation: General**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Long memory in return structures from developed markets**

*by*Sharad Nath Bhattacharya & Mousumi Bhattacharya

**Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs**

*by*Matthias Weber & Martin Schumacher & and Harald Binder

**The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis**

*by*Ashok Kaul & Michael Wolf

**The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis**

*by*Ashok Kaul & Michael Wolf

**Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks**

*by*Olivier Ledoit & Michael Wolf

**Mutual excitation in eurozone sovereign CDS**

*by*Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana

**Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte**

*by*Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter

**Efficient iterative maximum likelihood estimation of high-parameterized time series models**

*by*Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander

**A new semiparametric approach to analysing conditional income distributions**

*by*Sohn, Alexander & Klein, Nadja & Kneib, Thomas

**Investor fears and risk premia for rare events**

*by*Schwarz, Claudia

**Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances**

*by*Harald Badinger & Peter Egger

**Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model**

*by*Tomasz Skoczylas

**Improving GMM efficiency in dynamic models for panel data with mean stationarity**

*by*Giorgio Calzolari & Laura Magazzini

**Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model**

*by*KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang

**Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large**

*by*Bin Peng & Giovanni Forchini

**Latent class Markov models for addressing measurement problems in poverty dynamics**

*by*Giovanni Marano & Gianni Betti & Francesca Gagliardi

**A general theory of rank testing**

*by*Majid M. Al-Sadoon

**CCE estimation of factor-augmented regression models with more factors than observables**

*by*Karabiyik H. & Urbain J.R.Y.J. & Westerlund J.

**Inextricability of Autonomy and Confluence in Econometrics**

*by*Duo Qin

**Inverse Probability Weighted Estimation of Local Average Treatment Effects: Higher Order MSE Expansion**

*by*Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli

**On the relevance of weaker instruments**

*by*Bertille Antoine & Eric Renault

**Efficient Inference with Time-Varying Identification Strength**

*by*Bertille Antoine & Otilia Boldea

**Income Distributions, Inequality, and Poverty in Asia, 1992–2010**

*by*Chotikapanich, Duangkamon & Griffiths, William E. & Rao, D.S. Prasada & Karunarathne, Wasana

**DSGE Priors for BVAR Models**

*by*Thomai Filippeli & Konstantinos Theodoridis

**Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models**

*by*Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A. M. Robert Taylor

**Has US Household Deleveraging Ended? A Model-Based Estimate of Equilibrium Debt**

*by*Bruno Albuquerque & Ursel Baumann & Georgi Krustev

**A control chart using copula-based Markov chain models**

*by*Long, Ting-Hsuan & Emura, Takeshi

**A Time Series and Panel Analysis of Government Spending and National Income**

*by*Alimi, R. Santos

**What happens if in the principal component analysis the Pearsonian is replaced by the Brownian coefficient of correlation?**

*by*Mishra, Sudhanshu K

**Διαστήματα Εμπιστοσύνης Για Εκατοστημόρια Σε Στάσιμες Arma Διαδικασίες: Μία Εμπειρική Εφαρμογή Σε Περιβαλλοντικά Δεδομένα**

*by*Halkos, George & Kevork, Ilias

**Impact of Oil Price and Shocks on Economic Growth of Pakistan: Multivariate Analysis**

*by*Nazir, Sidra & Qayyum, Abdul

**On the parametric description of the French, German, Italian and Spanish city size distributions**

*by*Puente-Ajovin, Miguel & Ramos, Arturo

**Complements and Substitutes in Sequential Auctions: The Case of Water Auctions**

*by*Donna, Javier & Espin-Sanchez, Jose

**Estimating and Testing Threshold Regression Models with Multiple Threshold Variables**

*by*Chong, Terence Tai Leung & Yan, Isabel K.

**Estimating multivariate GARCH and stochastic correlation models equation by equation**

*by*Francq, Christian & Zakoian, Jean-Michel

**Does inequality affect the consumption patterns of the poor? – The role of “status seeking” behaviour**

*by*Marjit, Sugata & Santra, Sattwik & Hati, Koushik Kumar

**Philippine Export Efficiency and Potential: An Application of Stochastic Frontier Gravity Model**

*by*Deluna, Roperto Jr & Cruz, Edgardo

**Forecasting Distress in European SME Portfolios**

*by*Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra

**GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels**

*by*Robertson, Donald & Sarafidis, Vasilis & Westerlund, Joakim

**Nutrition and economic growth in South Africa: A momentum threshold autoregressive (MTAR) approach**

*by*Phiri, Andrew & Dube, Wisdom

**A new Pearson-type QMLE for conditionally heteroskedastic models**

*by*Zhu, Ke & Li, Wai Keung

**Industry Localization, Distance Decay, and Knowledge Spillovers: Following the Patent Paper Trail**

*by*Octávio Figueiredo & Paulo Guimarães & Douglas Woodward

**Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models**

*by*Ying-Ying Lee

**Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility**

*by*Drew D. Creal & Jing Cynthia Wu

**Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities**

*by*Xu Cheng & Zhipeng Liao & Frank Schorfheide

**Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence**

*by*Bin Peng & Chaohua Dong & Jiti Gao

**Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models**

*by*Chaohua Dong & Jiti Gao & Dag Tjostheim

**Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence**

*by*Jia Chen & Jiti Gao

**Semiparametric Localized Bandwidth Selection in Kernel Density Estimation**

*by*Tingting Cheng & Jiti Gao & Xibin Zhang

**Are autographs integrating the global art market? The case of hedonic prices for French autographs (1960-2005)**

*by*Ileana Miranda Mendoza & François Gardes & Xavier Greffe & Pierre-Charles Pradier

**Testing for Leverage Effect in Financial Returns**

*by*Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison

**Bootstrapping Sample Quantiles of Discrete Data**

*by*Jentsch, Carsten & Leucht, Anne

**Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities**

*by*Eleonora Patacchini & Tiziano Arduini & Edoardo Rainone

**An Empirical Analysis of Business Cycles in a New Keynesian Model with Inventories**

*by*Marcel Förster

**Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models**

*by*Haruo Iwakura & Ryo Okui

**Deriving the Information Bounds for Nonlinear Panel Data Models with Fixed Effects**

*by*Haruo Iwakura

**A Permutation Test and Estimation Alternatives for the Regression Kink Design**

*by*Ganong, Peter & Jäger, Simon

**A General Double Robustness Result for Estimating Average Treatment Effects**

*by*Sloczynski, Tymon & Wooldridge, Jeffrey M.

**Canonical correlation and assortative matching: A remark**

*by*DUPUY Arnaud & GALICHON Alfred

**A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies**

*by*Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent

**Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach**

*by*Heni Boubaker & Nadia Sghaier

**A Directional Distance Function Approach to Identifying the Input/Output Status of Medical Residents**

*by*Gary D. Ferrier & Viviane Valdmanis & Michael Vardanyan

**Better Luck Next Time: Learning through Retaking**

*by*Kala Krishna & Sergey Lychagin & Cemile Yavas & Veronica Frisancho

**Estimation procedures for exchangeable Marshall copulas with hydrological application**

*by*Fabrizio Durante & Ostap Okhrin & &

**Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models**

*by*Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig &

**Mortgage Loan Characteristics , Unobserved Heterogeneity and the Performance of United Kingdom Securitised Sub-Prime Loans**

*by*Lanot, Gauthier & Leece, David

**Institutional Quality, Trust and Stock Market Participation: Learning to Forget**

*by*Asgharian, Hossein & Liu, Lu & Lundtofte, Frederik

**A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root**

*by*Westerlund, Joakim & Norkute, Milda

**Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors**

*by*Westerlund, Joakim & Reese, Simon

**A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models**

*by*Norkute, Milda

**Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data**

*by*Quoreshi, A.M.M. Shahiduzzaman

**Stochastic Volatility Estimation with GPU Computing**

*by*António Alberto Santos & João Andrade

**The FRBNY staff underlying inflation gauge: UIG**

*by*Amstad, Marlene & Potter, Simon M. & Rich, Robert W.

**Determinants of Austrian International Trade: Analysis Based on the Gravity Model**

*by*Lucie Davidova & Vladimir Benacek

**Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks**

*by*Matteo Luciani

**Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections**

*by*Martha Banbura & Domenico Giannone & Michèle Lenza

**On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version**

*by*Abdelkamel Alj & Rajae Azrak & Guy Melard

**Income Distributions, Inequality, and Poverty in Asia, 1992â€“2010**

*by*Duangkamon Chotikapanich & William E. Griffiths & D. S. Prasada Rao & Wasana Karunarathne

**Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs**

*by*Matthias Weber & Martin Schumacher & and Harald Binder

**Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties**

*by*Francisco Blasques & Siem Jan Koopman & and André Lucas

**Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes**

*by*Francine Gresnigt & Erik Kole & and Philip Hans Franses

**On an Estimation Method for an Alternative Fractionally Cointegrated Model**

*by*Federico Carlini & Katarzyna Lasak

**Maximum Likelihood Estimation for Generalized Autoregressive Score Models**

*by*Francisco Blasques & Siem Jan Koopman & Andre Lucas

**Outliers in multivariate Garch models**

*by*Aurea Grané & Belén Martín-Barragán & Helena Veiga

**Multi-level Conditional VaR Estimation in Dynamic Models**

*by*Christian Francq & Jean-Michel Zakoian

**Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections**

*by*Banbura, Marta & Giannone, Domenico & Lenza, Michele

**An Estimated Small Open Economy Model with Labour Market Frictions**

*by*Sheen, Jeffrey & Wang, Ben Z.

**Estimating nonlinear DSGE models with moments based methods**

*by*Sergey, Ivashchenko

**Adaptive Markov chain Monte Carlo sampling and estimation in Mata**

*by*Matthew J. Baker

**Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances**

*by*Harald Badinger & Peter Egger

**A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices**

*by*Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith

**Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects**

*by*Kazuhiko Hayakawa & M. Hashem Pesaran & L. Vanessa Smith

**On the Finite Sample Properties of Pre-Test Estimators of Spatial Models**

*by*Gianfranco Piras & Ingmar R. Prucha

**International Student Migration: A Partial Identification Analysis**

*by*Romuald Méango

**Extending the Scope of Cube Root Asymptotics**

*by*Taisuke Otsu & Myung Hwan Seo

**A multiple testing approach to the regularisation of large sample correlation matrices**

*by*Natalia Bailey & Vanessa Smith & Hashem Pesaran

**Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects**

*by*Kazuhiko Hayakawa & Vanessa Smith & Hashem Pesaran

**A General Theory of Rank Testing**

*by*Majid Al-Sadoon

**Filling in the Blanks: Network Structure and Interbank Contagion**

*by*Kartik Anand & Ben Craig & Goetz von Peter

**Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation**

*by*Heng Chen

**Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model**

*by*Constantino Hevia & Martin Gonzalez-Rozada & Martin Sola & Fabio Spagnolo

**On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators**

*by*Stelios Arvanitis & Antonis Demos

**Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models**

*by*Markku Lanne & Henri Nyberg

**On an Estimation Method for an Alternative Fractionally Cointegrated Model**

*by*Federico Carlini & Katarzyna Lasak

**Are University Admissions Academically Fair?**

*by*Debopam Bhattacharya & Shin Kanaya & Margaret Stevens

**R – a Global Sensation in Data Science**

*by*Nicoleta Caragea & Antoniade-Ciprian Alexandru & Ana Maria Dobre

**The Progress of R in Romanian Official Statistics**

*by*Ana Maria Dobre & Cecilia Roxana Adam

**The Bayesian Modelling Of Inflation Rate In Romania**

*by*Mihaela Simionescu (Bratu)

**A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix**

*by*Newey, Whitney & West, Kenneth

**Time varying vine copulas for multivariate returns (in Russian)**

*by*Oleg Groshev

**Effects of Trade Liberalization on Exports, Imports and Trade Balance in Pakistan: A Time Series Analysis**

*by*Muhammad Zakaria

**Modelling and Forecasting Demand for Nepali Tourism**

*by*Shoora B. Paudyal Ph. D.

**The Composite Marginal Likelihood (CML) Inference Approach with Applications to Discrete and Mixed Dependent Variable Models**

*by*Bhat, Chandra R.

**Analysis of the Behavior of Volatility in Crude Oil Price**

*by*Tara Keshar Nanda Baidya & Fernando Antonio Lucena Aiube

**The Impact of the Crisis on the Polarization of Spanish Wages/El impacto de la crisis en la polarización de los salarios en España**

*by*PALACIOS GONZÁLEZ, FEDERICO & GARCÍA FERNÁNDEZ, ROSA Mª. & LLORCA RODRÍGUEZ, CARMEN M.

**An Econometric Model for Financial Stability Indicators**

*by*Mihaela Simionescu & Mirela Niculae & Marinel Nedelut

**World Bank Doing Business Project and the statistical methods based on ranks: the paradox of the time indicator**

*by*Antonio Cappiello

**Improving quarterly index of turnover by means of a calibration estimator**

*by*Fabio Bacchini & Claudio Ceccarelli & Diego Chianella & Roberto Iannaccone

**Movilidad endógena y variaciones demográficas: una aplicación para Ecuador**

*by*Luis Antamba & Paúl Medina

**Customer satisfaction per l’innovazione dell’enoturismo in Veneto. Effetti delle nuove forme di integrazione turistica**

*by*Christine Mauracher & Isabella Procidano & Giovanna Sacchi

**Forecasting House Prices in the United States with Multiple Structural Breaks**

*by*Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury

**R&D portfolios and pharmaceutical licensing**

*by*Nishimura, Junichi & Okada, Yosuke

**Spatial autoregressive models with unknown heteroskedasticity: A comparison of Bayesian and robust GMM approach**

*by*Doğan, Osman & Taşpınar, Süleyman

**The risk of financial intermediaries**

*by*Delis, Manthos D. & Hasan, Iftekhar & Tsionas, Efthymios G.

**Discrete stochastic autoregressive volatility**

*by*Cordis, Adriana S. & Kirby, Chris

**Quality of PIN estimates and the PIN-return relationship**

*by*Yan, Yuxing & Zhang, Shaojun

**An intertemporal capital asset pricing model with bank credit growth as a state variable**

*by*Hammami, Yacine & Lindahl, Anna

**Volatility spreads and earnings announcement returns**

*by*Atilgan, Yigit

**Conditional least squares and copulae in claims reserving for a single line of business**

*by*Pešta, Michal & Okhrin, Ostap

**Estimating the extensive margin of trade**

*by*Santos Silva, J.M.C. & Tenreyro, Silvana & Wei, Kehai

**Trade intensity and purchasing power parity**

*by*Cho, Dooyeon & Doblas-Madrid, Antonio

**Testing excess returns on event days: Log returns vs. dollar returns**

*by*Duarte-Silva, Tiago & Tripolski Kimel, Maria

**Estimation accuracy of high–low spread estimator**

*by*Lin, Chien-Chih

**Option pricing under stochastic volatility and tempered stable Lévy jumps**

*by*Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

**Child care choices, food intake, and children's obesity status in the United States**

*by*Mandal, Bidisha & Powell, Lisa M.

**Conditional moment models under semi-strong identification**

*by*Antoine, Bertille & Lavergne, Pascal

**Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables**

*by*Wooldridge, Jeffrey M.

**Estimating spot volatility with high-frequency financial data**

*by*Zu, Yang & Peter Boswijk, H.

**On the robustness of location estimators in models of firm growth under heavy-tailedness**

*by*Ibragimov, Rustam

**On the properties of the coefficient of determination in regression models with infinite variance variables**

*by*Kurz-Kim, Jeong-Ryeol & Loretan, Mico

**A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data**

*by*Liu, Cheng & Tang, Cheng Yong

**Efficient GMM estimation of spatial dynamic panel data models with fixed effects**

*by*Lee, Lung-fei & Yu, Jihai

**Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter**

*by*Horowitz, Joel L.

**Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference**

*by*Sun, Yixiao

**Frontier estimation in nonparametric location-scale models**

*by*Florens, Jean-Pierre & Simar, Léopold & Van Keilegom, Ingrid

**Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression**

*by*Dunker, Fabian & Florens, Jean-Pierre & Hohage, Thorsten & Johannes, Jan & Mammen, Enno

**Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing**

*by*Escanciano, Juan Carlos & Jacho-Chávez, David T. & Lewbel, Arthur

**Neglected heterogeneity in moment condition models**

*by*Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J.

**Model specification test with correlated but not cointegrated variables**

*by*Gan, Li & Hsiao, Cheng & Xu, Shu

**Testing overidentifying restrictions with many instruments and heteroskedasticity**

*by*Chao, John C. & Hausman, Jerry A. & Newey, Whitney K. & Swanson, Norman R. & Woutersen, Tiemen

**Integrated modified OLS estimation and fixed-b inference for cointegrating regressions**

*by*Vogelsang, Timothy J. & Wagner, Martin

**A Γ-moment approach to monotonic boundary estimation**

*by*Daouia, Abdelaati & Girard, Stéphane & Guillou, Armelle

**Can Markov switching model generate long memory?**

*by*Baek, Changryong & Fortuna, Natércia & Pipiras, Vladas

**A Monte Carlo study of a factor analytical method for fixed-effects dynamic panel models**

*by*Norkute, Milda

**On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators**

*by*Chau, Tak Wai

**On conditions in central limit theorems for martingale difference arrays**

*by*Alj, Abdelkamel & Azrak, Rajae & Mélard, Guy

**An algorithm for constructing high dimensional distributions from distributions of lower dimension**

*by*Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem

**Measurement error in imputation procedures**

*by*Campos, Rodolfo G. & Reggio, Iliana

**Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects**

*by*Al Janabi, Mazin A.M.

**Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects**

*by*Al Janabi, Mazin A.M.

**Shifting Armington trade preferences: A re-examination of the Mercosur–EU negotiations**

*by*Philippidis, G. & Resano, H. & Sanjuán, A.I.

**Shifting Armington trade preferences: A re-examination of the Mercosur–EU negotiations**

*by*Philippidis, G. & Resano, H. & Sanjuán, A.I.

**Parity in professional sports when revenues are maximized**

*by*Biner, Burhan

**Parity in professional sports when revenues are maximized**

*by*Biner, Burhan

**An alternative measure of structural unemployment**

*by*Aysun, Uluc & Bouvet, Florence & Hofler, Richard

**International price transmission in CGE models: How to reconcile econometric evidence and endogenous model response?**

*by*Siddig, Khalid & Grethe, Harald

**High debt companies' leverage determinants in Spain: A quantile regression approach**

*by*Sánchez-Vidal, F. Javier

**The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range**

*by*Todorova, Neda & Souček, Michael

**Sports and cultural habits by gender: An application using count data models**

*by*Muñiz, Cristina & Rodríguez, Plácido & Suárez, María J.

**Recovering default risk from CDS spreads with a nonlinear filter**

*by*Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon

**Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models**

*by*Serpil TURKYILMAZ & Mesut BALIBEY

**Ageing, Longevity and Savings: The Case of Morocco**

*by*Ghizlan Loumrhari

**Long Memory Analysis: An Empirical Investigation**

*by*Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri

**Exchange Rate Policy in Morocco and Persistence of Real Exchange Rate Misalignments**

*by*Mohamed BOUZAHZAH & Radouane BACHAR

**Stress Testing of the Montenegrin Banking System with Aggregated and Bank-Specific Data**

*by*Sanja Vuković

**Tools for Consumer Rights Protection in the Prediction of Electronic Virtual Market and Technological Changes**

*by*Mikuláš Gangur & Miroslav Plevný

**An Extension Of The Methodology Of Using The Student Test In Case Of A Linear Regression With Three Explanatory Variables**

*by*Florin-Marius PAVELESCU

**Regularizing Priors for Linear Inverse Problems**

*by*Florens, Jean-Pierre & Simoni, Anna

**Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models**

*by*Goodness C. Aye & Pami Dua & Rangan Gupta

**Option Pricing with a Dynamic Fat-Tailed Model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas F.

**GARCH models without positivity constraints: Exponential or Log GARCH?**

*by*Zakoïan, Jean-Michel & Wintenberger, Olivier & Francq, Christian

**Zaruri harcama - gelir ilişkisi ve demografik faktörler: Parametrik olmayan çekirdek kestirim sonuçları**

*by*M. Suphi ÖZÇOMAK & Elif GÖLVEREN & Eray YÜCEL

**Optimal estimation of a large-dimensional covariance matrix under Stein’s loss**

*by*Olivier Ledoit & Michael Wolf

**Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions**

*by*Olivier Ledoit & Michael Wolf

**Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors**

*by*Kripfganz, Sebastian & Schwarz, Claudia

**Who opts out of the statutory health insurance? A discrete time hazard model for Germany**

*by*Bünnings, Christian & Tauchmann, Harald

**Atypical behavior of credit: Evidence from a monetary VAR**

*by*Afanasyeva, Elena

**Estimation of linear dynamic panel data models with time-invariant regressors**

*by*Kripfganz, Sebastian & Schwarz, Claudia

**Evaluation of minimum capital requirements for bank loans to SMEs**

*by*Düllmann, Klaus & Koziol, Philipp

**The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models**

*by*Peter Spencer

**Bias in Measuring Smoking Behavior**

*by*Vidhura Tennekoon & Robert Rosenman

**Small area estimation of labor productivity for the Italian manufacturing SME cross-classified by region, industry and size**

*by*Enrico Fabrizi & Maria Ferrante & Carlo Trivisano

**“Markov Switching Models for Volatility: Filtering, Approximation and Duality”**

*by*Monica Billio & Maddalena Cavicchioli

**Variance Risk Premiums in Foreign Exchange Markets**

*by*Ammann, Manuel & Buesser, Ralf

**Estimating Bayesian decision problems with heterogeneous priors**

*by*Stephen Eliot Hansen & Michael McMahon

**Smoothed Estimating Equations for Instrumental Variables Quantile Regression**

*by*David Kaplan & Yixiao Sun

**GMM Efficiency and IPW Estimation for Nonsmooth Functions**

*by*Ot�vio Bartalotti

**A gamma-moment approach to monotonic boundaries estimation**

*by*Daouia, Abdelaati & Girard, Stéphane & Guillou, Armelle

**My Friend Far Far Away: Asymptotic Properties of Pairwise Stable Networks**

*by*Vincent BOUCHER & Ismael MOURIFIÃ‰

**Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models**

*by*Victor Aguirregabiria & Arvind Magesan

**Identification of Games of Incomplete Information with Multiple Equilibria and Common Unobserved Heterogeneity**

*by*Victor Aguirregabiria & Pedro Mira

**A History of Polyvalent Structural Parameters: the Case of Instrument Variable Estimators**

*by*Duo Qin & Yanqun Zhang

**Estimating the Value Obtained from Using a Software Service Platform**

*by*Netsanet Haile & Jorn Altmann

**Important Channels of Transmission Monetary Policy Shock in South Africa**

*by*Nombulelo Gumata, Alain Kabundi and Eliphas Ndou

**Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi**

*by*Chance Mwabutwa, Manoel Bittencourt and Nicola Viegi

**Short Run Underpricing of Initial Public Offering (IPOs) in the Johannesburg Stock Exchange (JSE)**

*by*Gillian van Heerden and Paul Alagidede

**Who Opts Out of the Statutory Health Insurance? A Discrete Time Hazard Model for Germany**

*by*Christian Bünnings & Harald Tauchmann

**Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality**

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*by*Dreyer, Johannes K. & Schneider, Johannes & Smith, William T.

**Emerging markets and heavy tails**

*by*Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul

**Greasing the wheels of bank lending: Evidence from private firms in China**

*by*Chen, Yunling & Liu, Ming & Su, Jun

**Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility**

*by*Wang, Kent & Liu, Junwei & Liu, Zhi

**Forecasting the size premium over different time horizons**

*by*Zakamulin, Valeriy

**Inference in asset pricing models with a low-variance factor**

*by*Shang, Hua

**The evolution of cost-productivity and efficiency among US credit unions**

*by*Wheelock, David C. & Wilson, Paul W.

**Risk premia: Exact solutions vs. log-linear approximations**

*by*Lundtofte, Frederik & Wilhelmsson, Anders

**Estimation sample selection for discretionary accruals models**

*by*Ecker, Frank & Francis, Jennifer & Olsson, Per & Schipper, Katherine

**Disentangling mandatory IFRS reporting and changes in enforcement**

*by*Barth, Mary E. & Israeli, Doron

**Market-oriented banking, financial stability and macro-prudential indicators of leverage**

*by*Calmès, Christian & Théoret, Raymond

**Modeling dependencies in claims reserving with GEE**

*by*Hudecová, Šárka & Pešta, Michal

**Consistent dynamic affine mortality models for longevity risk applications**

*by*Blackburn, Craig & Sherris, Michael

**Mortality surface by means of continuous time cohort models**

*by*Jevtić, Petar & Luciano, Elisa & Vigna, Elena

**Lifetime dependence modelling using a truncated multivariate gamma distribution**

*by*Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael

**Pricing inflation products with stochastic volatility and stochastic interest rates**

*by*Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.

**Default matrices: A complete measurement of banks’ consumer credit delinquency**

*by*Schechtman, Ricardo

**Asset pricing with skewed-normal return**

*by*Carmichael, Benoıˆt & Coën, Alain

**Efficiency, effectiveness and implementation feasibility of energy efficiency rebates: The “Renove” plan in Spain**

*by*Galarraga, Ibon & Abadie, Luis M. & Ansuategi, Alberto

**Risk spillovers in oil-related CDS, stock and credit markets**

*by*Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael

**Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries**

*by*Awartani, Basel & Maghyereh, Aktham Issa

**Valuation of collateralized debt obligations with hierarchical Archimedean copulae**

*by*Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap

**Risk spillovers in international equity portfolios**

*by*Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo

**Estimating PIN for firms with high levels of trading**

*by*Jackson, David

**Term structure dynamics with macro-factors using high frequency data**

*by*Kim, Hwagyun & Park, Hail

**Stressing correlations and volatilities — A consistent modeling approach**

*by*Becker, Christoph & Schmidt, Wolfgang M.

**Two-pass estimation of risk premiums with multicollinear and near-invariant betas**

*by*Ahn, Seung C. & Perez, M. Fabricio & Gadarowski, Christopher

**Sequential estimation of shape parameters in multivariate dynamic models**

*by*Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique

**Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects**

*by*Kim, Min Seong & Sun, Yixiao

**GARCH models without positivity constraints: Exponential or log GARCH?**

*by*Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel

**Density approximations for multivariate affine jump-diffusion processes**

*by*Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul

**What model for entry in first-price auctions? A nonparametric approach**

*by*Marmer, Vadim & Shneyerov, Artyom & Xu, Pai

**Modelling volatility by variance decomposition**

*by*Amado, Cristina & Teräsvirta, Timo

**Estimation of a nonlinear panel data model with semiparametric individual effects**

*by*Gayle, Wayne-Roy & Namoro, Soiliou Daw

**Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions**

*by*Kruiniger, Hugo

**Estimating DSGE models using seasonally adjusted and unadjusted data**

*by*Saijo, Hikaru

**Chi-squared tests for evaluation and comparison of asset pricing models**

*by*Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

**Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration**

*by*Fasen, Vicky

**Jump tails, extreme dependencies, and the distribution of stock returns**

*by*Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi

**Stable mixture GARCH models**

*by*Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.

**Moment condition tests for heavy tailed time series**

*by*Hill, Jonathan B. & Aguilar, Mike

**Estimation for multivariate stable distributions with generalized empirical likelihood**

*by*Ogata, Hiroaki

**Model identification for infinite variance autoregressive processes**

*by*Andrews, Beth & Davis, Richard A.

**Heavy tails of OLS**

*by*Mikosch, Thomas & de Vries, Casper G.

**Linear and nonlinear regression with stable errors**

*by*Nolan, John P. & Ojeda-Revah, Diana

**Partial maximum likelihood estimation of spatial probit models**

*by*Wang, Honglin & Iglesias, Emma M. & Wooldridge, Jeffrey M.

**A zero inefficiency stochastic frontier model**

*by*Kumbhakar, Subal C. & Parmeter, Christopher F. & Tsionas, Efthymios G.

**Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions**

*by*Khan, Shakeeb

**Estimation and inference in unstable nonlinear least squares models**

*by*Boldea, Otilia & Hall, Alastair R.

**Jackknife estimation of stationary autoregressive models**

*by*Chambers, Marcus J.

**Model averaging with covariates that are missing completely at random**

*by*Zhang, Xinyu

**Partial identification in binary response models with nonignorable nonresponses**

*by*Hoshino, Tadao

**Inconsistency of 2SLS estimators in threshold regression with endogeneity**

*by*Yu, Ping

**On a general class of long run variance estimators**

*by*Zhang, Xianyang & Shao, Xiaofeng

**The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics**

*by*Allen, David & Ng, K.H. & Peiris, Shelton

**On the estimation and inference in factor-augmented panel regressions with correlated loadings**

*by*Westerlund, Joakim & Urbain, Jean-Pierre

**A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns**

*by*Massacci, Daniele

**An adaptive truncated product method for combining dependent p-values**

*by*Sheng, Xuguang & Yang, Jingyun

**Identification problem of the exponential tilting estimator under misspecification**

*by*Sueishi, Naoya

**Alternative representations for cointegrated panels with global stochastic trends**

*by*Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim

**Generalized impulse response analysis in a fractionally integrated vector autoregressive model**

*by*Do, Hung Xuan & Brooks, Robert Darren & Treepongkaruna, Sirimon

**A note on bias-corrected estimation in dynamic panel data models**

*by*Juodis, Artūras

**First-differenced inference for panel factor series**

*by*Ipatova, Ekaterina & Trapani, Lorenzo

**Estimation of a local-aggregate network model with sampled networks**

*by*Liu, Xiaodong

**GMM estimation of stochastic frontier model with endogenous regressors**

*by*Tran, Kien C. & Tsionas, Efthymios G.

**An alternative simple quantile regression estimator**

*by*Zhang, Zhengyu & Zhu, Pingfang

**Estimation of spatial autoregressive models with boundary specification problem**

*by*Zhang, Zhengyu & Tao, Ji

**Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise**

*by*Kunitomo, Naoto & Sato, Seisho

**Solving replication problems in a complete market by orthogonal series expansion**

*by*Dong, Chaohua & Gao, Jiti

**Parametric and nonparametric income distribution estimators in CGE micro-simulation modeling**

*by*Boccanfuso, Dorothée & Richard, Patrick & Savard, Luc

**Testing volatility persistence on Markov switching stochastic volatility models**

*by*Pan, Qi & Li, Yong

**Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market**

*by*Yang, Linghubo & Zhang, Dongxiang

**Pareto–lognormal distributions: Inequality, poverty, and estimation from grouped income data**

*by*Hajargasht, Gholamreza & Griffiths, William E.

**Optima exchange crisis regression and twin crisis: Evidences for some MENA countries**

*by*Aidi, Wafa

**Conditional market beta for REITs: A comparison of modeling techniques**

*by*Zhou, Jian

**Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets**

*by*Kaeck, Andreas

**The real consequences of financial stress**

*by*Mittnik, Stefan & Semmler, Willi

**Portfolio selection in a data-rich environment**

*by*Bouaddi, Mohammed & Taamouti, Abderrahim

**On the implementation and use of factor-augmented regressions in panel data**

*by*Westerlund, Joakim & Urbain, Jean-Pierre

**Simple unit root testing in generally trending data with an application to precious metal prices in Asia**

*by*Westerlund, Joakim

**Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies**

*by*Samih Antoine Azar

**Fuzzy Model for Evaluation and Analysis of Short-Term Financial Aspects of the Enterprise**

*by*Yuliyan Velkov & Georgi Kirov

**Comércio Internacional e Performance das Firmas Brasileiras**

*by*Eva Yamila da Silva Catela & Flávio Gonçalves

**Stock Market Volatility And Non-Performing Loans: Evidence From Stocks Of The Nigerian Banks**

*by*Sayo Oludare & Michael Olagunju & Olusegun Adelodun

**Assessing the Stock Market Wealth Effect in South Africa**

*by*Lumengo Bonga-Bonga

**Asymptotic Theory for Maximum Likelihood Estimation of the Memory Parameter in Stationary Gaussian Processes**

*by*Lieberman, Offer & Rosemarin, Roy & Rousseau, Judith

**Why Do Banks Go Abroad? Evidence Using a Three-Way Error Component Model**

*by*Tamrat W. Gashaw & Michael J. Ryan

**Expectativas y prima por riesgo inflacionario con una medida de compensación a la inflación**

*by*Melo, Luis Fernando & Granados, Joan Camilo

**Estacionariedad, cambios estructurales y crecimiento económico en México (1895-2008)**

*by*Noriega, Antonio E. & Rodríguez, Cid Alonso

**Considerations on partially identified regression models**

*by*Cerquera, Daniel & Laisney, François & Ullrich, Hannes

**Parametric Lorenz Curves and the Modality of the Income Density Function**

*by*Krause, Melanie

**Give them a break! Did activation of young welfare recipients overshoot in Germany? (A regression discontinuity analysis)**

*by*Wolff, Joachim & Nivorozhkin, Anton

**Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall**

*by*Mehmke, Fabian & Cremers, Heinz & Packham, Natalie

**An empirical assessment of the 2004 EU merger policy reform**

*by*Duso, Tomaso & Gugler, Klaus & Szücs, Florian

**Stress testing German banks against a global cost-of-capital shock**

*by*Duellmann, Klaus & Kick, Thomas

**Analysing the effectiveness of public service producers with endogenous resourcing**

*by*David J. Mayston

**Efficient bootstrap with weakly dependent processes**

*by*Francesco Bravo & Federico Crudu

**VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles**

*by*Habert white & Tae-Hwan Kim & Simone Manganelli

**Inference for Markov-regime switching models of electricity spot prices**

*by*Joanna Janczura & Rafal Weron

**What Can Growth Rates Tell Us? A Short-Run Decomposition Method**

*by*Steven Lim & Jason Le Vaillant & Harry X. Wu

**A Note on Improved Estimation for the Topp-Leone Distribution**

*by*David E. Giles

**Constructing Confidence Bands for the Hodrick-Prescott Filter**

*by*David E. Giles

**Bribing Behaviour and Sample Selection: Evidence from Post-Socialist countries and Western Europe**

*by*Timothy Hinks & Artjoms Ivlevs

**Extreme Downside Liquidity Risk**

*by*Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian

**Modeling Non-maturing Savings Volumes**

*by*Paraschiv, Florentina

**Risk Spillovers in International Equity Portfolios**

*by*Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo

**Realized Copula**

*by*Fengler, Matthias & Okhrin, Ostap

**Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines**

*by*Audrino, Francesco & Meier, Pirmin

**Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation**

*by*Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco

**Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures**

*by*J. Isaac Miller

**Considerations on partially identified regression models**

*by*Daniel Cerquera & François Laisney & Hannes Ullrich

**Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model**

*by*Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo

**Nonparametric Estimation of Triangular Simultaneous Equations Models under Weak Identification**

*by*Sukjin Han

**Short Run Import Dynamics in Turkey**

*by*Altan Aldan & Ihsan Bozok & Mahmut Gunay

**A new estimate of discouraged and additional worker effects on labor participation by sex and age in OECD countries**

*by*Olivier Filatriau & Frédéric Reynès

**Risk spillovers in international equity portfolios**

*by*Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo

**Double Asymptotics for Explosive Continuous Time Models**

*by*Xiaohu Wang & Jun Yu

**Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility**

*by*Andras Fulop & Junye Li & Jun Yu

**Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT**

*by*Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli

**Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT**

*by*Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli

**Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT**

*by*Stephen G. Donald & Yu-Chin Hsu & Robert P. Lieli

**Testing Identification Strength**

*by*Bertille Antoine & Eric Renault

**Efficient Inference with Poor Instruments: a General Framework**

*by*Bertille Antoine & Eric Renault

**Efficient Minimum Distance Estimation with Multiple Rates of Convergence**

*by*Bertille Antoine & Eric Renault

**La produzione domestica: il valore aggiunto generato dalle famiglie**

*by*Monica Montella

**Nonlinear Forecasting Using Large Datasets: Evidences on US and Euro Area Economies**

*by*Alessandro Giovannelli

**Consistent Estimation of the “True” Fixed-effects Stochastic Frontier Model**

*by*Federico Belotti & Giuseppe Ilardi

**Interdendenta dintre tipul de colinearitate si valorile calculate ale testului Student in cazul unei regresii lineare cu doua variabile explicative**

*by*Pavelescu, Florin Marius

**Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model**

*by*Ceylan, Ozcan

**Measuring Human Development: A Stochastic Dominance Approach**

*by*Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou

**Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models**

*by*Kazuhiko Hayakawa & M. Hashem Pesaran

**Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle**

*by*Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan

**Estimation and Solution of Models with Expectations and Structural Changes**

*by*Mariano Kulish & Adrian Pagan

**Reducing bias due to missing values of the response variable by joint modeling with an auxiliary variable**

*by*Alfonso Miranda & Sophia Rabe-Hesketh & John W. McDonald

**Monetary Policy Response to Capital Inflows in Form of Foreign Aid in Malawi**

*by*Chance Mwabutwa & Nicola Viegi & Manoel Bittencourt

**Is Collusion Proof Auction Expensive? Estimates from Highway Procurements**

*by*Aryal, Gaurab & Gabrielli, Maria F.

**Export - led growth or growth – driven exports? Evidence from Nigeria**

*by*Alimi, Santos R. & Muse, Bernard O.

**The Effect of Crude Oil Price on the Methanol price**

*by*Delavari, Majid & Gandali Alikhani, Nadiya

**The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria**

*by*Awomuse, Bernard O. & Alimi, Santos R.

**The analyses of Crude Oil and Natural Gas Prices on Petrochemicals Products: A Case Study of IRAN's Methanol**

*by*Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil

**On a Class of Estimation and Test for Long Memory**

*by*Fu, Hui

**The Long-run and Short-run Effects of Crude Oil Price on Methanol Market in Iran**

*by*Komijani, Akbar & Gandali Alikhani, Nadiya & Naderi, Esmaeil

**Estimation of the Contribution of the Biosector to Ireland’s Net Foreign Earnings: Methodology and Results**

*by*Riordan, Brendan

**Portfolio optimization based on divergence measures**

*by*Chalabi, Yohan & Wuertz, Diethelm

**Intrinsic Inflation Persistence in a Developing Country**

*by*Hanif, Muhamad Nadim & Malik, Muhamad Jahanzeb & Iqbal, Javed

**Risk-parameter estimation in volatility models**

*by*Francq, Christian & Zakoian, Jean-Michel

**Fourier--type estimation of the power garch model with stable--paretian innovations**

*by*Francq, Christian & Meintanis, Simos

**Technical and scale efficiency in the Italian Citrus Farming: A comparison between Stochastic Frontier Analysis (SFA) and Data Envelopment Analysis(DEA) Models**

*by*Madau, Fabio A.

**Garch models without positivity constraints: exponential or log garch?**

*by*Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel

**Nonlinear and Complex Dynamics in Economics**

*by*Barnett, William A. & Serletis, Apostolos & Serletis, Demitre

**Survival prediction based on compound covariate under cox proportional hazard models**

*by*Emura, Takeshi & Chen, Yi-Hau & Chen, Hsuan-Yu

**Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models**

*by*Tsionas, Mike

**Unbiased estimation of maximum expected profits in the Newsvendor Model: a case study analysis**

*by*Halkos, George & Kevork, Ilias

**A strategy to reduce the count of moment conditions in panel data GMM**

*by*Bontempi, Maria Elena & Mammi, Irene

**Factors Determining FDI in Nigeria: Role of Emerging Economies**

*by*Dinda, Soumyananda

**Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries**

*by*Ahmed, Waqas & Haider, Adnan & Iqbal, Javed

**Evaluating alternative frequentist inferential approaches for optimal order quantities in the newsvendor model under exponential demand**

*by*Halkos, George & Kevork, Ilias

**Maximum likelihood estimation of time series models: the Kalman filter and beyond**

*by*Tommaso, Proietti & Alessandra, Luati

**Analytical content of properties of uncertainty and certainty of organizational-economic systems: derivatives indicators**

*by*Kuzmin, Evgeny Anatol'evich

**Item selection by an extended Latent Class model: An application to nursing homes evaluation**

*by*Bartolucci, Francesco & Giorgio E., Montanari & Pandolfi, Silvia

**Determinants of the exit decision of foreign banks in India**

*by*Swami, Onkar Shivraj & Vishnu Kumar, N. Arun & Baruah, Palash

**Endogeneity in ultrahigh dimension**

*by*Fan, Jianqing & Liao, Yuan

**Interaction effects in econometrics**

*by*Balli, Hatice Ozer & Sorensen, Bent E.

**Indirect estimation of GARCH models with alpha-stable innovations**

*by*Parrini, Alessandro

**Jackknife bias reduction in autoregressive models with a unit root**

*by*Chambers, Marcus J. & Kyriacou, Maria

**Efficient estimation in regression discontinuity designs via asymmetric kernels**

*by*Fe, Eduardo

**Symmetric Jackknife Instrumental Variable Estimation**

*by*Bekker, Paul A. & Crudu, Federico

**Energy consumption and economic growth: evidence from nonlinear panel cointegration and causality tests**

*by*Omay, Tolga & Hasanov, Mubariz & Ucar, Nuri

**Identifying observed factors in approximate factor models: estimation and hypothesis testing**

*by*Chen, Liang

**The formulation and estimation of random effects panel data models of trade**

*by*Matyas, Laszlo & Hornok, Cecilia & Pus, Daria

**Validity and precision of estimates in the classical newsvendor model with exponential and rayleigh demand**

*by*Halkos, George & Kevork, Ilias

**On whether foreign direct investment catalyzes economic development in Nigeria**

*by*OKPARA, GODWIN CHIGOZIE

**Evaluating alternative estimators for optimal order quantities in the newsvendor model with skewed demand**

*by*Halkos, George & Kevork, Ilias

**¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?**

*by*Medel, Carlos A.

**How informative are in-sample information criteria to forecasting? the case of Chilean GDP**

*by*Medel, Carlos A.

**Comparing performance of statistical models for individual’s ability index and ranking**

*by*Iqbal, Javed

**Constructing Optimal Density Forecasts from Point Forecast Combinations**

*by*Luiz Renato Regis de Oliveira Lima & Wagner Piazza Gaglianone

**Macroeconomic Fundamentals of Poverty and Deprivation: an empirical study for developed countries**

*by*Duarte Guimarães & Ana Paula Ribeiro & Sandra Tavares Silva

**Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments**

*by*Xu Cheng & Zhipeng Liao

**Independent Factor Autoregressive Conditional Density Model**

*by*Alexios Ghalanos & Eduardo Rossi & Giovanni Urga

**Are University Admissions Academically Fair?**

*by*Debopam Bhattacharya & Shin Kanaya & Margaret Stevens

**Efficient and feasible inference for the components of financial variation using blocked multipower variation**

*by*Neil Shephard & Kevin Sheppard

**Efficient and feasible inference for the components of financial variation using blocked multipower variation**

*by*Per A. Mykland & Neil Shephard & Kevin Sheppard

**Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design**

*by*David Card & David Lee & Zhuan Pei & Andrea Weber

**Estimation of Dynamic Discrete Choice Models in Continuous Time with an Application to Retail Competition**

*by*Peter Arcidiacono & Patrick Bayer & Jason R. Blevins & Paul B. Ellickson

**Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration**

*by*Peter Arcidiacono & Patrick Bayer & Federico A. Bugni & Jonathan James

**Identification and Estimation of Gaussian Affine Term Structure Models**

*by*James D. Hamilton & Jing Cynthia Wu

**Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes**

*by*Jan F. KIVIET

**Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models**

*by*Jan F. KIVIET & Garry D.A. PHILLIPS

**Canonical Correlation and Assortative Matching: a remark**

*by*Arnaud Dupuy & Alfred Galichon

**Solving Replication Problems in Complete Market by Orthogonal Series Expansion**

*by*Chaohua Dong & Jiti Gao

**Identification, Estimation and Specification in a Class of Semiparametic Time Series Models**

*by*Jiti Gao

**Expansion of Lévy Process Functionals and Its Application in Statistical Estimation**

*by*Chaohua Dong & Jiti Gao

**Nonlinear Regression with Harris Recurrent Markov Chains**

*by*Degui Li & Dag Tjøstheim & Jiti Gao

**Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector**

*by*Ibrahim Ahamada & Djamel Kirat

**A Portfolio of Dilemmas: Experimental Evidence on Choice Bracketing in a Mini-Trust Game**

*by*Jieyao Ding

**Low Self-Control As a Source of Crime. A Meta-Study**

*by*Christoph Engel

**Calculating Poverty Measures from the Generalized Beta Income Distribution**

*by*DUANGKAMON CHOTIKAPANICH, WILLIAM GRIFFITHS, WASANA KARUNARATHNE, D.S. PRASADA RAO

**Pareto-Lognormal Income Distributions:Inequality and Poverty Measures, Estimation and Performance**

*by*Gholamreza Hajargasht and William E. Griffiths

**A simple method to visualize results in nonlinear regression models**

*by*Daniel J. Henderson & Subal C. Kumbhakar & Christopher F. Parmeter

**The Consequences of Measurement Error when Estimating the Impact of BMI on Labour Market Outcomes**

*by*Donal O'Neill & Olive sweetman

**This paper uses data on both self-reported and true measures of individual Body Mass Index (BMI) to examine the nature of measurement error in self-reported BMI and to look at the consequences of using self-reported measures when estimating the effect of BMI on economic outcomes. In keeping with previous studies we find that self-reported BMI is subject to significant measurement error and this error is negatively correlated with the true measure of BMI. In our analysis this non-classical measurement error causes the traditional approach to overestimate the relationship between BMI and both income and education. Furthermore we show that popular alternatives estimators that have been adopted to address problems of measurement error in BMI, such as the conditional expectation approach and the instrumental variables approach, also exhibit significant biases**

*by*Donal O'Neill & Olive sweetman

**The Equity Risk Premium: Empirical Evidence from Emerging Markets**

*by*Michael Donadelli & Lorenzo Prosperi

**Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market**

*by*Yoichi Otsubo

**Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market**

*by*Yoichi Otsubo

**Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach**

*by*Ginters Buss

**A New Real-Time Indicator for the Euro Area GDP**

*by*Ginters Buss

**Regionalism in East Asia: The Way Forward**

*by*Fithra Faisal Hastiadi

**Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach**

*by*Thomas Lux

**Nonlinear and Complex Dynamics in Economics**

*by*William Barnett & Apostolos Serletis & Demitre Serletis

**Regularity Of The Generalized Quadratic Production Model: A Counterexample**

*by*William Barnett & Meenakshi Pasupathy

**Fellow’s Opinion Article: Tastes and Technology: Curvature is not Sufficient for Regularity**

*by*William Barnett

**Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design**

*by*David E. Card & David S. Lee & Zhuan Pei & Andrea Weber

**The Consequences of Measurement Error when Estimating the Impact of BMI on Labour Market Outcomes**

*by*O'Neill, Donal & Sweetman, Olive

**Canonical Correlation and Assortative Matching: A Remark**

*by*Dupuy, Arnaud & Galichon, Alfred

**A Control Function Approach to Estimating Dynamic Probit Models with Endogenous Regressors, with an Application to the Study of Poverty Persistence in China**

*by*Giles, John T. & Murtazashvili, Irina

**A Simple Method to Visualize Results in Nonlinear Regression Models**

*by*Henderson, Daniel J. & Kumbhakar, Subal C. & Parmeter, Christopher F.

**Leisure Inequality in the United States: 1965-2003**

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*by*Wolf Dieter Heinbach & Markus Spindler

**Assessing Bond Market Integration in Asia**

*by*Ip-wing Yu & Laurence Fung & Chi-sang Tam

**Assessing Financial Market Integration In Asia - Equity Markets**

*by*Ip-wing Yu & Laurence Fung & Chi-sang Tam

**Computationally feasible estimation of the covariance structure in Generalized linear mixed models(GLMM)**

*by*Carling, Kenneth & Alam, Moudud

**A Convolution Estimator for the Density of Nonlinear Regression Observations**

*by*Støve, Bård & Tjøstheim, Dag

**Some new bivariate IG and NIG-distributions for modelling covariate nancial returns**

*by*Lillestøl, Jostein

**Spurious Instrumental Variables**

*by*Daniel Ventosa-Santaularia

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*by*Luciano Nakabashi & Marcio José Vargas da Cruz

**Efeitos do câmbio e juros sobre as exportações da indústria brasileira**

*by*Luciano Nakabashi & Marcio José Vargas da Cruz & Fábio Dória Scatolin

**Working Paper 10-07 - Foreign trade in Modtrim**

*by*Bart De Ketelbutter & Ludovic Dobbelaere & Filip Vanhorebeek

**How to Attain Minimax Risk with Applications to Distribution-Free Nonparametric Estimation and Testing**

*by*Karl H. Schlag

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*by*Ariza, Alfredo & Ugidos Olazabal, Arantza

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*by*Peter M. Robinson

**Income distribution and inequality**

*by*Frank Cowell

**Distributional orderings: an approach with seven flavours**

*by*Yoram Amiel & Frank Cowell & Wulf Gaertner

**Development and Validation of Credit-Scoring Models**

*by*Glennon, Dennis & Kiefer, Nicholas M. & Larson, C. Erik & Choi, Hwan-sik

**Instrumental Variable Quantile Estimation of Spatial Autoregressive Models**

*by*Liangjun Su & Zhenlin Yang

**Delivering Access to Safe Drinking Water and Adequate Sanitation in Pakistan**

*by*Faheem Jehangir Khan & Yaser Javed

**Is Entrepreneurial Success Predictable?: An Ex-ante Analysis of the Character-Based Approach**

*by*Marco Caliendo & Alexander S. Kritikos

**Lohnungleichheit innerhalb und zwischen Bevölkerungsgruppen in Deutschland und den USA**

*by*Heiko Peters

**Mean and Bold?**

*by*Kristof De Witte & Elbert Dijkgraaf

**Efficient Robust Estimation of Time-Series Regression Models**

*by*Cizek, P.

**Efficient Robust Estimation of Regression Models (Revision of DP 2006-08)**

*by*Cizek, P.

**Asymptotics for the Hirsch Index**

*by*Beirlant, J. & Einmahl, J.H.J.

**A Method of Moments Estimator of Tail Dependence**

*by*Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J.

**How to Determine the Order-up-to Level When Demand is Gamma Distributed with Unknown Parameters**

*by*Janssen, E. & Strijbosch, L.W.G. & Brekelmans, R.C.M.

**General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1)**

*by*Cizek, P.

**Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models**

*by*Cizek, P. & Haerdle, W. & Spokoiny, V.

**Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models**

*by*Cizek, P.

**Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?**

*by*Lajili, Souad

**Tilted Nonparametric Estimation of Volatility Functions**

*by*Peter C.B. Phillips & Ke-Li Xu

**Efficient importance sampling for ML estimation of SCD models**

*by*Luc, BAUWENS & Fausto Galli

**Bayesian VARs with Large Panels**

*by*Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia

**Understanding Index Option Returns**

*by*Broadie, Mark & Chernov, Mikhail & Johannes, Michael

**Efficient importance sampling for ML estimation of SCD models**

*by*BAUWENS, Luc & GALLI, Fausto

**Indirect estimation of elliptical stable distributions**

*by*LOMBARDI, Marco & VEREDAS, David

**Cointegration Vector Estimation By Dols For A Three-Dimensional Panel**

*by*Luis Fernando Melo & John Jairo León & Dagoberto Saboya

**On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models**

*by*Enrique Sentana & Gabriele Fiorentini

**A Specification Test For Nonparametric Instrumental Variable Regression**

*by*Patrick Gagliardini & Olivier Scaillet

**Efficient Estimation of the SemiparametricSpatial Autoregressive Model**

*by*Peter M Robinson

**Income Distribution and Inequality**

*by*Frank A Cowell

**Distributional Orderings: An Approach with Seven Flavours**

*by*Yoram Amiel & Frank A Cowell & Wulf Gaertner

**Human Capital and Economic Growth: Pakistan, 1960-2003**

*by*Abbas, Qaisar & Foreman-Peck, James

**Dynamic Stochastic General Equilibrium (DSGE) Priors for Bayesian Vector Autoregressive (BVAR) Models: DSGE Model Comparison**

*by*Theodoridis, Konstantinos

**Identification and Estimation in an Incoherent Model of Contagion**

*by*Massacci, D.

**The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models**

*by*Maurice J.G. Bun & Frank Windmeijer

**Micro versus Macro Cointegration in Heterogeneous Panels**

*by*Lorenzo Trapani & Giovanni Urga

**Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends**

*by*Chihwa Kao & Lorenzo Trapani & Giovanni Urga

**An Extended Class of Instrumental Variables for the Estimation of Causal Effects**

*by*Karim Chalak & Halbert White

**Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems**

*by*Susanne Schennach & Halbert White & Karim Chalak

**Returns to Lying? Identifying the Effects of Misreporting When the Truth is Unobserved**

*by*Yingyao Hu & Arthur Lewbel

**Enhanced routines for instrumental variables/GMM estimation and testing**

*by*Christopher F Baum & Mark E. Schaffer & Steven Stillman

**Les méthodes micro-économétriques d’évaluation**

*by*Fougère, D.

**Multipower Variation Under Market Microstructure Effects**

*by*Carla Ysusi

**Money Demand in an Open Economy: The Case of Argentina 1993-2006**

*by*Marisol Rodríguez Chatruc

**Do the World Trade Organization and the Generalized System of Preferences foster bilateral trade?**

*by*Bernhard Herz & Marco Wagner

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*by*Hartmut Kogelschatz

**Spatial Persistence of Demographic Shocks and Economic Growth**

*by*Théophile Azomahou & Claude Diebolt & Tapas Mishra

**Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9**

*by*Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter

**Power variation for Gaussian processes with stationary increments**

*by*Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij

**Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps**

*by*Mark Podolskij & Mathias Vetter

**Structural estimation of jump-diffusion processes in macroeconomics**

*by*Olaf Posch

**Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks**

*by*Viktor Todorov & Tim Bollerslev

**Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models**

*by*Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B.

**Self-Employment in Chile, long run trends and education and age structures changes**

*by*Esteban Puentes & Dante Contreras & Claudia Sanhueza

**An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model**

*by*Lisok, Helen & Kritskiy, Oleg

**Econometric Estimation of Credit Rating Transition Matrices**

*by*Chizhova, Anna

**Assessment of Multivariate Financial Risks of a Stock Share Portfolio**

*by*Kritski, Oleg & Ulyanova, Marina

**Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Investment Risk**

*by*Stikhova , Olga

**The Generalized Method of Moments**

*by*Slutskin, Lev

**Testing for Heteroskedasticity on the Bucharest Stock Exchange**

*by*Radu Lupu & Iulia Lupu

**Thinking about instrumental variables (in Russian)**

*by*Christopher A. Sims

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*by*Muhammad Arshad Khan & Ayaz Ahmed

**Turkiye'de Calisan Kadinlarin Cocuk Bakim Tercihleri**

*by*Hulya KAKICI & Asst. Prof. Hamdi EMEC & Prof.Dr.Senay UCDOGRUK

**Efficiency of Indian Manufacturing Firms: Textile Industry as a Case Study**

*by*Anup Kumar Bhandari & Pradip Maiti

**Comparación de Ponderaciones en Regresiones Probit Simultáneas en un Modelo para la Estimación de la Participación Laboral**

*by*Verónica Herrero & Mónica Bocco

**Satisfacción laboral y tipo de contrato en España**

*by*Carlos Gamero Burón

**Seasonally and Fractionally Differenced Time Series**

*by*Katayama, Naoya

**La ley de Okun: una relectura para México, 1970-2004**

*by*Eduardo Loría & Manuel G. Ramos.

**A Perspective on Unit Root and Cointegration in Applied Macroeconomics**

*by*W A Razzak

**Explaining The Gaps In Labour Productivity In Some Developed Countries: New Zealand, Australia, The United States And Canada, 1988-2004**

*by*RAZZAK, W.A.

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*by*Saaed, A.A.J.

**Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange**

*by*Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi

**Nairu en zone heureuse**

*by*Jean-Daniel Guigou

**Clusters – Characteristics and Structure**

*by*Nedko Mintchev

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*by*Agostinho S. Rosa

**Estimation of Industry Distribution of Statistical Discrepancy in National Accounts**

*by*Baoline Chen

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*by*Simon Broda & Marc Paolella & Yianna Tchopourian

**Using genetic algorithms to improve the term structure of interest rates fitting**

*by*Ricardo Gimeno & Juan M. Nave

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*by*Romulo A. Chumacero

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*by*Tino Berger & Gerdie Everaert

**Structural Estimation and Evaluation of Calvo-Style Inflation Models**

*by*Jean-Marie Dufour & Lynda Khalaf & Maral Kichian

**Spurious regression and econometric trends**

*by*Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-SantaulÃ ria & School of Economics, University of Guanajuato

**Control Function Corrections for Unobserved Factors in Differentiated Product Models**

*by*Amil Petrin & Kenneth Train

**Efficient Robust Estimation of Regression Models (Replaced by DP 2007-87)**

*by*Cizek, P.

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*by*Fic, Tatiana & Saqib, Omar Farooq

**Sermaye yapısı bileşenleri: kantil regresyon modeli**

*by*Ebru ÇAĞLAYAN

**Turkey as a candidate country for full membership in the European Union: A comparison with Maastricht criteria**

*by*Kılıç SÜLEYMAN BİLGİN & Mehmet Fatih CİN & Kenan LOPCU

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*by*Olivier Roodenburg & Ard H.J. den Reijer

**Resampling vs. Shrinkage for Benchmarked Managers**

*by*Michael Wolf

**Long memory with Markov-Switching GARCH**

*by*Krämer, Walter

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*by*Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan

**Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?**

*by*De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia

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*by*Joze P. Damijan & José de Sousa & Olivier Lamotte

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*by*Silvestro Di Sanzo

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*by*Hiroyuki Kasahara & Katsumi Shimotsu

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*by*Hiroyuki Kasahara & Katsumi Shimotsu

**Statistical Treatment Choice: An Application to Active Labour Market Programmes**

*by*Markus Frölich

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*by*Markus Frölich

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*by*Laura Mayoral

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*by*Marashdeh, Hazem & Saleh, Ali Salman

**A Further Look into the Demography-based GDP Forecasting Method**

*by*Tapas K. Mishra

**Returns to schooling in Uruguay**

*by*Graciela Sanromán

**EU Merger Remedies: A Preliminary Empirical Assessment**

*by*Duso, Tomaso & Gugler, Klaus & Yurtoglu, Burcin B.

**Annex A5 : A model of the stochastic convergence between euro area business cycles**

*by*Matthieu Lemoine

**A quoi réagit le marchés des obligations privées?**

*by*Marie Briere & Aurélie Cohen

**Semiparametric Estimation of Signaling Games**

*by*Kyoo il Kim

**Set Inference for Semiparametric Discrete Games**

*by*Kyoo il Kim

**Change-Point Estimation of Nonstationary I(d) Processes**

*by*Yu-Chin Hsu & Chung-Ming Kuan

**Inference in GARCH when some coefficients are equal to zero**

*by*Christian Francq & Jean-Michel ZakoÃ¯an

**On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics**

*by*Elena Kalotychou & Ana-Maria Fuertes

**Fiscal Policy in an estimated open-economy model for the EURO area**

*by*Ratto Marco & Roeger Werner & Veld Jan

**Semiparametric estimation in perturbed long memory series**

*by*Josu Arteche

**Back to square one: identification issues in DSGE models**

*by*Fabio Canova & Luca Sala

**Subsampling realised kernels**

*by*Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard

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*by*Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard

**An Extension of the Blinder-Oaxaca Decomposition to Non-Linear Models**

*by*Thomas Bauer & Mathias Sinning

**Monetary Policy Rules and Exchange Rates:A Structural VAR Identified by No Arbitrage**

*by*Sen Dong

**The Empirical Content of Models with Multiple Equilibria**

*by*Alberto Bisin & Andrea Moro & Giorgio Topa

**Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices**

*by*Carol Alexander & Andreas Kaeck

**Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions**

*by*Hugo Kruiniger

**Panels with Nonstationary Multifactor Error Structures**

*by*George Kapetanios & M. Hashem Pesaran & Takashi Yamagata

**GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data**

*by*Hugo Kruiniger

**Simple (but effective) tests of long memory versus structural breaks**

*by*Katsumi Shimotsu

**Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices**

*by*Hiroyuki Kasahara & Katsumi Shimotsu

**Moments of IV and JIVE Estimators**

*by*Russell Davidson & James G. MacKinnon

**Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models**

*by*Hiroyuki Kasahara & Katsumi Shimotsu

**Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Параллельные Вычисления В Математическом Моделировании Региональной Экономики // Параллельные Вычислительные Технологии - 2007. Труды Первой Международной Научной Конференции. Челябинск: Изд-Во Южно-Уральского Государственного Университета, 2007. C.140-151**

*by*Olenev, Nicholas

**The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation**

*by*Pötscher, Benedikt M.

**How Serious is Regional Economic Inequality in Jordan? Evidence from Two National Household Surveys**

*by*Shahateet, Mohammed

**Explaining the gaps in labour productivity for some developed countries**

*by*Razzak, Weshah

**Some Experiments on Fitting of Gielis Curves by Simulated Annealing and Particle Swarm Methods of Global Optimization**

*by*Mishra, SK

**The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model**

*by*Barnett, William A. & Usui, Ikuyasu

**Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions**

*by*Barnett, William A. & Duzhak, Evgeniya

**A dynamic model to estimate the long-run trends in potential GDP**

*by*Albu, Lucian-Liviu

**Metodologia - O Sector Informal em Moçambique: Resultados do Primeiro Inquérito Nacional (2005)**

*by*Calzaroni, Manlio & Cappiello, Antonio & Della Rocca, Giorgio & Di Zio, Marco & Martelli, Cristina & Pieraccini, Guido & Profili, Francesco & Tembe, Cirilo

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*by*Larrain, Felipe & Parro, Francisco

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*by*Sowell, Fallaw

**A Remark on the Asymptotic Distribution of the OLS Estimator for a Purely Autoregressive Spatial Model**

*by*Mynbaev, Kairat & Ullah, Aman

**Stochastic frontier models**

*by*Wang, Hung-Jen

**Efecto de la Competencia de la Educación Privada sobre la Calidad de la Educación Pública**

*by*Herrera Gómez, Marcos

**Synthetic and composite estimators for small area estimation under Lahiri – Midzuno sampling scheme**

*by*Pandey, Krishan & Tikkiwal, G.C.

**Die Arbeitslosenversicherung in Deutschland – Beitrag zur Bekämpfung oder Ursache von Arbeitslosigkeit**

*by*Breiding, Torsten

**Estimation of Technical and Allocative Inefficiencies in a Cost System: An Exact Maximum Likelihood Approach**

*by*Tsionas, Efthymios & Kumbhakar, Subal

**Econometric Assessment of the Trend in Cocoyam Production in Nigeria, 1960/61-2003/2006**

*by*Okoye, B.C & Asumugha, G.N & Okezie, C.A & Tanko, L & Onyenweaku, C.E

**Allocative Efficiency of Small-Holder Cocoyam Farmers in Anambra State, Nigeria**

*by*Okoye, B.C & Onyenweaku, C.E & Asumugha, G.N

**systemfit: A Package to Estimate Simultaneous Equation Systems in R**

*by*Henningsen, Arne & Hamann, Jeff

**Decomposing violence: terrorist murder in the twentieth century in the U.S**

*by*Gomez-Sorzano, Gustavo

**A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited**

*by*Alain Coen & Francois-Éric Racicot

**Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors**

*by*Francois-Éric Racicot & Raymond Théoret & Alain Coen

**Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators**

*by*Martin Browning & Sule Alan

**Subsampling realised kernels**

*by*Neil Shephard & Ole E. Barndorff-Nielsen

**Subsampling realised kernels**

*by*Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard

**Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise**

*by*Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard

**Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand**

*by*Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik

**Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles**

*by*Qin Xiao & Randolph Gee Kwang Tan

**Modelling and forecasting Australian domestic tourism**

*by*George Athanasopoulos & Rob J. Hyndman

**The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation**

*by*Giovanni Forchini

**Reduced-Dimension Control Regression**

*by*John Galbraith & Victoria Zinde-Walsh

**Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions**

*by*Serguei Zernov & Victoria Zindle-Walsh & John Galbraith

**Irrelevant but highly persistent instruments in stationary regressions with endogenous variables containing near-to-unit roots**

*by*Ekaterini Panopoulou & Nicolaos Kourogenis & Nikitas Pittis

**The Asymptotics for Panel Models with Common Shocks**

*by*Chihwa Kao & Lorenzo Trapani & Giovanni Urga

**Estimation of Approximate Factor Models: Is it Important to have a Large Number of Variables?**

*by*Chris Heaton & Victor Solo

**Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle**

*by*Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara

**Perception of the Risks Associated with Impaired Driving and Effects on Driving Behavior**

*by*Georges Dionne & Claude Fluet & Denise Desjardins

**A Note on the Correlated Random Coefficient Model**

*by*Christophe Kolodziejczyk

**Retirement and Fixed Costs to Work: An Empirical Analysis**

*by*Christophe Kolodziejczyk

**Methodology of Correcting Nonresponse Bias: Introducing Another Bias? The Case of the Swiss Innovation Survey 2002**

*by*Nora Sydow

**Returns to Schooling in Kazakhstan: OLS and Instrumental Variables Approach**

*by*G. Reza Arabsheibani & Altay Mussurov

**Returns to Schooling in Kazakhstan: OLS and Instrumental Variables Approach**

*by*Arabsheibani, Reza & Mussurov, Altay

**Panels with Nonstationary Multifactor Error Structures**

*by*Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi

**Panels with Nonstationary Multifactor Error Structures**

*by*George Kapetanios & M. Hashem Pesaran & Takashi Yamagata

**Does the Quality of Training Programs Matter? Evidence from Bidding Processes Data**

*by*Chong, Alberto & Galdo, Jose C.

**Does the Quality of Training Programs Matter? Evidence from Bidding Processes Data**

*by*Alberto Chong & Jose Galdo

**Statistical Treatment Choice: An Application to Active Labour Market Programmes**

*by*Markus Frölich

**Statistical Treatment Choice: An Application to Active Labour Market Programmes**

*by*Frölich, Markus

**A Note on Parametric and Nonparametric Regression in the Presence of Endogenous Control Variables**

*by*Markus Frölich

**A Note on Parametric and Nonparametric Regression in the Presence of Endogenous Control Variables**

*by*Frölich, Markus

**Una Revisión Sobre Los Métodos De Estudio Y Evaluación En Las Políticas Activas De Empleo**

*by*F. Alfonso Arellano Espinar

**Modeling The Euro Overnight Rate**

*by*Ángel León & Francis Benito & Juan Nave

**International Trade Efficiency, the Gravity Equation, and the Stochastic Frontier**

*by*Heejoon Kang & Michele Fratianni

**Supply response of Indian farmers: Pre and post reforms**

*by*G. Mythili

**No Linealidades en la Regla de Política Monetaria del Banco Central de Chile: Una Evidencia Empírica**

*by*Pablo Gonzalez & Mauricio Tejada

**The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?**

*by*Wagner, Martin

**Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems**

*by*Müller-Fürstenberger, Georg & Wagner, Martin

**GMM for panel count data models**

*by*Frank Windmeijer

**Nonparametric instrumental variables estimation of a quantile regression model**

*by*Joel Horowitz & Sokbae 'Simon' Lee

**Efficient estimation of the semiparametric spatial autoregressive model**

*by*Peter Robinson

**U.S. Universities' Net Returns from Patenting and Licensing: A Quantile Regression Analysis**

*by*Harun Bulut & GianCarlo Moschini

**Korrekturverfahren zur Berechnung der Einkommen über der Beitragsbemessungsgrenze**

*by*Binder, Jan & Schwengler, Barbara

**The Uniqueness of Extremum Estimation**

*by*Volker Krätschmer

**Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing**

*by*Zdenek Hlavka & Michal Pesta

**Forward and reverse representations for Markov chains**

*by*Grigori Milstein & John Schoenmakers & Vladimir Spokoiny

**Spatial aggregation of local likelihood estimates with applications to classification**

*by*Denis Belomestny & Vladimir Spokoiny

**Time Dependent Relative Risk Aversion**

*by*Enzo Giacomini & Michael Handel & Wolfgang K. Härdle

**Estimation with the Nested Logit Model: Specifications and Software Particularities**

*by*Nadja Silberhorn & Yasemin Boztug & Lutz Hildebrandt

**Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms**

*by*Carsten Trenkler

**Calibration Risk for Exotic Options**

*by*Kai Detlefsen & Wolfgang Härdle

**Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors**

*by*Eiji Kurozumi & Kazuhiko Hayakawa

**The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models**

*by*Kazuhiko Hayakawa & Eiji Kurozumi

**Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks**

*by*Sugita, Katsuhiro

**A Monte Carlo Study of Recent Ridge Parameters**

*by*Alkhamisi, Mahdi A. & Shukur, Ghazi

**Time Series Modelling Of High Frequency Stock Transaction Data**

*by*Quoreshi, Shahiduzzaman

**A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data**

*by*Quoreshi, Shahiduzzaman

**LongMemory, Count Data, Time Series Modelling for Financial Application**

*by*Quoreshi, Shahiduzzaman

**On the evaluation of the cost efficiency of nonresponse rate reduction efforts - some general considerations**

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**Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments**

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**Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures**

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**Business Cycle Transmission from the US to Germany: a Structural Factor Approach**

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**Tests of Independence in Separable Econometric Models**

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**Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots**

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**General Diagnostic Tests for Cross Section Dependence in Panels**

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**Random Coefficient Panel Data Models**

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**Unit Root Tests in Three-Regime SETAR Models**

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**General Trimmed Estimation: Robust Approach to Nonlinear and Limited Dependent Variable Models**

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**Mandelbrot's Extremism**

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**Principal Component Analysis Based on Robust Estimators of the Covariance or Correlation Matrix: Influence Functions and Efficiencies**

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**A non parametric analysis of distributions of household income and attributes**

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**Parametric and Nonparametric Augmented GPH Estimation**

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**Missing Values in Vector Time Series**

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**A Bivariate Distribution Function Estimator and Its Variance under Left Truncation and Right Censoring**

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**Moment Estimation with Attrition**

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**On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests**

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**Empirics for Growth and Distribution: Stratification, Polarization, and Convergence Clubs**

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**A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap**

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**Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada**

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**Bootstrap Methods for Median Regression Models**

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**Marginal Effects in the Bivariate Probit Model**

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**Nonparametric Inference by Quasi-Likelihood Methods**

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**An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests**

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**The Robustness of Estimators for Dynamic Panel Data Models to Misspecification**

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**A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information**

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**Testing for Serial Correlation in the of Dynamic Heteroscedasticity**

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**Estimation of Regression Disturbances Based on Minimum Message Length**

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**Using the EM Algorithm with Complete, but Scrambled, data**

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**A Comparative Analysis of Different Estimatiors for Dynamic Panel data Models**

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**Estimating Daily Volatility from Intraday Data**

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**Business Forecasting with Exponential Smoothing : Computation of Prediction Intervals**

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**A Test to Compare two Related Stationary Time Series**

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**Multimarket Power Estimation: The Australian Retail Meat Sector**

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**Time Series Evidence of Global Warming**

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**A Note on Spurious Break and Regime Shift in Cointegrating Relationship**

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**Determinants of Aggregate Primary Commodity Export Supply : Econometric Results from African Countries**

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**Correlated Errors-in-Variables, too Few Instrumental Variables, and Bounds on Parameters**

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**Estimation Through The Imprecise Goal Programming Model**

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