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Citations for "Two Stage and Related Estimators and Their Applications"

by Pagan, Adrian

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  1. Dr.Godwin Chukwudum Nwaobi, 2004. "Money And Output Interraction In Nigeria," Macroeconomics 0405012, EconWPA.
  2. Bernardo Maggi & Marco Guida, 2011. "Modelling non-performing loans probability in the commercial banking system: efficiency and effectiveness related to credit risk in Italy," Empirical Economics, Springer, vol. 41(2), pages 269-291, October.
  3. Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
  4. Kaufmann, Daniel & Mehrez, Gil & Schmukler, Sergio L., 2005. "Predicting currency fluctuations and crises: Do resident firms have an informational advantage?," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 1012-1029, October.
  5. Ardagna, Silvia, 2004. "Fiscal stabilizations: When do they work and why," European Economic Review, Elsevier, vol. 48(5), pages 1047-1074, October.
  6. Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2005. "The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty," Working Papers 2005_27, Business School - Economics, University of Glasgow.
  7. Magda Kandil, 2011. "Financial flows to developing and advanced countries: determinants and implications," International Journal of Development Issues, Emerald Group Publishing, vol. 10(1), pages 60-91, April.
  8. Magda Kandil, 2010. "Demand shocks and the cyclical behavior of the real wage: Some international evidence," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 135-158, May.
  9. Newman, John L. & Lavy, Victor & Salomon, Raoul & de Vreyer, Philippe, 1990. "Firms'responses to relative price changes in Cote d'Ivoire : the implications for export subsidies and devaluations," Policy Research Working Paper Series 550, The World Bank.
  10. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  11. Audrino, Francesco, 2006. "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3032-3052, July.
  12. McKenzie, C.R. & Kapuscinski, C.A., 1997. "Estimation in a linear model with serially correlated errors when observations are missing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 44(1), pages 1-9.
  13. Jaumandreu, Jordi & Lorences, Joaquin, 2002. "Modelling price competition across many markets (An application to the Spanish loans market)," European Economic Review, Elsevier, vol. 46(1), pages 93-115, January.
  14. George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society.
  15. M. Suresh Babu, 2002. "Economic reforms and entry barriers in Indian manufacturing," Centre for Development Studies, Trivendrum Working Papers 331, Centre for Development Studies, Trivendrum, India.
  16. Claus Brand & Daniel Buncic & Jarkko Turunen, 2010. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1266-1298, December.
  17. Gilbert, Christopher L., 1990. "The rational expectations hypothesis in models of primary commodity prices," Policy Research Working Paper Series 384, The World Bank.
  18. G. C. Lim & C. R. McKenzie, 1998. "Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 181-190.
  19. Kandil, Magda, 1995. "Cyclical fluctuations across industries of the United States: Evidence and implications," Journal of Economics and Business, Elsevier, vol. 47(1), pages 17-37, February.
  20. Kandil, Magda, 1998. "Supply-Side Asymmetry and the Non-Neutrality of Demand Fluctuations," Journal of Macroeconomics, Elsevier, vol. 20(4), pages 785-809, October.
  21. MEDDAHI, Nour & RENAULT, Éric, 1998. "Quadratic M-Estimators for ARCH-Type Processes," Cahiers de recherche 9814, Universite de Montreal, Departement de sciences economiques.
  22. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  23. Louis Lévy-Garboua & Claude Montmarquette, 2004. "Reported job satisfaction : What does it mean?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00203197, HAL.
  24. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
  25. Magda Kandil, 2006. "On the transmission of exchange rate fluctuations to the macroeconomy: Contrasting evidence for developing and developed countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 15(1), pages 101-127.
  26. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  27. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
  28. Audrino, Francesco & Trojani, Fabio, 2011. "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 138-149.
  29. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364.
  30. Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
  31. Amir Kia & Ali F. Darrat, 2003. "Modeling Money Demand under the Profit-Sharing Banking Scheme: Evidence on Policy Invariance and Long-Run Stability," Carleton Economic Papers 03-13, Carleton University, Department of Economics, revised Apr 2007.
  32. Kandil, Magda, 2001. "Asymmetry in the effects of us government spending shocks: evidence and implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(2), pages 137-165.
  33. Tim BOLLERSLEV & Ray Y. CHOU & Narayanan JAYARAMAN & Kenneth F. KRONER, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ENSAE, issue 24, pages 1-59.
  34. Per Pettersson-Lidbom, 2010. "Dynamic Commitment and the Soft Budget Constraint: An Empirical Test," American Economic Journal: Economic Policy, American Economic Association, vol. 2(3), pages 154-79, August.
  35. Kandil, Magda & Woods, Jeffrey G., 2002. "Convergence of the gender gap over the business cycle: a sectoral investigation," Journal of Economics and Business, Elsevier, vol. 54(3), pages 271-292.
  36. S. Holle & M. Demertzis, 2002. "External Wealth and the Trade Balance: A Time-Series Analysis for the Netherlands," WO Research Memoranda (discontinued) 716, Netherlands Central Bank, Research Department.
  37. Aviv Nevo, 2001. "Using Weights to Adjust for Sample Selection When Auxiliary Information is Available," NBER Technical Working Papers 0275, National Bureau of Economic Research, Inc.
  38. Hutson, Elaine & Kearney, Colm, 2005. "Merger arbitrage and the interaction between target and bidder stocks during takeover bids," Research in International Business and Finance, Elsevier, vol. 19(1), pages 1-26, March.
  39. Landon, Stuart & Smith, Constance, 1998. "Quality expectations, reputation, and price," MPRA Paper 9774, University Library of Munich, Germany.
  40. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University.
  41. Kia, Amir, 2003. "Rational speculators and equity volatility as a measure of ex ante risk," Global Finance Journal, Elsevier, vol. 14(2), pages 135-157, July.
  42. Junttila, Juha, 2001. "Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Finland," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 577-599, October.
  43. Godwin Nwaobi, 2004. "Money and output interaction in Nigeria: an econometric investigation using multivariate cointegration technique," Economics Bulletin, AccessEcon, vol. 3(30), pages 1-10.
  44. Kandil, Magda, 2006. "Variation in the effects of government spending shocks with methods of financing: Evidence from the U.S," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 463-486.
  45. Yau, Ruey & Hueng, C. James, 2000. "Sources of Persistence in Cross-Country Income Disparities: A Structural Analysis," Journal of Macroeconomics, Elsevier, vol. 22(4), pages 611-630, October.
  46. McKenzie, C.R., 1997. "The properties of some two step estimators of ARMA Models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 451-456.
  47. Zhelonkin, Mikhail & Genton, Marc G. & Ronchetti, Elvezio, 2012. "On the robustness of two-stage estimators," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 726-732.
  48. Baum, Christopher F. & Caglayan, Mustafa, 2010. "On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 79-93, February.
  49. Kandil, Magda, 2007. "The wage-price spiral: International evidence and implications," Journal of Economics and Business, Elsevier, vol. 59(3), pages 212-240.
  50. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
  51. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
  52. Costas Meghir & Whitehouse, E, 1995. "Labour market transitions and retirement of men in the UK," IFS Working Papers W95/10, Institute for Fiscal Studies.
  53. Kia, Amir & Darrat, Ali F., 2007. "Modeling money demand under the profit-sharing banking scheme: Some evidence on policy invariance and long-run stability," Global Finance Journal, Elsevier, vol. 18(1), pages 104-123.
  54. Leonardo Hernández, 1991. "Credibilidad, Problema Peso y Comportamiento de las Tasas de Interés: Chile 1979-1982," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 28(85), pages 385-410.
  55. Mustafa Caglayan & Neslihan Ozkan & Christopher F Baum, 2002. "The Impact of Macroeconomic Uncertainty on Bank Lending Behavior," Research Papers 2002_02, University of Liverpool Management School.
  56. Amir Kia, 2002. "Demand for Money, Economic Policies, and Stability," Emory Economics 0211, Department of Economics, Emory University (Atlanta).
  57. Jose Angelo Divino & Michael McAleer, 2009. "Modelling Sustainable International Tourism Demand to the Brazilian Amazon," Documentos de Trabajo del ICAE 0913, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  58. Richard Blundell & Thomas MaCurdy, 1998. "Labour supply: a review of alternative approaches," IFS Working Papers W98/18, Institute for Fiscal Studies.
  59. Landon, Stuart, 1995. "Testing aggregate neutrality with heterogeneous sectors," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 131-148.
  60. Baum, Christopher F. & Caglayan, Mustafa & Ozkan, Neslihan, 2009. "The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds," Economics Letters, Elsevier, vol. 102(2), pages 87-89, February.
  61. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  62. Bernardo Maggi & Marco Guida, 2009. "Modeling non performing loans probability in the commercial banking system: efficiency and effectiveness related to credit risk in Italy," Working Papers - Dipartimento di Economia 1, Dipartimento di Economia, Sapienza University of Rome, revised 2009.
  63. Giulia Bettin & Riccardo Lucchetti, 2009. "Instrumental Variable Interval Regression," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
  64. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
  65. Baum, Christopher F. & Caglayan, Mustafa & Ozkan, Neslihan & Talavera, Oleksandr, 2006. "The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity," Review of Financial Economics, Elsevier, vol. 15(4), pages 289-304.
  66. Thorsten Vogel, 2006. "Reassessing Intergenerational Mobility in Germany and the United States: The Impact of Differences in Lifecycle Earnings Patterns," SFB 649 Discussion Papers SFB649DP2006-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  67. Kandil, Magda & Mirzaie, Aghdas, 2002. "Exchange rate fluctuations and disaggregated economic activity in the US: theory and evidence," Journal of International Money and Finance, Elsevier, vol. 21(1), pages 1-31, February.
  68. Robert J. Lemke & Robert J. Witt & Ann Dryden Witte, 2004. "The Transition from Welfare to Work," School of Economics Discussion Papers 0504, School of Economics, University of Surrey.
  69. Robert P. Trost & G.S. Maddala & Hongyi Li, 1996. "Estimation des élasticités de court et de long termes de la demande d'électricité sur données de panel à partir d'estimateurs à rétrécisseur," Économie et Prévision, Programme National Persée, vol. 126(5), pages 127-141.
  70. Christopher F. Baum & Mustafa Caglayan, 2008. "The Volatility of International Trade Flows and Exchange Rate Uncertainty," Boston College Working Papers in Economics 695, Boston College Department of Economics.
  71. Kandil, Magda & Mirzaie, Ida Aghdas, 2003. "The effects of dollar appreciation on sectoral labor market adjustments: Theory and evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 89-117.
  72. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
  73. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2003. "The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms," Boston College Working Papers in Economics 566, Boston College Department of Economics.
  74. Vredin Johansson, Maria & Heldt, Tobias & Johansson, Per, 2006. "The effects of attitudes and personality traits on mode choice," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(6), pages 507-525, July.
  75. James D. Hamilton & Seth Pruitt & Scott C. Borger, 2009. "The market-perceived monetary policy rule," International Finance Discussion Papers 982, Board of Governors of the Federal Reserve System (U.S.).
  76. Hutson, Elaine & Kearney, Colm, 2001. "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 273-296, July.
  77. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
  78. Calmès, Christian & Théoret, Raymond, 2014. "Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 388-402.
  79. Pettersson-Lidbom, Per & Dahlberg, Matz, 2003. "An Empirical Approach for Evaluating Soft Budget Constraints," Working Paper Series 2003:28, Uppsala University, Department of Economics.
  80. Michael S. Gibson, 1997. "The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships," International Finance Discussion Papers 584, Board of Governors of the Federal Reserve System (U.S.).
  81. Amir Kia, 2006. "Economic policies and demand for money: evidence from Canada," Applied Economics, Taylor & Francis Journals, vol. 38(12), pages 1389-1407.
  82. Magda Kandil, 2009. "Public Spending and the Macroeconomy: Evidence from Developing and Developed Countries," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(2), pages 133-158, August.
  83. Christian Calmès & Raymond Théoret, 2012. "Bank systemic risk and the business cycle: Canadian and U.S. evidence," RePAd Working Paper Series UQO-DSA-wp022012, Département des sciences administratives, UQO.
  84. Kandil, Magda, 2009. "Demand-side stabilization policies: What is the evidence of their potential?," Journal of Economics and Business, Elsevier, vol. 61(3), pages 261-276.
  85. Taylor, Nicholas, 2007. "A note on the importance of overnight information in risk management models," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 161-180, January.
  86. McAvinchey, I. & McCausland, W.D., 2007. "The Euro, income disparity and monetary union," Journal of Policy Modeling, Elsevier, vol. 29(6), pages 869-877.
  87. Newman, John L. & Lavy, Victor & de Vreyer, Philippe, 1995. "Export and output supply functions with endogenous domestic prices," Journal of International Economics, Elsevier, vol. 38(1-2), pages 119-141, February.
  88. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, vol. 6(2), pages 77-95.
  89. repec:ebl:ecbull:v:3:y:2004:i:30:p:1-10 is not listed on IDEAS
  90. Ackerberg, Daniel & Caves, Kevin & Frazer, Garth, 2006. "Structural identification of production functions," MPRA Paper 38349, University Library of Munich, Germany.
  91. Christian Calmès & Raymond Théoret, 2011. "Bank systemic risk and the business cycle: An empirical investigation using Canadian data," RePAd Working Paper Series UQO-DSA-wp322011, Département des sciences administratives, UQO.