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Content
2003
- 2003-W20 Multimodality in the GARCH Regression Model
by Jurgen A. Doornik & Marius Ooms - 2003-W19 Power variation & stochastic volatility: a review and some new results
by Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard - 2003-W17 Sub-sample Model Selection Procedures in Gets Modelling
by David F. Hendry & Hans-Martin Krolzig - 2003-W17 Power and bipower variation with stochastic volatility and jumps
by Ole E. Barndorff-Nielsen & Neil Shephard - 2003-W16 Wage and Price Phillips Curves An empirical analysis of destabilizing wage-price spirals
by Peter Flaschel & Hans-Martin Krolzig - 2003-W15 General-to-Specific Model Selection Procedures for Structural Vector Autoregressions
by Hans-Martin Krolzig - 2003-W14 The Properties of Automatic Gets Modelling
by David Hendry & Hans-Martin Krolzig - 2003-W13 Comparison of Model Reduction Methods for VAR Processes
by Ralf Brüggemann & Hans-Martin Krolzig & Helmut Lütkepohl - 2003-W12 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
by Ole E. Barndorff-Nielsen & Neil Shephard - 2003-W11 Correlograms for non-stationary autoregressions
by Bent Nielsen - 2003-W10 Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
by H. Peter Boswijk & Jurgen Doornik - 2003-W09 Risk Aversion over Incomes and Risk Aversion over Commodities
by Juan E. Martinez-Legaz & John K.-H. Quah - 2003-W07 The Evolution of Conflict under Inertia
by Thomas Norman - 2003-W06 The Evolution of Coordination under Inertia
by Thomas Norman - 2003-W05 Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices
by Heino Bohn Nielsen & Christopher Bowdler - 2003-W04 Openness and the Output-Inflation Tradeoff
by Christopher Bowdler - 2003-W03 Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
by Clive G. Bowsher
2002
- 2003-W02 Using and Abusing Economic Theory
by Paul Klemperer - 2002-W24 Power Variation and Time Change
by Ole E. Barndorff-Nielsen & Neil Shephard - 2002-W23 A Model of Jury Decisions Where All Jurors Have the Same Evidence
by Franz Dietrich & Christian List - 2002-W22 Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models
by Clive Bowsher - 2002-W21 Measuring and forecasting financial variability using realised variance with and without a model
by Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi - 2002-W20 Some Observations on the British and German 3G Telecom Auctions
by Paul Klemperer - 2002-W19 Likelihood-based estimation of latent generalised ARCH structures
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - 2002-W18 Heterotic Models of Aggregate Demand
by Gael Giraud & John Quah - 2002-W17 Testing the Assumptions Behind the Use of Importance Sampling
by Siem Jan Koopman & Neil Shephard - 2002-W16 Unemployment, Labour Market Institutions and Shocks
by Luca Nunziata - 2002-W15 A Model of Path-Dependence in Decisions over Multiple Propositions
by Christian List - 2002-W14 Buyer Countervailing Power versus Monopoly Power: Evidence from Experimental Posted-Offer Markets
by Jim Engle-Warnick & Bradley Ruffle - 2002-W6 The Stationery Distribution of Wealth with Random Shocks
by Christopher Bliss - 2002-W3 The Law of Demand and Risk Aversion
by John Quah - 2002-W1 Dynamics of trade-by-trade price movements: decomposition and models
by Tina Hviid Rydberg & Neil Shephard
2001
- 2002-W13 Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
by Ole E. Barndorff-Nielsen & Neil Shephard - 2002-W12 Forecasting in the Presence of Structural Breaks and Policy Regime Shifts
by David Hendry & Grayham E. Mizon - 2002-W11 Economic Forecasting: Some Lessons from Recent Research
by David Hendry & Michael P. Clements - 2002-W10 Model Identification and Non-unique Structure
by David Hendry & Maozu Lu & Grayham E. Mizon - 2001-W29 Institutions and Wage Determination: a Multi-Country Approach
by Luca Nunziata - 2001-W28 Inferring Buyer Strategies and their Impact on Monopolist Pricing
by Jim Engle-Warnick & Bradley Ruffle - 2001-W27 Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models
by Jurgen A. Doornik & Marius Ooms - 2001-W26 Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"
by Siddhartha Chib & Neil Shephard - 2001-W25 Some recent developments in stochastic volatility modelling
by Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard - 2001-W24 Comparative Statics and Welfare Theorems When Goods Are Normal
by John Quah - 2001-W23 Complex Collective Decisions and the Probability of Collective Inconsistencies
by Christian List - 2001-W21 GMM Estimation of Empirical Growth Models
by Stephen Bond & Anke Hoeffler & Jonathan Temple - 2001-W20 Estimating quadratic variation using realised volatility
by Ole E. Barndorff-Nielsen & Neil Shephard - 2001-W19 IMF Conditionality
by Giulio Federico - 2001-W18 Realised power variation and stochastic volatility models
by Ole E. Barndorff-Nielsen & Neil Shephard - 2001-W17 Hyperbolic Discounting and Secondary Markets
by Volker Nocke & Martin Pietz - 2001-W16 How accurate is the asymptotic approximation to the distribution of realised volatility?
by Ole E. Barndorff-Nielsen & Neil Shephard - 2001-W15 The Fragility and Robustness of Trust
by Jim Engle-Warnick & Robert L. Slonim - 2001-W14 Inferring Strategies from Observed Actions: A Nonparametric, Binary Tree Classification Approach
by Jim Engle-Warnick - 2001-W13 Inferring Repeated Game Strategies From Actions: Evidence From Trust Game Experiments
by Jim Engle-Warnick & Robert L. Slonim - 2001-W12 Demand is heterogenous in grandmonts model
by John Quah - 2001-W11 A simple dynamic model for limited dependent variables
by Frank Gerhard - 2001-W10 Order determination in general vector autoregressions
by Bent Nielsen - 2002-W9 Pooling of Forecasts
by David Hendry & Michael P. Clements - 2002-W7 Autoregressive conditional root model
by Anders Rahbek & Neil Shephard - 2002-W5 How (Not) to Run Auctions: the European 3G Telecom Auctions
by Paul Klemperer - 2002-W4 The Biggest Auction Ever: the Sale of the British 3G Telecom Licenses
by Ken Binmore & Paul Klemperer - 2001-W9 Asymptotic properties of least squares statistics in general vector autoregressive models
by Bent Nielsen - 2001-W8 Higher order variation and stochastic volatility models
by Ole E. Barndorff-Nielsen & Neil Shephard - 2001-W7 On Short-Term Contracts Regulations
by Luca Nunziata & Stefano Staffolani - 2001-W6 Normal modified stable processes
by Ole E. Barndorff-Nielsen & Neil Shephard - 2001-W3 Comparative Statics of the Weak Axiom
by John Quah - 2001-W2 Firm Level Investment and R&D in France and the United States: A Comparison
by Benoit Mulkay & Bronwyn H. Hall & Jacques Mairesse - 2001-W1 Integrated OU Processes
by Ole E. Barndorff-Nielsen & Neil Shephard
2000
- 2000-w15 The Right Choice at the Right Time: a Herding Experiment in Endogenous Time
by Sgroi, D. - 2000-w14 Optimizing Information in the Herd: Guinea Pigs, Profit and Welfare
by Sgroi, D. - 2000-w13 Pro Arguments, Con Arguments and Status Quo Bias in Multi-Issue Decision Problems
by Spiegler, R. - 2000-w12 Weak Axiomatic Demand Theory
by Quah, J.K.-H. - 2000-w11 Does Competition Solve the Hold-Up Problem?
by Felli, L. & Roberts, K. - 2000-w10 Wage-Tenure Contracts in a Frictional Labour Market: Firms' Stratgies for Recruitment and Retention
by Stevens, M. - 2002-W8 Forecast Failure, Expectations Formation, and the Lucas Critique
by David Hendry - 2001-W5 Bidding in an electricity pay-as-bid auction
by Giulio Federico & David Rahman - 2001-W4 Econometric analysis of realised volatility and its use in estimating stochastic volatility models
by Ole E. Barndorff-Nielsen & Neil Shephard - 2000-w9 Reconciling Theoretical and Empirical Human Capital Earnings Functions
by Stevens, M. - 2000-w4 R&D and Growth at the Industry Level
by Cameron, G. - 1999-w9/2000-w3 Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics
by Barndorff-Nielsen, O.E. & Shepard, N.
1999
- 1999-w20 Income Inequality and Macroeconomic Volatility: an Empirical Investigation
by Breen, R. & Garcia-Penalosa, C. - 1999-w17 Competition and Hold-Ups
by Felli, L. & Roberts, K. - 1999-w16 Heart of Darkness: Public-Private Interaction Inside the R&D Black Box
by David, P.A. & Hall, B.H. - 1999-w12 Auction Theory: a Guide to the Literature
by Klemperer, P. - 1999-w11 The Tobacco Deal
by Bulow, J. & Klemperer, P. - 1999-w10 Pension Systems in Open Economy
by Casarico, A. - 1999-w7 Earnings, Unemployment, and Housing: Evidence from a Panel of British Regions
by Cameron, G. & Muellbauer, J. - 1999-w6 Takeover Likelihood Models for UK Quoted Companies
by Nuttal, R. - 1999-w5 An Empirical Analysis of the Effects of the Threat of Takeover on UK Company Performance
by Nuttal, R. - 1999-w4 Should Firms be Required to Pay for Vocational Training?
by Stevens, M. - 1999-w3 Innovation and Market Value
by Hall, B.H. - 1999-w2 Covariate Measurement Error in Quadratic Regression
by Kuha, J. & Temple, J. - 1999-w1 Sophisticated Play by Idiosyncratic Agents
by Myatt, D.P. & Wallace, C. - 9927 Multidimensional Inequality Measurement: a Proposal
by List, C. - 9926 The Effects of Labour Market Institutions on the Employment Dynamics over the Cycle
by Nunziata, L. - 9924 Why did UK Manufacturing Productivity Growth Slow Down in the 1970s and Speed Up in the 1980s?
by Cameron, G. - 9922 Instant Exit from the War of Attrition
by Myatt, D.P.
1998
- 150 Status Effects and Neganive Utility Growth
by Cooper, B. & Garcia-Penalosa, C. - 149 A Theory of the Onset of Currency Attacks
by Morris, S. & Shin, H.S. - 148 Catch-Up and Leapfrog Between The USA and Japan
by Cameron, G. - 146 Likelihood INference for Discretely Observed Non-linear Diffusions
by Elerian, O. & Chib, S. & Shephard, N. - 145 The Ergodic Distribution of Wealth with Random Shocks
by Bliss, C. - 144 Evolving Patterns of International Trade
by Proudman, J. & Redding, S. - 143 Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years
by Hall, B. & Mairesse, J. & Mulkay, B. - 142 Does Cash Flow cause Investment and R&D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms
by Hall, B. & Mairesse, J. & Branstetter, L. & Crepon, B. - 141 Aggregation and Model Construction for Volatility Models
by Barndorf-Nielsen, O.E. & Shephard, N.
1997
- 140 Dynamic Comparative Advantage and the Welfare Effects of Trade
by Redding, S. - 139 Informational Herding and Optimal Experimentation
by Smith, L. & Sorensen, P. - 137 Equilibrium Departures From Common Knowledge in Games With Non-Additive Expected Utility
by Mukerji, S. & Song Shin, H. - 135 A Ratioanl Learning Model of Gender Segregation in Labour Markets
by Breen, R. & Garcia-Penalosa, C. - 134 Almost Common Value Auctions: The "Wallet Game" and its Applications to Takeover Battles and Airwaves Auctions
by Klemperer, P. - 131 Asymptotic Results for Cointegration Tests in Non-Stable Cases
by Nielsen, B - 130 Adaptive Dynamics with Payoff Heterogeneity
by Myatt, D-P & Wallace, C - 129 Dynamic Pollution Games
by Mason, R
1996
- 22 & 116 Human capital, equipment investment, and industrialization
by Jonathan Temple & Hans-Joachim Voth - 21 & 114 Social capability and economic development
by Jonathan Temple & Paul Johnson - 20 & 113 Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
by Michael K Pitt & Neil Shephard - 19. & 111. Nonparametric inference by quasi-likelihood methods'/A>Size-v0: 198,000
by Richard H Spady - 128 An Option-Based Model of Equilibrium Credit Rationing
by Mason, R - 127 The Monotonicity of Individual and Market Demand
by Quah, J-K-H - 126 Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks
by Morris, S & Song Shin, H - 125 Booms and Busts in the UK Housing Market
by Muellbauer, J & Murphy, A - 124 Adversarial and Inquisitorial Procedures in Arbitration
by Song Shin, H - 120 Skewness of Earnings and the Believability Hypothesis : How Does the Financial Market Discount Accounting Earnings Disclosures?
by Krishnan, M & Sankaraguruswamy, S & Song Shin, H - 117 Bringing Income Distribution in from the Cold
by Atkinson, A-B - 115 Pathological Outcomes of Observational Learning
by Smith, L. & Sorensen, P. - 112 Inequality, Market Structure, and Growth: A Neo-Schumpeterian Perspective
by Li, C.W. - 111 Nonparametric Inference by Quasi-Likelihood Methods
by Spady, R.H.
1995
- 18 & 106. Testing the augmented Solow Model
by Jonathan Temple - 15 & 108. Likelihood analysis of non-Gaussian parameter driven models
by Neil Shephard & Michael K Pitt - 13 & 103. Income Distribution in Europe and the United States
by A B Atkinson - 11 & 98. Bartlett correction of the unit root test in autoregressive models
by Bent Nielsen - 110 Knowledge, Physical Capital and Creative destruction
by Cannon, E. - 109 Is There a Penalty to being a Pioneer
by Redding, S. - 108 Likelihood Analysis of Non-Gaussian Parameter-Driven Models
by Shephard, N. & Pitt, M.K. - 107 Trade Union Decline and the Distribution of Wages in the UK: Evidence from Kernel Density Estimation
by Bell, B. & Pitt, M.K. - 106 Testing the Augmented Solow Models
by Temple, J. - 105 Corruption with Small Corrupt Agents
by Bliss, C. & Di Tella., R. - 104 Initial Conditions and Moment Restrictions in Dynamic Panel Data Models
by Blundell, R. & Bond, S. - 103 Income Distribution in Europe and United States
by Atkinson, A.B. - 102 Limited Intertemporal Commitment and Job Design
by Meyer, M.A. & Olsen, T.E. & Torsvik, G. - 101 Education and Production in the United Kingdom
by Jenkins, H. - 100 Capital Mobility, Convergence Clubs and Long-Run Economic Growth
by Bliss, C. - 99 Information Theoretic Approaches to Inference in Movement Condition Models
by Imbens, G.W. & Johnson, P. & Spady, R.H. - 98 Bartlett Correction of the Unit Root test in Autoregressive Models
by Nielsen, B. - 97 Absolute Poverty or Relative Inequality : A theory of Growth and Wage Differentials
by Penalosa, C.G. - 8. Generalized linear autoregressions
by Neil Shephard - 7. On the interactions of unit roots and exogeneity
by David Hendry
1994
- 5. An evaluation of forecasting using leading indicators
by Rebecca A Emerson & David Hendry - 3. Stochastic volatility: likelihood inference and comparison with ARCH models
by Sangjoon Kim & Neil Shephard
Undated
- 2003-W08 Step-by-Step Evolution with State-Dependent Mutations
by Thomas Norman - 2003-W01 Regional Convergence and Catch-up in India between 1960 and 1992
by Kamakshya Trivedi - 2001-W22 Computationally-intensive Econometrics using a Distributed Matrix-programming Language
by Jurgen A. Doornik & David F. Hendry & Neil Shephard - 1997-W13 Filtering via simulation: auxiliary particle filters
by Michael K Pitt & Neil Shephard - 1997-W12 Significance test in bivariate canonical correlation analysis
by Bent Nielsen - 1997-W10 On the distribution of tests of cointegration rank
by Bent Nielsen - W23&118. Long-Run Wealth Distribution with Random Shock
by Christopher Bliss - 2002-W2 Semiparametric autoregressive conditional proportional hazard models
by Frank Gerhard & Nikolaus Hautsch - 1997-W9 Entry Deterrence and Environmental Regulation
by Robin Mason & Timothy Swanson - 1997-W6. The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model
by Neil Shephard - W17&110. Knowledge, Physical Capital and Creative Destructio
by Edmund Cannon - W16&105. Corruption with Small Corrupt Agent
by Christopher Bliss - W14&104. Initial conditions and moment restrictions in dynamic panel data model
by R Blundell & Steven Bond - W10&95. Reliable inference from empirical likelihood
by Steve Corcoran, A & C Davison & Richard H Spady - W4&91. An omnibus test for univariate and multivariate normalit
by Jurgen A Doornik & Henrik Hansen - W26, revised version of W3 Stochastic volatility: likelihood inference and comparison with ARCH models
by Sangjoon Kim, Neil Shephard & Siddhartha Chib - W32. Asymptotic results for cointegration tests in non-stable case
by Bent Nielsen - W31. Adaptive dynamics with payoff heterogeneit
by David P Myatt & Chris Wallace - W29 The UK Demand for Broad Money over the Long run
by Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch - W25. Skill-Biased Technical Change and Wages: Evidence from a Longitudinal Data Se
by Brian D. Bell - W12. Information theoretic approaches to inference in moment condition model
by Guido W Imbens, Phillip Johnson & Richard H Spady - W6 Log income versus linear income: an application of the encompassing principl
by . Luigi Ermini & David Hendry