## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C1: Econometric and Statistical Methods and Methodology: General

/ / /

**C13: Estimation: General**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Bucharest Stock Exchange Volatility – Do Fundamentals Matter? [Volatilitatea Bursei de Valori Bucureşti – Contează fundamentele?]**

*by*Diaconaşu Delia-Elena

**Modeling and forecasting persistent financial durations**

*by*Zikes, Filip & Barunik, Jozef & Shenai, Nikhil

**Volatility of aggregate volatility and hedge funds returns**

*by*Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y.

**Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks**

*by*Busch, Ramona & Koziol, Philipp & Mitrovic, Marc

**Lethal lapses: How a positive interest rate shock might stress German life insurers**

*by*Feodoria, Mark & Förstemann, Till

**Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables**

*by*Jia Chen & Degui Li & Oliver Linton & Zudi Lu

**A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression**

*by*Tae-Hwan Kim & Christophe Muller

**The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers**

*by*Yunmi Kim & Tae-Hwan Kim & Tolga Ergun

**Bivariate GARCH models for single asset returns**

*by*Tomasz Skoczylas

**Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan**

*by*Junko Koeda

**Bayesian Nonparametric Calibration and Combination of Predictive Distributions**

*by*Roberto Casarin & Federico Bassetti & Francesco Ravazzolo

**Inference on Causal Effects in a Generalized Regression Kink Design**

*by*David Card & David S. Lee & Zhuan Pei & Andrea Weber

**Grouped Model Averaging for Finite Sample Size**

*by*Aman Ullah & Xinyu Zhang

**Mobile Money, Trade Deficit and Economic Development : Theory and Evidence**

*by*Beck, T.H.L. & Pamuk, H. & Ramrattan, R. & Uras, R.B.

**Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics**

*by*Einmahl, J.H.J. & Li, Jun & Liu, Regina

**Robust Estimation and Moment Selection in Dynamic Fixed-effects Panel Data Models**

*by*Cizek, P. & Aquaro, M.

**Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation**

*by*Laurent Callot & Johannes Tang Kristensen

**On the Ambiguous Consequences of Omitting Variables**

*by*Giuseppe De Luca & Jan Magnus & Franco Peracchi

**Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models**

*by*Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme

**Penalized Indirect Inference**

*by*Francisco Blasques & Artem Duplinskiy

**A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs**

*by*Seojeong Lee

**Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects**

*by*Xun Lu & Su Liangjun

**Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models**

*by*Su Liangjun & Tadao Hoshino

**Inference in linear models with structural changes and mixed identification strength**

*by*Bertille Antoine & Otilia

**Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve**

*by*Bertille Antoine & Otilia

**Life Data Analysis for Rail System Fleet Vehicles**

*by*Ça TEKE & Baha GÜNEY

**On the bias of the LSDV estimator in dynamic panel data models with endogenous regressors**

*by*Kurennoy, Alexey

**Accumulation with Malnutrition - The Role of Status Seeking Behavior**

*by*Sugata Marjit & Lei Yang

**Relative Social Status and Conflicting Measures of Poverty - A Behavioral Analytical Model**

*by*Sugata Marjit & Sattwik Santra & Koushik Kumar Hati

**Instrument-free Identification and Estimation of Differentiated Products Models**

*by*David Byrne & Susumu Imai & Vasilis Sarafidis & Masayuki Hirukawa

**Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references**

*by*Greselin, Francesca & Zitikis, Ricardas

**Identification through Heteroscedasticity: What If We Have the Wrong Form of Heteroscedasticity?**

*by*Chau, Tak Wai

**Endogenous derivation and forecast of lifetime PDs**

*by*Perederiy, Volodymyr

**Trade Openness, Structural Transformation, and Poverty Reduction: Empirical Evidence from Africa**

*by*Kelbore, Zerihun Getachew

**Forecasting Inflation in Tunisia Using Dynamic Factors Model**

*by*AMMOURI, Bilel & TOUMI, Hassen & Zitouna, Habib

**Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry**

*by*Papagiotou, Dimitrios & Stavrakoudis, Athanassios

**Price asymmetry between different pork cuts in the USA: a copula approach**

*by*Panagiotou, Dimitrios & Stavrakoudis, Athanassios

**Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework - Empirical approaches and technical implementation**

*by*Yang, Bill Huajian & Du, Zunwei

**Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models**

*by*esposito, francesco paolo & cummins, mark

**Return on Universal Education: SSA Case Study on Bihar**

*by*Dinda, Soumyananda

**Multilevel empirics for small banks in local markets**

*by*Aiello, Francesco & Bonanno, Graziella

**The effects of internal and external imbalances on Romanian’s economic growth**

*by*Soukiazis, Soukiazis & Antunes, Micaela & Stoian, Andreea

**Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər**

*by*Mehdiyev, Mehdi & Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad

**The “wrong skewness” problem: a re-specification of Stochastic Frontiers**

*by*Bonanno, Graziella & De Giovanni, Domenico & Domma, Filippo

**Qml inference for volatility models with covariates**

*by*Francq, Christian & Thieu, Le Quyen

**Supply and Demand Is Not a Neoclassical Concern**

*by*Lima, Gerson P.

**Looking at the determinants of efficiency in banking: evidence from Italian mutual-cooperatives**

*by*Francesco, Aiello & Graziella, Bonanno

**Empirical Analysis of the effect of Human Capital Generation on Economic Growth in India - a Panel Data approach**

*by*Debgupta, Sanchari

**Lagged Explanatory Variables and the Estimation of Causal Effects**

*by*Bellemare, Marc F. & Masaki, Takaaki & Pepinsky, Thomas B.

**Estimation of Internal Migration in India, 2011 Census based on Life Table Survival Ratio (LTSR) Method**

*by*Mistri, Avijit

**Role of institution, government to robust international entrepreneurial activities and economic growth: New Evidence**

*by*DOAA M. SALMAN

**Income Inequality by Method of Non-weighted Average Absolute Deviation: case study of Central and Eastern European Countries**

*by*Kamila Tureckova

**Dynamic Principal Components: a New Class of Multivariate GARCH Models**

*by*Gian Piero Aielli & Massimiliano Caporin

**"Transit Makes you Short": On Health Impact Assessment of Transportation and the Built Environment**

*by*Alireza Ermagun & David Levinson

**Structural Gravity and Fixed Effects**

*by*Thibault Fally

**Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity**

*by*Chaohua Dong & Jiti Gao & Bin Peng

**Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia**

*by*Xiaodong Gong & Jiti Gao

**Comonotonic Monte Carlo and its applications in option pricing and quantification of risk**

*by*Alain Chateauneuf & Mina Mostoufi & David Vyncke

**Comonotonic Monte Carlo and its applications in option pricing and quantification of risk**

*by*Alain Chateauneuf & Mina Mostoufi & David Vyncke

**On the Identification of Interdependence and Contagion of Financial Crises**

*by*Emanuele BACCHIOCCHI

**Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US**

*by*Roberta Cardani & Alessia Paccagnini & Stefania Villa

**Declining discount rates and the ‘Fisher Effect’: Inflated past, discounted future?**

*by*Mark C. Greeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis

**Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term**

*by*Badi H. Baltagi & Chihwa Kao & Long Liu

**Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection**

*by*Yoonseok Lee & Mehmet Caner & Xu Han

**Entrepreneurial Choice of Investment Capital for House-Based Industries: A case study in West Bengal**

*by*Shrabani Mukherjee

**Financial frictions and the volatility of monetary policy in a DSGE model**

*by*Anh Nguyen

**The emission reduction effect and economic impact of an energy tax vs. a carbon tax in China : a dynamic CGE model analysis**

*by*Zou, Lele & Xue, Jinjun & Fox, Alan & Meng, Bo & Shibata, Tsubasa

**Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia**

*by*Gong, Xiaodong & Gao, Jiti

**Whose Preferences Are Revealed in Hours of Work?**

*by*Pencavel, John

**Inference on Causal Effects in a Generalized Regression Kink Design**

*by*Card, David & Lee, David S. & Pei, Zhuan & Weber, Andrea

**Alternative asymptotics and the partially linear model with many regressors**

*by*Matias Cattaneo & Michael Jansson & Whitney Newey

**Nonparametric stochastic discount factor decomposition**

*by*Timothy Christensen

**Individual and time effects in nonlinear panel models with large N, T**

*by*Ivan Fernandez-Val & Martin Weidner

**Semiparametric dynamic portfolio choice with multiple conditioning variables**

*by*Jia Chen & Degui Li & Oliver Linton & Zudi Lu

**Homophily and Triadic Closure in Evolving Social Networks**

*by*Irene Crimaldi & Michela Del Vicario & Greg Morrison & Walter Quattrociocchi & Massimo Riccaboni

**Simultaneous likelihood-based bootstrap confidence sets for a large number of models**

*by*Mayya Zhilova & & &

**Scalable Mcmc For Large Data Problems Using Data Subsampling And The Difference Estimator**

*by*Quiroz, Matias & Villani, Mattias & Kohn, Robert

**Speeding Up Mcmc By Efficient Data Subsampling**

*by*Quiroz, Matias & Villani, Mattias & Kohn, Robert

**Beta-creaming**

*by*Lillestøl, Jostein & Sinding-Larsen, Richard

**Best estimate reporting with asymmetric loss**

*by*Lillestøl, Jostein & Sinding-Larsen, Richard

**Direct and indirect treatment effects: causal chains and mediation analysis with instrumental variables**

*by*Frölich, Markus & Huber, Martin

**Direct and indirect treatment effects: causal chains and mediation analysis with instrumental variables**

*by*Frölich, Markus & Huber, Martin

**Correlation and efficiency of propensity score-based estimators for average causal effects**

*by*Pingel, Ronnie & Waernbaum, Ingeborg

**Size Distribution of Portuguese Firms between 2006 and 2012**

*by*Mário Augusto & Rui Pascoal & Ana Margarida Monteiro

**Truncated Realized Covariance when prices have infinite variation jumps**

*by*Cecilia Mancini

**The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods**

*by*Martinez-Garcia, Enrique

**Panel nonparametric regression with fixed effects**

*by*Jungyoon Lee & Peter Robinson

**Efficient inference on fractionally integrated panel data models with fixed effects**

*by*Peter M. Robinson & Carlos Velasco

**Minimum Distance Testing and Top Income Shares in Korea**

*by*Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips

**The Missing Transfers: Estimating Mis-reporting in Dyadic Data**

*by*Comola, Margherita & Fafchamps, Marcel

**Multilevel Empirics For Small Banks In Local Markets**

*by*Francesco Aiello & Graziella Bonanno

**The “Wrong Skewness” Problem: A Re-Specification Of Stochastic Frontiers**

*by*Graziella Bonanno & Domenico De Giovanni & Filippo Domma

**Spurious Weather Effects**

*by*Jo Thori Lind

**Gold, Oil, and Stocks: Dynamic Correlations**

*by*Jozef Baruník & Evžen Kocenda & Lukáš Vácha

**Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models**

*by*Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans

**Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence**

*by*Javier Hidalgo & Marcia M Schafgans

**Methodological Report on Kaul and Wolf's Working Papers on the Effect of Plain Packaging on Smoking Prevalence in Australia and the Criticism Raised by OxyRomandie**

*by*Ben Jann

**Bayesian nonparametric calibration and combination of predictive distributions**

*by*Federico Bassetti & Roberto Casarin & Francesco Ravazzolo

**A General Theory of Rank Testing**

*by*Majid M. Al-Sadoon

**Maximum Likelihood Estimation of Dynamic Panel Threshold Models**

*by*Nelson Ramírez-Rondán

**Star Wars: The Empirics Strike Back**

*by*Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg

**A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression**

*by*Tae-Hwan Kim & Christophe Muller

**On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions**

*by*Firmin Doko Tchakota & Wenjie Wang

**Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation**

*by*Laurent Callot & Johannes Tang Kristensen

**Identification and estimation of non-Gaussian structural vector autoregressions**

*by*Markku Lanne & Mika Meitz & Pentti Saikkonen

**Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)**

*by*Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek

**Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models**

*by*Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme

**Weak diffusion limits of dynamic conditional correlation models**

*by*Christian M. Hafner & Sebastien Laurent & Francesco Violante

**Resurgence of the endogeneity-backed instrumental variable methods**

*by*Qin, Duo

**Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania**

*by*Valeriu Nalban

**Predictors of work life balance for women entrepreneurs in the North East Region of Romania**

*by*Dan Dumitru Ionescu & Alina Mariuca Ionescu

**Alternative models for forecasting the key macroeconomic variables in Armenia (in Russian)**

*by*Karen Poghosyan

**Identification in a class of nonparametric simultaneous equation models with sample selection (in Russian)**

*by*Evgeniy Ozhegov

**Una visión de la eficiencia productiva en el Mundial de Brasil 2014. ¿Ganó la selección más eficiente?/A Productive Efficiency Vision of the Brazil World Cup 2014. Did it Win the More Efficient Team?**

*by*LÉRIDA NAVARRO, CARLOS

**From Learning to Productive Active Life in Romania and European Union**

*by*Mariana Balan

**Bribing Behaviour and Sample Selection: Evidence from Post-Socialist Countries and Western Europe**

*by*Artjoms Ivlevs & Timothy Hinks

**Technical Efficiency Determinants Of The Tunisian Manufacturing Industry: Stochastic Production Frontiers Estimates On Panel Data**

*by*KAMEL HELALI & MAHA KALAI

**The Optimal Taxation and the Current Tax System**

*by*Ioannis N. Kallianiotis

**China Estimating Nonlinear DSGE Models with Moments Based Methods**

*by*Ivashchenko Sergey

**Time-varying nature and macroeconomic determinants of exchange rate pass-through**

*by*Ozkan, Ibrahim & Erden, Lutfi

**Modified QML estimation of spatial autoregressive models with unknown heteroskedasticity and nonnormality**

*by*Liu, Shew Fan & Yang, Zhenlin

**Value at Risk of the main stock market indexes in the European Union (2000–2012)**

*by*Iglesias, Emma M.

**How past market movements affect correlation and volatility**

*by*Becker, Christoph & Schmidt, Wolfgang M.

**Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility**

*by*Jeong, Daehee & Kim, Hwagyun & Park, Joon Y.

**Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes**

*by*Gresnigt, Francine & Kole, Erik & Franses, Philip Hans

**A parametric alternative to the Hill estimator for heavy-tailed distributions**

*by*Kim, Joseph H.T. & Kim, Joocheol

**The information content of option-implied information for volatility forecasting with investor sentiment**

*by*Seo, Sung Won & Kim, Jun Sik

**Liquidity shocks and stock bubbles**

*by*Nneji, Ogonna

**Max-factor individual risk models with application to credit portfolios**

*by*Denuit, Michel & Kiriliouk, Anna & Segers, Johan

**Calculating systemic risk capital: A factor model approach**

*by*Avramidis, Panagiotis & Pasiouras, Fotios

**Optimal versus realized bank credit risk and monetary policy**

*by*Delis, Manthos D. & Karavias, Yiannis

**The instability of the Pearson correlation coefficient in the presence of coincidental outliers**

*by*Kim, Yunmi & Kim, Tae-Hwan & Ergün, Tolga

**Stochastic volatility and leverage: Application to a panel of S&P500 stocks**

*by*Ozturk, Serda Selin & Richard, Jean-Francois

**Credit contagion in the presence of non-normal shocks**

*by*Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang

**Modeling the dynamics of carbon emission performance in China: A parametric Malmquist index approach**

*by*Lin, Boqiang & Du, Kerui

**Exogenous impacts on the links between energy and agricultural commodity markets**

*by*Han, Liyan & Zhou, Yimin & Yin, Libo

**The dynamics of squared returns under contemporaneous aggregation of GARCH models**

*by*Jondeau, Eric

**ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models**

*by*Creel, Michael & Kristensen, Dennis

**Stock return and cash flow predictability: The role of volatility risk**

*by*Bollerslev, Tim & Xu, Lai & Zhou, Hao

**Explicit form of approximate transition probability density functions of diffusion processes**

*by*Choi, Seungmoon

**Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso**

*by*Caner, Mehmet & Fan, Qingliang

**Estimation in generalised varying-coefficient models with unspecified link functions**

*by*Zhang, Wenyang & Li, Degui & Xia, Yingcun

**Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference**

*by*Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan

**VAR for VaR: Measuring tail dependence using multivariate regression quantiles**

*by*White, Halbert & Kim, Tae-Hwan & Manganelli, Simone

**Select the valid and relevant moments: An information-based LASSO for GMM with many moments**

*by*Cheng, Xu & Liao, Zhipeng

**Regularized LIML for many instruments**

*by*Carrasco, Marine & Tchuente, Guy

**Oracle inequalities for high dimensional vector autoregressions**

*by*Kock, Anders Bredahl & Callot, Laurent

**A spatial autoregressive model with a nonlinear transformation of the dependent variable**

*by*Xu, Xingbai & Lee, Lung-fei

**The power of PANIC**

*by*Westerlund, Joakim

**The effect of recursive detrending on panel unit root tests**

*by*Westerlund, Joakim

**Efficient inference on fractionally integrated panel data models with fixed effects**

*by*Robinson, Peter M. & Velasco, Carlos

**Cross-sectional averages versus principal components**

*by*Westerlund, Joakim & Urbain, Jean-Pierre

**Through the looking glass: Indirect inference via simple equilibria**

*by*Calvet, Laurent E. & Czellar, Veronika

**Jackknife instrumental variable estimation with heteroskedasticity**

*by*Bekker, Paul A. & Crudu, Federico

**QML estimation of dynamic panel data models with spatial errors**

*by*Su, Liangjun & Yang, Zhenlin

**Nonlinear regressions with nonstationary time series**

*by*Chan, Nigel & Wang, Qiying

**Asymptotic theory for differentiated products demand models with many markets**

*by*Freyberger, Joachim

**Frontier estimation in the presence of measurement error with unknown variance**

*by*Kneip, Alois & Simar, Léopold & Van Keilegom, Ingrid

**Robust score and portmanteau tests of volatility spillover**

*by*Aguilar, Mike & Hill, Jonathan B.

**Estimation of fixed effects panel regression models with separable and nonseparable space–time filters**

*by*Lee, Lung-fei & Yu, Jihai

**Risk-parameter estimation in volatility models**

*by*Francq, Christian & Zakoïan, Jean-Michel

**Reinforced urn processes for credit risk models**

*by*Peluso, Stefano & Mira, Antonietta & Muliere, Pietro

**Endogeneity in stochastic frontier models: Copula approach without external instruments**

*by*Tran, Kien C. & Tsionas, Efthymios G.

**Estimating the common break date in large factor models**

*by*Chen, Liang

**Consistency of the least squares estimator in threshold regression with endogeneity**

*by*Yu, Ping

**Factor-augmented regression models with structural change**

*by*Wang, Shaoping & Cui, Guowei & Li, Kunpeng

**Estimating the long rate and its volatility**

*by*Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui

**Estimation of spatial panel data models with time varying spatial weights matrices**

*by*Wang, Wei & Yu, Jihai

**Optimal asymptotic least squares estimation in a singular set-up**

*by*Diez de los Rios, Antonio

**Incorporating prior information when true priors are unknown: An Information-Theoretic approach for increasing efficiency in estimation**

*by*Henderson, Heath & Golan, Amos & Seabold, Skipper

**Variance change-point detection in panel data models**

*by*Li, Fuxiao & Tian, Zheng & Xiao, Yanting & Chen, Zhanshou

**On GMM estimation of distributions from grouped data**

*by*Griffiths, William & Hajargasht, Gholamreza

**Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures**

*by*Tanattrin Bunnag

**The Value of Investment Resources Influx for the Development of the Electric Power Industry of Kazakhstan**

*by*Sholpan Smagulova & Amangeldi D. Omarov & Aybek B. Imashev

**Hedging Petroleum Futures with Multivariate GARCH Models**

*by*Tanattrin Bunnag

**Does Capacity Utilization Rate Affect Imports of Raw Materials in Nigeria?**

*by*Augustine C. Osigwe & Kenneth Obi

**Economic Crises and the Substitution of Fiscal Policy by Monetary Policy**

*by*Ioannis N. Kallianiotis

**Joint Calibration Estimator for dual frame surveys**

*by*Mahmoud A. Elkasabi & Steven G. Heeringa & James M. Lepkowski

**Improved separate ratio and product exponential type estimators in the case of post-stratification**

*by*Rajesh Tailor & Hilal A. Lone

**Some classes of modified ratio type estimators in sample surveys**

*by*Manjula Das & A. K. P. C. Swain

**A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro**

*by*Julija Cerović & Milena Lipovina-Božović & Saša Vujošević

**Risks of investment in personnel development: evidence from Ukrainian IT companies**

*by*Oksana Domkina

**Consumers` perception on the use of innovative technologies in creating store atmosphere**

*by*Mirela Octavia Sirbu & Andreea Simona Saseanu & Simona Ioana Ghita

**Producing small area estimation using R in the Romanian official statistics**

*by*Ana Maria DOBRE & Nicoleta CARAGEA

**Spurious Inference in Unidentified Asset-Pricing Models**

*by*Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

**Option pricing with a dynamic fat-tailed model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas

**Impact of Migrant Remittances on the Human Development of Women: Econometric Evidence from Panel Data - L’impatto delle rimesse dei lavoratori stranieri sullo sviluppo umano delle donne: evidenze econometriche da dati panel**

*by*Ibourk, Aomar & Amaghouss, Jabrane

**The Soft Regression Method- Suggested Improvements**

*by*Eli Shnaider & Nava Haruvy & Arthur Yosef

**Resurrecting weighted least squares**

*by*Joseph P. Romano & Michael Wolf

**The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis**

*by*Ashok Kaul & Michael Wolf

**The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis**

*by*Ashok Kaul & Michael Wolf

**Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks**

*by*Olivier Ledoit & Michael Wolf

**Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence**

*by*Mittnik, Stefan & Semmler, Willi

**Screening instruments for monitoring market power in wholesale electricity markets: Lessons from applications in Germany**

*by*Bataille, Marc & Steinmetz, Alexander & Thorwarth, Susanne

**A new semiparamtetric approach to analysing Conditional Income Distributions**

*by*Sohn, Alexander & Klein, Nadja & Kneib, Thomas

**Unconditional Transformed Likelihood Estimation of Time-Space Dynamic Panel Data Models**

*by*Kripfganz, Sebastian

**Mutual excitation in eurozone sovereign CDS**

*by*Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana

**Resurgence of instrument variable estimation and fallacy of endogeneity**

*by*Qin, Duo

**Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte**

*by*Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter

**Gold, Oil, and Stocks**

*by*Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš

**Screening instruments for monitoring market power in wholesale electricity markets: Lessons from applications in Germany**

*by*Bataille, Marc & Steinmetz, Alexander & Thorwarth, Susanne

**Efficient iterative maximum likelihood estimation of high-parameterized time series models**

*by*Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander

**A new semiparametric approach to analysing conditional income distributions**

*by*Sohn, Alexander & Klein, Nadja & Kneib, Thomas

**Forecast-error-based estimation of forecast uncertainty when the horizon is increased**

*by*Knüppel, Malte

**Investor fears and risk premia for rare events**

*by*Schwarz, Claudia

**Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data**

*by*Jia Chen & Degui Li & Hua Liang & Suojin Wang

**Specification Testing in Nonstationary Time Series Models**

*by*Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin

**The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers**

*by*Yunmi Kim & Tae-Hwan Kim & Tolga Ergun

**Aggregravity: Estimating Gravity Models from Aggregate Data**

*by*Harald Badinger & Jesus Crespo Cuaresma

**Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances**

*by*Harald Badinger & Peter Egger

**Interregional Inequality and Federal Expenditures and Transfers in Russia**

*by*Alexander Torbenko

**A new framework for US city size distribution: Empirical evidence and theory**

*by*Rafael GonzÃ¡lez-Val & Arturo Ramos & Fernando Sanz-Gracia

**Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model**

*by*Tomasz Skoczylas

**Improving GMM efficiency in dynamic models for panel data with mean stationarity**

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*by*Luis Fernando Melo & John Jairo León & Dagoberto Saboya

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*by*Enrique Sentana & Gabriele Fiorentini

**A Specification Test For Nonparametric Instrumental Variable Regression**

*by*Patrick Gagliardini & Olivier Scaillet

**Efficient Estimation of the SemiparametricSpatial Autoregressive Model**

*by*Peter M Robinson

**Income Distribution and Inequality**

*by*Frank A Cowell

**Distributional Orderings: An Approach with Seven Flavours**

*by*Yoram Amiel & Frank A Cowell & Wulf Gaertner

**Human Capital and Economic Growth: Pakistan, 1960-2003**

*by*Abbas, Qaisar & Foreman-Peck, James

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*by*Theodoridis, Konstantinos

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*by*Massacci, D.

**The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models**

*by*Maurice J.G. Bun & Frank Windmeijer

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*by*Lorenzo Trapani & Giovanni Urga

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*by*Chihwa Kao & Lorenzo Trapani & Giovanni Urga

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*by*Susanne Schennach & Halbert White & Karim Chalak

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*by*Yingyao Hu & Arthur Lewbel

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*by*Christopher F Baum & Mark E. Schaffer & Steven Stillman

**Les méthodes micro-économétriques d’évaluation**

*by*Fougère, D.

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*by*Carla Ysusi

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*by*Marisol Rodríguez Chatruc

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*by*Bernhard Herz & Marco Wagner

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*by*Hartmut Kogelschatz

**Spatial Persistence of Demographic Shocks and Economic Growth**

*by*Théophile Azomahou & Claude Diebolt & Tapas Mishra

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*by*Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter

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*by*Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij

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*by*Mark Podolskij & Mathias Vetter

**Structural estimation of jump-diffusion processes in macroeconomics**

*by*Olaf Posch

**Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks**

*by*Viktor Todorov & Tim Bollerslev

**Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models**

*by*Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B.

**Self-Employment in Chile, long run trends and education and age structures changes**

*by*Esteban Puentes & Dante Contreras & Claudia Sanhueza

**An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model**

*by*Lisok, Helen & Kritskiy, Oleg

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*by*Chizhova, Anna

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*by*Stikhova , Olga

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*by*Radu Lupu & Iulia Lupu

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*by*Muhammad Arshad Khan & Ayaz Ahmed

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*by*Hulya KAKICI & Asst. Prof. Hamdi EMEC & Prof.Dr.Senay UCDOGRUK

**Efficiency of Indian Manufacturing Firms: Textile Industry as a Case Study**

*by*Anup Kumar Bhandari & Pradip Maiti

**Comparación de Ponderaciones en Regresiones Probit Simultáneas en un Modelo para la Estimación de la Participación Laboral**

*by*Verónica Herrero & Mónica Bocco

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*by*Carlos Gamero Burón

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*by*Eduardo Loría & Manuel G. Ramos.

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*by*W A Razzak

**Explaining The Gaps In Labour Productivity In Some Developed Countries: New Zealand, Australia, The United States And Canada, 1988-2004**

*by*RAZZAK, W.A.

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*by*Saaed, A.A.J.

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*by*Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi

**Nairu en zone heureuse**

*by*Jean-Daniel Guigou

**Clusters – Characteristics and Structure**

*by*Nedko Mintchev

**Custos Unitários de Trabalho e Desemprego: Que Relação em Portugal?**

*by*Agostinho S. Rosa

**Estimation of Industry Distribution of Statistical Discrepancy in National Accounts**

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**Approximately Exact Inference in Dynamic Panel Models**

*by*Simon Broda & Marc Paolella & Yianna Tchopourian

**Using genetic algorithms to improve the term structure of interest rates fitting**

*by*Ricardo Gimeno & Juan M. Nave

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*by*Romulo A. Chumacero

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*by*Jean-Marie Dufour & Lynda Khalaf & Maral Kichian

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*by*Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-SantaulÃ ria & School of Economics, University of Guanajuato

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*by*Olivier Roodenburg & Ard H.J. den Reijer

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*by*Michael Wolf

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*by*Bauer, Thomas K. & Sinning, Mathias

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**Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?**

*by*De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia

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*by*Joze P. Damijan & José de Sousa & Olivier Lamotte

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*by*Silvestro Di Sanzo

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*by*Hiroyuki Kasahara & Katsumi Shimotsu

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*by*Markus Frölich

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*by*Duso, Tomaso & Gugler, Klaus & Yurtoglu, Burcin B.

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*by*Janssen, E. & Strijbosch, L.W.G. & Brekelmans, R.C.M.

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*by*Drost, F.C. & van den Akker, R. & Werker, B.J.M.

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*by*Drost, F.C. & van den Akker, R. & Werker, B.J.M.

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*by*Einmahl, J.H.J. & Fils-Villetard, A. & Guillou, A.

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*by*Jeroen Hinloopen & Charles van Marrewijk

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**Wake me up before you GO-GARCH**

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**Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk**

*by*Andre Monteiro & Georgi V. Smirnov & Andre Lucas

**Annex A5 : A model of the stochastic convergence between euro area business cycles**

*by*Matthieu Lemoine

**A quoi réagit le marchés des obligations privées?**

*by*Marie Briere & Aurélie Cohen

**Semiparametric Estimation of Signaling Games**

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**Set Inference for Semiparametric Discrete Games**

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*by*Elena Kalotychou & Ana-Maria Fuertes

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**Subsampling realised kernels**

*by*Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard

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*by*Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard

**An Extension of the Blinder-Oaxaca Decomposition to Non-Linear Models**

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*by*Alberto Bisin & Andrea Moro & Giorgio Topa

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*by*Carol Alexander & Andreas Kaeck

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*by*Hugo Kruiniger

**Panels with Nonstationary Multifactor Error Structures**

*by*George Kapetanios & M. Hashem Pesaran & Takashi Yamagata

**GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data**

*by*Hugo Kruiniger

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*by*Katsumi Shimotsu

**Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices**

*by*Hiroyuki Kasahara & Katsumi Shimotsu

**Moments of IV and JIVE Estimators**

*by*Russell Davidson & James G. MacKinnon

**Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models**

*by*Hiroyuki Kasahara & Katsumi Shimotsu

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*by*Vitek, Francis

**Measuring the Stance of Monetary Policy in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Monetary Policy Analysis in a Closed Economy: A Dynamic Stochastic General Equilibrium Approach**

*by*Vitek, Francis

**Параллельные Вычисления В Математическом Моделировании Региональной Экономики // Параллельные Вычислительные Технологии - 2007. Труды Первой Международной Научной Конференции. Челябинск: Изд-Во Южно-Уральского Государственного Университета, 2007. C.140-151**

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*by*Barnett, William A. & Duzhak, Evgeniya

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*by*Albu, Lucian-Liviu

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*by*Larrain, Felipe & Parro, Francisco

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*by*Mynbaev, Kairat & Ullah, Aman

**Stochastic frontier models**

*by*Wang, Hung-Jen

**Efecto de la Competencia de la Educación Privada sobre la Calidad de la Educación Pública**

*by*Herrera Gómez, Marcos

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*by*Pandey, Krishan & Tikkiwal, G.C.

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*by*Breiding, Torsten

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*by*Tsionas, Efthymios & Kumbhakar, Subal

**Econometric Assessment of the Trend in Cocoyam Production in Nigeria, 1960/61-2003/2006**

*by*Okoye, B.C & Asumugha, G.N & Okezie, C.A & Tanko, L & Onyenweaku, C.E

**Allocative Efficiency of Small-Holder Cocoyam Farmers in Anambra State, Nigeria**

*by*Okoye, B.C & Onyenweaku, C.E & Asumugha, G.N

**systemfit: A Package to Estimate Simultaneous Equation Systems in R**

*by*Henningsen, Arne & Hamann, Jeff

**Decomposing violence: terrorist murder in the twentieth century in the U.S**

*by*Gomez-Sorzano, Gustavo

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**Subsampling realised kernels**

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**Subsampling realised kernels**

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**Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand**

*by*Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik

**Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles**

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*by*George Athanasopoulos & Rob J. Hyndman

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**Reduced-Dimension Control Regression**

*by*John Galbraith & Victoria Zinde-Walsh

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*by*Ekaterini Panopoulou & Nicolaos Kourogenis & Nikitas Pittis

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*by*Chihwa Kao & Lorenzo Trapani & Giovanni Urga

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*by*Chris Heaton & Victor Solo

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*by*Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara

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*by*Georges Dionne & Claude Fluet & Denise Desjardins

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*by*Christophe Kolodziejczyk

**Retirement and Fixed Costs to Work: An Empirical Analysis**

*by*Christophe Kolodziejczyk

**Methodology of Correcting Nonresponse Bias: Introducing Another Bias? The Case of the Swiss Innovation Survey 2002**

*by*Nora Sydow

**Returns to Schooling in Kazakhstan: OLS and Instrumental Variables Approach**

*by*G. Reza Arabsheibani & Altay Mussurov

**Returns to Schooling in Kazakhstan: OLS and Instrumental Variables Approach**

*by*Arabsheibani, Reza & Mussurov, Altay

**Panels with Nonstationary Multifactor Error Structures**

*by*Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi

**Panels with Nonstationary Multifactor Error Structures**

*by*George Kapetanios & M. Hashem Pesaran & Takashi Yamagata

**Does the Quality of Training Programs Matter? Evidence from Bidding Processes Data**

*by*Chong, Alberto & Galdo, Jose C.

**Does the Quality of Training Programs Matter? Evidence from Bidding Processes Data**

*by*Alberto Chong & Jose Galdo

**Statistical Treatment Choice: An Application to Active Labour Market Programmes**

*by*Markus Frölich

**Statistical Treatment Choice: An Application to Active Labour Market Programmes**

*by*Frölich, Markus

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*by*Markus Frölich

**A Note on Parametric and Nonparametric Regression in the Presence of Endogenous Control Variables**

*by*Frölich, Markus

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*by*F. Alfonso Arellano Espinar

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*by*Ángel León & Francis Benito & Juan Nave

**International Trade Efficiency, the Gravity Equation, and the Stochastic Frontier**

*by*Heejoon Kang & Michele Fratianni

**Supply response of Indian farmers: Pre and post reforms**

*by*G. Mythili

**No Linealidades en la Regla de Política Monetaria del Banco Central de Chile: Una Evidencia Empírica**

*by*Pablo Gonzalez & Mauricio Tejada

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*by*Wagner, Martin

**Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems**

*by*Müller-Fürstenberger, Georg & Wagner, Martin

**GMM for panel count data models**

*by*Frank Windmeijer

**Nonparametric instrumental variables estimation of a quantile regression model**

*by*Joel Horowitz & Sokbae Lee

**Efficient estimation of the semiparametric spatial autoregressive model**

*by*Peter Robinson

**U.S. Universities' Net Returns from Patenting and Licensing: A Quantile Regression Analysis**

*by*Harun Bulut & GianCarlo Moschini

**Korrekturverfahren zur Berechnung der Einkommen über der Beitragsbemessungsgrenze**

*by*Binder, Jan & Schwengler, Barbara

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*by*Volker Krätschmer

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*by*Zdenek Hlavka & Michal Pesta

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*by*Grigori Milstein & John Schoenmakers & Vladimir Spokoiny

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*by*Denis Belomestny & Vladimir Spokoiny

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*by*Enzo Giacomini & Michael Handel & Wolfgang K. Härdle

**Estimation with the Nested Logit Model: Specifications and Software Particularities**

*by*Nadja Silberhorn & Yasemin Boztug & Lutz Hildebrandt

**Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms**

*by*Carsten Trenkler

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*by*Kai Detlefsen & Wolfgang Härdle

**Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors**

*by*Eiji Kurozumi & Kazuhiko Hayakawa

**The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models**

*by*Kazuhiko Hayakawa & Eiji Kurozumi

**Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks**

*by*Sugita, Katsuhiro

**A Monte Carlo Study of Recent Ridge Parameters**

*by*Alkhamisi, Mahdi A. & Shukur, Ghazi

**Time Series Modelling Of High Frequency Stock Transaction Data**

*by*Quoreshi, Shahiduzzaman

**A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data**

*by*Quoreshi, Shahiduzzaman

**LongMemory, Count Data, Time Series Modelling for Financial Application**

*by*Quoreshi, Shahiduzzaman

**On the evaluation of the cost efficiency of nonresponse rate reduction efforts - some general considerations**

*by*Tångdahl, Sara

**Estimating the finite population total under frame imperfections and nonresponse**

*by*Ängsved, Marianne

**An empirically based implementation and evaluation of a network model for commuting flows**

*by*Gitlesen, Jens Petter & Kleppe, Gisle & Thorsen, Inge & Ubøe, Jan

**Finite-Sample Stability of the KPSS Test**

*by*Jönsson, Kristian

**Second Order Approximation for the Average Marginal Effect of Heckman's Two Step Procedure**

*by*Akay, Alpaslan & Tsakas, Elias

**Technical Efficiency in Production and Resource Use in Sugar Cane: A Stochastic Frontier Production Function Analysis**

*by*Gauri Khanna

**Is Entrepreneurial Success Predictable? An Ex-Ante Analysis of the Character-Based Approach**

*by*Marco Caliendo & Alexander S. Kritikos

**Perceived Diversity of Complex Environmental Systems: Multidimensional Measurement and Synthetic Indicators**

*by*Ugo Gasparino & Barbara Del Corpo & Dino Pinelli

**Valuation Biases, Error Measures, and the Conglomerate Discount**

*by*Dittmann, I. & Maug, E.G.

**A comparison of models for measurable deterioration: an application to coating on steel structures**

*by*Nicolai, R.P. & Dekker, R. & van Noortwijk, J.M.

**Identification and nonparametric estimation of a transformed additively separable model**

*by*David Jacho-Chávez & Arthur Lewbel & Oliver Linton

**To be or not to be involved: a questionnaire-experimental view on Harsanyi's utilitarian ethics**

*by*Yoram Amiel & Frank Cowell & W Gaertner

**Inequality: measurement**

*by*Frank Cowell

**Tests of Independence in Separable Econometric Models: Theory and Application**

*by*Donald J. Brown & Rahul Deb & Marten H. Wegkamp

**Brand Value, Preference and Customer Value Effects of Non-conventional Utility Products: An Experimental Analysis in Mexican Market**

*by*Rajagopal

**Specification and Informational Issues in Credit Scoring**

*by*Kiefer, Nicholas M. & Larson, C. Erik

**Default Estimation for Low-Default Portfolios**

*by*Kiefer, Nicholas M.

**Конструиране На Индикатори За Българската Икономика С Обобщени Динамични Факторни Модели**

*by*Iglika Vasileva

**Supply Response of Indian Farmers - Pre and Post Reforms**

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**Bayesian Encompassing Specification Tests of a Parametric Model Against a Non Parametric Alternative**

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