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

2013

• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2013, "A Monte Carlo procedure for checking identification in DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2013/4, Mar.
• Le, Vo Phuong Mai & Meenagh, David, 2013, "Testing and Estimating Models Using Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2013/8, Jun.
• Villas-Boas, Sofia B & Bonnet, Celine & Dubois, Pierre, 2013, "Empirical Evidence on the Role of Non Linear Wholesale Pricing and Vertical Restraints on Cost Pass-Through," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley, number qt61x6k2m7, May.
• Sun, Yixiao, 2013, "Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8x8307rz, May.
• Stephen Hansen & Michael McMahon, 2013, "Estimating Bayesian Decision Problems with Heterogeneous Priors," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1211, May.
• Peter M Robinson & Carlos Velasco, 2013, "Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 567, Mar.
• Jungyoon Lee & Peter M Robinson, 2013, "Panel Nonparametric Regression with Fixed Effects," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 569, Mar.
• Jungyoon Lee & Peter M Robinson, 2013, "Series Estimation under Cross-sectional Dependence," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 570, Jun.
• Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2013, "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers, Center for Economic and Financial Research (CEFIR), number w0167, Aug.
• Osman Dogan & Suleyman Taspinar, 2013, "GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," Working Papers, City University of New York Graduate Center, Ph.D. Program in Economics, number 1, Dec.
• Osman Dogan, 2013, "Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term," Working Papers, City University of New York Graduate Center, Ph.D. Program in Economics, number 2, Dec.
• Hansen,Stephen & McMahon, Michael, 2013, "Estimating Bayesian Decision Problems with Heterogeneous Priors," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 127.
• Hansen, Stephen & McMahon, Michael, 2013, "Estimating Bayesian Decision Problems with Heterogeneous Priors," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 136.
• Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013, "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-05, Mar.
• Matthias Thul & Ally Zhang, 2017, "Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-78, Dec, revised Feb 2018.
• Guy Tchuente & Marine Carrasco, 2013, "Regularized LIML for many instruments," CIRANO Working Papers, CIRANO, number 2013s-20, Jul.
• Guy Tchuente & Marine Carrasco, 2013, "Efficient estimation with many weak instruments using regularization techniques," CIRANO Working Papers, CIRANO, number 2013s-21, Jul.
• Marine Carrasco & Rachidi Kotchoni, 2013, "Efficient estimation using the Characteristic Function," CIRANO Working Papers, CIRANO, number 2013s-22, Jul.
• Gabriele Fiorentini & Enrique Sentana, 2013, "Dynamic Specification Tests for Dynamic Factor Models," Working Papers, CEMFI, number wp2013_1306, Jun.
• P.A. Bekker & F. Crudu, 2013, "Jackknife Instrumental Variable Estimation with Heteroskedasticity," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201313.
• Jurany Beccie RAMÍREZ GALLEGO, 2013, "Estimación del producto potencial en Colombia:," Archivos de Economía, Departamento Nacional de Planeación, number 10704, Mar.
• Miguel SARMIENTOO & Andr�s CEPEDA & Hernando MUTIS & Juan F. P�REZ, 2013, "Nueva Evidencia sobre la Eficiencia de la Banca," Archivos de Economía, Departamento Nacional de Planeación, number 10705, Mar.
• Mauricio SANTAMARIA SALAMANCA & Gabriel PIRAQUIVE GALEANO & Gustavo HERNANDEZ DIAZ & Norberto ROJAS DELGADILLO, 2013, "Crecimiento económico y desempleo: Retos a largo plazo," Archivos de Economía, Departamento Nacional de Planeación, number 11202, Aug.
• Nancy Aireth DAZA BAEZ, 2013, "Determinantes del perfil de Ahorro en Colombia: Una estimación para hogares e individuos," Archivos de Economía, Departamento Nacional de Planeación, number 11207, Dec.
• Dewin Iván Pérez Fuentes & Jorge Leonardo Castillo Loaiza, 2013, "Incidencias de las muertes y la oferta laboral en la generación de capital humano en el departamento de Bolívar," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-32.
• HAFNER, Christian & LINTON, Oliver, 2013, "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013022, May.
• Nieswand, Maria & Walter, Matthias, 2013, "Cost Efficiency and Subsidization in German Local Public Bus Transit," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9346, Feb.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2013, "A Monte Carlo procedure for checking identification in DSGE models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9411, Mar.
• Farmer, Roger & Khramov, Vadim, 2013, "Solving and Estimating Indeterminate DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9663, Sep.
• Patacchini, Eleonora & Liu, Xiaodong & Rainone, Edoardo, 2013, "The Allocation of Time in Sleep: a Social Network Model with Sampled Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9752, Nov.
• Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013, "Forecasting distress in European SME portfolios," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-2.
• Christian Francq & Jean-Michel Zakoian, 2013, "Inference in Non Stationary Asymmetric Garch Models," Working Papers, Center for Research in Economics and Statistics, number 2013-11, Aug.
• Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013, "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers, Center for Research in Economics and Statistics, number 2013-51, Dec.
• Campos, Rodolfo G. & Reggio, Iliana, 2013, "Measurement error and imputation of consumption in survey data," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1219, Jul.
• Vogelsang, Timothy J. & Wagner, Martin, 2013, "A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 609-628, June.
• Nikhil Agarwal & William Diamond, 2013, "Identification and Estimation in Two-Sided Matching Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1905, Aug, revised Feb 2014.
• Peter C.B. Phillips & Degui Li & Jiti Gao, 2013, "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1910, Sep.
• Jiti Gao & Peter C.B. Phillips, 2013, "Functional Coefficient Nonstationary Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1911, Sep.
• Xiaohong Chen & Timothy Christensen, 2013, "Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1923, Nov.
• Xiaohong Chen & Timothy Christensen, 2013, "Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1923R, Nov, revised Apr 2015.
• Xiaohong Chen & Timothy Christensen, 2013, "Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1923R2, Nov, revised Jan 2017.
• Degui Li & Peter C.B. Phillips & Jiti Gao, 2013, "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1929, Dec.
• Shakeeb Khan & Denis Nekipelov, 2013, "On Uniform Inference in Nonlinear Models with Endogeneity," Working Papers, Duke University, Department of Economics, number 13-16.
• Calvet , Laurent & Czellar, Veronika, 2013, "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series, HEC Paris, number 1048, Nov.
• Drehmann, Mathias & Alessandri, Piergiorgio, 2009, "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series, European Central Bank, number 1041, Apr.
• de Vincent-Humphreys, Rupert & Puigvert Gutiérrez, Josep Maria, 2010, "A quantitative mirror on the Euribor market using implied probability density functions," Working Paper Series, European Central Bank, number 1281, Dec.
• Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013, "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series, European Central Bank, number 1626, Dec.
• Tomaso Duso & Klaus Gugler & Florian Szücs, 2013, "An Empirical Assessment of the 2004 EU Merger Policy Reform," Economic Journal, Royal Economic Society, volume 123, issue 11, pages 596-619, November.
• Victor Chernozhukov & Sokbae Lee & Adam M. Rosen, 2013, "Intersection Bounds: Estimation and Inference," Econometrica, Econometric Society, volume 81, issue 2, pages 667-737, March, DOI: ECTA8718.
• Samih Antoine Azar, 2013, "Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 3, pages 723-733.
• Xes�s Pereira L�pez & Andr� Carrascal Incera & Melchor Fern�ndez Fern�ndez, 2013, "Cocientes de localizaci�n mediante una doble parametrizaci�n," Documentos de trabajo - IRENe, IDEGA - Instituto Universitario de Estudios e Desenvolvemento de Galicia, number 0006, Mar.
• Wan, Huishan, 2013, "Does incorporating non-linearity into discretionary accrual models improve their performance?," Advances in accounting, Elsevier, volume 29, issue 1, pages 85-96, DOI: 10.1016/j.adiac.2013.03.008.
• Westerlund, Joakim, 2013, "Simple unit root testing in generally trending data with an application to precious metal prices in Asia," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 12-27, DOI: 10.1016/j.asieco.2013.04.004.
• Westerlund, Joakim & Urbain, Jean-Pierre, 2013, "On the implementation and use of factor-augmented regressions in panel data," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 3-11, DOI: 10.1016/j.asieco.2013.02.002.
• Bouaddi, Mohammed & Taamouti, Abderrahim, 2013, "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2943-2962, DOI: 10.1016/j.jedc.2013.08.010.
• Mittnik, Stefan & Semmler, Willi, 2013, "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1479-1499, DOI: 10.1016/j.jedc.2013.04.014.
• Kaeck, Andreas, 2013, "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1872-1888, DOI: 10.1016/j.jedc.2013.04.008.
• Zhou, Jian, 2013, "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, volume 30, issue C, pages 196-204, DOI: 10.1016/j.econmod.2012.09.030.
• Aidi, Wafa, 2013, "Optima exchange crisis regression and twin crisis: Evidences for some MENA countries," Economic Modelling, Elsevier, volume 33, issue C, pages 306-311, DOI: 10.1016/j.econmod.2013.01.048.
• Hajargasht, Gholamreza & Griffiths, William E., 2013, "Pareto–lognormal distributions: Inequality, poverty, and estimation from grouped income data," Economic Modelling, Elsevier, volume 33, issue C, pages 593-604, DOI: 10.1016/j.econmod.2013.04.046.
• Yang, Linghubo & Zhang, Dongxiang, 2013, "Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market," Economic Modelling, Elsevier, volume 35, issue C, pages 264-271, DOI: 10.1016/j.econmod.2013.07.011.
• Pan, Qi & Li, Yong, 2013, "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, volume 35, issue C, pages 45-50, DOI: 10.1016/j.econmod.2013.06.029.
• Boccanfuso, Dorothée & Richard, Patrick & Savard, Luc, 2013, "Parametric and nonparametric income distribution estimators in CGE micro-simulation modeling," Economic Modelling, Elsevier, volume 35, issue C, pages 892-899, DOI: 10.1016/j.econmod.2013.07.002.
• Dong, Chaohua & Gao, Jiti, 2013, "Solving replication problems in a complete market by orthogonal series expansion," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 306-317, DOI: 10.1016/j.najef.2012.06.009.
• Kunitomo, Naoto & Sato, Seisho, 2013, "Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 282-309, DOI: 10.1016/j.najef.2013.02.006.
• Zhang, Zhengyu & Tao, Ji, 2013, "Estimation of spatial autoregressive models with boundary specification problem," Economics Letters, Elsevier, volume 118, issue 1, pages 130-134, DOI: 10.1016/j.econlet.2012.10.001.
• Zhang, Zhengyu & Zhu, Pingfang, 2013, "An alternative simple quantile regression estimator," Economics Letters, Elsevier, volume 118, issue 1, pages 163-166, DOI: 10.1016/j.econlet.2012.09.036.
• Tran, Kien C. & Tsionas, Efthymios G., 2013, "GMM estimation of stochastic frontier model with endogenous regressors," Economics Letters, Elsevier, volume 118, issue 1, pages 233-236, DOI: 10.1016/j.econlet.2012.10.028.
• Liu, Xiaodong, 2013, "Estimation of a local-aggregate network model with sampled networks," Economics Letters, Elsevier, volume 118, issue 1, pages 243-246, DOI: 10.1016/j.econlet.2012.10.037.
• Ipatova, Ekaterina & Trapani, Lorenzo, 2013, "First-differenced inference for panel factor series," Economics Letters, Elsevier, volume 118, issue 2, pages 364-366, DOI: 10.1016/j.econlet.2012.11.026.
• Juodis, Artūras, 2013, "A note on bias-corrected estimation in dynamic panel data models," Economics Letters, Elsevier, volume 118, issue 3, pages 435-438, DOI: 10.1016/j.econlet.2012.12.013.
• Do, Hung Xuan & Brooks, Robert Darren & Treepongkaruna, Sirimon, 2013, "Generalized impulse response analysis in a fractionally integrated vector autoregressive model," Economics Letters, Elsevier, volume 118, issue 3, pages 462-465, DOI: 10.1016/j.econlet.2012.12.023.
• Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2013, "Alternative representations for cointegrated panels with global stochastic trends," Economics Letters, Elsevier, volume 118, issue 3, pages 485-488, DOI: 10.1016/j.econlet.2012.12.028.
• Sueishi, Naoya, 2013, "Identification problem of the exponential tilting estimator under misspecification," Economics Letters, Elsevier, volume 118, issue 3, pages 509-511, DOI: 10.1016/j.econlet.2012.12.024.
• Sheng, Xuguang & Yang, Jingyun, 2013, "An adaptive truncated product method for combining dependent p-values," Economics Letters, Elsevier, volume 119, issue 2, pages 180-182, DOI: 10.1016/j.econlet.2013.02.013.
• Massacci, Daniele, 2013, "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, volume 119, issue 2, pages 199-203, DOI: 10.1016/j.econlet.2013.02.031.
• Westerlund, Joakim & Urbain, Jean-Pierre, 2013, "On the estimation and inference in factor-augmented panel regressions with correlated loadings," Economics Letters, Elsevier, volume 119, issue 3, pages 247-250, DOI: 10.1016/j.econlet.2013.03.022.
• Allen, David & Ng, K.H. & Peiris, Shelton, 2013, "The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics," Economics Letters, Elsevier, volume 120, issue 1, pages 117-122, DOI: 10.1016/j.econlet.2013.03.049.
• Zhang, Xianyang & Shao, Xiaofeng, 2013, "On a general class of long run variance estimators," Economics Letters, Elsevier, volume 120, issue 3, pages 437-441, DOI: 10.1016/j.econlet.2013.05.026.
• Yu, Ping, 2013, "Inconsistency of 2SLS estimators in threshold regression with endogeneity," Economics Letters, Elsevier, volume 120, issue 3, pages 532-536, DOI: 10.1016/j.econlet.2013.06.023.
• Hoshino, Tadao, 2013, "Partial identification in binary response models with nonignorable nonresponses," Economics Letters, Elsevier, volume 121, issue 1, pages 74-78, DOI: 10.1016/j.econlet.2013.07.009.
• Zhang, Xinyu, 2013, "Model averaging with covariates that are missing completely at random," Economics Letters, Elsevier, volume 121, issue 3, pages 360-363, DOI: 10.1016/j.econlet.2013.09.008.
• Chambers, Marcus J., 2013, "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, volume 172, issue 1, pages 142-157, DOI: 10.1016/j.jeconom.2012.09.003.
• Boldea, Otilia & Hall, Alastair R., 2013, "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, volume 172, issue 1, pages 158-167, DOI: 10.1016/j.jeconom.2012.09.004.
• Khan, Shakeeb, 2013, "Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions," Journal of Econometrics, Elsevier, volume 172, issue 1, pages 168-182, DOI: 10.1016/j.jeconom.2012.08.002.
• Kumbhakar, Subal C. & Parmeter, Christopher F. & Tsionas, Efthymios G., 2013, "A zero inefficiency stochastic frontier model," Journal of Econometrics, Elsevier, volume 172, issue 1, pages 66-76, DOI: 10.1016/j.jeconom.2012.08.021.
• Wang, Honglin & Iglesias, Emma M. & Wooldridge, Jeffrey M., 2013, "Partial maximum likelihood estimation of spatial probit models," Journal of Econometrics, Elsevier, volume 172, issue 1, pages 77-89, DOI: 10.1016/j.jeconom.2012.08.005.
• Nolan, John P. & Ojeda-Revah, Diana, 2013, "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 186-194, DOI: 10.1016/j.jeconom.2012.08.008.
• Mikosch, Thomas & de Vries, Casper G., 2013, "Heavy tails of OLS," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 205-221, DOI: 10.1016/j.jeconom.2012.08.015.
• Andrews, Beth & Davis, Richard A., 2013, "Model identification for infinite variance autoregressive processes," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 222-234, DOI: 10.1016/j.jeconom.2012.08.009.
• Ogata, Hiroaki, 2013, "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 248-254, DOI: 10.1016/j.jeconom.2012.08.017.
• Hill, Jonathan B. & Aguilar, Mike, 2013, "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 255-274, DOI: 10.1016/j.jeconom.2012.08.013.
• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Stable mixture GARCH models," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2012.08.012.
• Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013, "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 307-324, DOI: 10.1016/j.jeconom.2012.08.014.
• Fasen, Vicky, 2013, "Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 325-337, DOI: 10.1016/j.jeconom.2012.08.019.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013, "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 108-125, DOI: 10.1016/j.jeconom.2012.11.002.
• Saijo, Hikaru, 2013, "Estimating DSGE models using seasonally adjusted and unadjusted data," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 22-35, DOI: 10.1016/j.jeconom.2012.10.004.
• Kruiniger, Hugo, 2013, "Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions," Journal of Econometrics, Elsevier, volume 173, issue 2, pages 175-188, DOI: 10.1016/j.jeconom.2012.11.004.
• Gayle, Wayne-Roy & Namoro, Soiliou Daw, 2013, "Estimation of a nonlinear panel data model with semiparametric individual effects," Journal of Econometrics, Elsevier, volume 175, issue 1, pages 46-59, DOI: 10.1016/j.jeconom.2013.03.004.
• Amado, Cristina & Teräsvirta, Timo, 2013, "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 142-153, DOI: 10.1016/j.jeconom.2013.03.006.
• Marmer, Vadim & Shneyerov, Artyom & Xu, Pai, 2013, "What model for entry in first-price auctions? A nonparametric approach," Journal of Econometrics, Elsevier, volume 176, issue 1, pages 46-58, DOI: 10.1016/j.jeconom.2013.04.005.
• Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013, "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, volume 176, issue 2, pages 93-111, DOI: 10.1016/j.jeconom.2012.12.003.
• Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013, "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, volume 177, issue 1, pages 34-46, DOI: 10.1016/j.jeconom.2013.05.004.
• Kim, Min Seong & Sun, Yixiao, 2013, "Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects," Journal of Econometrics, Elsevier, volume 177, issue 1, pages 85-108, DOI: 10.1016/j.jeconom.2013.07.002.
• Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013, "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 233-249, DOI: 10.1016/j.jeconom.2013.04.010.
• Ahn, Seung C. & Perez, M. Fabricio & Gadarowski, Christopher, 2013, "Two-pass estimation of risk premiums with multicollinear and near-invariant betas," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 1-17, DOI: 10.1016/j.jempfin.2012.10.004.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Kim, Hwagyun & Park, Hail, 2013, "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.03.003.
• Byun, Suk Joon & Kim, Jun Sik, 2013, "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 142-161, DOI: 10.1016/j.jempfin.2013.05.006.
• Ammann, Manuel & Buesser, Ralf, 2013, "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 16-32, DOI: 10.1016/j.jempfin.2013.04.006.
• Jackson, David, 2013, "Estimating PIN for firms with high levels of trading," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 116-120, DOI: 10.1016/j.jempfin.2013.10.001.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013, "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 121-137, DOI: 10.1016/j.jempfin.2013.09.005.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2013.08.001.
• Awartani, Basel & Maghyereh, Aktham Issa, 2013, "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, volume 36, issue C, pages 28-42, DOI: 10.1016/j.eneco.2012.11.024.
• Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael, 2013, "Risk spillovers in oil-related CDS, stock and credit markets," Energy Economics, Elsevier, volume 36, issue C, pages 526-535, DOI: 10.1016/j.eneco.2012.10.010.
• Galarraga, Ibon & Abadie, Luis M. & Ansuategi, Alberto, 2013, "Efficiency, effectiveness and implementation feasibility of energy efficiency rebates: The “Renove” plan in Spain," Energy Economics, Elsevier, volume 40, issue S1, pages 98-107, DOI: 10.1016/j.eneco.2013.09.012.
• Carmichael, Benoıˆt & Coën, Alain, 2013, "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, volume 10, issue 2, pages 50-57, DOI: 10.1016/j.frl.2013.01.001.
• Schechtman, Ricardo, 2013, "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 460-474, DOI: 10.1016/j.jfs.2013.07.001.
• Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013, "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 286-299, DOI: 10.1016/j.insmatheco.2013.01.003.
• Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael, 2013, "Lifetime dependence modelling using a truncated multivariate gamma distribution," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 3, pages 542-549, DOI: 10.1016/j.insmatheco.2013.03.011.
• Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013, "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 122-133, DOI: 10.1016/j.insmatheco.2013.04.005.
• Blackburn, Craig & Sherris, Michael, 2013, "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 64-73, DOI: 10.1016/j.insmatheco.2013.04.007.
• Hudecová, Šárka & Pešta, Michal, 2013, "Modeling dependencies in claims reserving with GEE," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 786-794, DOI: 10.1016/j.insmatheco.2013.09.018.
• Calmès, Christian & Théoret, Raymond, 2013, "Market-oriented banking, financial stability and macro-prudential indicators of leverage," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 13-34, DOI: 10.1016/j.intfin.2013.07.004.
• Barth, Mary E. & Israeli, Doron, 2013, "Disentangling mandatory IFRS reporting and changes in enforcement," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 178-188, DOI: 10.1016/j.jacceco.2013.11.002.
• Ecker, Frank & Francis, Jennifer & Olsson, Per & Schipper, Katherine, 2013, "Estimation sample selection for discretionary accruals models," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 190-211, DOI: 10.1016/j.jacceco.2013.07.001.

2012

• Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2012, "Alternative Asymptotics and the Partially Linear Model with Many Regressors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-02, Jan.
• Anders Bredahl Kock, 2012, "On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-05, Feb.
• Mark Podolskij & Katrin Wasmuth, 2012, "Goodness-of-fit testing for fractional diffusions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-12, Apr.
• Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-16, 04.
• Lei Pan & Olaf Posch & Michel van der Wel, 2012, "Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-26, May.
• Mark Podolskij & Christian Schmidt & Johanna Fasciati Ziegel, 2012, "Limit theorems for non-degenerate U-statistics of continuous semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-40, Oct.
• Tim Bollerslev & Lai Xu & Hao Zhou, 2012, "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-51, Nov.
• José Manuel Corcuera & Emil Hedevang & Mikko S. Pakkanen & Mark Podolskij, 2012, "Asymptotic theory for Brownian semi-stationary processes with application to turbulence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-52, Nov.
• Jean Jacod & Mark Podolskij, 2012, "A test for the rank of the volatility process: the random perturbation approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-57, Dec.
• Saeed Dehghan Khavari & Seyed Hossein Mirjalili, 2012, "Estimation and Analysis of Output Gap: An Application of Structural Vector Autoregression and Hodrick-Prescott-Fmethods," American Journal of Economics and Business Administration, Science Publications, volume 4, issue 3, pages 180-189, August, DOI: 10.3844/ajebasp.2012.180.189.
• Hyeongwoo Kim, 2012, "Generalized Impulse Response Analysis: General or Extreme?," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2012-04, Jul.
• Jan De Loecker & Frederic Warzynski, 2012, "Markups and Firm-Level Export Status," American Economic Review, American Economic Association, volume 102, issue 6, pages 2437-2471, October.
• Sarah Bernhard & Thomas Kruppe, 2012, "Effectiveness of Further Vocational Training in Germany – Empirical Findings for Persons Receiving Means-tested Unemployment Benefits," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 132, issue 4, pages 501-526, DOI: 10.3790/schm.132.4.501.
• Henry-Osorio, Miguel & Mittelhammer, Ronald C., 2012, "An Information-Theoretic Approach to Modeling Binary Choices: Estimating Willingness to Pay for Recreation Site Attributes," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 123432, DOI: 10.22004/ag.econ.123432.
• Olusegun, Ajetomobi Joshua, 2012, "Productivity Growth of ECOWAS Common Crops: A Tale of Two Competing Frontier Methods of Analysis," 2012 Eighth AFMA Congress, November 25-29, 2012, Nairobi, Kenya, African Farm Management Association (AFMA), number 159404, Nov, DOI: 10.22004/ag.econ.159404.
• Siddig, Khalid H.A. & Grethe, Harald, 2012, "International Price Transmission In Cge Models: How To Reconcile Econometric Evidence And Endogenous Model Response?," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012, German Association of Agricultural Economists (GEWISOLA), number 137388, DOI: 10.22004/ag.econ.137388.
• Dontsop Nguezet, Paul Martin & Diagne, Aliou & Okoruwa, Victor O. & Ojehomon, Vivian E.T., 2012, "Estimation of Actual and Potential Adoption Rates and Determinants of NERICA Rice Varieties in Nigeria," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 126069, DOI: 10.22004/ag.econ.126069.
• Simtowe, Franklin & Kassie, Menale & Asfaw, Solomon & Shiferaw, Bekele A. & Monyo, Emmanuel & Siambi, Moses, 2012, "Welfare Effects of Agricultural Technology adoption: the case of improved groundnut varieties in rural Malawi," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 126761, DOI: 10.22004/ag.econ.126761.
• Siddig, Khalid & Grethe, Harald, 2012, "International Price Transmission in CGE Models: How to Reconcile Econometric Evidence and Endogenous Model Response?," Conference papers, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project, number 332281.
• Sul, Sooyoung & Tcha, MoonJoong, 2012, "Analysis of Leisure Expenditure and Policy Implications: Using Korean Urban Households Data," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 8, issue 01, pages 1-17, March, DOI: 10.22004/ag.econ.143462.
• Zimmermann, Andrea & Heckelei, Thomas, , "Differences of farm structural change across European regions," Discussion Papers, University of Bonn, Institute for Food and Resource Economics, number 162879, DOI: 10.22004/ag.econ.162879.
• Michel Lubrano & Abdoul Aziz Junior Ndoye, 2012, "Bayesian Unconditional Quantile Regression. An Analysis of Recent Expansions in Wage Structure and Earnings Inequality in the U.S. 1992-2009," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1203, Jan.
• Tae-Hwan Kim, & Christophe Muller, 2012, "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1221, Jul.
• Silviu-Valentin Carstina & Cristina Beletu, 2012, "Implications Damping System Used In Romania On Self-Financing Capacity," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 40, pages 106-117.
• Simar, Leopold & Vanhems, Anne, 2012, "Probabilistic characterization of directionaldistances and their robustversions," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012003, Jan.
• Einmahl, John H. J. & Krajina, Andrea & Segers, Johan, 2012, "An M-estimator for tail dependence in arbitrary dimensions," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012035, Jan.
• Serife Ozsahin & Dogan Uysal, 2012, "Estimating The Real Effective Exchange Rate Volatility With Arch And Garch Models," Anadolu University Journal of Social Sciences, Anadolu University, volume 12, issue 1, pages 13-20, March.
• Nebiye Yamak & Banu Tanriover, 2012, "Asymmetric Business Cycle : Theory And Application," Anadolu University Journal of Social Sciences, Anadolu University, volume 12, issue 2, pages 17-24, June.
• Michele Polline Veríssimo & Clésio Lourenço Xavier & Flávio Vilela Vieira, 2012, "Taxa de Câmbio e Preços de Commodities: Uma Investigação sobre a Hipótese da Doença Holandesa no Brasil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 13, issue 1, pages 93-130.
• Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012, "Modeling and Forecasting Persistent Financial Durations," Papers, arXiv.org, number 1208.3087, Aug, revised Apr 2013.
• Daniel Alai & Zinoviy Landsman & Michael Sherris, 2012, "Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201211, May.
• Michael Creel & Sonik Mandal & Mohammad Zubair, 2012, "Econometrics on GPUs," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 921.12, Nov.
• Ekaterini Panopoulou & Sarantis Kalyvitis, 2012, "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers, Athens University of Economics and Business, number 1216, Jun.
• Sofia Anyfantaki & Antonis Demos, 2012, "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers, Athens University of Economics and Business, number 1228, Jul.
• Stelios Arvanitis & Antonis Demos, 2012, "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers, Athens University of Economics and Business, number 1229, Jun, revised 24 Aug 2012.
• Antonis Demos & Stelios Arvanitis, 2012, "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers, Athens University of Economics and Business, number 1230, Nov.
• Rhema Vaithianathan & Nan Jiang & Toni Ashton, 2012, "A Model for Predicting Readmission Risk in New Zealand," Working Papers, Auckland University of Technology, Department of Economics, number 2012-02, Feb.
• Blair Alexander & Robert Breunig, 2012, "A Monte Carlo Study of Bias Corrections for Panel Probit Models," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 662, Mar.
• Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012, "Averaging of moment condition estimators," CeMMAP working papers, Institute for Fiscal Studies, number 26/12, Sep, DOI: 10.1920/wp.cem.2012.2612.
• Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012, "Intersection bounds: estimation and inference," CeMMAP working papers, Institute for Fiscal Studies, number 33/12, Oct, DOI: 10.1920/wp.cem.2012.3312.
• Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2012, "Local identification of nonparametric and semiparametric models," CeMMAP working papers, Institute for Fiscal Studies, number 37/12, Nov, DOI: 10.1920/wp.cem.2012.3712.
• Eric Gautier & Stefan Hoderlein, 2012, "A triangular treatment effect model with random coefficients in the selection equation," CeMMAP working papers, Institute for Fiscal Studies, number 39/12, Dec, DOI: 10.1920/wp.cem.2012.3912.
• Stefan Hoderlein & Robert Sherman, 2012, "Identification and estimation in a correlated random coefficients binary response model," CeMMAP working papers, Institute for Fiscal Studies, number 42/12, Dec, DOI: 10.1920/wp.cem.2012.4212.
• Arun Chandrasekhar & Victor Chernozhukov & Francesca Molinari & Paul Schrimpf, 2012, "Inference for best linear approximations to set identified functions," CeMMAP working papers, Institute for Fiscal Studies, number 43/12, Dec, DOI: 10.1920/wp.cem.2012.4312.
• Camilla Mastromarco & Laura Serlenga & Yongcheol Shin, 2012, "Globalisation and Technological Convergence in the EU," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 0041, Mar, revised Mar 2012.
• Tai-Liang Chen, 2012, "Forecasting the Taiwan Stock Market with a Novel Momentum-based Fuzzy Time-series," Review of Economics & Finance, Better Advances Press, Canada, volume 2, pages 38-50, February.
• John Knight & Stephen Satchell & Jessica Zhang, 2012, "Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1213, Aug.
• Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012, "Which model to match?," Working Papers, Banco de España, number 1229, Aug.
• Domić Alan, 2012, "An application of New Keynesian models to inflation in Croatia," Business Systems Research, Sciendo, volume 3, issue 2, pages 6-13, September, DOI: 10.2478/v10305-012-0008-y.
• Francisco José Areal & Kelvin Balcombe & Richard Tiffin, 2012, "Integrating spatial dependence into Stochastic Frontier Analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, volume 56, issue 4, pages 521-541, October, DOI: j.1467-8489.2012.00597.x.
• Ilke Van Beveren, 2012, "Total Factor Productivity Estimation: A Practical Review," Journal of Economic Surveys, Wiley Blackwell, volume 26, issue 1, pages 98-128, February, DOI: j.1467-6419.2010.00631.x.
• Jacques Jaussaud & Serge Rey, 2012, "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, volume 17, issue 1, pages 1-28, February, DOI: j.1468-0106.2011.00569.x.
• Kathryn Graddy & Jonathan Hamilton & Rachel Pownall, 2012, "Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed," Real Estate Economics, American Real Estate and Urban Economics Association, volume 40, issue 1, pages 131-166, March, DOI: j.1540-6229.2011.00307.x.