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

2004

• Sufian, F., 2004, "The Eficiency Effects of Bank Mergers and Acquisitions in a Developing Economy: Evidence from Malaysia," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 1, issue 4, pages 53-74.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2004, "Forecasting euro area inflation using dynamic factor measures of underlying inflation," Working Paper Series, European Central Bank, number 402, Nov.
• Matthias Hagmann & Olivier Scaillet, 2004, "Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 25, Sep.
• Giovanni Urga & Lorenzo Trapani, 2004, "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004, Royal Economic Society, number 74, Sep.
• Richard Paap & Frank Kleibergen, 2004, "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings, Econometric Society, number 195, Aug.
• D.S. Prasada Rao & Duangkamon Chotikapanich & William E. Griffiths, 2004, "Estimating and Combining National Income Distributions using Limited Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 213, Aug.
• Jenny Lye & Joe Hirschberg, 2004, "Confidence bounds for the extremum determined by a quadratic regression," Econometric Society 2004 Australasian Meetings, Econometric Society, number 217, Aug.
• Scott I White & Ralf Becker & Adam E Clements, 2004, "Forward looking information in S&P 500 options," Econometric Society 2004 Australasian Meetings, Econometric Society, number 233, Aug.
• Param Silvapulle & Gunky Kim & Mervyn J. Silvapulle, 2004, "Robustness of a semiparametric estimator of a copula," Econometric Society 2004 Australasian Meetings, Econometric Society, number 317, Aug.
• Grant Hillier & Giovanni Forchini, 2004, "Ill-posed Problems and Instruments' Weakness," Econometric Society 2004 Australasian Meetings, Econometric Society, number 357, Aug.
• Whitney K. Newey & Richard J. Smith, 2004, "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, volume 72, issue 1, pages 219-255, January.
• Donald W. K. Andrews & Yixiao Sun, 2004, "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, volume 72, issue 2, pages 569-614, March.
• Donald W. K. Andrews, 2004, "the Block-Block Bootstrap: Improved Asymptotic Refinements," Econometrica, Econometric Society, volume 72, issue 3, pages 673-700, May.
• Dong Heon Kim, 2004, "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 440, Aug.
• Nigel Wilkins, 2004, "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 459, Aug.
• Peter Schmidt & Chirok Han & Luis Orea, 2004, "Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 519, Aug.
• Garry Phillips & Emma Iglesias, 2004, "Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 567, Aug.
• Takayuki Morimoto, 2004, "Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 592, Aug.
• Jiro Hodoshima, 2004, "On weak exogeneity of the student's t and elliptical linear regression models," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 601, Aug.
• Junji Shimada & Yoshihiko Tsukuda, 2004, "Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 611, Aug.
• Norman R. Swanson & John C. Chao, 2004, "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 668, Aug.
• Jin Lee, 2004, "Wavelet transform for log periodogram regression in long memory stochastic volatility model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 682, Aug.
• Cristian Huse, 2004, "Comparing Nonparametric Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society, number 165, Aug.
• Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004, "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings, Econometric Society, number 198, Aug.
• José Miguel Benavente, 2004, "Investigación y Desarrollo, Innovación y Productividad: un análisis econométrico a nivel de la firma," Econometric Society 2004 Latin American Meetings, Econometric Society, number 269, Aug.
• Aureo de Paula, 2004, "Social Interactions in a Synchronization Game," Econometric Society 2004 Latin American Meetings, Econometric Society, number 277, Aug.
• Giovanni Urga & Christian de Peretti, 2004, "Stopping Tests in the Sequential Estimation for Multiple Structural Breaks," Econometric Society 2004 Latin American Meetings, Econometric Society, number 320, Aug.
• Luiz Renato Lima & Zhijie Xiao, 2004, "Testing Unit Root Based on Partially Adaptive Estimation," Econometric Society 2004 Latin American Meetings, Econometric Society, number 63, Aug.
• Garry Phillips & Emma Iglesias, 2004, "The estimation of simultaneous equation models under conditional heteroscedasticity," Econometric Society 2004 Latin American Meetings, Econometric Society, number 91, Aug.
• Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004, "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 153, Aug.
• Steven Lehrer & Weili Ding, 2004, "Estimating Dynamic Treatment Effects from Project STAR," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 252, Aug.
• Giovanni Urga & Lorenzo Trapani, 2004, "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 266, Aug.
• Paolo Zaffaroni & Peter M. Robinson, 2004, "PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 326, Aug.
• Andrew Chesher & Erich Battistin, 2004, "The Impact of Measurement Error on Evaluation Methods Based on Strong Ignorability," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 339, Aug.
• Yi Deng, 2004, "A Dynamic Stochastic Ananlysis of International Patent Application and Renewal Processes," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 389, Aug.
• Florian PELGRIN & Alain GUAY & Richard LUGER, 2004, "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 418, Aug.
• Jin Lee, 2004, "Wavelet transform for regression estimation of non-stationary fractional time series," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 491, Aug.
• Shane M. Sherlund, 2004, "Quasi Empirical Likelihood Estimation of Moment Condition Models," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 507, Aug.
• Susanne M. Schennach, 2004, "Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 602, Aug.
• Jun Yu & Peter Phillips, 2004, "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 115, Aug.
• Jose Olmo & Jesus Gonzalo, 2004, "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 144, Aug.
• Arthur Lewbel, 2004, "Estimation of Average Treatment Effects With Misclassification," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 210, Aug.
• Christian Hansen & Victor Chernozhukov, 2004, "Finite-Sample Inference Methods for Quantile Regression Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 393, Aug.
• Norman R. Swanson & John C. Chao, 2004, "Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 441, Aug.
• Joon Y. Park & Yoosoon Chang, 2004, "Endogeneity in Nonlinear Regressions with Integrated Time Series," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 594, Aug.
• Liran Einav (Stanford University), 2004, "Not All Rivals Look Alike: An Empirical Model for Discrete Games with Asymmetric Rivals," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 626, Aug.
• Morten Orregaard Nielsen, 2004, "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, volume 7, issue 1, pages 63-97, June.
• Bhattacharjee, Arnab, 2004, "Estimation in hazard regression models under ordered departures from proportionality," Computational Statistics & Data Analysis, Elsevier, volume 47, issue 3, pages 517-536, October.
• Aguirregabiria, Victor, 2004, "Pseudo maximum likelihood estimation of structural models involving fixed-point problems," Economics Letters, Elsevier, volume 84, issue 3, pages 335-340, September.
• Roy, Nilanjana & Cornelis van Kooten, G., 2004, "Another look at the income elasticity of non-point source air pollutants: a semiparametric approach," Economics Letters, Elsevier, volume 85, issue 1, pages 17-22, October.
• Arteche, Josu, 2004, "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, volume 119, issue 1, pages 131-154, March.
• Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004, "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, volume 122, issue 2, pages 317-347, October.
• Nijkamp, Peter & Reggiani, Aura & Tsang, Wai Fai, 2004, "Comparative modelling of interregional transport flows: Applications to multimodal European freight transport," European Journal of Operational Research, Elsevier, volume 155, issue 3, pages 584-602, June.
• Armantier, Olivier, 2004, "Does observation influence learning?," Games and Economic Behavior, Elsevier, volume 46, issue 2, pages 221-239, February.
• Bos, Charles S, 2004, "Time Series Modelling using TSMod 3.24," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 515-522.

2003

• Margarita Lambova, 2003, "Problems of the Exactness of the Statistical Evaluation in the Dichotomic Case of the Audit Check," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 120-145.
• Laura Mayoral, 2015, "A New Minimum Distance Estimation Procedure of ARFIMA Processes," Working Papers, Barcelona School of Economics, number 100, Sep.
• Olivier Ledoit & Michael Wolf, 2015, "Honey, I Shrunk the Sample Covariance Matrix," Working Papers, Barcelona School of Economics, number 92, Sep.
• Arthur Lewbel, 2003, "Estimation of Average Treatment Effects With Misclassification," Boston College Working Papers in Economics, Boston College Department of Economics, number 556, Apr, revised 04 Sep 2006.
• Marina Pavan, 2003, "Consumer Durables and Risky Borrowing: the Effects of Bankruptcy Protection," Boston College Working Papers in Economics, Boston College Department of Economics, number 573, Jun, revised 01 May 2005.
• Arthur Lewbel, 2003, "Using Heteroskedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 587, Dec, revised 15 Dec 2010.
• Wendelin Schnedler, 2003, "What you always wanted to know about censoring but never dared to ask," The Centre for Market and Public Organisation, The Centre for Market and Public Organisation, University of Bristol, UK, number 03/082, Jul.
• Pesaran, H.M., 2003, "Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0305, Jan, DOI: 10.17863/CAM.5111.
• Darsinos, T. & Satchell, S.E., 2003, "Bayesian Estimation of Risk-Premia in an APT Context," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0329, May.
• Bhattacharjee, A., 2003, "Estimation in Hazard Regression Models under Ordered Departures from Proportionality," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0337, Feb.
• Roberto Leombruni, 2003, "Firm Data Analysis in Linked Employer-Employees Datasets," LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies, number 27.
• Oscar Jorda & Massimiliano Marcellino, 2003, "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers, University of California, Davis, Department of Economics, number 273, Jan.
• Wagner, Niklas & Marsh, Terry A., 2003, "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley, number qt1z87z922, Sep.
• Wagner, Niklas & Marsh, Terry A., 2003, "Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley, number qt7pb301tr, Jun.
• Javier Perote Peña & Juan Perote Peña, 2003, "Strategy-Proof Estimators for Simple Regression," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003/14.
• Frank A Cowell, 2003, "Theil, Inequality and the Structure of Income Distribution," STICERD - Distributional Analysis Research Programme Papers, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 67, May.
• Frank A Cowell & Guillermo Cruces, 2003, "Perceptions of Risk: an Experimental Approach using Internet Questionnaires," STICERD - Distributional Analysis Research Programme Papers, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 70, May.
• Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003, "Estimation of Semiparametric Models when the Criterion Function is not Smooth," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 450, May.
• Oliver Linton & Enno Mammen, 2003, "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 453, May.
• Wolfgang Haerdle & Oliver Linton & Qihua Wang, 2003, "Semiparametric Regression Analysis under Imputation for Missing Response Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 454, May.
• Oliver Linton & Yoon-Jae Whang, 2003, "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 463, Nov.
• Frederik Lundtofte, 2006, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-23, Oct.
• BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003, "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003029, Mar.
• Xiaodong Jin & Janusz Kawczak, 2003, "Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 103-124, May.
• Peter C.B. Phillips & Jun Yu, 2003, "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1392, Jan.
• Donald J. Brown & Marten H. Wegkamp, 2003, "Tests of Independence in Separable Econometric Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1395, Jan.
• Donald J. Brown & Rahul Deb & Marten H. Wegkamp, 2003, "Tests of Independence in Separable Econometric Models: Theory and Application," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1395R, Jan, revised Oct 2006.
• Donald J. Brown & Rahul Deb & Marten H. Wegkamp, 2003, "Tests of Independence in Separable Econometric Models: Theory and Application," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1395R2, Jan, revised Dec 2007.
• Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1407, Mar.
• Chao, John Chao & Norman R. Swanson, 2003, "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1417, May.
• John Chao & Norman R. Swanson, 2003, "Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1418, May.
• Donald W.K. Andrews, 2003, "Cross-section Regression with Common Shocks," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1428, Jun.
• Boriss Siliverstovs, 2003, "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 382.
• Kim, Dong Heon & Denise R Osborn & Marianne Sensier, 2003, "Nonlinearity in the Fed's Monetary Policy Rule," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 121, Jun.
• Xiao, Qifang & Xiao, Zhijie, 2003, "Estimating Average Economic Growth in Time Series Data with Persistency," Working Papers, University of Illinois at Urbana-Champaign, College of Business, number 03-0111.
• Donald W. K. Andrews & Patrik Guggenberger, 2003, "A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter," Econometrica, Econometric Society, volume 71, issue 2, pages 675-712, March.
• Peter Arcidiacono & John Bailey Jones, 2003, "Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm," Econometrica, Econometric Society, volume 71, issue 3, pages 933-946, May.
• Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003, "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, volume 71, issue 5, pages 1591-1608, September.
• Viviana Fernández, 2003, "Extreme Value Theory and Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 154.
• George Kapetanios & Yongcheol Shin, 2003, "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 104, Nov.
• Honkapohja, Seppo & Mitra, Kaushik, 2003, "Learning with bounded memory in stochastic models," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 8, pages 1437-1457, June.
• Bun, Maurice J. G. & Kiviet, Jan F., 2003, "On the diminishing returns of higher-order terms in asymptotic expansions of bias," Economics Letters, Elsevier, volume 79, issue 2, pages 145-152, May.
• Kapetanios, George, 2003, "A note on an iterative least-squares estimation method for ARMA and VARMA models," Economics Letters, Elsevier, volume 79, issue 3, pages 305-312, June.
• Sun, Yixiao & Phillips, Peter C. B., 2003, "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, volume 115, issue 2, pages 355-389, August.
• Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003, "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 113-146.
• Bali, Turan G. & Neftci, Salih N., 2003, "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, volume 10, issue 4, pages 455-477, September.
• Jondeau, Eric & Rockinger, Michael, 2003, "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 559-581, December.
• Ledoit, Olivier & Wolf, Michael, 2003, "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 603-621, December.
• Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003, "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, volume 50, issue 6, pages 1243-1255, September.
• Florax, Raymond J. G. M. & Folmer, Hendrik & Rey, Sergio J., 2003, "Specification searches in spatial econometrics: the relevance of Hendry's methodology," Regional Science and Urban Economics, Elsevier, volume 33, issue 5, pages 557-579, September.
• Hall, Peter G. & Hyndman, Rob J., 2003, "Improved methods for bandwidth selection when estimating ROC curves," Statistics & Probability Letters, Elsevier, volume 64, issue 2, pages 181-189, August.
• Zaka Ratsimalahelo, 2003, "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2003_04, Jun.
• Linton, Oliver & Whang, Yoon-Jae, 2003, "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2112, Nov.
• Chen, Xiaohong & Linton, Oliver & Van Keilegom, Ingrid, 2003, "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2167, May.
• Linton, Oliver & Mammen, Enno, 2003, "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2187, May.
• Hardle, Wolfgang & Linton, Oliver & Wang, Qihua, 2003, "Semiparametric regression analysis under imputation for missing response data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2206, May.
• Cowell, Frank & Cruces, Guillermo, 2003, "Perceptions of risk : an experimental approach using internet questionnaires," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2235, May.
• Cowell, Frank, 2003, "Theil, inequality and the structure of income distribution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2288, May.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-49, Aug.
• Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003, "Valuing Euro rating-triggered step-up telecom bonds," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-50, Aug.
• Houweling, P. & Vorst, A.C.F., 2003, "Pricing default swaps: empirical evidence," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-51, Aug.
• Kleibergen, F.R. & Paap, R., 2003, "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-01, Feb.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: Ambiguity in Estimation," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-063-F&A, Sep.
• Hallerbach, W.G.P.M., 2003, "Holding Period Return-Risk Modeling: The Importance of Dividends," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-064-F&A, Sep.
• Geert Dhaene & Olivier Vergote, 2003, "Asymptotic Results for GMM Estimators of Stochastic Volatility Models," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0306, Mar.
• Joaquim Ramalho, 2003, "Feasible bias-corrected OLS, within-groups, and first-differences estimators for typical micro and macro AR(1) panel data models," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 10_2003.
• Whitney K. Newey & Joaquim J.S. Ramalho & Richard J. Smith, 2003, "A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 5_2003.
• Agostinho S. Rosa, 2003, "Inflação Portuguesa: pelos custos ou monetária?," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 6_2003.
• Joaquim Ramalho, 2003, "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 9_2003.
• Olivier RENAULT & Olivier SCAILLET, 2003, "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp83, May.
• Matthias HAGMANN & Olivier SCAILLET, 2003, "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp91, Sep.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Joshua V. Rosenberg, 2003, "Nonparametric pricing of multivariate contingent claims," Staff Reports, Federal Reserve Bank of New York, number 162.
• Michael Louis George, 2003, "Method For Determining And Eliminating The Drivers Of Non-Value Added Cost Due To Product Complexity And Process Parameters," Working Papers, Institute of Business Entropy, number 0626, Jun.
• Christophe Villa & M.R. Fengler & W.K. Hardle, 2003, "The dynamics of implied volatilities : a common principal components approach," Post-Print, HAL, number halshs-00069509.
• Ilona Kovacs, 2003, "Biasing Factors of the Consumer Price Index," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0312, Sep.
• Jonsson, Robert, 2003, "On the problem of optimal inference for time heterogeneous data with error components regression structure," Working Papers in Economics, University of Gothenburg, Department of Economics, number 110, Oct.
• Westerlund, Joakim, 2003, "Feasible Estimation in Cointegrated Panels," Working Papers, Lund University, Department of Economics, number 2003:12, Aug, revised 10 Nov 2003.
• Villani, Mattias, 2003, "Bayes Estimators of the Cointegration Space," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 150, Sep.
• Brännäs, Kurt, 2003, "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies, Umeå University, Department of Economics, number 614, Sep.
• Okuda, Hidenobu & 奥田, 英信 & オクダ, ヒデノブ & Hashimoto, Hidetoshi & 橋本, 英俊 & ハシモト, ヒデトシ & Murakami, Michiko & 村上, 美智子, 2003, "The Estimation of Stochastic Cost Functions of Malaysian Commercial Banks and Its Policy Implications to Bank Restructuring," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2003-2, Feb.
• Peter Gottfried & Hannes Schellhorn, 2003, "Die Elastizität des zu versteuernden Einkommens. Messung und erste Ergebnisse zur empirischen Evidenz für die Bundesrepublik Deutschland," IAW Discussion Papers, Institut für Angewandte Wirtschaftsforschung (IAW), number 14, Feb.
• Whitney K. Newey & Richard Smith, 2003, "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP04/03, Jun.
• Whitney K. Newey & Joaquim J. S. Ramalho Ramalho & Richard Smith, 2003, "Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP05/03, Dec.
• Erich Battistin, 2003, "Errors in survey reports of consumption expenditures," IFS Working Papers, Institute for Fiscal Studies, number W03/07, Apr.
• Viviana Fernandez, 2003, "Extreme Value Theory and Value at Risk," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 18, issue 1, pages 57-85, June.
• Erik Honobe & Jonathan Sampson, 2003, "A Drift Estimator For Non-Linear Stochastic Processes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 3, pages 193-201, Septiembr.
• Sebastián Claro, 2003, "A Cross-Country Estimation of the Elasticity of Substitution between Labor and Capital in Manufacturing Industries," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 239-257.
• Felipe Larraín, 2003, "Exchange Rates, Currency Crises and Recessions - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 121, pages 633-634.
• PEREZ MAYO Jésus, 2003, "Measuring deprivation in Spain," IRISS Working Paper Series, IRISS at CEPS/INSTEAD, number 2003-09, Jan.
• Hujer, Reinhard & Caliendo, Marco & Thomsen, Stephan L., 2003, "New Evidence on the Effects of Job Creation Schemes in Germany - A Matching Approach with Threefold Heterogeneity," IZA Discussion Papers, IZA Network @ LISER, number 750, Apr.
• Schnedler, Wendelin, 2003, "What You Always Wanted to Know About Censoring But Never Dared to Ask – Parameter Estimation for Censored Random Vectors," IZA Discussion Papers, IZA Network @ LISER, number 837, Jul.
• Lechner, Michael & Vazquez-Alvarez, Rosalia, 2003, "The Effect of Disability on Labour Market Outcomes in Germany: Evidence from Matching," IZA Discussion Papers, IZA Network @ LISER, number 967, Dec.
• Giuseppe Arbia & Jean H. P. Paelinck, 2003, "Economic convergence or divergence? Modeling the interregional dynamics of EU regions, 1985–1999," Journal of Geographical Systems, Springer, volume 5, issue 3, pages 291-314, November, DOI: 10.1007/s10109-003-0114-z.
• I. Fraser & W. Horrace, 2003, "Technical Efficiency of Australian Wool Production: Point and Confidence Interval Estimates," Journal of Productivity Analysis, Springer, volume 20, issue 2, pages 169-190, September, DOI: 10.1023/A:1025180205923.
• Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003, "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, volume 6, issue 3, pages 179-202, October, DOI: 10.1023/B:REDR.0000004823.77464.2d.
• Kovács, Ilona, 2003, "A fogyasztói árindex torzító tényezői
  [Distorting factors in the consumer price index]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 702-719.
• Edith Madsen, 2003, "Testing for unit roots in panels by using a mixture model," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2003-10, Aug.
• Dainis Stikuts, 2003, "Measuring Output Gap in Latvia," Working Papers, Latvijas Banka, number 2003/02, Dec.
• Dorothée Boccanfuso & Bernard Decaluwé & Luc Savard, 2003, "Poverty, Income Distribution and CGE Modeling: Does the Functional Form of Distribution Matter?," Cahiers de recherche, CIRPEE, number 0332.
• Luc Savard, 2003, "Poverty and Income Distribution in a CGE-Household Micro-Simulation Model: Top-Down/Bottom Up Approach," Cahiers de recherche, CIRPEE, number 0343.
• Viktor Várpalotai, 2003, "Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2003/4.
• Pierre Berthelier & Alain Desdoigts & Jacques Ould Aoudia, 2003, "«Institutional profiles»: presentation and analysis of an original database of the institutional characteristics of developing, in transition and developed countries," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number v04007, Dec.
• Peter G. Hall & Rob J. Hyndman & Yanan Fan, 2003, "Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/03, Jul.
• RUGE-MURCIA, Francisco J., 2003, "Methods to Estimate Dynamic Stochastic General Equilibrium Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-23.
• RUGE-MURCIA, Francisco J., 2003, "Methods to Estimate Dynamic Stochastic General Equilibrium Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 17-2003.
• H. Baron & P.O. Beffy & N. Fourcade & R. Mahieu, 2003, "The French labour productivity slow-down during the nineties?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2003-07.
• Stehpen Hall, 2003, "Measuring the Correlation of Shocks between the UK and the Core of Europe," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 213, Mar.
• Stacey Chen, 2003, "Nonparametric Estimation of Average Volatility Differentials in Selection Models with an Application to Returns to Schooling," Discussion Papers, University at Albany, SUNY, Department of Economics, number 03-02.
• Razzak, Weshah, 2003, "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," MPRA Paper, University Library of Munich, Germany, number 1970, revised 2007.
• Chan, Tze-Haw & Hooy, Chee Wooi, 2003, "On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911," MPRA Paper, University Library of Munich, Germany, number 2032, revised 2006.
• Bouoiyour, Jamal & Marimoutou, Velayoudoum & Rey, Serge, 2003, "Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien
  [Nonlinear trend and co-trending in the Tunisian real effective exchange rate]," MPRA Paper, University Library of Munich, Germany, number 30249, Jun.
• Prasad, A & Khundrakpam, Jeevan Kumar, 2003, "Government Deficit and Inflation in India," MPRA Paper, University Library of Munich, Germany, number 51106, revised 2003.