Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C11: Bayesian Analysis: General

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Bayesian Vector autoregressions (BVARs)

2016

• Gregor Bäurle & Rolf Scheufele, 2016, "Credit cycles and real activity - the Swiss case," Working Papers, Swiss National Bank, number 2016-13.
• Dongnyok Shim & Jin Gyo Kim & Jorn Altmann, 2016, "Identifying Key Drivers and Bottlenecks in the Adoption of E-Book Readers in Korea," TEMEP Discussion Papers, Seoul National University; Technology Management, Economics, and Policy Program (TEMEP), number 2016129, Jan, revised Jan 2016.
• Sungyup Chung, 2016, "Assessing the regional business cycle asymmetry in a multi-level structure framework: a study of the top 20 US MSAs," The Annals of Regional Science, Springer;Western Regional Science Association, volume 56, issue 1, pages 229-252, January, DOI: 10.1007/s00168-015-0732-7.
• Sungyup Chung, 2016, "Assessing the regional business cycle asymmetry in a multi-level structure framework: a study of the top 20 US MSAs," The Annals of Regional Science, Springer;Western Regional Science Association, volume 56, issue 1, pages 229-252, January, DOI: 10.1007/s00168-015-0732-7.
• Shinya Kawata & Yoshi Fujiwara, 2016, "Constructing of network from topics and their temporal change in the Nikkei newspaper articles," Evolutionary and Institutional Economics Review, Springer, volume 13, issue 2, pages 423-436, December, DOI: 10.1007/s40844-016-0061-2.
• Philipp Piribauer, 2016, "Heterogeneity in spatial growth clusters," Empirical Economics, Springer, volume 51, issue 2, pages 659-680, September, DOI: 10.1007/s00181-015-1023-y.
• Yasutomo Murasawa, 2016, "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, volume 51, issue 4, pages 1415-1441, December, DOI: 10.1007/s00181-015-1061-5.
• Cathy W. S. Chen & Mike K. P. So & Thomas C. Chiang, 2016, "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Springer, volume 67, issue 1, pages 96-124, March, DOI: 10.1111/jere.12074.
• Yuko Onishi & Yasuhiro Omori, 2016, "Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria," The Japanese Economic Review, Springer, volume 67, issue 4, pages 418-440, December, DOI: 10.1111/jere.12108.
• Kohn, Robert & Quiroz, Matias & Tran, Minh-Ngoc & Villani, Mattias, 2016, "Speeding up MCMC by Efficient Data Subsampling," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2123/16205.
• Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016, "Stochastic Model Specification Search for Time-Varying Parameter VARs," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1638-1665, December, DOI: 10.1080/07474938.2015.1092808.
• Xianhua Dai & Wolfgang Karl Härdle & Keming Yu, 2016, "Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study," Journal of Applied Statistics, Taylor & Francis Journals, volume 43, issue 16, pages 2941-2955, December, DOI: 10.1080/02664763.2016.1155203.
• Christian Daude & Arne Nagengast & Jose Ramon Perea, 2016, "Productive capabilities: An empirical analysis of their drivers," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 25, issue 4, pages 504-535, June, DOI: 10.1080/09638199.2015.1073342.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016, "Common Drifting Volatility in Large Bayesian VARs," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 3, pages 375-390, July, DOI: 10.1080/07350015.2015.1040116.
• , & , & ,, 2016, "Fragility of asymptotic agreement under Bayesian learning," Theoretical Economics, Econometric Society, volume 11, issue 1, January.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016, "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-084/III, Mar, revised 03 Jul 2017.
• Xu Guo & Michael McAleer & Wing-Keung Wong & Lixing Zhu, 2016, "A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-003/III, Jan.
• Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016, "Parallelization Experience with Four Canonical Econometric Models using ParMitISEM," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-005/III, Jan.
• Aiste Ruseckaite & Dennis Fok & Peter Goos, 2016, "Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-075/III, Sep.
• Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016, "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-099/III, Nov.
• Didier Nibbering & Richard Paap & Michel van der Wel, 2016, "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-107/III, Dec, revised 13 Oct 2017.
• George Elias, 2016, "Benchmarking Heterogeneous Distribution System Operators: Evidence from Norway," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1606, Mar.
• Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016, "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications, School of Economics, University College Dublin, number 10197/7323, Oct.
• Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2016, "Great Recession, Slow Recovery and Muted Fiscal Policies in the US," Working Papers, School of Economics, University College Dublin, number 201602, Mar.
• Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016, "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Working Papers, School of Economics, University College Dublin, number 201611, Aug.
• Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2016, "In search of the Euro area fiscal stance," Working Papers, School of Economics, University College Dublin, number 201612, Aug.
• Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2016, "The time-series linkages between US fiscal policy and asset prices," Working papers, University of Connecticut, Department of Economics, number 2016-15, Sep.
• Baştürk, N. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K., 2016, "Parallelization experience with four canonical econometric models using ParMitISEM," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 013, Jan, DOI: 10.26481/umagsb.2016013.
• Richard Fowles & Peter Loeb & Chompoonuh Permpoonwiwat, 2016, "Motorcycle Fatalities Revisited: A Classical and Bayesian Analysis," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2016_04.
• Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini, 2016, "Bayesian Nonparametric Conditional Copula Estimation of Twin Data," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:08.
• Monica Billio & Roberto Casarin & Luca Rossini, 2016, "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:20.
• Hasan,Iftekhar & Horvath,Roman & Mares,Jan, 2016, "What type of finance matters for growth ? Bayesian model averaging evidence," Policy Research Working Paper Series, The World Bank, number 7645, Apr.
• Florian Huber & Martin Feldkircher, 2016, "Adaptive shrinkage in Bayesian vector autoregressive models," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp221, Mar.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp235, Sep.
• Feldkircher, Martin & Huber, Florian, 2016, "Adaptive Shrinkage in Bayesian Vector Autoregressive Models," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 221, Mar.
• Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 235, Sep.
• Badi H. Baltagi & Yin‐Fang Yen, 2016, "Welfare Reform and Children's Health," Health Economics, John Wiley & Sons, Ltd., volume 25, issue 3, pages 277-291, March, DOI: 10.1002/hec.3139.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016, "Bayesian Graphical Models for STructural Vector Autoregressive Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 2, pages 357-386, March.
• Enrique Moral‐Benito, 2016, "Growth Empirics in Panel Data Under Model Uncertainty and Weak Exogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 3, pages 584-602, April.
• Eric Eisenstat & Rodney W. Strachan, 2016, "Modelling Inflation Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 5, pages 805-820, August.
• Davide Pettenuzzo & Francesco Ravazzolo, 2016, "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1312-1332, November.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016, "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1352-1370, November.
• Markku Lanne & Jani Luoto, 2016, "Noncausal Bayesian Vector Autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1392-1406, November.
• Emir Malikov & Subal C. Kumbhakar & Mike G. Tsionas, 2016, "A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of us Banks in 2001–2010," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1407-1429, November.
• Michal Franta, 2016, "The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 2, pages 147-166, March.
• Stelios D. Bekiros & Alessia Paccagnini, 2016, "Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 7, pages 613-632, November.
• Tim Oliver Berg, 2016, "Multivariate Forecasting with BVARs and DSGE Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 8, pages 718-740, December.
• Gestel, R.V. & Müller, T. & Bosmans, J., 2016, "Does My High Blood Pressure Improve Your Survival? Overall and Subgroup Learning Curves in Health," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 16/27, Aug.
• Kilponen, Juha & Orjasniemi, Seppo & Ripatti, Antti & Verona, Fabio, 2016, "The Aino 2.0 model," Bank of Finland Research Discussion Papers, Bank of Finland, number 16/2016.
• Mandler, Martin & Scharnagl, Michael & Volz, Ute, 2016, "Heterogeneity in euro-area monetary policy transmission: Results from a large multi-country BVAR model," Discussion Papers, Deutsche Bundesbank, number 03/2016.
• Abbate, Angela & Marcellino, Massimiliano, 2016, "Point, interval and density forecasts of exchange rates with time-varying parameter models," Discussion Papers, Deutsche Bundesbank, number 19/2016.
• Pelster, Matthias & Vilsmeier, Johannes, 2016, "The determinants of CDS spreads: Evidence from the model space," Discussion Papers, Deutsche Bundesbank, number 43/2016.
• Cabras, Stefano & Fidrmuc, Jan & de Dios Tena Horrillo, Juan, 2016, "Minimum wage and employment: Escaping the parametric straitjacket," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-17.
• Wolters, Maik H., 2016, "How the baby boomers' retirement wave distorts model-based output gap estimates," Kiel Working Papers, Kiel Institute for the World Economy, number 2031.
• Lesage, James P. & Vance, Colin & Chih, Yao-Yu, 2016, "A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 617, DOI: 10.4419/86788717.
• Hanck, Christoph & Prüser, Jan, 2016, "House prices and interest rates: Bayesian evidence from Germany," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 620, DOI: 10.4419/86788722.
• Kaeding, Matthias, 2016, "Fast, approximate MCMC for Bayesian analysis of large data sets: A design based approach," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 660, DOI: 10.4419/86788766.
• Netésunajev, Aleksei & Glass, Katharina, 2016, "Uncertainty and employment dynamics in the euro area and the US," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-002.
• Almosova, Anna, 2016, "Labor market frictions and monetary policy design," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-054.
• Chen, Xiaoyu, 2016, "A multicity study of association between air pollution and CHD mortality in China by using time series threshold poisson regression model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-055.
• Vogel, Lukas & Kollmann, Robert & Pataracchia, Beatrice & Ratto, Marco & Roeger, Werner, 2016, "The Post-Crisis Slump in the Euro Area and the US: Evidence from an Estimated Three-Region DSGE Model," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145473.
• Schnücker, Annika, 2016, "Restrictions Search for Panel VARs," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145566.
• Scharnagl, Michael & Mandler, Martin & Volz, Ute, 2016, "Heterogeneity in euro area monetary policy transmission: results from a large multi-country BVAR model," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145847.
• Dany, Geraldine, 2016, "The credit channel during times of financial stress: A time varying VAR analysis," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145899.
• Barron, Kai, 2016, "Belief updating: Does the 'good-news, bad-news' asymmetry extend to purely financial domains?," Discussion Papers, Research Unit: Economics of Change, WZB Berlin Social Science Center, number SP II 2016-309.
• Luis Uzeda, 2016, "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2016-632, Mar.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361, DOI: 10.15609/annaeconstat2009.123-124.0.
• Fadel HAMID HADI ALHUSSEINI, 2016, "Some Methods Of Quantile Regression For Analysis Of The Poverty In Iraq," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 5, issue 1, pages 67-85, JULY.
• Mbarek, Marouene & Rousselière, Damien & Salanié, Julien, 2016, "Using multiple imputation for a zero-inflated contingent valuation with potentially biased sampling," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235690, DOI: 10.22004/ag.econ.235690.
• Michler, Jeffrey & Shively, Gerald, 2016, "Agricultural Production, Weather Variability, and Technical Change: 40 Years of Evidence from Indi," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 236342, DOI: 10.22004/ag.econ.236342.
• Anna Czarnecka (Kiłyk) & Paulina Magierska & Agnieszka Parkitna, 2016, "Statistical evaluation of payment system development in Poland," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/16/05, May.
• Majda Benzidia & Michel Lubrano, 2016, "A Bayesian Look at American Academic Wages: The Case of Michigan State University," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1628, Oct.
• Majda Benzidia & Michel Lubrano & Paolo Melindi-Ghidi, 2016, "Education Politics, Schooling Choice and Public School Quality: The Impact of Income Polarisation," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1642, Nov.
• Fábio Martins Serrano & Márcio Issao Nakane, 2016, "Impacto Regional Da Política Monetária No Brasil: Uma Abordagem Bayesiana," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 038.
• Haykaz Igityan, 2016, "Labor Market Frictions in the Estimated DSGE Model for Armenia," Working Papers, Central Bank of Armenia, number 5, Apr.
• David M. Kaplan & Longhao Zhuo, 2016, "Frequentist properties of Bayesian inequality tests," Papers, arXiv.org, number 1607.00393, Jul, revised Jul 2024.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2016, "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers, arXiv.org, number 1607.04532, Jul, revised Jul 2018.
• Monica Billio & Roberto Casarin & Luca Rossini, 2016, "Bayesian nonparametric sparse VAR models," Papers, arXiv.org, number 1608.02740, Aug, revised Oct 2018.
• Vugar Ahmadov & Shaig Adigozalov & Salman Huseynov & Fuad Mammadov & Vugar Rahimov, 2016, "Forecasting inflation in post-oil boom years: A case for non-linear models?," Working Papers, Central Bank of Azerbaijan Republic, number 1601, Apr.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016, "Measuring Uncertainty and Its Impact on the Economy," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1639.
• Srini Vasan & Adelamar Alcantara, 2016, "GIS-based Methods for Estimating Missing Poverty Rates & Projecting Future Rates in Census Tracts," Review of Economics & Finance, Better Advances Press, Canada, volume 6, pages 1-13, August.
• Alexander Guarín-López & Ignacio Lozano-Espitia, 2016, "Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies," Borradores de Economia, Banco de la Republica de Colombia, number 931, Mar, DOI: 10.32468/be.931.
• Daniel M. Rees & Penelope Smith & Jamie Hall, 2016, "A Multi-sector Model of the Australian Economy," The Economic Record, The Economic Society of Australia, volume 92, issue 298, pages 374-408, September.
• Cathy W.S. Chen & Mike K.P. So & Thomas C. Chiang, 2016, "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Japanese Economic Association, volume 67, issue 1, pages 96-124, March.
• Diana Zigraiova & Tomas Havranek, 2016, "Bank Competition And Financial Stability: Much Ado About Nothing?," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 5, pages 944-981, December.
• Boris Blagov & Michael Funke, 2016, "The Credibility of Hong Kong's Currency Board System: Looking Through the Prism of MS-VAR Models with Time-Varying Transition Probabilities," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 78, issue 6, pages 895-914, December.
• Sarah Brown & Pulak Ghosh & Karl Taylor, 2016, "Household Finances and Social Interaction: Bayesian Analysis of Household Panel Data," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 62, issue 3, pages 467-488, September.
• Martín Vallejos, 2016, "Estimando fricciones nominales y reales para Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, volume 25, issue 2, pages 9-60, July.
• Farooq Akram & Andrew Binning & Junior Maih, 2016, "Joint prediction bands for macroeconomic risk management," Working Paper, Norges Bank, number 2016/7, Apr.
• Hilde C. Bjørnland & Vegard H. Larsen & Junior Maih, 2016, "Oil and macroeconomic (in)stability," Working Paper, Norges Bank, number 2016/12, Sep.
• Francesco Furlanetto & Ørjan Robstad, 2016, "Immigration and the macroeconomy: some new empirical evidence," Working Paper, Norges Bank, number 2016/18, Oct.
• Hilde C. Bjørnland & Leif Anders Thorsrud & Sepideh Khayati Zahiri, 2016, "Do central banks respond timely to developments in the global economy?," Working Paper, Norges Bank, number 2016/19, Dec.
• Leif Anders Thorsrud, 2016, "Nowcasting using news topics. Big Data versus big bank," Working Paper, Norges Bank, number 2016/20, Dec.
• Leif Anders Thorsrud, 2016, "Words are the new numbers: A newsy coincident index of business cycles," Working Paper, Norges Bank, number 2016/21, Dec.
• Marko Melolinna & Máté Tóth, 2016, "Output gaps, inflation and financial cycles in the United Kingdom," Bank of England working papers, Bank of England, number 585, Feb.
• Sinem Hacioglu & Kerem Tuzcuoglu, 2016, "Interpreting the latent dynamic factors by threshold FAVAR model," Bank of England working papers, Bank of England, number 622, Oct.
• Mike G. Tsionas, 2016, "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers, Bank of Greece, number 216, Nov.
• Mike G. Tsionas, 2016, "Alternatives to large VAR, VARMA and multivariate stochastic volatility models," Working Papers, Bank of Greece, number 217, Dec.
• Ciccarelli Matteo & Ortega Eva & Valderrama Maria Teresa, 2016, "Commonalities and cross-country spillovers in macroeconomic-financial linkages," The B.E. Journal of Macroeconomics, De Gruyter, volume 16, issue 1, pages 231-275, January, DOI: 10.1515/bejm-2013-0120.
• Nonejad Nima, 2016, "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," Journal of Time Series Econometrics, De Gruyter, volume 8, issue 1, pages 55-90, January, DOI: 10.1515/jtse-2013-0024.
• Eo Yunjong, 2016, "Structural changes in inflation dynamics: multiple breaks at different dates for different parameters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 3, pages 211-231, June, DOI: 10.1515/snde-2015-0041.
• Lahiri Kajal & Yang Liu, 2016, "A non-linear forecast combination procedure for binary outcomes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 4, pages 421-440, September, DOI: 10.1515/snde-2014-0054.
• Jensen Mark J., 2016, "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 4, pages 455-475, September, DOI: 10.1515/snde-2014-0116.
• Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016, "Bayesian Compressed Vector Autoregressions," Working Papers, Brandeis University, Department of Economics and International Business School, number 103, Mar.
• Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016, "Bayesian Compressed Vector Autoregressions," Working Papers, Brandeis University, Department of Economics and International Business School, number 103R, Mar, revised Apr 2016.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99, Jan.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99R, Jan, revised Aug 2016.
• Petra Čekmeová, 2016, "Celková Faktorová Produktivita A Jej Determinanty V Európskej Únii (Total Factor Productivity And Its Determinants In The European Union)," Medzinarodne vztahy (Journal of International Relations), Ekonomická univerzita, Fakulta medzinárodných vzťahov, volume 14, issue 1, pages 19-35.
• Karen Poghosyan, 2016, "A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 2, pages 81-99.
• Robert Ambrisko, 2016, "Growth-Friendly Fiscal Strategies for the Czech Economy," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp563, Apr.
• Nikolay Hristov, 2016, "The Ifo DSGE Model for the German Economy," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 210.
• Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016, "VAR Models with Non-Gaussian Shocks," Discussion Papers, Centre for Macroeconomics (CFM), number 1609, Feb.
• Eric Jondeau & Michael Rockinger, 2016, "Forecasting Financial Returns with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-13, Mar.
• Michal Franta, 2016, "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/05, Jun.
• Jan Babecky & Michal Franta & Jakub Rysanek, 2016, "Effects of Fiscal Policy in the DSGE-VAR Framework: The Case of the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/09, Nov.
• Alexander Guar�n-L�pez & Ignacio Lozano-Espitia, 2016, "Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies," Borradores de Economia, Banco de la Republica, number 14306, Mar.
• Francisco Venegas-Martínez & Jos� Francisco Mart�nez-S�nchez & Mar�a Teresa V. Mart�nez-Palacios, 2016, "An analysis on operational risk in international banking: A Bayesian approach (2007–2011)," Estudios Gerenciales, Universidad Icesi, volume 32, issue 140, pages 208-220.
• DESCHAMPS, Philippe J., 2016, "Bayesian Semiparametric Forecasts of Real Interest Rate Data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016050, Nov.
• Wieladek, Tomasz & Hjortsø, Ida & Weale, Martin, 2016, "Monetary Policy and the Current Account: Theory and Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11204, Mar.
• Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016, "Priors for the Long Run," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11261, May.
• Marcellino, Massimiliano & Aastveit, Knut Are & Carriero, Andrea & Clark, Todd, 2016, "Have Standard VARs Remained Stable Since the Crisis?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11558, Oct.
• Marcellino, Massimiliano & Abbate, Angela, 2016, "Point, interval and density forecasts of exchange rates with time-varying parameter models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11559, Oct.
• Bandiera, Oriana & Fischer, Greg & Prat, Andrea & Ytsma, Erina, 2016, "Do women respond less to performance pay? Building evidence from multiple experiments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11724, Dec.
• Florens, Jean-Pierre & Simoni, Anna, 2016, "Regularizing Priors For Linear Inverse Problems," Econometric Theory, Cambridge University Press, volume 32, issue 1, pages 71-121, February.
• Villa, Stefania, 2016, "Financial Frictions In The Euro Area And The United States: A Bayesian Assessment," Macroeconomic Dynamics, Cambridge University Press, volume 20, issue 5, pages 1313-1340, July.
• Leroi RAPUTSOANE, 2016, "Real Effective Exchange Rates Comovements and the South African Currency," Journal of Economics Library, EconSciences Journals, volume 3, issue 1, pages 57-68, March.
• Michele Piffer, 2016, "Assessing Identifying Restrictions in SVAR Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1563.
• Annika Schnücker, 2016, "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1612.
• Blaise Gnimassoun & Joseph Keneck Massil, 2016, "Determinants of corruption: Can we put all countries in the same basket?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-12.
• Clément Bonnet, 2016, "Measuring Knowledge with Patent Data: an Application to Low Carbon Energy Technologies," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-37.
• Camba-Méndez, Gonzalo & Serwa, Dobromil & Kostrzewa, Konrad & Marszal, Anna, 2016, "Pricing sovereign credit risk of an emerging market," Working Paper Series, European Central Bank, number 1924, Jun.
• Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016, "The BEAR toolbox," Working Paper Series, European Central Bank, number 1934, Jul.
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• Dmitry Kulikov & Aleksei Netsunajev, 2016, "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers, Bank of Estonia, number wp2015-8, Feb, revised 19 Feb 2016.
• Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016, "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 37-57, DOI: 10.1016/j.csda.2014.04.011.
• Chan, Joshua C.C. & Grant, Angelia L., 2016, "Fast computation of the deviance information criterion for latent variable models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 847-859, DOI: 10.1016/j.csda.2014.07.018.
• Korobilis, Dimitris, 2016, "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, volume 101, issue C, pages 110-120, DOI: 10.1016/j.csda.2016.02.011.
• Rychalovska, Yuliya, 2016, "The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 259-282, DOI: 10.1016/j.jedc.2016.09.014.
• Ng, Adam & Ibrahim, Mansor H. & Mirakhor, Abbas, 2016, "Does trust contribute to stock market development?," Economic Modelling, Elsevier, volume 52, issue PA, pages 239-250, DOI: 10.1016/j.econmod.2014.10.056.
• Razafindrabe, Tovonony M., 2016, "A multi-country DSGE model with incomplete exchange rate pass-through: An application for the Euro-area," Economic Modelling, Elsevier, volume 52, issue PA, pages 78-100, DOI: 10.1016/j.econmod.2015.03.003.
• Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016, "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, volume 53, issue C, pages 231-244, DOI: 10.1016/j.econmod.2015.12.008.
• Dąbrowski, Marek A. & Wróblewska, Justyna, 2016, "Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation," Economic Modelling, Elsevier, volume 58, issue C, pages 249-262, DOI: 10.1016/j.econmod.2016.05.013.
• Cross, Jamie & Poon, Aubrey, 2016, "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, volume 58, issue C, pages 34-51, DOI: 10.1016/j.econmod.2016.04.021.
• Kamber, Gunes & McDonald, Chris & Sander, Nick & Theodoridis, Konstantinos, 2016, "Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model," Economic Modelling, Elsevier, volume 59, issue C, pages 546-569, DOI: 10.1016/j.econmod.2016.08.013.
• Camba-Méndez, Gonzalo & Serwa, Dobromił, 2016, "Market perception of sovereign credit risk in the euro area during the financial crisis," The North American Journal of Economics and Finance, Elsevier, volume 37, issue C, pages 168-189, DOI: 10.1016/j.najef.2016.04.002.
• LeSage, James P. & Chih, Yao-Yu, 2016, "Interpreting heterogeneous coefficient spatial autoregressive panel models," Economics Letters, Elsevier, volume 142, issue C, pages 1-5, DOI: 10.1016/j.econlet.2016.02.033.
• Gupta, Rangan & Pierdzioch, Christian & Risse, Marian, 2016, "On international uncertainty links: BART-based empirical evidence for Canada," Economics Letters, Elsevier, volume 143, issue C, pages 24-27, DOI: 10.1016/j.econlet.2016.03.009.
• Chu, Chia-Shang J. & Liu, Nan & Zhang, Lina, 2016, "Significance test in nonstationary multinomial logit model," Economics Letters, Elsevier, volume 143, issue C, pages 94-98, DOI: 10.1016/j.econlet.2016.03.022.
• Yang, Yuan & Wang, Lu, 2016, "An auxiliary particle filter for nonlinear dynamic equilibrium models," Economics Letters, Elsevier, volume 144, issue C, pages 112-114, DOI: 10.1016/j.econlet.2016.04.020.
• Richter, Alexander W. & Throckmorton, Nathaniel A., 2016, "Is Rotemberg pricing justified by macro data?," Economics Letters, Elsevier, volume 149, issue C, pages 44-48, DOI: 10.1016/j.econlet.2016.10.011.
• Keane, Michael & Stavrunova, Olena, 2016, "Adverse selection, moral hazard and the demand for Medigap insurance," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 62-78, DOI: 10.1016/j.jeconom.2015.08.002.
• Bianchi, Francesco, 2016, "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 79-99, DOI: 10.1016/j.jeconom.2015.08.004.
• Atkinson, Scott E. & Tsionas, Mike G., 2016, "Directional distance functions: Optimal endogenous directions," Journal of Econometrics, Elsevier, volume 190, issue 2, pages 301-314, DOI: 10.1016/j.jeconom.2015.06.006.
• Kumbhakar, Subal C. & Tsionas, Efthymios G., 2016, "The good, the bad and the technology: Endogeneity in environmental production models," Journal of Econometrics, Elsevier, volume 190, issue 2, pages 315-327, DOI: 10.1016/j.jeconom.2015.06.008.
• Griffiths, William E. & Hajargasht, Gholamreza, 2016, "Some models for stochastic frontiers with endogeneity," Journal of Econometrics, Elsevier, volume 190, issue 2, pages 341-348, DOI: 10.1016/j.jeconom.2015.06.012.
• Jin, Xin & Maheu, John M., 2016, "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 19-39, DOI: 10.1016/j.jeconom.2015.11.001.
• Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2016, "Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 190-206, DOI: 10.1016/j.jeconom.2015.10.010.
• Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016, "Structural analysis with Multivariate Autoregressive Index models," Journal of Econometrics, Elsevier, volume 192, issue 2, pages 332-348, DOI: 10.1016/j.jeconom.2016.02.002.
• Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016, "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, volume 192, issue 2, pages 374-390, DOI: 10.1016/j.jeconom.2016.02.005.
• Leamer, Edward E., 2016, "S-values: Conventional context-minimal measures of the sturdiness of regression coefficients," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 147-161, DOI: 10.1016/j.jeconom.2015.10.013.
• Jacobi, Liana & Wagner, Helga & Frühwirth-Schnatter, Sylvia, 2016, "Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 234-250, DOI: 10.1016/j.jeconom.2016.01.005.
• Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016, "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, volume 193, issue 2, pages 315-334, DOI: 10.1016/j.jeconom.2016.04.009.
• Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016, "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, volume 193, issue 2, pages 418-432, DOI: 10.1016/j.jeconom.2016.04.015.
• Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016, "Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates," Economic Systems, Elsevier, volume 40, issue 3, pages 387-397, DOI: 10.1016/j.ecosys.2015.11.002.
• Koop, Gary & Korobilis, Dimitris, 2016, "Model uncertainty in Panel Vector Autoregressive models," European Economic Review, Elsevier, volume 81, issue C, pages 115-131, DOI: 10.1016/j.euroecorev.2015.09.006.
• Moral-Benito, Enrique & Roehn, Oliver, 2016, "The impact of financial regulation on current account balances," European Economic Review, Elsevier, volume 81, issue C, pages 148-166, DOI: 10.1016/j.euroecorev.2015.07.005.
• Crespo Cuaresma, Jesus & Grün, Bettina & Hofmarcher, Paul & Humer, Stefan & Moser, Mathias, 2016, "Unveiling covariate inclusion structures in economic growth regressions using latent class analysis," European Economic Review, Elsevier, volume 81, issue C, pages 189-202, DOI: 10.1016/j.euroecorev.2015.03.009.
• Durlauf, Steven N. & Navarro, Salvador & Rivers, David A., 2016, "Model uncertainty and the effect of shall-issue right-to-carry laws on crime," European Economic Review, Elsevier, volume 81, issue C, pages 32-67, DOI: 10.1016/j.euroecorev.2015.07.020.
• Drivas, Kyriakos & Economidou, Claire & Karkalakos, Sotiris & Tsionas, Efthymios G., 2016, "Mobility of knowledge and local innovation activity," European Economic Review, Elsevier, volume 85, issue C, pages 39-61, DOI: 10.1016/j.euroecorev.2016.01.008.
• Maheu, John M. & Yang, Qiao, 2016, "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 202-220, DOI: 10.1016/j.jempfin.2016.06.006.
• Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016, "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 690-716, DOI: 10.1016/j.jempfin.2016.02.012.
• Albonico, Alice & Paccagnini, Alessia & Tirelli, Patrizio, 2016, "In search of the Euro area fiscal stance," Journal of Empirical Finance, Elsevier, volume 39, issue PB, pages 254-264, DOI: 10.1016/j.jempfin.2016.06.007.
• Poudineh, Rahmatallah & Jamasb, Tooraj, 2016, "Determinants of investment under incentive regulation: The case of the Norwegian electricity distribution networks," Energy Economics, Elsevier, volume 53, issue C, pages 193-202, DOI: 10.1016/j.eneco.2014.08.021.
• Chan, Joshua C.C. & Grant, Angelia L., 2016, "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, volume 54, issue C, pages 182-189, DOI: 10.1016/j.eneco.2015.12.003.
• Naser, Hanan, 2016, "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, volume 56, issue C, pages 75-87, DOI: 10.1016/j.eneco.2016.02.017.
• Low, Rand Kwong Yew & Yao, Yiran & Faff, Robert, 2016, "Diamonds vs. precious metals: What shines brightest in your investment portfolio?," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 1-14, DOI: 10.1016/j.irfa.2015.11.002.
• Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016, "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 216-227, DOI: 10.1016/j.jfs.2016.07.006.
• Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016, "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 42-59, DOI: 10.1016/j.intfin.2016.05.008.
• Iiboshi, Hirokuni, 2016, "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, volume 40, issue C, pages 1-8, DOI: 10.1016/j.japwor.2016.07.004.
• Lunawat, Radhika, 2016, "Reputation effects of information sharing," Journal of Economic Behavior & Organization, Elsevier, volume 131, issue PA, pages 75-91, DOI: 10.1016/j.jebo.2016.08.006.
• Donayre, Luiggi & Panovska, Irina, 2016, "State-dependent exchange rate pass-through behavior," Journal of International Money and Finance, Elsevier, volume 64, issue C, pages 170-195, DOI: 10.1016/j.jimonfin.2016.02.018.
• Abdymomunov, Azamat & Kang, Kyu Ho & Kim, Ki Jeong, 2016, "Can credit spreads help predict a yield curve?," Journal of International Money and Finance, Elsevier, volume 64, issue C, pages 39-61, DOI: 10.1016/j.jimonfin.2016.02.003.
• Chatterjee, Arpita, 2016, "Globalization and monetary policy comovement: International evidence," Journal of International Money and Finance, Elsevier, volume 68, issue C, pages 181-202, DOI: 10.1016/j.jimonfin.2016.06.019.
• Sheen, Jeffrey & Wang, Ben Zhe, 2016, "Assessing labor market frictions in a small open economy," Journal of Macroeconomics, Elsevier, volume 48, issue C, pages 231-251, DOI: 10.1016/j.jmacro.2016.02.006.
• Ji, Yangyang & Xiao, Wei, 2016, "Government spending multipliers and the zero lower bound," Journal of Macroeconomics, Elsevier, volume 48, issue C, pages 87-100, DOI: 10.1016/j.jmacro.2016.03.002.
• Taylor, Nick, 2016, "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, volume 1, issue 1, pages 14-34, DOI: 10.1016/j.jcomm.2015.12.001.
• Lombardi, Marco J. & Ravazzolo, Francesco, 2016, "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, volume 2, issue 1, pages 45-57, DOI: 10.1016/j.jcomm.2016.07.005.
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• Lubik, Thomas A. & Matthes, Christian, 2016, "Indeterminacy and learning: An analysis of monetary policy in the Great Inflation," Journal of Monetary Economics, Elsevier, volume 82, issue C, pages 85-106, DOI: 10.1016/j.jmoneco.2016.07.006.
• Pascoal, Rui & Augusto, Mário & Monteiro, A.M., 2016, "Size distribution of Portuguese firms between 2006 and 2012," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 458, issue C, pages 342-355, DOI: 10.1016/j.physa.2016.04.010.
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