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
/ / / C13: Estimation: General

2018

• Tenreyro, Silvana & McLeay, Michael, 2018, "Optimal Inflation and the Identification of the Phillips Curve," CEPR Discussion Papers, Centre for Economic Policy Research, number 12981, Jun.
• Den Haan, Wouter & Drechsel, Thomas, 2018, "Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 13145, Aug.
• Fabian Goessling, 2018, "Randomized Quasi Sequential Markov Chain Monte Carlo²," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7018, Feb.
• Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018, "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers, Center for Research in Economics and Statistics, number 2018-08, Jun.
• Zainab Iftikhar, 2018, "The effect of norms on fertility and its implications for the quantity-quality trade-off in Pakistan," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2018014, Nov.
• Sergey Ivashchenko & Semih Emre Cekin & Kevin Kotze & Rangan Gupta, 2018, "Forecasting with second-order approximations and Markov-switching DSGE models," School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town, number 2018-10.
• Maribel Jiménez, 2018, "La movilidad intergeneracional del ingreso y sus métodos de estimación. Un análisis comparativo para Argentina y Chile," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 41, issue 115, pages 79-103, Enero.
• Słoczyński, Tymon & Wooldridge, Jeffrey M., 2018, "A General Double Robustness Result For Estimating Average Treatment Effects," Econometric Theory, Cambridge University Press, volume 34, issue 1, pages 112-133, February.
• Cattaneo, Matias D. & Jansson, Michael & Newey, Whitney K., 2018, "Alternative Asymptotics And The Partially Linear Model With Many Regressors," Econometric Theory, Cambridge University Press, volume 34, issue 2, pages 277-301, April.
• Cho, Jin Seo & White, Halbert, 2018, "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, volume 34, issue 5, pages 1101-1131, October.
• Aka, Joël & Ugaglia, Adeline Alonso & Lescot, Jean-Marie, 2018, "Pesticide Use and Risk Aversion in the French Wine Sector," Journal of Wine Economics, Cambridge University Press, volume 13, issue 4, pages 451-460, November.
• Mittnik, Stefan & Semmler, Willi, 2018, "Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence," Macroeconomic Dynamics, Cambridge University Press, volume 22, issue 1, pages 4-32, January.
• Gross, Marco & Henry, Jerome & Semmler, Willi, 2018, "Destabilizing Effects Of Bank Overleveraging On Real Activity—An Analysis Based On A Threshold Mcs-Gvar," Macroeconomic Dynamics, Cambridge University Press, volume 22, issue 7, pages 1750-1768, October.
• Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata, 2018, "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1019, Feb.
• Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata & Guowei Cui, 2018, "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1019r, Feb, revised Apr 2019.
• Marcel, Bräutigam & Michel, Dacorogna & Marie, Kratz, 2018, "Predicting risk with risk measures : an empirical study," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1803, Feb.
• Marcel, Bräutigam & Marie, Kratz, 2018, "On the Dependence between Quantiles and Dispersion Estimators," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1807, Dec.
• Christopoulos, Dimitris & McAdam, Peter & Tzavalis, Elias, 2018, "Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier," Working Paper Series, European Central Bank, number 2136, Mar.
• Manganelli, Simone, 2018, "Selecting models with judgment," Working Paper Series, European Central Bank, number 2188, Oct.
• Sickles, Robin C. & Song, Wonho & Zelenyuk, Valentin, 2018, "Econometric Analysis of Productivity: Theory and Implementation in R," Working Papers, Rice University, Department of Economics, number 18-008, Sep.
• Ebru Caglayan Akay & mer Faruk Bolukbasi & Engin Bekar, 2018, "Robust and Resistant Estimations of Hedonic Prices for Second Hand Cars: an Application to the Istanbul Car Market," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 1, pages 39-47.
• Zul - Amry, 2018, "Bayesian Approach for Indonesia Inflation Forecasting," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 5, pages 96-102.
• Zouheir Ahmed Mighri & Majid Ibrahim Al Saggaf, 2018, "Gold - Silver Nexus: A Threshold Cointegration Approach," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 5, pages 210-219.
• B. Mapapu & Andrew Phiri, 2018, "Carbon Emissions and Economic Growth in South Africa: A Quantile Regresison Analysis," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 1, pages 195-202.
• Poonpong Suksawang & Sukonthip Suphachan & Kanokkarn Kaewnuch, 2018, "Electricity Consumption Forecasting in Thailand using Hybrid Model SARIMA and Gaussian Process with Combine Kernel Function Technique," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 4, pages 98-109.
• Wajdi Hamza Dawod Alredany, 2018, "A Regression Analysis of Determinants Affecting Crude Oil Price," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 4, pages 110-119.
• Nelson Javier Hern ndez Bueno & Mar a de los ngeles Pinto Calder n & Yecid Alfonso Mu oz Maldonado & Adalberto Ospino Castro, 2018, "Determination of Models of Simple Regression and Multivariate Analysis for the Forecast of the Electricity Price in Colombia at 2030," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 5, pages 202-211.
• Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2018, "News and expected returns in East Asian equity markets: The RV-GARCHM model," Journal of Asian Economics, Elsevier, volume 57, issue C, pages 36-52, DOI: 10.1016/j.asieco.2018.06.003.
• Mensah, Jones Odei & Premaratne, Gamini, 2018, "Integration of ASEAN banking sector stocks," Journal of Asian Economics, Elsevier, volume 59, issue C, pages 48-60, DOI: 10.1016/j.asieco.2018.10.001.
• Hartigan, Luke, 2018, "Alternative HAC covariance matrix estimators with improved finite sample properties," Computational Statistics & Data Analysis, Elsevier, volume 119, issue C, pages 55-73, DOI: 10.1016/j.csda.2017.09.007.
• Franke, Reiner, 2018, "Reviving Kalecki’s business cycle model in a growth context," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 157-171, DOI: 10.1016/j.jedc.2017.12.009.
• Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018, "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, volume 92, issue C, pages 1-29, DOI: 10.1016/j.jedc.2018.04.002.
• McNevin, Bruce D. & Nix, Joan, 2018, "The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors," Economic Modelling, Elsevier, volume 68, issue C, pages 570-585, DOI: 10.1016/j.econmod.2017.03.024.
• Mastromarco, Camilla & Simar, Léopold, 2018, "Globalization and productivity: A robust nonparametric world frontier analysis," Economic Modelling, Elsevier, volume 69, issue C, pages 134-149, DOI: 10.1016/j.econmod.2017.09.015.
• Westerlund, Joakim & Petrova, Yana, 2018, "Asymptotic collinearity in CCE estimation of interactive effects models," Economic Modelling, Elsevier, volume 70, issue C, pages 331-337, DOI: 10.1016/j.econmod.2017.07.023.
• Caporale, Guglielmo Maria & Helmi, Mohamad Husam & Çatık, Abdurrahman Nazif & Menla Ali, Faek & Akdeniz, Coşkun, 2018, "Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?," Economic Modelling, Elsevier, volume 72, issue C, pages 306-319, DOI: 10.1016/j.econmod.2018.02.006.
• Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018, "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, volume 73, issue C, pages 354-364, DOI: 10.1016/j.econmod.2018.04.014.
• Liu, Qiang & Liu, Yiqi & Liu, Zhi & Wang, Li, 2018, "Estimation of spot volatility with superposed noisy data," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 62-79, DOI: 10.1016/j.najef.2017.11.004.
• Ibhagui, Oyakhilome W. & Olokoyo, Felicia O., 2018, "Leverage and firm performance: New evidence on the role of firm size," The North American Journal of Economics and Finance, Elsevier, volume 45, issue C, pages 57-82, DOI: 10.1016/j.najef.2018.02.002.
• Zhao, Shangwei & Ullah, Aman & Zhang, Xinyu, 2018, "A class of model averaging estimators," Economics Letters, Elsevier, volume 162, issue C, pages 101-106, DOI: 10.1016/j.econlet.2017.10.023.
• Lobato, Ignacio N. & Velasco, Carlos, 2018, "Efficiency improvements for minimum distance estimation of causal and invertible ARMA models," Economics Letters, Elsevier, volume 162, issue C, pages 150-152, DOI: 10.1016/j.econlet.2017.11.013.
• Kim, Ju Hyun & Park, Byoung G., 2018, "Weak convergence of local quantile treatment effect processes," Economics Letters, Elsevier, volume 162, issue C, pages 49-52, DOI: 10.1016/j.econlet.2017.10.021.
• Lee, Jiyon, 2018, "A spatial latent class model," Economics Letters, Elsevier, volume 162, issue C, pages 62-68, DOI: 10.1016/j.econlet.2017.10.004.
• Kim, Byungsoo, 2018, "Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator," Economics Letters, Elsevier, volume 162, issue C, pages 93-97, DOI: 10.1016/j.econlet.2017.11.003.
• Fan, Yanqin & Hou, Lei & Yan, Karen X., 2018, "On the density estimation of air pollution in Beijing," Economics Letters, Elsevier, volume 163, issue C, pages 110-113, DOI: 10.1016/j.econlet.2017.12.020.
• Kutlu, Levent, 2018, "A distribution-free stochastic frontier model with endogenous regressors," Economics Letters, Elsevier, volume 163, issue C, pages 152-154, DOI: 10.1016/j.econlet.2017.12.026.
• Li, Shaomin & Wang, Kangning & Ren, Yanyan, 2018, "Robust estimation and empirical likelihood inference with exponential squared loss for panel data models," Economics Letters, Elsevier, volume 164, issue C, pages 19-23, DOI: 10.1016/j.econlet.2017.12.029.
• Dantas, Raissa N.D. & Duarte, Gisleia & da Mota Silveira Neto, Raul & Sampaio, Breno, 2018, "Height restrictions and housing prices: A difference-in-discontinuity approach," Economics Letters, Elsevier, volume 164, issue C, pages 58-61, DOI: 10.1016/j.econlet.2018.01.002.
• Lewbel, Arthur, 2018, "Identification and estimation using heteroscedasticity without instruments: The binary endogenous regressor case," Economics Letters, Elsevier, volume 165, issue C, pages 10-12, DOI: 10.1016/j.econlet.2018.01.003.
• Yang, Jingjing & Vogelsang, Timothy J., 2018, "Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators," Economics Letters, Elsevier, volume 165, issue C, pages 21-27, DOI: 10.1016/j.econlet.2018.01.023.
• Tsionas, Mike G., 2018, "Bayesian local influence analysis: With an application to stochastic frontiers," Economics Letters, Elsevier, volume 165, issue C, pages 54-57, DOI: 10.1016/j.econlet.2018.02.005.
• Hayakawa, Kazuhiko, 2018, "Corrected standard errors for optimal minimum distance estimator," Economics Letters, Elsevier, volume 167, issue C, pages 5-9, DOI: 10.1016/j.econlet.2018.02.029.
• Qin, Ruibing & Ma, Junjie, 2018, "An efficient algorithm to estimate the change in variance," Economics Letters, Elsevier, volume 168, issue C, pages 15-17, DOI: 10.1016/j.econlet.2018.03.031.
• Burlig, Fiona, 2018, "Improving transparency in observational social science research: A pre-analysis plan approach," Economics Letters, Elsevier, volume 168, issue C, pages 56-60, DOI: 10.1016/j.econlet.2018.03.036.
• Anatolyev, Stanislav, 2018, "Almost unbiased variance estimation in linear regressions with many covariates," Economics Letters, Elsevier, volume 169, issue C, pages 20-23, DOI: 10.1016/j.econlet.2018.05.003.
• Wu, Jianhong, 2018, "Eigenvalue difference test for the number of common factors in the approximate factor models," Economics Letters, Elsevier, volume 169, issue C, pages 63-67, DOI: 10.1016/j.econlet.2018.05.009.
• Chen, Xirong & Gao, Wenzheng & Li, Zheng, 2018, "A data-driven bandwidth selection method for the smoothed maximum score estimator," Economics Letters, Elsevier, volume 170, issue C, pages 24-26, DOI: 10.1016/j.econlet.2018.05.024.
• Dimitrakopoulos, Stefanos, 2018, "Accounting for persistence in panel count data models. An application to the number of patents awarded," Economics Letters, Elsevier, volume 171, issue C, pages 245-248, DOI: 10.1016/j.econlet.2018.08.004.
• Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018, "Moment redundancy test with application to efficiency-improving copulas," Economics Letters, Elsevier, volume 171, issue C, pages 29-33, DOI: 10.1016/j.econlet.2018.07.009.
• Lee, Tae-Hwy & Ullah, Aman & Wang, He, 2018, "The second-order bias of quantile estimators," Economics Letters, Elsevier, volume 173, issue C, pages 143-147, DOI: 10.1016/j.econlet.2018.09.022.
• Dias, Gustavo Fruet & Kapetanios, George, 2018, "Estimation and forecasting in vector autoregressive moving average models for rich datasets," Journal of Econometrics, Elsevier, volume 202, issue 1, pages 75-91, DOI: 10.1016/j.jeconom.2017.06.022.
• Han, Xu, 2018, "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 125-147, DOI: 10.1016/j.jeconom.2017.09.001.
• Chen, Songnian & Zhou, Yahong & Ji, Yuanyuan, 2018, "Nonparametric identification and estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 148-160, DOI: 10.1016/j.jeconom.2017.09.004.
• Belotti, Federico & Ilardi, Giuseppe, 2018, "Consistent inference in fixed-effects stochastic frontier models," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 161-177, DOI: 10.1016/j.jeconom.2017.09.005.
• Pei, Youquan & Huang, Tao & You, Jinhong, 2018, "Nonparametric fixed effects model for panel data with locally stationary regressors," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 286-305, DOI: 10.1016/j.jeconom.2017.06.023.
• Zhang, Xinyu & Yu, Jihai, 2018, "Spatial weights matrix selection and model averaging for spatial autoregressive models," Journal of Econometrics, Elsevier, volume 203, issue 1, pages 1-18, DOI: 10.1016/j.jeconom.2017.05.021.
• Čížek, Pavel & Lei, Jinghua, 2018, "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, volume 203, issue 1, pages 113-128, DOI: 10.1016/j.jeconom.2017.11.003.
• Caner, Mehmet & Kock, Anders Bredahl, 2018, "Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso," Journal of Econometrics, Elsevier, volume 203, issue 1, pages 143-168, DOI: 10.1016/j.jeconom.2017.11.005.
• Hirukawa, Masayuki & Prokhorov, Artem, 2018, "Consistent estimation of linear regression models using matched data," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 344-358, DOI: 10.1016/j.jeconom.2017.07.006.
• Sun, Yiguo & Malikov, Emir, 2018, "Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 359-378, DOI: 10.1016/j.jeconom.2017.12.006.
• De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2018, "Weighted-average least squares estimation of generalized linear models," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 1-17, DOI: 10.1016/j.jeconom.2017.12.007.
• Freyberger, Joachim & Rai, Yoshiyasu, 2018, "Uniform confidence bands: Characterization and optimality," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 119-130, DOI: 10.1016/j.jeconom.2018.01.006.
• Liu, Zhi & Kong, Xin-Bing & Jing, Bing-Yi, 2018, "Estimating the integrated volatility using high-frequency data with zero durations," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 18-32, DOI: 10.1016/j.jeconom.2017.12.008.
• Giesecke, Kay & Schwenkler, Gustavo, 2018, "Filtered likelihood for point processes," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 33-53, DOI: 10.1016/j.jeconom.2017.11.011.
• Kolesár, Michal, 2018, "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 86-100, DOI: 10.1016/j.jeconom.2018.01.004.
• Lee, Yoon-Jin & Okui, Ryo & Shintani, Mototsugu, 2018, "Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes," Journal of Econometrics, Elsevier, volume 204, issue 2, pages 147-158, DOI: 10.1016/j.jeconom.2017.04.005.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, volume 204, issue 2, pages 223-247, DOI: 10.1016/j.jeconom.2018.02.003.
• Antoine, Bertille & Boldea, Otilia, 2018, "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, volume 204, issue 2, pages 268-300, DOI: 10.1016/j.jeconom.2018.02.005.
• Gourieroux, Christian & Jasiak, Joann, 2018, "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 226-248, DOI: 10.1016/j.jeconom.2018.03.012.
• Blasques, Francisco & Duplinskiy, Artem, 2018, "Penalized indirect inference," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 34-54, DOI: 10.1016/j.jeconom.2018.03.004.
• Chaudhuri, Saraswata & Frazier, David T. & Renault, Eric, 2018, "Indirect Inference with endogenously missing exogenous variables," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 55-75, DOI: 10.1016/j.jeconom.2018.03.005.
• Francq, Christian & Zakoïan, Jean-Michel, 2018, "Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models," Journal of Econometrics, Elsevier, volume 205, issue 2, pages 381-401, DOI: 10.1016/j.jeconom.2018.03.018.
• Yang, Zhenlin, 2018, "Unified M-estimation of fixed-effects spatial dynamic models with short panels," Journal of Econometrics, Elsevier, volume 205, issue 2, pages 423-447, DOI: 10.1016/j.jeconom.2017.08.019.
• Clinet, Simon & Potiron, Yoann, 2018, "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, volume 206, issue 1, pages 103-142, DOI: 10.1016/j.jeconom.2018.05.002.
• Lam, Clifford & Feng, Phoenix, 2018, "A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data," Journal of Econometrics, Elsevier, volume 206, issue 1, pages 226-257, DOI: 10.1016/j.jeconom.2018.06.001.
• Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018, "Confidence regions for entries of a large precision matrix," Journal of Econometrics, Elsevier, volume 206, issue 1, pages 57-82, DOI: 10.1016/j.jeconom.2018.03.020.
• Robinson, Peter M. & Velasco, Carlos, 2018, "Inference on trending panel data," Journal of Econometrics, Elsevier, volume 206, issue 2, pages 282-304, DOI: 10.1016/j.jeconom.2018.06.003.
• Jin, Fei & Lee, Lung-fei, 2018, "Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model," Journal of Econometrics, Elsevier, volume 206, issue 2, pages 336-358, DOI: 10.1016/j.jeconom.2018.06.005.
• Hong, Han & Li, Jessie, 2018, "The numerical delta method," Journal of Econometrics, Elsevier, volume 206, issue 2, pages 379-394, DOI: 10.1016/j.jeconom.2018.06.007.
• Chiou, Yan-Yu & Chen, Mei-Yuan & Chen, Jau-er, 2018, "Nonparametric regression with multiple thresholds: Estimation and inference," Journal of Econometrics, Elsevier, volume 206, issue 2, pages 472-514, DOI: 10.1016/j.jeconom.2018.06.011.
• Li, Kunpeng & Li, Qi & Lu, Lina, 2018, "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, volume 206, issue 2, pages 574-612, DOI: 10.1016/j.jeconom.2018.06.015.
• Hsiao, Cheng, 2018, "Panel models with interactive effects," Journal of Econometrics, Elsevier, volume 206, issue 2, pages 645-673, DOI: 10.1016/j.jeconom.2018.06.017.
• Hsiao, Cheng & Zhou, Qiankun, 2018, "Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 114-128, DOI: 10.1016/j.jeconom.2018.04.005.
• Wang, Wenjie & Doko Tchatoka, Firmin, 2018, "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 188-211, DOI: 10.1016/j.jeconom.2018.07.003.
• Dong, Chaohua & Linton, Oliver, 2018, "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 212-236, DOI: 10.1016/j.jeconom.2018.05.007.
• Wang, Qiying & Wu, Dongsheng & Zhu, Ke, 2018, "Model checks for nonlinear cointegrating regression," Journal of Econometrics, Elsevier, volume 207, issue 2, pages 261-284, DOI: 10.1016/j.jeconom.2018.08.002.
• James, Jonathan, 2018, "Estimation of factor structured covariance mixed logit models," Journal of choice modelling, Elsevier, volume 28, issue C, pages 41-55, DOI: 10.1016/j.jocm.2018.05.006.
• Xiao, Xiao & Zhou, Chen, 2018, "The decomposition of jump risks in individual stock returns," Journal of Empirical Finance, Elsevier, volume 47, issue C, pages 207-228, DOI: 10.1016/j.jempfin.2018.04.002.
• Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018, "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, volume 70, issue C, pages 545-562, DOI: 10.1016/j.eneco.2017.06.001.
• Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018, "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, volume 74, issue C, pages 813-827, DOI: 10.1016/j.eneco.2018.07.027.
• Wen, Fenghua & Ye, Zhengke & Yang, Huaidong & Li, Ke, 2018, "Exploring the rebound effect from the perspective of household: An analysis of China's provincial level," Energy Economics, Elsevier, volume 75, issue C, pages 345-356, DOI: 10.1016/j.eneco.2018.08.018.
• Alam, Md. Samsul & Miah, Mohammad Dulal & Hammoudeh, Shawkat & Tiwari, Aviral Kumar, 2018, "The nexus between access to electricity and labour productivity in developing countries," Energy Policy, Elsevier, volume 122, issue C, pages 715-726, DOI: 10.1016/j.enpol.2018.08.009.
• Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018, "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, volume 60, issue C, pages 69-86, DOI: 10.1016/j.irfa.2018.08.014.
• Hodoshima, Jiro & Misawa, Tetsuya & Miyahara, Yoshio, 2018, "Comparison of utility indifference pricing and mean-variance approach under normal mixture," Finance Research Letters, Elsevier, volume 24, issue C, pages 221-229, DOI: 10.1016/j.frl.2017.09.008.
• Li, Haiqi & Zheng, Chaowen, 2018, "Unit root quantile autoregression testing with smooth structural changes," Finance Research Letters, Elsevier, volume 25, issue C, pages 83-89, DOI: 10.1016/j.frl.2017.10.008.
• Papanikolaou, Nikolaos I., 2018, "To be bailed out or to be left to fail? A dynamic competing risks hazard analysis," Journal of Financial Stability, Elsevier, volume 34, issue C, pages 61-85, DOI: 10.1016/j.jfs.2017.11.005.
• Soderbery, Anson, 2018, "Trade elasticities, heterogeneity, and optimal tariffs," Journal of International Economics, Elsevier, volume 114, issue C, pages 44-62, DOI: 10.1016/j.jinteco.2018.04.008.
• Börger, Matthias & Schupp, Johannes, 2018, "Modeling trend processes in parametric mortality models," Insurance: Mathematics and Economics, Elsevier, volume 78, issue C, pages 369-380, DOI: 10.1016/j.insmatheco.2017.09.024.
• Eling, Martin & Jung, Kwangmin, 2018, "Copula approaches for modeling cross-sectional dependence of data breach losses," Insurance: Mathematics and Economics, Elsevier, volume 82, issue C, pages 167-180, DOI: 10.1016/j.insmatheco.2018.07.003.
• Chavez-Demoulin, Valérie & Guillou, Armelle, 2018, "Extreme quantile estimation for β-mixing time series and applications," Insurance: Mathematics and Economics, Elsevier, volume 83, issue C, pages 59-74, DOI: 10.1016/j.insmatheco.2018.09.004.
• Chong, Terence T.L. & Yan, Isabel K., 2018, "Forecasting currency crises with threshold models," International Economics, Elsevier, volume 156, issue C, pages 156-174, DOI: 10.1016/j.inteco.2018.02.001.
• Guesmi, Khaled & Dhaoui, Abderrazak & Goutte, Stéphane & Abid, Ilyes, 2018, "On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 233-254, DOI: 10.1016/j.intfin.2018.01.005.
• Knüppel, Malte, 2018, "Forecast-error-based estimation of forecast uncertainty when the horizon is increased," International Journal of Forecasting, Elsevier, volume 34, issue 1, pages 105-116, DOI: 10.1016/j.ijforecast.2017.08.006.
• Caglayan, Mustafa Onur & Celiker, Umut & Sonaer, Gokhan, 2018, "Hedge fund vs. non-hedge fund institutional demand and the book-to-market effect," Journal of Banking & Finance, Elsevier, volume 92, issue C, pages 51-66, DOI: 10.1016/j.jbankfin.2018.04.021.
• Wu, Liuren, 2018, "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, volume 93, issue C, pages 183-197, DOI: 10.1016/j.jbankfin.2018.06.010.
• Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018, "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 148-166, DOI: 10.1016/j.jbankfin.2017.05.012.
• Benth, Fred Espen & Paraschiv, Florentina, 2018, "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 203-216, DOI: 10.1016/j.jbankfin.2017.03.018.
• Chen, Yong & Eaton, Gregory W. & Paye, Bradley S., 2018, "Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity," Journal of Financial Economics, Elsevier, volume 130, issue 1, pages 48-73, DOI: 10.1016/j.jfineco.2018.05.011.
• Yang, Lixiong & Su, Jen-Je, 2018, "Debt and growth: Is there a constant tipping point?," Journal of International Money and Finance, Elsevier, volume 87, issue C, pages 133-143, DOI: 10.1016/j.jimonfin.2018.06.002.
• Cordero, Jose M. & Gil-Izquierdo, María, 2018, "The effect of teaching strategies on student achievement: An analysis using TALIS-PISA-link," Journal of Policy Modeling, Elsevier, volume 40, issue 6, pages 1313-1331, DOI: 10.1016/j.jpolmod.2018.04.003.
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• Fang, Libing & Xiao, Binqing & Yu, Honghai & You, Qixing, 2018, "A stable systemic risk ranking in China’s banking sector: Based on principal component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 1997-2009, DOI: 10.1016/j.physa.2017.11.115.
• Liu, Wei-han, 2018, "Hidden Markov model analysis of extreme behaviors of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 503, issue C, pages 1007-1019, DOI: 10.1016/j.physa.2018.07.060.
• Fu, Hui & Chen, Wenting & He, Xin-Jiang, 2018, "On a class of estimation and test for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 509, issue C, pages 906-920, DOI: 10.1016/j.physa.2018.06.092.
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• Arbia, Giuseppe & Bramante, Riccardo & Facchinetti, Silvia & Zappa, Diego, 2018, "Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation," Regional Science and Urban Economics, Elsevier, volume 70, issue C, pages 72-79, DOI: 10.1016/j.regsciurbeco.2018.02.006.
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• Weshah Razzak, 2018, "The Purchasing Power Parity Puzzle: An Update," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2018/05, Jun.
• Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018, "Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-37, Aug.
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• Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018, "Confidence regions for entries of a large precision matrix," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87513, Sep.
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• Rafiu Adewale Aregbeshola, 2018, "The machination of foreign direct investment flow to emerging markets – a focus on Africa," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, volume 9, issue 4, pages 430-448, July, DOI: 10.1108/AJEMS-12-2017-0313.
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• Tindara Addabbo & Rosa María García-Fernández & Carmen María Llorca-Rodríguez & Anna Maccagnan, 2018, "Labor force heterogeneity and wage polarization: Italy and Spain," Journal of Economic Studies, Emerald Group Publishing Limited, volume 45, issue 5, pages 979-993, October, DOI: 10.1108/JES-03-2017-0071.
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• Allen, D.E. & McAleer, M.J., 2018, ""Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2018-33, Aug.
• Asai, M. & Chang, C-L. & McAleer, M.J. & Pauwels, L., 2018, "Asymptotic Theory for Rotated Multivariate GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-38, Oct.
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• Kunpeng Li & Qi Li & Lina Lu, 2018, "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 18-2, Apr.
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• Cristina Fuentes-Albero, 2018, "Financial Frictions, Financial Shocks, and Aggregate Volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-054, Aug, DOI: 10.17016/FEDS.2018.054.
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• Tuğay GÜNEL, 2018, "The Relationship Between Young Populations, Life Expectancy at Birth, Number Of Doctors and Health Expenditure in Turkey: An Econometric Application," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 1, pages 1-29, January.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 10, pages 1-29, October.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 11, pages 1-29, November.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 12, pages 1-29, December.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 2, pages 1-29, February.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 3, pages 1-28, March.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 4, pages 1-28, May.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 5, pages 1-28, June.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 6, pages 1-29, June.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 7, pages 1-29, July.
• Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina, 2018, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 9, pages 1-29, September.
• Marie Busch & Philipp Sibbertsen, 2018, "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, volume 6, issue 1, pages 1-21, March.
• David E. Allen & Michael McAleer, 2018, "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management," Energies, MDPI, volume 11, issue 7, pages 1-19, June.
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