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

2003

• 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," KRTK-KTI 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.
• Žan Oplotnik, 2003, "Bank of slovenia adjustment policy to surges in capital flows," Prague Economic Papers, Prague University of Economics and Business, volume 2003, issue 3, pages 217-232, DOI: 10.18267/j.pep.215.
• Jaroslav Jílek & Miloš Vojta, 2003, "Zdokonalené uživatelské signální odhady čtvrtletních změn hrubého domácího produktu České republiky
  [Enhanced user flash estimates of quarter - on-quarter changes in gross domestic product of the Czech Republic at constant prices]," Politická ekonomie, Prague University of Economics and Business, volume 2003, issue 5, pages 676-694, DOI: 10.18267/j.polek.420.
• José Brandão de Brito, 2003, "The Timing and Probability of FDI: An Application to the United States Multinational Enterprises," Working Papers, Banco de Portugal, Economics and Research Department, number w200302.
• António Rua & João Valle e Azevedo & Siem Jan Koopman, 2003, "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Working Papers, Banco de Portugal, Economics and Research Department, number w200316.
• George Kapetanios, 2003, "Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 494, Jul.
• George Kapetanios & Yongcheol Shin & Andy Snell, 2003, "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 497, Jul.
• Carol Alexandra, 2003, "The Present, Future and Imperfect of Financial Risk Management," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-12, Sep, revised Feb 2004.
• Nicolae, Mariana, 2003, "Use Of The Almon Model To Determine The Delay In The Propagation Shocks - Generated By Changes In Some Inflation Components – In The Consumer Price Index," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 112-121, June.
• M. Dumont & G. Rayp & P. Willem & O. Thas, 2003, "Correcting Standard Errors in Two-Stage Estimation Procedures with Generated Regressands," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 03/172, Apr.
• John C. Chao & Norman R. Swanson, 2003, "Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments," Departmental Working Papers, Rutgers University, Department of Economics, number 200312, Oct.
• John Chao & Norman Swanson, 2003, "Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction," Departmental Working Papers, Rutgers University, Department of Economics, number 200315, Oct.
• Diego Valderrama, 2003, "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003, Society for Computational Economics, number 219, Aug.
• Duangkamon Chotikapanich & John Creedy, 2003, "Bayesian estimation of social welfare and tax progressivity measures," Empirical Economics, Springer, volume 28, issue 1, pages 45-59, January, DOI: 10.1007/s001810100118.
• Konstantinos Giannakas & Kien C. Tran & Vangelis Tzouvelekas, 2003, "On the choice of functional form in stochastic frontier modeling," Empirical Economics, Springer, volume 28, issue 1, pages 75-100, January, DOI: 10.1007/s001810100120.
• Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003, "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2003/13, Dec.
• Winfried Hallerbach, 2003, "Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 4, pages 287-294, DOI: 10.1080/09603100210135720.
• Tao Wu, 2003, "Stylized facts on nominal term structure and business cycles: an empirical VAR study," Applied Economics, Taylor & Francis Journals, volume 35, issue 8, pages 901-906, DOI: 10.1080/0003684022000018204.
• Maurice J. G. Bun, 2003, "Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 1, pages 29-58, February, DOI: 10.1081/ETC-120017973.
• William Barnett & Meenakshi Pasupathy, 2003, "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 2, pages 135-154, DOI: 10.1081/ETC-120020460.
• Frank Kleibergen & Richard Paap, 2003, "Generalized Reduced Rank Tests using the Singular Value Decomposition," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-003/4, Jan.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "Valuing Euro Rating-Triggered Step-Up Telecom Bonds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-028/2, Apr.
• Patrick Houweling & Albert Mentink & Ton Vorst, 2003, "How to measure Corporate Bond Liquidity?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-030/2, Mar.
• Rob Luginbuhl & Siem Jan Koopman, 2003, "Convergence in European GDP Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-031/4, Apr.
• Siem Jan Koopman & Joao Valle e Azevedo, 2003, "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-052/4, Jun.
• Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua, 2003, "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-069/4, Sep.
• M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003, "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-071/4, Sep.
• Charles S. Bos, 2003, "Time Series Modelling using TSMod 3.24," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-091/4, Dec.
• Cuntz, A. & Haeusler, E. & Segers, J.J.J., 2003, "Edgeworth Expansions for the Distribution Function of the Hill Estimator," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-8.
• Segers, J.J.J., 2003, "Approximate Distributions of Clusters of Extremes," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-91.
• Magnus, J.R. & Sinha, A.K., 2003, "On Theil's Errors," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-18.
• Moors, J.J.A. & Strijbosch, L.W.G. & van Groenendaal, W.J.H. & Schuld, M.H. & Mathijssen, A.C.A., 2003, "An Experimental Comparison of Four Methods for Assessing Judgemental Distributions," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-31.
• Magnus, J.R. & Sinha, A.K., 2003, "On Theil's Errors," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9a72cd04-4426-470c-8ac1-b.
• Adrien AKANNI-HONVO, 2003, "Integration Regionale, Effets Frontieres Et Convergence Ou Divergence," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, volume 17, pages 109-143.
• Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003, "The Use and Abuse of Real-Time Data in Economic Forecasting," The Review of Economics and Statistics, MIT Press, volume 85, issue 3, pages 618-628, August.
• Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003, "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, volume 85, issue 3, pages 735-747, August.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003, "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LLC, volume 3, issue 1, pages 1-31, March.
• Dietmar Bauer & Martin Wagner, 2003, "The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0308, May.
• Dietmar Bauer & Martin Wagner, 2003, "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0312, Jul.
• Dietmar Bauer & Martin Wagner, 2003, "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0313, Jul.
• Marc Hallin & Mario Forni & Marco Lippi & Lucrezia Reichlin, 2003, "Do financial variables help forecasting inflation and real activity in the Euro area ?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/2123.
• Olivier Ledoit & Michael Wolf, 2003, "Honey, I shrunk the sample covariance matrix," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 691, Jun.
• Rosalia Vazquez-Alvarez, 2003, "Anchoring Bias and Covariate Nonresponse," University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen, number 2003-19, Dec.
• Michael Lechner & Rosalia Vazquez-Alvarez, 2003, "The Effect of Disability on Labour Market Outcomes in Germany: Evidence from Matching," University of St. Gallen Department of Economics working paper series 2003, Department of Economics, University of St. Gallen, number 2003-20, Dec.
• Henrik Amilon, 2003, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 107, Sep.
• Peter X.-K. Song & Yanqin Fan & John D. Kalbfleisch, 2003, "Maximization by Parts in Likelihood Inference," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0319, Sep.
• Yusuf Jafry & Til Schuermann, 2003, "Metrics for Comparing Credit Migration Matrices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-09, Mar.
• J.A.F. Machado & J. M. C. Santos Silva, 2003, "Quantiles for Counts," Econometrics, University Library of Munich, Germany, number 0303001, Mar.
• J.A.F. Machado & J.M.C. Santos Silva, 2003, "Identification with averaged data and implications for hedonic regression studies," Econometrics, University Library of Munich, Germany, number 0303002, Mar.
• Rafal Weron, 2003, "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics, University Library of Munich, Germany, number 0305003, May.
• Zaka Ratsimalahelo, 2003, "Rank Test Based On Matrix Perturbation Theory," Econometrics, University Library of Munich, Germany, number 0306008, Jun.
• Zaka Ratsimalahelo, 2003, "Strongly Consistent Determination of the Rank of Matrix," Econometrics, University Library of Munich, Germany, number 0307007, Jul.
• Yoon-Jae Whang, 2003, "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Econometrics, University Library of Munich, Germany, number 0310005, Oct.
• Cumhur Ekinci, 2003, "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance, University Library of Munich, Germany, number 0305006, May, revised 22 Nov 2004.
• Erdinc Altay, 2003, "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance, University Library of Munich, Germany, number 0307006, Jul.
• Ananth Rao, 2003, "Estimation of Some Omani Macroeconomic Parameters - A Discussion," Macroeconomics, University Library of Munich, Germany, number 0306004, Jun.
• Manuel Espitia Escuer & Gema Pastor Agust�n, 2003, "Las Opciones Reales y su influencia en la valoraci�n de empresas," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2003-01, Jan.
• Schnedler, Wendelin, 2003, "What you always wanted to know about censoring but never dared to ask," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 16/2003.
• Simar, Léopold, 2003, "How to Improve the Performances of DEA/FDH Estimators in the Presence of Noise?," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,33.
• Gottschalk, Sandra, 2003, "Microdata Disclosure by Resampling: Empirical Findings for Business Survey Data," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-55.

2002

• MABROUKI, Mohamed, 2002, "Le résidu de Solow de l’économie tunisienne : chocs technologiques ou taux d’utilisation des capacités de production ?
  [The Solow residue for Tunisia: technology shocks or factor utilization?]," MPRA Paper, University Library of Munich, Germany, number 82030, May.
• João Valle e Azevedo, 2002, "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers, Banco de Portugal, Economics and Research Department, number w200205.
• Hugo Kruiniger, 2002, "Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects," Working Papers, Queen Mary University of London, School of Economics and Finance, number 458, Jun.
• George Kapetanios & Yongcheol Shin, 2002, "Unit Root Tests in Three-Regime SETAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 465, Nov.
• George Kapetanios, 2002, "Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting," Working Papers, Queen Mary University of London, School of Economics and Finance, number 466, Nov.
• George Kapetanios, 2002, "A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 467, Nov.
• George Kapetanios, 2002, "Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 469, Nov.
• George Kapetanios, 2002, "Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset," Working Papers, Queen Mary University of London, School of Economics and Finance, number 471, Nov.
• Turan G. Bali & Salih N. Neftci, 2002, "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-03, Jan.
• Shakeeb Khan & Elie Tamer, 2002, "Pairwise Comparison Estimation of Censored Transformation Models," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 495, Oct.
• Aaron D. Smallwood & Paul M. Beaumont, 2002, "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 285, Jul.
• Ivana Komunjer, 2002, "The Alpha-Quantile Distribution Function and its Applications to Financial Modeling," Computing in Economics and Finance 2002, Society for Computational Economics, number 288, Jul.
• Marcelo C. Medeiros & Alvaro Veiga, 2002, "Are There Multiple Regimes in Financial Volatility?," Computing in Economics and Finance 2002, Society for Computational Economics, number 311, Jul.
• Michael Binder & Cheng Hsiao & Jan Mutl & M. Hashem Pesaran, 2002, "Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions," Computing in Economics and Finance 2002, Society for Computational Economics, number 345, Jul.
• Noriega, A., & L.M. Soria, 2002, "Structural Breaks, Orders of Integration, and the Neutrality Hypothesis: Further Evidence," Computing in Economics and Finance 2002, Society for Computational Economics, number 353, Jul.
• Luc Bauwens & Sébastien Laurent, 2002, "A New Class of Multivariate skew Densities, with Application to GARCH Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 5, Jul.
• Giuseppe Bruno, 2002, "Nonlinear estimation algorithms in econometric packages: a comparative analysis," Computing in Economics and Finance 2002, Society for Computational Economics, number 63, Jul.
• Neil H. Spencer & Antony Fielding, 2002, "A Comparison of Modelling Strategies for Value-Added Analyses of Educational Data," Computational Statistics, Springer, volume 17, issue 1, pages 103-116, March, DOI: 10.1007/s001800200093.
• Jeffrey M. Wooldridge, 2002, "Inverse probability weighted M-estimators for sample selection, attrition, and stratification," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 1, issue 2, pages 117-139, August, DOI: 10.1007/s10258-002-0008-x.
• Arvid Raknerud, 2002, "Identification, Estimation and Testing in Panel Data Models with Attrition: The Role of the Missing at Random Assumption," Discussion Papers, Statistics Norway, Research Department, number 330, Sep.
• Kazuhiro Ohtani & Alan Wan, 2002, "ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 121-134, DOI: 10.1081/ETC-120008726.
• Gerd Ronning, 2002, "Estimation Of Discrete Choice Models With Minimal Variation Of Alternative-Specific Variables," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 135-146, DOI: 10.1081/ETC-120008727.
• Mukhtar Ali, 2002, "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 89-119, DOI: 10.1081/ETC-120008725.
• Jason Abrevaya, 2002, "Computing Marginal Effects In The Box-Cox Model," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 3, pages 383-393, DOI: 10.1081/ETC-120015789.
• H. Peter Boswijk & Philip Hans Franses, 2002, "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-002/4, Jan.
• Patrick Houweling & Ton Vorst, 2002, "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-004/2, Jan.
• Peter Nijkamp & Jacques Poot, 2002, "The Last Word on the Wage Curve?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-029/3, Mar, revised 13 Mar 2003.
• Frank Kleibergen, 2002, "Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-064/4, Jun.
• Maurice J.G. Bun & Jan F. Kiviet, 2002, "On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-099/4, Oct, revised 24 Oct 2002.
• Maurice J.G. Bun & Jan F. Kiviet, 2002, "The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-101/4, Oct, revised 19 Feb 2004.
• Danilov, D.L. & Magnus, J.R., 2002, "Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-77.
• Moors, J.J.A. & Strijbosch, L.W.G. & van Groenendaal, W.J.H., 2002, "Estimating Mean and Variance Through Quantiles : An Experimental Comparison of Different Methods," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-67.
• Raats, V.M. & van der Genugten, B.B. & Moors, J.J.A., 2002, "A General Model for Repeated Audit Controls Using Monotone Subsampling," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-10.
• Raats, V.M. & van der Genugten, B.B. & Moors, J.J.A., 2002, "Multivariate Regression with Monotone Missing Observation of the Dependent Variables," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-63.
• Dietmar Bauer & Martin Wagner, 2002, "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0204, May.
• Dietmar Bauer & Martin Wagner, 2002, "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0205, Jun.
• Martin Wagner, 2002, "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0210, Oct.
• José Miguel Benavente, 2002, "The Role of Research and Innovation in Promoting Productivity in Chile," Working Papers, University of Chile, Department of Economics, number wp200, Nov.
• O'Loughlin, Christina & Coenders, Germà, 2002, "Application of the European Customer Satisfaction Index to Postal Services. Structural Equation Models versus Partial Least Squares," Working Papers of the Department of Economics, University of Girona, Department of Economics, University of Girona, number 4, Sep.
• Stella M. Salvatierra, 2002, "Using Unlabeled Data to Improve Classification in the Naive Bayes Approach: Application to Web Searc," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/02, Oct.
• Andrew M. Jones & Ángel López-Nicolás, 2002, "The importance of individual heterogeneity in the decomposition of measures of socioeconomic inequality in health: An approach based on quantile regression," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 626, Jun.
• Andrew M. Jones & Ángel López-Nicolás, 2002, "The importance of individual heterogeneity in the decomposition of measures of socioeconomic inequality in health: An approach based on quantile regression," Working Papers, Research Center on Health and Economics, Department of Economics and Business, Universitat Pompeu Fabra, number 626, Jun.
• Markus Froelich, 2002, "What is the value of knowing the propensity score for estimating average treatment effects?," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-06, Apr.
• Markus Froelich, 2002, "A generalization of the balancing property of the propensity score," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-08, Apr.
• Markus Froelich, 2002, "Programme Evaluation with Multiple Treatments," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-17, Jul.
• Markus Froelich, 2002, "Nonparametric IV estimation of local average treatment effects with covariates," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-19, Sep.
• Carl Chiarella & Shenhuai Gao, 2002, "Type I Spurious Regression in Econometrics," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 114, Apr.
• Florax, R.J.G.M., 2002, "Accounting for dependence among study results in Meta-Analysis: methodology and applications to the valuation and use of natural resources," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0005.
• Pavel Cizek, 2002, "Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models," Econometrics, University Library of Munich, Germany, number 0203003, Mar.