# EconWPA

# Econometrics

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### 1999

### 1998

**9812002 Bayesian and Classical Approaches to Instrumental Variables Regression***by*Frank Kleibergen & Eric Zivot**9812001 Cointegration and Forward and Spot Exchange Rate Regressions***by*Eric Zivot**9809001 Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study***by*Michael A. Hauser**9808001 Impulse Response Priors for Discriminating Structural Vector Autoregressions***by*Mark Dwyer**9805004 On the Estimation of a Linear Time Trend Regression with a One- Way Error Component Model in the Presence of Serially Correlated Errors***by*Chihwa Kao & Jamie Emerson**9805003 Martingales, Nonlinearity, and Chaos***by*William A. Barnett & Apostolos Serletis**9805001 Relative Efficiency with Equivalence Classes of Asymptotic Covariances***by*David M. Mandy & Carlos Martins-Filho**9804001 Benchmark Priors for Bayesian Model Averaging***by*Carmen Fernandez & Eduardo Ley & Mark F.J. Steel**9802003 An Approximate Wavelet MLE of Short and Long Memory Parameters***by*Mark J. Jensen**9802002 Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance***by*Surajit Ray & B. Ravikumar & N. Eugene Savin**9802001 MCMC Methods for Fitting and Comparing Multinomial Response Models***by*Siddhartha Chib & Edward Greenberg & Yuxin Chen

### 1997

**9712002 A Monte Carlo Comparison of Tests for Cointegration in Panel Data***by*Suzanne McCoskey & Chihwa Kao**9712001 Statistical Modeling of Fishing Activities in the North Atlantic***by*Carmen Fernandez & Eduardo Ley & Mark F.J. Steel**9711002 A Residual-Based Test Of The Null Of Cointegration In Panel Data***by*Chihwa Kao & Suzanne McCoskey**9711001 Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings***by*Francisco Cribari-Neto & Mark J. Jensen & Alvaro C. Novo**9710002 Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter***by*Mark J. Jensen**9710001 Testing between Different Types of Switching Regression Models***by*Frieder Knuepling**9709002 An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets***by*Mark J. Jensen**9709001 Nonlinear and Complex Dynamics in Economics***by*William A. Barnett & Alfredo Medio & Apostolos Serletis**9705001 The Impact of Training on Unemployment Duration in West Germany -Combining a Discrete Hazard Rate Model with Matching Techniques-***by*R. Hujer & K.-O. Maurer & M. Wellner**9704001 Estimating the Effect of Training on Unemployment Duration in West Germany - A Discrete Hazard-Rate Model with Instrumental Variables***by*R. Hujer & K.-O. Maurer & M. Wellner**9703002 Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable***by*Chihwa Kao**9703001 On the Estimation and Inference of a Cointegrated Regression in Panel Data***by*Chihwa Kao & Min-Hsien Chiang

### 1996

**9612007 One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -***by*Thomas Kaiser**9612006 Selecting the Number of Replications in a Simulation Study***by*Ignacio Dmaz-Emparanza**9612004 Causality Among Sales,Advertising and Prices: New Evidence from a Multivariate Cointegrated System***by*Francisco F. R. Ramos**9612002 Valid Confidence Intervals and Inference in the Presence of Weak Instruments***by*Charles R. Nelson & Richard Startz & Eric Zivot**9612001 The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified***by*Eric Zivot**9611005 Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data***by*Mark Yuying An**9611004 Using Indirect Inference to Solve the Initial Conditions Problem***by*Mark Yuying An & Ming Liu**9611003 Nonparametric Estimation of a Survivor Function with Across- Interval-Censored Data***by*Mark Yuying An & Roberto Ayala**9611002 A Mixture Model of Willingness to Pay Distributions***by*Mark Yuying An & Roberto Ayala**9611001 Semiparametric Estimation of Willingness to Pay Distributions***by*Mark Yuying An**9610005 Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments***by*Jiahui Wang & Eric Zivot**9610004 Distribution of the Least Squares Estimator in a First-Order Autoregressive Model***by*Mukhtar M. Ali**9610003 Bootstrap Methods For Covariance Structures***by*Joel L. Horowitz**9610002 Stochastic Volatility: Likelihood Inference And Comparison With Arch Models***by*Sangjoon Kim & Neil Shephard & Siddhartha Chib**9608004 Bootstrap Methods for Median Regression Models***by*Joel L. Horowitz**9608003 Posterior Simulation and Bayes Factors in Panel Count Data Models***by*Siddhartha Chib & Edward Greenberg & Rainer Winkelmann**9608002 Bayesian Analysis of Multivariate Probit Models***by*Siddhartha Chib & Edward Greenberg**9608001 A Spline Analysis of the Small Firm Effect: Does Size Really Matter?***by*Joel L. Horowitz & Tim Loughran & N. E. Savin**9607001 The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility***by*Michel Normandin & Louis Phaneuf**9606003 Measuring Productivity Differences in Equilibrium Search Models***by*Gathier Lanot & George Neumann**9606002 The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models***by*N.E. Savin & Allan Wurtz**9606001 Power of Tests in Binary Response Models***by*N.E. Savin & Allan Wurtz**9605004 Real and Spurious Long Memory Properties of Stock Market Data***by*I.N. Lobato & N.E. Savin**9605001 Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning***by*Kenneth E. Train**9604002 The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market***by*Francisco F. R. Ramos**9604001 Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model***by*Mukhtar M. Ali**9603004 Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures***by*Simon van Norden & Robert Vigfusson**9603003 Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator***by*Joel L. Horowitz**9603002 Estimation of Dynamic Decision Models with Corner Solutions: A Model of Price and Inventory Decisions***by*V. Aguirregabir**9603001 Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable***by*Tue Gorgens & Joel L. Horowitz**9602009 Bootstrap Methods in Econometrics: Theory and Numerical Performance***by*Joel L. Horowitz**9602008 Search Models and Duration Data***by*George Neumann**9602007 Censoring of Outcomes and Regressors Due To Survey Nonresponse: Identification and Estimation Using Weights and Imputations***by*Joel L. Horowitz & Charles F. Manski**9602006 Fitting Equilibrium Search Models to Labor Market Data***by*Audra J. Bowlus & Nicholas M. Kiefer & George R. Neumann**9602005 A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos***by*William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen**9602003 The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets***by*William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen**9602002 Technology Modeling: Curvature is not Sufficient for Regularity***by*William A. Barnett & Milka Kirova & Meenakshi Pasupathy**9602001 Fellow's Opinion: Econometrics, Data, and the World Wide Web***by*William A. Barnett**9601003 Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance***by*Francisco F. R. Ramos**9601002 VAR Priors: Success or lack of a decent macroeconomic theory?***by*Francisco F. R. Ramos**9601001 On the Corrections to Information Matrix Tests***by*Francisco Cribari-Neto

### 1995

**9511001 The Canadian Experience with Weighted Monetary Aggregates***by*David Longworth & Joseph Atta-Mensah**9510001 Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions***by*Alain DeSerres & Alain Guay**9508002 Further investigation of the uncertain unit root in GNP***by*Yin-Wong Cheung & Menzie Chinn**9508001 Improved Score Tests for One-parameter Exponential Family Models***by*Silvia Ferrari & Gauss Cordeiro & Miguel Uribe & F. Cribari-Neto**9507001 On Bartlett and Bartlett-Type Corrections***by*F. Cribari-Neto & G.M. Cordeiro**9506005 A Score Test for Seasonal Fractional Integration and Cointegration***by*Param Silvapulle**9506004 Observed Choice, Estimation, and Optimism About Policy Changes***by*Eric Rasmusen**9506003 Improved Test Statistics for Multivariate Regression***by*Francisco Cribari-Neto & Spyros Zarkos**9506002 OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels***by*Mark J. Jensen**9506001 Bartlett Corrections for One-Parameter Exponential Family Models***by*G.M. Cordeiro & F. Cribari-Neto & E.C.Q. Aubin & S.L.P. Ferrari**9505002 Second and Third Order Bias Reduction for One-Parameter Family Models***by*S.L.P. Ferrari & D.A. Botter & G.M. Cordeiro & F. Cribari-Neto**9505001 Bayesian Analysis of Long Memory and Persistence using ARFIMA Models***by*Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel**9503002 A Frontier Model for Landscape Ecology: The Tapir in Honduras***by*Kevin Flesher & Eduardo Ley**9503001 On the Estimation of Demand Systems Through Consumption Efficiency***by*Eduardo Ley & Mark F.J. Steel**9502005 Unit Root Tests and the Burden of Proof***by*Robert A. Amano & Simon van Norden**9502004 Fads or Bubbles?***by*Simon van Norden & Huntley Schaller & )**9502003 Speculative Behaviour, Regime-Switching, and Stock Market Crashes***by*Simon van Norden & Huntley Schaller & )**9502002 Regime Switching in Stock Market Returns***by*Simon van Norden & Huntley Schaller & )**9502001 Regime Switching as a Test for Exchange Rate Bubbles***by*Simon van Norden**9501001 A Multicriteria Approach to Model Specification and Estimation***by*Robert Kalaba & Leigh Tesfatsion

### 1994

**9411003 Using Expectations Data to Study Subjective Income Expectations***by*Jeff Dominitz & Charles F. Manski**9411002 Eliciting Student Expectations Of The Returns To Schooling***by*Jeff Dominitz & Charles F. Manski**9411001 Testing the null of stationarity in the presence of structural breaks for multiple time series***by*Ahn & Byung Chul**9410003 Joint Censoring Of Regressors And Outcomes:Survey Nonresponse And Attrition***by*Joel L. Horowitz & Charles F. Manski**9410002 Simultaneity With Downward Sloping Demand***by*Charles F. Manski**9410001 Wavelets in Econometrics: An Application to Outlier Testing***by*Seth A. Greenblatt**9408001 Markov Chain Monte Carlo Simulation Methods in Econometrics***by*Siddhartha Chib & Edward Greenberg**9406002 The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation***by*Robert A. Amano & Tony S. Wirjanto**9406001 A Further Analysis of Exchange Rate Targeting in Canada***by*Robert A. Amano & Tony S. Wirjanto**9405001 Wavelet Analysis of Fractionally Integrated Processes***by*Mark J. Jensen**9401001 Goodness-of-Fit for Revealed Preference Tests***by*Hal R. Varian

### 1993

**9311002 Classical Estimation Methods for LDV Models Using Simulation***by*V.A. Hajivassiliou & P. A. Ruud**9311001 Nonparametric Multivariate Regression Subject to Constraint***by*S. M. Goldman & P. A. Ruud**9309001 Semiparametric Estimation Of Regression Models For Panel Data***by*Joel L. Horowitz & Marianthi Markatou**9308001 A Predictive Approach to Model Selection and Multicollinearity***by*Edward Greenberg & Robert P. Parks**9307001 A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies***by*Walter Teets & Robert P. Parks