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

2002

• Denis Cogneau & Michael Grimm, 2002, "AIDS and Income Distribution in Africa; A Micro-simulation Study for Côte d'Ivoire," Working Papers, DIAL (Développement, Institutions et Mondialisation), number DT/2002/15, Dec.
• Daiji Kawaguchi, 2002, "Peer Effects on Substance Use among American Teenagers," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0567, May.
• Banerjee, Anindya & Massimiliano Marcellino & Chiara Osbat, 2002, "Testing for PPP: Should We Use Panel Methods?," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 13, Aug.
• Serlenga, Laura & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to testing Anomaly Effects in Factor Pricing Models," Royal Economic Society Annual Conference 2002, Royal Economic Society, number 165, Aug.
• Donald W. K. Andrews, 2002, "Higher-Order Improvements of a Computationally Attractive "k"-Step Bootstrap for Extremum Estimators," Econometrica, Econometric Society, volume 70, issue 1, pages 119-162, January.
• Jushan Bai & Serena Ng, 2002, "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, volume 70, issue 1, pages 191-221, January.
• Arthur Lewbel & Oliver Linton, 2002, "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, volume 70, issue 2, pages 765-779, March.
• Stephen Bond & Frank Windmeijer, 2002, "Projection estimators for autoregressive panel data models," Econometrics Journal, Royal Economic Society, volume 5, issue 2, pages 457-479, June.
• Laura Serlenga & Yongcheol Shin & Andy Snell, 2002, "A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 88, Aug.
• Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002, "Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence," Journal of Econometrics, Elsevier, volume 107, issue 1-2, pages 213-233, March.
• Karantininis, Kostas, 2002, "Information-based estimators for the non-stationary transition probability matrix: an application to the Danish pork industry," Journal of Econometrics, Elsevier, volume 107, issue 1-2, pages 275-290, March.
• Boswijk, H. Peter & Lucas, Andre, 2002, "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, volume 108, issue 2, pages 253-280, June.
• Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A., 2002, "Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods," Journal of Econometrics, Elsevier, volume 109, issue 1, pages 107-150, July.
• Brannas, Kurt & Hellstrom, Jorgen & Nordstrom, Jonas, 2002, "A new approach to modelling and forecasting monthly guest nights in hotels," International Journal of Forecasting, Elsevier, volume 18, issue 1, pages 19-30.
• Weron, Rafał, 2002, "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 312, issue 1, pages 285-299, DOI: 10.1016/S0378-4371(02)00961-5.
• Carroll, Raymond J & Linton, Oliver & Mammen, Enno & Xiao, Zhijie, 2002, "More efficient kernel estimation in nonparametric regression with autocorrelated errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2017, Jun.
• Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2002, "Consistent testing for stochastic dominance : a subsampling approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2207, Mar.
• Namazie, Ceema Zahra, 2002, "Early evidence of welfare changes in the Kyrgyz republic: have things got worse with reforms?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6557, Nov.
• Arteche González, Jesús María, 2002, "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Apr.
• León, Angel & Rubio Irigoyen, Gonzalo & Serna, Gregorio, 2002, "Autorregresive conditional volatility, skewness and kurtosis," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number ERS-2002-23-F&A, Feb.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," 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-2002-23-F&A, Feb.
• Siedler, Thomas & Rainer, Helmut, 2005, "O brother, where are thou? The effects of having a sibling on geographic mobility and labor market outcomes," ISER Working Paper Series, Institute for Social and Economic Research, number 2005-18, Sep.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002, "The equilibrium rate of unemployment : a theoretical discussion and an empirical evaluation for six OECD countries," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2002-04.
• Diego Valderrama, 2002, "Statistical Nonlinearities in the Business Cycle: A Challenge for the Canonical RBC Model," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-13, Sep, DOI: 10.24148/wp2002-13.
• Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2002, "The use and abuse of 'real-time' data in economic forecasting," Working Papers, Federal Reserve Bank of St. Louis, number 2001-015, DOI: 10.20955/wp.2001.015.
• Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002, "Consistent Testing for Stochastic Dominance: A Subsampling Approach," FMG Discussion Papers, Financial Markets Group, number dp407, Feb.
• Steve Berry & Oliver B. Linton & Ariel Pakes, 2002, "Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1955.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002, "The equilibrium rate of unemployment : a theoretical discussion and an empirical evaluation for six OECD countries," Sciences Po Economics Publications (main), HAL, number hal-01027421, Apr.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002, "The equilibrium rate of unemployment : a theoretical discussion and an empirical evaluation for six OECD countries," Working Papers, HAL, number hal-01027421, Apr.
• Nikolaus A. Siegfried, 2002, "An information-theoretic extension to structural VAR modelling," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20203, Mar.
• Hellström, Jörgen, 2002, "Count Data Modelling and Tourism Demand," Umeå Economic Studies, Umeå University, Department of Economics, number 584, Feb.
• Brännäs, Kurt & Brännäs, Eva, 2002, "Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish," Umeå Economic Studies, Umeå University, Department of Economics, number 595, Nov.
• Elisabet Viladecans Marsal, 2002, "The growth of cities: Does agglomeration matter?," Working Papers, Institut d'Economia de Barcelona (IEB), number 2002/3.
• Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002, "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP02/02, Nov.
• Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Wang, 2002, "Consistent testing for stochastic dominance: a subsampling approach," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP03/02, Dec.
• Jeffrey M. Wooldridge, 2002, "Inverse probability weighted M-estimators for sample selection, attrition and stratification," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP11/02, Mar.
• Frank Windmeijer, 2002, "ExpEnd, A Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP14/02, Aug.
• Jose A. F. Machado Machado & Joao Santos Silva Santos Silva, 2002, "Quantiles for counts," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP22/02, Oct.
• Raimundo Soto, 2002, "Ajuste Estacional e Integración en Variables Macroeconómicas," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 116, pages 135-155.
• Giuseppe Arbia & Roberto Basile & Mirella Salvatore, 2002, "Regional Convergence in Italy 1951-199: A Spatial Econometric Perspective," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 29, Dec.
• Frölich, Markus, 2002, "Programme Evaluation with Multiple Treatments," IZA Discussion Papers, IZA Network @ LISER, number 542, Aug.
• Frölich, Markus, 2002, "What is the Value of Knowing the Propensity Score for Estimating Average Treatment Effects?," IZA Discussion Papers, IZA Network @ LISER, number 548, Aug.
• Frölich, Markus, 2002, "Nonparametric IV Estimation of Local Average Treatment Effects with Covariates," IZA Discussion Papers, IZA Network @ LISER, number 588, Sep.
• Elena Andreou & Eric Ghysels, 2002, "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 579-600, DOI: 10.1002/jae.684.
• Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002, "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 6, pages 617-639, DOI: 10.1002/jae.646.
• Chung-Ki Min & Ho-Young Hwang & Young-Suk Yang, 2002, "Measuring the Value Relevance of Stock Returns, Earnings, and Cash Flows Using the Gibbs Sampler," Korean Economic Review, Korean Economic Association, volume 18, pages 373-388.
• N.E. Savin & Allan H. Würtz, 2002, "Testing the Semiparametric Box-Cox Model with Bootstrap," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2002-08, Aug.
• Helle Sørensen, 2002, "Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey," Discussion Papers, University of Copenhagen. Department of Economics, number 02-08, Aug.
• D H Kim & D R Osborn & M Sensier, 2002, "Nonlinearity in the Fed's Monetary Policy Rule," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 18.
• D H Kim & D R Osborn & M Sensier, 2002, "Nonlinearity in the Fed's Monetary Policy Rule," Economics Discussion Paper Series, Economics, The University of Manchester, number 0205.
• D.S. Poskitt & C.L. Skeels, 2002, "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series, The University of Melbourne, number 862.
• G.C. Lim & G.M. Martin & V.L. Martin, 2002, "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/02, Feb.
• Rob J Hyndman & Maxwell L. King & Ivet Pitrun & Baki Billah, 2002, "Local Linear Forecasts Using Cubic Smoothing Splines," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/02, Aug.
• Peter Hall & Rob J. Hyndman, 2002, "An Improved Method for Bandwidth Selection when Estimating ROC Curves," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/02, Sep.
• Ralph D. Snyder & Catherine S. Forbes, 2002, "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/02, Oct.
• C.S. Forbes & G.M. Martin & J. Wright, 2002, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/02, Feb.
• G.C. Lim & G.M. Martin & V.L. Martin, 2002, "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/02, May.
• Alberto Abadie & Guido W. Imbens, 2002, "Simple and Bias-Corrected Matching Estimators for Average Treatment Effects," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0283, Oct.
• Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002, "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8841, Mar.
• Abusaleh Shariff & P.K. Ghosh & Amitabh Kundu, 2002, "Indexing Human Development in India: Indicators, Scaling and Composition," NCAER Working Papers, National Council of Applied Economic Research, number 83.
• W A Razzak, 2002, "Monetary policy and forecasting inflation with and without the output gap," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2002/03, Mar.
• Han, Chirok & Orea, Luis & Schmidt, Peter, 2002, "Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2002/05.
• Gao, Jiti, 2002, "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper, University Library of Munich, Germany, number 11973, May, revised 18 Sep 2003.
• Albu, Lucian-Liviu & Daianu, Daniel & Pavelescu, Florin-Marius, 2002, "Underground economy quantitative models. Some applications to Romania’s case," MPRA Paper, University Library of Munich, Germany, number 14210, Jan.
• Mercik, Szymon & Weron, Rafal, 2002, "Origins of scaling in FX markets," MPRA Paper, University Library of Munich, Germany, number 2294, Jul.

2001

• Zaka Ratsimalahelo, 2001, "Rank Test Based On Matrix Perturbation Theory," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2001_04, Jul.
• Aivazian Sergey & Kolenikov Stanislav, 2001, "Poverty and Expenditure Differentiation of the Russian Population," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 01-01e, Jan.
• Linton, Oliver & Xiao, Zhijie, 2001, "A nonparametric regression estimator that adapts to error distribution of unknown form," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2120, Jun.
• Cowell, Frank & Victoria-Feser, Maria-Pia, 2001, "Robust Lorenz curves : a semi-parametric approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2155, May.
• Cowell, Frank & Victoria-Feser, Maria-Pia, 2001, "Distributional dominance with dirty data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2239, Aug.
• Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique, 2001, "Constrained indirect inference estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25061, Jun.
• Victoria-Feser, Maria-Pia, 2001, "Robust income distribution estimation with missing data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6561, Jan.
• Giorgetti, Maria Letizia, 2001, "Quantile regression in lower bound estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6746, Sep.
• Catherine Mounet, 2001, "A theoretical and Empirical Analysis of Convergence and Catch-Up Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 5, issue 1, pages 129-148, Summer.
• William A. Brock & Cars H. Hommes, 2001, "A Rational Route to Randomness," Chapters, Edward Elgar Publishing, chapter 16, in: W. D. Dechert, "Growth Theory, Nonlinear Dynamics and Economic Modelling".
• O. Scaillet, 2001, "Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2001-24.
• Tao Wu, 2001, "Stylized Facts on Nominal Term Structure and Business Cycles: An Empirical VAR Study," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-08, Aug, DOI: 10.24148/wp2002-08.
• Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001, "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers, Financial Markets Group, number dp382, Jun.
• Gabriele Fiorentini & Enrique Sentana, 2001, "Constrained Indirect Inference Estimation," FMG Discussion Papers, Financial Markets Group, number dp384, Jun.
• Frederiksen, A. & Graversen, E.K. & Smith, N., 2001, "Overtime Work, Dual Job Holding and Taxation," Papers, Aarhus School of Business - Department of Economics, number 01-7.
• Grasdal, A., 2001, "The Performance of Sample Selection Estimators to Control for Attrition Bias," Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen, number 225.
• Delaigle, A. & Gijbels, I., 2001, "Bootstrap Bandwidth Selection in Kernel Density Estimation from a Contaminated Sample," Papers, Catholique de Louvain - Institut de statistique, number 0116.
• Lancaster, G. & Ray, R., 2001, "Tests of Income Pooling on Household Budget Data: The Australian Evidence," Papers, Tasmania - Department of Economics, number 2001-02.
• Coondoo, D. & Majumder, A. & Ray, E,, 2001, "On the Method of Calculating Regional Prices Differentials with Illustrative Evidence from India," Papers, Tasmania - Department of Economics, number 2001-09.
• Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001, "New Extreme-Value Dependance Measures and Finance Applications," Working Papers, HAL, number hal-00597018, Feb.
• Michael Rockinger & Eric Jondeau, 2001, "Testing for differences in the tails of stock-market returns," Working Papers, HAL, number hal-00601480, Oct.
• Frederiksen, Anders & Graversen, Ebbe Krogh & Smith, Nina, 2001, "Overtime work, dual job holding and taxation," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 01-7, May.
• Skoglund, Jimmy & Karlsson, Sune, 2001, "Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0432, Feb.
• Skoglund, Jimmy & Karlsson, Sune, 2001, "Specification and estimation of random effects models with serial correlation of general form," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0433, Feb.
• Skoglund, Jimmy, 2001, "A simple efficient GMM estimator of GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0434, Feb.
• Biorn,E., 2001, "How is generalized least squares related to within and between estimators in unbalanced panel data?," Memorandum, Oslo University, Department of Economics, number 06/2001.
• Bask, Mikael & de Luna, Xavier, 2001, "Characterizing the degree of stability of non-linear dynamic models," Umeå Economic Studies, Umeå University, Department of Economics, number 564, Nov.
• Norén, Ronny, 2001, "Dismissal of Employees in the Swedish Manufacturing Industry," Umeå Economic Studies, Umeå University, Department of Economics, number 575, Dec.
• Stephen Bond & Frank Windmeijer, 2001, "Projection estimators for autoregressive panel data models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/01, Dec.
• Sebastián Claro, 2002, "A Cross-Country Estimation of the Elasticity of Substitution between Labor and Capital in Manufacturing Industries," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 226.
• Frederiksen, Anders & Graversen, Ebbe K. & Smith, Nina, 2001, "Overtime Work, Dual Job Holding and Taxation," IZA Discussion Papers, IZA Network @ LISER, number 323, Jul.
• Hassler Uwe, 2001, "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 1, pages 32-44, February, DOI: 10.1515/jbnst-2001-0104.
• Banerjee, Anurag N, 2001, "Sensitivity of Univariate AR(1) Time-Series Forecasts Near the Unit Root," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 3, pages 203-229, April.
• Marjainé, Szerényi Zsuzsanna, 2001, "A természeti erőforrások pénzbeli értékelése
  [Monetary valuation of natural resources]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 114-129.
• Martins Bitans & Dace Slakota & Ivars Tillers, 2001, "Price Dynamics in Latvia - Experience and Future Prospects," Working Papers, Latvijas Banka, number 2001/01, Dec.
• Tim Brailsford & Jack H.W. Penm & R. Deane Terrell, 2001, "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 1, pages 35-58, March.
• Chotikapanich, D. & Griffiths, W.E. & Skeels, C.L., 2001, "Sample Size Requirements for Estimation in SUR Models," Department of Economics - Working Papers Series, The University of Melbourne, number 794.
• Chotikapanich, D. & Griffiths, W., 2001, "On Calculation of the Extended Gini Coefficient," Department of Economics - Working Papers Series, The University of Melbourne, number 801.
• Chotikapanich, D. & Griffiths, W., 2001, "Estimating Lorenz Curves Using a Dirichlet Distribution," Department of Economics - Working Papers Series, The University of Melbourne, number 802.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001, "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2001-08.
• Dufour, J.M. & Khalaf, L. & Bernard, J.T. & Genest, I., 2001, "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 2001-08.
• Daniel A. Ackerberg, 2001, "A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0273, Jul.
• Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001, "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 8682, Dec.
• Olivier Armantier, 2001, "Does Observation Influence Learning?," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 01-04.
• W A Razzak, 2001, "Money in the era of inflation targeting," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2001/02, Jul.
• D. Coondoo & A. Majumder & R. Ray, 2001, "On a Method of Calculating Regional Price Differentials with Illustrative Evidence from India," ASARC Working Papers, The Australian National University, Australia South Asia Research Centre, number 2001-06, May.
• Souza-Sobrinho, Nelson, 2001, "Extração da Volatilidade do Ibovespa
  [Estimating Ibovespa's Volatility]," MPRA Paper, University Library of Munich, Germany, number 15571.
• Allal, Jelloul & Kaaouachi, Abdelali & Paindaveine, Davy, 2001, "R-estimation for ARMA models," MPRA Paper, University Library of Munich, Germany, number 21167.
• Mynbaev, Kairat, 2001, "The strengths and weaknesses of L2 approximable regressors," MPRA Paper, University Library of Munich, Germany, number 9056.
• Robert Kast & André Lapied & Sophie Pardo & Camélia Protopopescu, 2001, "Évaluation de risques controversés par la théorie des options réelles," Économie et Prévision, Programme National Persée, volume 149, issue 3, pages 51-63, DOI: 10.3406/ecop.2001.6291.
• José Ferreira Machado, 2001, "Identification with Averaged Data and Implications for Hedonic Regression Studies," Working Papers, Banco de Portugal, Economics and Research Department, number w200110.
• Allan Gregory & Jean-Francois Lamarche & Gregor W. Smith, 2001, "Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence," Working Paper, Economics Department, Queen's University, number 1249, Mar.
• Empar Pons & Maria Teresa Gonzalo, 2001, "Returns to Schooling in Spain. How Reliable Are IV Estimates?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 446, Nov.
• John Landon-Lane, 2001, "The Impact on Forecasts and Impulse Responses of Restricting Drift in a Vector Autoregression," Departmental Working Papers, Rutgers University, Department of Economics, number 200114, Nov.
• S»bastien Laurent and Jean-Philippe Peters, 2001, "G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models," Computing in Economics and Finance 2001, Society for Computational Economics, number 123, Apr.
• Erricos J. Kontoghiorghes and Paolo Foschi, 2001, "A recursive algorithm for solving SUR models," Computing in Economics and Finance 2001, Society for Computational Economics, number 143, Apr.
• Nikolay Gospodinov, 2001, "Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments," Computing in Economics and Finance 2001, Society for Computational Economics, number 150, Apr.
• B. D. McCullough and H. D. Vinod, 2001, "Diagnosing Failure: When is an Estimation Problem Too Large for a PC?," Computing in Economics and Finance 2001, Society for Computational Economics, number 246, Apr.
• George Hall and John Rust, Yale University, 2001, "Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market," Computing in Economics and Finance 2001, Society for Computational Economics, number 274, Apr.
• Michael Binder, Cheng Hsiao, and M. Hashem Pesaran, 2001, "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration," Computing in Economics and Finance 2001, Society for Computational Economics, number 36, Apr.
• Eduardo Pontual Ribeiro, 2001, "Asymmetric labor supply," Empirical Economics, Springer, volume 26, issue 1, pages 183-197.
• Moshe Buchinsky, 2001, "Quantile regression with sample selection: Estimating women's return to education in the U.S," Empirical Economics, Springer, volume 26, issue 1, pages 87-113.
• Yochanan Shachmurove & George F. Rengert & Simon Hakim, 2001, "articles: Target search of burglars: A revised economic model," Papers in Regional Science, Springer;Regional Science Association International, volume 80, issue 2, pages 121-137.
• Albert Satorra & Peter Bentler, 2001, "A scaled difference chi-square test statistic for moment structure analysis," Psychometrika, Springer;The Psychometric Society, volume 66, issue 4, pages 507-514, December, DOI: 10.1007/BF02296192.
• Arvid Raknerud, 2001, "A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components," Discussion Papers, Statistics Norway, Research Department, number 295, Mar.
• Jan F. Bjørnstad & Dag Einar Sommervoll, 2001, "Modeling Binary Panel Data with Nonresponse," Discussion Papers, Statistics Norway, Research Department, number 297, Apr.
• Nunzio Cappuccio & Diego Lubian, 2001, "Estimation And Inference On Long-Run Equilibria: A Simulation Study," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 1, pages 61-84, DOI: 10.1081/ETC-100104080.
• Mahmoud El-Gamal, 2001, "A Bayesian Interpretation Of Multiple Point Estimates," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 235-245, DOI: 10.1081/ETC-100103825.
• Kurt Brannas & Jorgen Hellstrom, 2001, "Generalized Integer-Valued Autoregression," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 4, pages 425-443, DOI: 10.1081/ETC-100106998.
• Jan F. Kiviet & Garry D.A. Phillips, 2001, "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-118/4, Dec.
• Noud P.A. van Giersbergen, 2001, "Bias Correction in a Stable AD(1,1) Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-120/4, Dec.
• Elena Andreou & Eric Ghysels, 2001, "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 0202, Oct.
• Savin, N.E. & Wurtz, Allan H., 2001, "Semiparametric Estimation of the Box-Cox Model Preliminary and Incomplete," Working Papers, University of Iowa, Department of Economics, number 2001-01, Jan.
• Théophile AZOMAHOU, 2001, "Efficient Estimation of Spatial Autoregressive Models," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2001-05.
• Frederic Udina & Pedro Delicado, 2001, "Estimating parliamentary composition through electoral polls," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 562, Jul.
• Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001, "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 578, Oct.
• Olivier Ledoit & Michael Wolf, 2001, "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 586, Nov.
• Thierry Ané & Chiraz Labidi, 2001, "Return Interval, Dependence Structure and Multivariate Normality," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 64, Sep.
• Charles H. Mullin, 2001, "Identification and Estimation with Contaminated Data: When Does Covariate Data Sharpen Inference?," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0109, May.
• Kurt Brännäs & Andreia Hall, 2001, "Estimation in integer‐valued moving average models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 17, issue 3, pages 277-291, July, DOI: 10.1002/asmb.445.
• Astrid Grasdal, 2001, "The performance of sample selection estimators to control for attrition bias," Health Economics, John Wiley & Sons, Ltd., volume 10, issue 5, pages 385-398, July, DOI: 10.1002/hec.628.
• Joel Huber & Kenneth Train, 2001, "On the Similarity of Classical and Bayesian Estimates of Individual Mean Partworths," Econometrics, University Library of Munich, Germany, number 0012003, Jan.
• Patrick Houweling & Ton Vorst, 2001, "An Empirical Comparison of Default Swap Pricing Models," Finance, University Library of Munich, Germany, number 0112003, Dec.
• Rafał Weron, 2001, "Levy-Stable Distributions Revisited: Tail Index> 2does Not Exclude The Levy-Stable Regime," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 02, pages 209-223, DOI: 10.1142/S0129183101001614.
• Rafal Weron, 2001, "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/01/01.
• Rafal Weron, 2001, "Estimating long range dependence: finite sample properties and confidence intervals," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/01/03, DOI: 10.1016/S0378-4371(02)00961-5.
• Pok Man Chak & Neal Madras & J. Barry Smith, 2001, "Consistent Estimation of Shape-Restricted Functions and Their Derivatives," Working Papers, York University, Department of Economics, number 2001_03, Nov.
• Čížek, Pavel, 2001, "Robust estimation in nonlinear regression and limited dependent variable models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,100.
• Linton, Oliver Bruce & Xiao, Zhijie, 2001, "A nonparametric regression estimator that adapts to error distribution of unknown form," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,33.
• Fengler, Matthias R. & Härdle, Wolfgang Karl & Villa, Christophe, 2001, "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,38.
• Nielsen, Hannah, 2001, "Extracting implicit density functions from short term interest rate options," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,47.
• Tamine, Julien, 2001, "Smoothed influence function: Another view at robust nonparametric regression," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,62.
• David Brownstone & Robert Valletta, 2001, "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 129-141, Fall.
• Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2001, "Information-Theoretic Estimation of Preference Parameters: Macroeconomic Applications and Simulation Evidence," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273748, Mar, DOI: 10.22004/ag.econ.273748.
• Karantininis, Kostas, 2001, "Information Based Estimators for the Non-Stationary Transition Probability Matrix: An Application to the Danish Pork Industry," Unit of Economics Working Papers, Royal Veterinary and Agricultural University, Food and Resource Economic Institute, number 24198, DOI: 10.22004/ag.econ.24198.
• West,K.D. & Wong,K.-F. & Anatolyev,S., 2001, "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers, Wisconsin Madison - Social Systems, number 20.
• Stephen Bond & Frank Windmeijer, 2001, "Projection estimators for autoregressive panel data models," CeMMAP working papers, Institute for Fiscal Studies, number 06/01, Dec, DOI: 10.1920/wp.cem.2001.0601.
• Snyder, Ralph D & Ord, J Keith & Koehler, Anne B, 2001, "Prediction Intervals for ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 2, pages 217-225, April.
• Hyslop, Dean R & Imbens, Guido W, 2001, "Bias from Classical and Other Forms of Measurement Error," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 4, pages 475-481, October.
• Xin Huang & Hao Zhou & Haibin Zhu, 2010, "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," BIS Working Papers, Bank for International Settlements, number 296, Jan.
• Duangkamon Chotikapanich & William Griffiths, 2001, "On Calculation of the Extended Gini Coefficient," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 47, issue 4, pages 541-547, December, DOI: 10.1111/1475-4991.00033.
• Tkacz Greg, 2001, "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 5, issue 1, pages 1-15, April, DOI: 10.2202/1558-3708.1068.
• Robert Kast & André Lapied & Sophie Pardo & Camelia Protopopescu, 2001, "Évaluation de risques controversés par la théorie des options réelles," Economie & Prévision, La Documentation Française, volume 149, issue 3, pages 51-63.
• M. Pitsillis & S. Satchell, 2001, "Improving the Estimates of the Risk Premia - Application in the UK Financial Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0109, Jul.
• Frank A Cowell & Maria-Pia Victoria-Feser, 2001, "Robust Lorenz Curves: A Semiparametric Approach," STICERD - Distributional Analysis Research Programme Papers, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 50, May.
• Frank A Cowell & Maria-Pia Victoria-Feser, 2001, "Distributional Dominance with Dirty Data," STICERD - Distributional Analysis Research Programme Papers, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 51, Aug.
• Yoram Amiel & Frank A Cowell, 2001, "Attitudes towards Risk and Inequality: A Questionnaire-Experimental Approach," STICERD - Distributional Analysis Research Programme Papers, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 56, Jun.
• Maria-Pia Victoria-Feser, 2001, "Robust Income Distribution Estimation with Missing Data," STICERD - Distributional Analysis Research Programme Papers, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 57, Jan.
• Oliver Linton & Zhijie Xiao, 2001, "A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 419, Jun.
• Pavel Cizek, 2001, "Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp189, Dec.
• Elena Andreou & Eric Ghysels, 2001, "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers, CIRANO, number 2001s-65, Nov.
• Norberto Rodríguez, 2001, "Bayesian estimation and model selection for the weekly Colombian exchange rate," Revista de Economía del Rosario, Universidad del Rosario.
• Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001, "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2762, Apr.
• Olivier SCAILLET, 2001, "Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001017, Jun.
• G. S. Maddala & Hongyi Li & V. K. Srivastava, 2001, "A Comparative Study of Different Shrinkage Estimators for Panel Data Models," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 1-30, May.
• Jie Q. Guo & Tong Li, 2001, "Simulation-Based Estimation of the Structural Errors-in-Variables Negative Binomial Regression Model with an Application," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 101-122, May.
• Oliver Linton, 2001, "Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator," Annals of Economics and Finance, Society for AEF, volume 2, issue 1, pages 237-248, May.
• Forni, Mario & Lippi, Marco, 2001, "The Generalized Dynamic Factor Model: Representation Theory," Econometric Theory, Cambridge University Press, volume 17, issue 6, pages 1113-1141, December.
• Donald W.K. Andrews & Yixiao Sun, 2001, "Local Polynomial Whittle Estimation of Long-range Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1293, Feb.
• Donald W.K. Andrews, 2001, "Higher-order Improvements of the Parametric Bootstrap for Markov Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1334, Oct.
• Offer Lieberman, 2001, "Penalised Maximum Likelihood Estimation for Fractional Guassian Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1348, Dec.
• F. Comte & Offer Lieberman, 2001, "Asymptotic Theory for Multivariate GARCH Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1349, Dec.