## 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.

**Spatial differencing for sample selection models**

*by*Alex Klein & Guy Tchuente

**Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series**

*by*Cizek, Pavel & Koo, Chao

**Realized Stochastic Volatility with General Asymmetry and Long Memory**

*by*Manabu Asai & Chia-Lin Chang & Michael McAleer

**Interquantile Expectation Regression**

*by*Sander Barendse

**Confidence Intervals in High-Dimensional Regression Based on Regularized Pseudoinverses**

*by*Tom Boot & Didier Nibbering

**Weighted-Average Least Squares Estimation of Generalized Linear Models**

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

**Constrained principal components estimation of large approximate factor models**

*by*Rachida Ouysse

**A Gravity-Based Revealed Comparative Advantage Estimator**

*by*Scott French

**Comparative Advantage and Biased Gravity**

*by*Scott French

**Bayesian Inference for Linear Regression**

*by*Daniel Ciuiu

**Price Volatility in Commodity Markets with Restricted Participation**

*by*Knaut, Andreas & Paschmann, Martin

**Placebo Tests for Synthetic Controls**

*by*Ferman, Bruno & Pinto, Cristine

**The key factors of export intensity in Tunisia: A Logistic regression with random effect model**

*by*Kahia, Montassar

**Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models**

*by*Malikov, Emir & Sun, Yiguo

**The effect of Fe y Alegria on school achievement: exploiting a school lottery selection as a natural experiment**

*by*Pablo Lavado & Santiago Cueto & Micaela Wensjoe & Gustavo Yamada

**Euler Equations, Subjective Expectations and Income Shocks**

*by*Agnes Kovacs & Orazio Attanasio

**Identification of and Correction for Publication Bias**

*by*Isaiah Andrews & Maximilian Kasy

**Impact of multimodality of distributions on VaR and ES calculations**

*by*Dominique Guegan & Bertrand Hassani & Kehan Li

**The Economics of Replication**

*by*Mueller-Langer, Frank & Fecher, Benedikt & Harhoff, Dietmar & Wagner, Gert G.

**Alternative GMM estimators for spatial regression models**

*by*Jörg Breitung & Christoph Wigger

**The Economics of Replication**

*by*Mueller-Langer, Frank & Fecher, Benedikt & Harhoff, Dietmar & Wagner, Gert G.

**Euler Equations, Subjective Expectations and Income Shocks**

*by*Attanasio, Orazio & Kovacs, Agnes & Molnar, Krisztina

**Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates**

*by*Rinke, Saskia & Busch, Marie & Leschinski, Christian

**New insights into the stochastic ray production frontier**

*by*Arne Henningsen & Matěj Bělín & Géraldine Henningsen

**Optimum thresholding using mean and conditional mean square error**

*by*José E. Figueroa-López & Cecilia Mancini

**Mapping the stocks in MICEX: Who is central in Moscow Stock Exchange?**

*by*M. Hakan Eratalay & Evgenii Vladimirov

**Regulation, Institutions and Aggregat Investment: New evicence From OECD Countries**

*by*Balázs Égert

**The Economics of Replication**

*by*Frank Mueller-Langer & Benedikt Fecher & Dietmar Harhoff & Gert G. Wagner

**Voluntary Turnover: What We Measure and What It (Really) Means**

*by*Matthias Georg Will

**Zone Pricing in Retail Oligopoly**

*by*Brian Adams & Kevin R. Williams

**Sample Selection in Quantile Regression: A Survey**

*by*Manuel Arellano & Stéphane Bonhomme

**Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogenous dependent errors**

*by*Elise Coudin & Jean-Marie Dufour

**Regulation, Institutions and Aggregate Investment: New Evidence from OECD Countries**

*by*Balazs Egert

**The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends**

*by*Kajal Lahiri & Zhongwen Liang & Huaming Peng

**Robust Inference and Testing of Continuity in Threshold Regression Models**

*by*Javier Hidalgo & Jungyoon Lee & Myung Hwan Seo

**High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed**

*by*F. Lilla

**Business cycle estimation with high-pass and band-pass local polynomial regression**

*by*Luis J. Álvarez

**Testing for Stochastic Dominance in Social Networks**

*by*Firmin Doko Tchatoka & Robert Garrard & Virginie Masson

**Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form**

*by*Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor

**Volatility spillover effects in interbank money markets**

*by*Pedro Pires Ribeiro & José Dias Curto

**How risky is the optimal portfolio which maximizes the Sharpe ratio?**

*by*Taras Bodnar & Taras Zabolotskyy

**Métodos numéricos para cálculo de la prima de opciones asiáticas / Numerical Methods for Calculation of Asian Options Premium**

*by*Gavira Durón, Nora & Aguilar Galindo, Julio Irving

**Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models**

*by*Andreea – Cristina PETRICA & Stelian STANCU

**A solution for multicollinearity in stochastic frontier production function models**

*by*Elkin Castaño & Santiago Gallón

**Comparing forecasts for tourism dynamics in Medellín, Colombia**

*by*Marisol Valencia Cárdenas & Juan Gabriel Vanegas López & Juan Carlos Correa Morales & Jorge Aníbal Restrepo Morales

**A Stochastic Production Frontier Estimator of the Degree of Oligopsony Power in the U.S. Cattle Industry**

*by*Dimitrios Panagiotou & Athanassios Stavrakoudis

**One-person enterprises and the phenomenon of hybrid self-employment: evidence from an empirical study**

*by*Dieter Bögenhold & Andrea Klinglmair

**On Asymmetric Market Model with Heteroskedasticity and Quantile Regression**

*by*Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta

**Measuring flows of international migration**

*by*James Raymer

**Bioethanol Production In Mexico: Socio- Economic Implications, Produccion De Bioetanol En Mexico: Implicaciones Socio-Economicas**

*by*Alberto Perez Fernandez & Jose Apolonio Venegas Venegas

**Carbon emission, energy consumption, trade openness and financial development in Pakistan: A revisit**

*by*Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Zakaria, Muhammad & Hurr, Maryam

**Exchangeability, extreme returns and Value-at-Risk forecasts**

*by*Huang, Chun-Kai & North, Delia & Zewotir, Temesgen

**An empirical comparison of transformed diffusion models for VIX and VIX futures**

*by*Bu, Ruijun & Jawadi, Fredj & Li, Yuyi

**A unisex stochastic mortality model to comply with EU Gender Directive**

*by*Chen, An & Vigna, Elena

**A meta-analysis on the price elasticity of energy demand**

*by*Labandeira, Xavier & Labeaga, José M. & López-Otero, Xiral

**Estimating the speed of adjustment to target levels: The case of energy prices**

*by*Narayan, Seema & Narayan, Paresh Kumar

**Marked Hawkes process modeling of price dynamics and volatility estimation**

*by*Lee, Kyungsub & Seo, Byoung Ki

**Improving the accuracy of asset price bubble start and end date estimators**

*by*Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert

**Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form**

*by*Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert

**Spatial dynamic panel data models with interactive fixed effects**

*by*Shi, Wei & Lee, Lung-fei

**QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices**

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

**Identification and estimation of a large factor model with structural instability**

*by*Baltagi, Badi H. & Kao, Chihwa & Wang, Fa

**On the role of the rank condition in CCE estimation of factor-augmented panel regressions**

*by*Karabiyik, Hande & Reese, Simon & Westerlund, Joakim

**Estimation of integrated quadratic covariation with endogenous sampling times**

*by*Potiron, Yoann & Mykland, Per A.

**Least squares estimation of large dimensional threshold factor models**

*by*Massacci, Daniele

**Resurrecting weighted least squares**

*by*Romano, Joseph P. & Wolf, Michael

**Inference and testing breaks in large dynamic panels with strong cross sectional dependence**

*by*Hidalgo, Javier & Schafgans, Marcia

**R-estimation in semiparametric dynamic location-scale models**

*by*Hallin, Marc & La Vecchia, Davide

**Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models**

*by*Yang, Kai & Lee, Lung-fei

**Estimating smooth structural change in cointegration models**

*by*Phillips, Peter C.B. & Li, Degui & Gao, Jiti

**A new approach to model regime switching**

*by*Chang, Yoosoon & Choi, Yongok & Park, Joon Y.

**Efficient estimation in models with independence restrictions**

*by*Poirier, Alexandre

**Optimal bandwidth selection for local linear estimation of discontinuity in density**

*by*Jales, Hugo & Ma, Jun & Yu, Zhengfei

**A constrained state space approach for estimating firm efficiency**

*by*Kutlu, Levent

**Intra-national home bias: New evidence from the United States commodity flow survey**

*by*Martínez-San Román, Valeriano & Mateo-Mantecón, Ingrid & Sainz-González, Rubén

**Surplus–debt regressions**

*by*Leeper, Eric M. & Li, Bing

**Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy**

*by*Szafranek, Karol

**A general endogenous grid method for multi-dimensional models with non-convexities and constraints**

*by*Druedahl, Jeppe & Jørgensen, Thomas Høgholm

**Economic Appraisal of the Program of Diagnostics of Main Gas Pipelines**

*by*Miroslava Gennadevna Glukhova & Aleksandr Andreevich Zubarev

**The Re-analysis of the Relationship between Government’s Income and Expenditure in an Oil-based Economy with TVPFAVAR Approach (Iran as the Case of Study)**

*by*Jaber Akbari & Sadegh Bakhtiari & Morteza Sameti & Homayoun Ranjbar

**Can Social Capital Investment Reduce Poverty in Rural Indonesia?**

*by*Ernan Rustiadi & Ahmadriswan Nasution

**Relationship between Exchange Rates and Stock Prices – GCC Perspectives**

*by*Jassim Al-Daham

**Determinants of External Debt: A Panel Data Analysis for Oil and Gas Exporting and Importing Countries**

*by*Abdul Waheed

**Long-Term Exposure to Malaria and Development: Disaggregate Evidence for Contemporaneous Africa**

*by*Matteo CERVELLATI & Elena ESPOSITO & Uwe Sunde

**La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015**

*by*Laura Daniela Castillo Paredes & Josefa Ramoni-Perazzi

**Viewpoint: The human capital approach to inference**

*by*W. Bentley MacLeod

**Dependency between Risks and the Insurer’s Economic Capital: A Copula-based GARCH Model**

*by*Shim Jeungbo & Lee Seung-Hwan

**Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach**

*by*Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller

**DSGE-based forecasting: What should our perspective be?**

*by*O. Malakhovskaya.

**Beyond sorting: a more powerful test for cross-sectional anomalies**

*by*Olivier Ledoit & Michael Wolf & Zhao Zhao

**Improving weighted least squares inference**

*by*Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf

**Large dynamic covariance matrices**

*by*Robert F. Engle & Olivier Ledoit & Michael Wolf

**Numerical implementation of the QuEST function**

*by*Olivier Ledoit & Michael Wolf

**Estimating Fixed Effects Logit Models with Large Panel Data**

*by*Stammann, Amrei & Heiß, Florian & McFadden, Daniel

**Effects of Oscar awards on movie production**

*by*Agnani, Betty & Aray, Henry

**You can't always get what you want? Estimator choice and the speed of convergence**

*by*Kufenko, Vadim & Prettner, Klaus

**Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans**

*by*Dietsch, Michel & Düllmann, Klaus & Fraisse, Henri & Koziol, Philipp & Ott, Christine

**A data-driven selection of an appropriate seasonal adjustment approach**

*by*Webel, Karsten

**Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea**

*by*JIN SEO CHO & MYUNG-HO PARK & PETER C.B. PHILLIPS

**Estimation of Nonlinear Panel Models with Multiple Unobserved Effects**

*by*Chen, Mingli

**Multilateral mechanism analysis of interprovincial migration flows in China**

*by*Yingxia Pu & Ying Ge

**Publication selection bias in the sources of financing the enterprises research? A Meta-Regression Analysis**

*by*Natalia Nehrebecka & Aneta Dzik-Walczak

**Bayesian nonparametric sparse seemingly unrelated regression model (SUR)**

*by*Monica Billio & Roberto Casarin & Luca Rossini

**Bayesian Nonparametric Conditional Copula Estimation of Twin Data**

*by*Luciana Dalla Valle & Fabrizio Leisen & Luca Rossini

**Empirical Hedging Performance on Long-dDted Crude Oil Derivatives**

*by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?**

*by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**A Structural Model for Electricity Forward Prices**

*by*Benth, Fred Espen & Paraschiv, Florentina

**Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients**

*by*Paraschiv, Florentina & Bunn, Derek & Westgaard, Sjur

**Bank Foundations, Social Capital, and the Growth of Italian Provinces**

*by*Giorgio Calcagnini & Germana Giombini & Francesco Perugini

**Mimetic behaviour and institutional persistence: A two-armed bandit experiment**

*by*Innocenti, Stefania & Cowan, Robin

**Parallelization experience with four canonical econometric models using ParMitISEM**

*by*Baştürk N. & Grassi S. & Hoogerheide L. & Dijk H.K. van

**Model selection with factors and variables**

*by*Jack Fosten

**Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach**

*by*Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller

**In search of the Euro area fiscal stance**

*by*Alice Albonico & Alessia Paccagnini & Patrizio Tirelli

**Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs**

*by*Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa

**Great Recession, Slow Recovery and Muted Fiscal Policies in the US**

*by*Alice Albonico & Alessia Paccagnini & Patrizio Tirelli

**Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization**

*by*Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong

**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**

*by*Manabu Asai & Michael McAleer

**Robust frontier estimation from noisy data: a Tikhonov regularization approach**

*by*Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold

**Solution and Estimation of Dynamic Discrete Choice Structural Models Using Euler Equations**

*by*Victor Aguirregabiria & Arvind Magesan

**A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions**

*by*Einmahl, John & Kiriliouk, A. & Segers, J.J.J.

**Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach**

*by*Rabovic, Renata & Cizek, Pavel

**Testing for a Threshold in Models with Endogenous Regressors**

*by*Rothfelder, Mario & Boldea, Otilia

**Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models**

*by*Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger

**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**

*by*Manabu Asai & Michael McAleer

**Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization**

*by*Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong

**Parallelization Experience with Four Canonical Econometric Models using ParMitISEM**

*by*Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk

**LIML Estimation of Import Demand and Export Supply Elasticities**

*by*Vahagn Galstyan &

**Multidimensional Parameter Heterogeneity in Panel Data Models**

*by*Timothy Neal

**Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties**

*by*Luke Hartigan

**A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors**

*by*Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele

**Common Threshold in Quantile Regressions with an Application to Pricing for Reputation**

*by*Liangjun Su & Pai Xu & Heng Ju

**Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties**

*by*Grzegorz Koloch

**Estimating the membership function of the fuzzy willingness-to-pay/accept for health via Bayesian modelling**

*by*Michal Jakubczyk

**Choosing from multiple alternatives in cost-effectiveness analysis with fuzzy willingness-to-pay/accept and uncertainty**

*by*Michal Jakubczyk

**Foreign Direct Investment, Productivity And Crowding-Out: Dynamic Panel Evidence On Vietnamese Firms**

*by*Hanh Pham

**Method Development Aspects of Liquidity-Adjusted Value-at-Risk (LVaR) Technique for Commodities Portfolios**

*by*Mazin A. M. Al Janabi

**On the Treatment of a Measurement Error Regression Model**

*by*TAKU YAMAMOTO

**Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels**

*by*Ignace De Vos & Gerdie Everaert

**Multivariate Method Of Simulated Quantiles**

*by*Paola Stolfi & Mauro Bernardi & Lea Petrella

**IMF Programs and Sensitivity to External Shocks: An Empirical Application**

*by*Mirela Sorina Miescu

**Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form**

*by*Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A. M. Robert Taylor

**How Do You Interpret Your Regression Coefficients?**

*by*Pillai N., Vijayamohanan

**Negative binomial quasi-likelihood inference for general integer-valued time series models**

*by*Aknouche, Abdelhakim & Bendjeddou, Sara

**Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations**

*by*Yang, Bill Huajian & Du, Zunwei

**A stochastic frontier estimator of the aggregate degree of market power exerted by the U.S. beef and pork packing industries**

*by*Stavrakoudis, Athanassios & Panagiotou, Dimitrios

**Does Domestic Investment Produce Economic Growth in Canada: Empirical Analysis Based on Correlation, Cointegration and Causality**

*by*Bakari, Sayef

**Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models**

*by*Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer

**Variance targeting estimation of the BEKK-X model**

*by*Thieu, Le Quyen

**Asymmetries in the revenue-expenditure nexus: New evidence from South Africa**

*by*Phiri, Andrew

**Forecasting 2016 US Presidential Elections Using Factor Analysis and Regression Model**

*by*Sinha, Pankaj & Srinivas, Sandeep & Paul, Anik & Chaudhari, Gunjan

**Making Markowitz's Portfolio Optimization Theory Practically Useful**

*by*BAI, ZHIDONG & LIU, HUIXIA & WONG, WING-KEUNG

**Changes in the optimal tax rate in South Africa prior and subsequent to the global recession period**

*by*Motloja, Lehlohonolo & Makhoana, Tsholofelo & Kassoma, Rooyen & Houdman, Rozadian & Phiri, Andrew

**Investigating the impact of national income on environmental pollution. International evidence**

*by*Barra, Cristian & Zotti, Roberto

**The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models**

*by*Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew

**Revisiting the Synthetic Control Estimator**

*by*Ferman, Bruno & Pinto, Cristine

**Rethinking the current inflation target range in South Africa**

*by*Bonga-Bonga, Lumengo & Lebese, Ntsakeseni Letitia

**Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression**

*by*Xu, Ning & Hong, Jian & Fisher, Timothy

**Random Expected Utility and Certainty Equivalents: Mimicry of Probability Weighting Functions**

*by*Wilcox, Nathaniel

**“Attitudes to Leadership and Voting: Finding the Efficient Frontier”**

*by*Davis, Brent

**spanel: le package R pour l’estimation des données de panel spatiale**

*by*Zaghdoudi, Taha

**Simultaneity of Crime Incidence in Mindanao**

*by*Madanlo, Lalaine & Murcia, John Vianne & Tamayo, Adrian

**The relationship between savings and economic growth at the disaggregated level**

*by*Guma, Nomvuyo & Bonga-Bonga, Lumengo

**Shapley value regression and the resolution of multicollinearity**

*by*Mishra, SK

**Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso**

*by*Xu, Ning & Hong, Jian & Fisher, Timothy

**Local Explosion Modelling by Noncausal Process**

*by*Gouriéroux, Christian & Zakoian, Jean-Michel

**Does Phillips Exist in Palestine? An Empirical Evidence**

*by*Ismael, Mohanad & Sadeq, Tareq

**Measures of correlation and computer algebra**

*by*Halkos, George & Tsilika, Kyriaki

**Introduction à la méthode statistique et probabiliste**

*by*Keita, Moussa

**Measuring poverty with the Foster, Greer and Thorbecke indexes based on the Gamma distribution**

*by*Fernández-Morales, Antonio

**Estimation bias due to duplicated observations: a Monte Carlo simulation**

*by*Sarracino, Francesco & Mikucka, Malgorzata

**Plausibility of big shocks within a linear state space setting with skewness**

*by*Koloch, Grzegorz

**Econometric-wavelet prediction in spatial aspect**

*by*Monika Hadas-Dyduch

**Firms’ Dynamics and Business Cycle: New Disaggregated Data**

*by*Lorenza Rossi & Emilio Zanetti Chini

**Terrorism and Employment : Evidence from Successful and Failed Terror Attacks**

*by*Abel Brodeur

**Surplus-Debt Regressions**

*by*Eric M. Leeper & Bing Li

**China Pro-Growth Monetary Policy and Its Asymmetric Transmission**

*by*Kaiji Chen & Patrick Higgins & Daniel F. Waggoner & Tao Zha

**Solution and Estimation Methods for DSGE Models**

*by*Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide

**Linking excessive disinflation and output movements in an emerging, small open economy A hybrid New Keynesian Phillips Curve perspective**

*by*Karol Szafranek

**Measuring expected time to default under stress conditions for corporate loans**

*by*Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko

**When is it really justifiable to ignore explanatory variable endogeneity in a regression model?**

*by*Jan F. Kiviet

**Nonparametric Localized Bandwidth Selection for Kernel Density Estimation**

*by*Tingting Cheng & Jiti Gao & Xibin Zhang

**Another Look at Single-Index Models Based on Series Estimation**

*by*Chaohua Dong & Jiti Gao & Bin Peng

**Error-in-Variables Jump Regression Using Local Clustering**

*by*Yicheng Kang & Xiaodong Gong & Jiti Gao & Peihua Qiu

**The Lila distribution and its applications in risk modelling**

*by*Bertrand K. Hassani & Wei Yang

**Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regulatory Requirement for Financial Institutions**

*by*Dominique Guegan & Bertrand K. Hassani

**Eigenvalue Ratio Estimators for the Number of Dynamic Factors**

*by*Maddalena Cavicchioli & Mario Forni & Marco Lippi & Paolo zaffaroni

**Inference for Lorenz Curves "Abstract: The Lorenz curve, introduced more than 100 years ago, is still one of the main tools in poverty and inequality analysis. International institutions such as the World Bank collect and publish grouped income data in the form of population and income shares for a large number of countries. These data are often used for estimation of parametric Lorenz curves which in turn form the basis for most poverty and inequality analyses. Despite the prevalence of parametric estimation of Lorenz curves from grouped data, and the existence of well-developed nonparametric methods, a rigorous statistical foundation for estimating parametric Lorenz curves has not been provided. In this paper we propose a sound statistical framework for making inference about parametric Lorenz curves for both grouped and individual data. Building on two data generating mechanisms, efficient methods of estimation and inference are proposed and a number of results useful for comparing the two methods of inference, and aiding computation, are derived. Simulations are used to assess the estimators, and curves are estimated for some example countries. We also show how the proposed methods improve upon World Bank methods and make recommendations for improving current practices. "**

*by*Gholamreza Hajargasht & William E. Griffiths

**PIIGS in the Euro Area. An Empirical DSGE Model**

*by*Alice, Albonico & Alessia, Paccagnini & Patrizio, Tirelli

**In search of the Euro Area Fiscal Stance**

*by*Alice, Albonico & Alessia, Paccagnini & Patrizio, Tirelli

**The Identification and Estimation of a Large Factor Model with Structural Instability**

*by*Badi H. Baltagi & Chihwa Kao & Fa Wang

**Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID**

*by*Anastasios Demertzidis & Vahidin Jeleskovic

**Adolescent Brides and Grooms' Education: Theory and Evidence**

*by*Sylvain Dessy, Setou Diarra, Roland Pongou & Setou Diarra & Roland Pongou

**A Method for Measuring Treatment Effects on the Treated without Randomization**

*by*P. A. V. B. Swamya & S. G. Hall & G. S. Tavlas & I. Chang & H. D. Gibson & W. H. Greene & J. S. Mehta

**A General Endogenous Grid Method for Multi-Dimensional Models with Non-Convexities and Constraints**

*by*Jeppe Druedahl & Thomas Høgholm Jørgensen

**From bond yield to macroeconomic instability: The effect of negative interest rates**

*by*Maria Cristina Recchioni & Gabriele Tedeschi

**Inference in Regression Discontinuity Designs with a Discrete Running Variable**

*by*Kolesár, Michal & Rothe, Christoph

**The Value of Knowing the Propensity Score for Estimating Average Treatment Effects**

*by*Rothe, Christoph

**Something from Nothing: Estimating Consumption Rates Using Propensity Scores, with Application to Emissions Reduction Policies**

*by*Bardsley, Nicholas & Büchs, Milena & Schnepf, Sylke V.

**The Effect of One Laptop per Child on Teachers' Pedagogical Practices and Students' Use of Time at Home**

*by*Yamada, Gustavo & Lavado, Pablo & Montenegro, Guadalupe

**The Effect of Fe y Alegria on School Achievement: Exploiting a School Lottery Selection as a Natural Experiment**

*by*Lavado, Pablo & Cueto, Santiago & Yamada, Gustavo & Wensjoe, Micaela

**The Twin Instrument**

*by*Bhalotra, Sonia R. & Clarke, Damian

**Locally Robust Semiparametric Estimation**

*by*Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey

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*by*Cecilia Mancini

**The Evolution of Scale Economies in U.S. Banking**

*by*Wheelock, David C. & Wilson, Paul W.

**Estimation of Dynastic Life-Cycle Discrete Choice Models**

*by*Gayle, George-Levi & Golan, Limor & Soytas, Mehmet A.

**What is the source of the intergenerational correlation in earnings?**

*by*Gayle, George-Levi & Golan, Limor & Soytas, Mehmet A.

**What Accounts for the Racial Gap in Time Allocation and Intergenerational Transmission of Human Capital?**

*by*Gayle, George-Levi & Golan, Limor & Soytas, Mehmet A.

**Was Sarbanes-Oxley Costly? Evidence from Optimal Contracting on CEO Compensation**

*by*Gayle, George-Levi & Li, Chen & Miller, Robert A.

**Backtesting Systemic Risk Measures During Historical Bank Runs**

*by*Brownlees, Christian & Chabot, Benjamin & Ghysels, Eric & Kurz, Christopher J.

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

*by*Martinez-Garcia, Enrique

**Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy**

*by*Lunsford, Kurt Graden

**Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models**

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

**Multivariate return decomposition: theory and implications**

*by*Anatolyev, Stanislav & Gospodinov, Nikolay

**Okun Kanunu ve Stokastik Trend Yaklaşımı Çerçevesinde Türkiye’de İstihdam Yaratmayan Büyümenin Dinamikleri**

*by*Banu Tanrıöver & Burhan Biçer

**Okun Kanunu ve Stokastik Trend Yaklaşımı Çerçevesinde Türkiye’de İstihdam Yaratmayan Büyümenin Dinamikleri**

*by*Banu Tanrıöver & Burhan Biçer

**Okun Kanunu ve Stokastik Trend Yaklaşımı Çerçevesinde Türkiye’de İstihdam Yaratmayan Büyümenin Dinamikleri**

*by*Banu Tanrıöver & Burhan Biçer

**Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach**

*by*Harun Öztürkler & Fatih Demir & Serhat Yılmaz

**Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach**

*by*Harun Öztürkler & Fatih Demir & Serhat Yılmaz

**Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach**

*by*Harun Öztürkler & Fatih Demir & Serhat Yılmaz

**Tarımda Rekabet Edebilirlik ve Bölgesel Düzeyde Toplam Faktör Verimliliğindeki Değişimin İncelenmesi**

*by*H. Ozan Eruygur & Taylan Kıymaz

**Tarımda Rekabet Edebilirlik ve Bölgesel Düzeyde Toplam Faktör Verimliliğindeki Değişimin İncelenmesi**

*by*H. Ozan Eruygur & Taylan Kıymaz

**Tarımda Rekabet Edebilirlik ve Bölgesel Düzeyde Toplam Faktör Verimliliğindeki Değişimin İncelenmesi**

*by*H. Ozan Eruygur & Taylan Kıymaz

**Dünya ile Türkiye’deki Tarımsal Ürün Fiyatları Arasındaki Etkileşimin İncelenmesi – Kriz ve Kuraklık Etkileri**

*by*Taylan Kıymaz

**Dünya ile Türkiye’deki Tarımsal Ürün Fiyatları Arasındaki Etkileşimin İncelenmesi – Kriz ve Kuraklık Etkileri**

*by*Taylan Kıymaz

**Dünya ile Türkiye’deki Tarımsal Ürün Fiyatları Arasındaki Etkileşimin İncelenmesi – Kriz ve Kuraklık Etkileri**

*by*Taylan Kıymaz

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gender Based Wage Gap in Turkey**

*by*Ömer Limanlı

**Gender Based Wage Gap in Turkey**

*by*Ömer Limanlı

**Gender Based Wage Gap in Turkey**

*by*Ömer Limanlı

**Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi**

*by*Evrim İmer-Ertunga & Şerife Serap Çakar

**Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi**

*by*Evrim İmer-Ertunga & Şerife Serap Çakar

**Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi**

*by*Evrim İmer-Ertunga & Şerife Serap Çakar

**Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı**

*by*Naci Bayrac & Emrah Dogan

**Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı**

*by*Naci Bayrac & Emrah Dogan

**Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı**

*by*Naci Bayrac & Emrah Dogan

**Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs**

*by*Bekiros, Stelios D.; Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania

**Declining discount rates and the Fisher Effect: inflated past, discounted future?**

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

**High dimensional stochastic regression with latent factors, endogeneity and nonlinearity**

*by*Jinyuan Chang & Bin Guo & Qiwei Yao

**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

**Robustness of bootstrap in instrumental variable regression**

*by*Lorenzo Camponovo & Taisuke Otsu

**A meta-analysis on the price elasticity of energy demand**

*by*Xavier Labandeira & José M.aría Labeaga & Xiral López-Otero

**Semi-nonparametric Spline Modifications to the Cornwell-Schmidt-Sickles Estimator: An Analysis of U.S. Banking Productivity**

*by*Almanidis, Pavlos & Karagiannis, Giannis & Sickles, Robin C.

**Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale**

*by*Houda Rharrabti Zaid

**Beyond Conventional Wage Discrimination Analysis: Assessing Comprehensive Wage Distributions of Males and Females Using Structured Additive Distributional Regression**

*by*Alexander Sohn

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

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

**Measuring attitudes regarding female genital mutilation through a list experiment**

*by*Elisabetta de Cao & Clemens Lutz

**Gaussian processes and Bayesian moment estimation**

*by*Jean-Pierre Florens & Anna Simoni

**The Probability of Legislative Shirking: Estimation and Validation**

*by*Serguei Kaniovski & David Stadelmann

**Solution and Estimation Methods for DSGE Models**

*by*Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank

**Does the CAMEL bank ratings system follow a procyclical pattern?**

*by*Papanikolaou, Nikolaos I. & Wolff, Christian C

**Partial Identification in Applied Research: Benefits and Challenges**

*by*Ho, Katherine & Rosen, Adam M.

**Structural Analysis with Multivariate Autoregressive Index Models**

*by*Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano

**Estimating the Extensive Margin of Trade**

*by*Santos Silva, J.M.C & Tenreyro, Silvana & Wei, Kehai

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

*by*Comola, Margherita & Fafchamps, Marcel

**The “wrong skewness” problem in stochastic frontier models: a new approach**

*by*Hafner, C. & Manner, H. & Simar, L.

**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

**A unisex stochastic mortality model to comply with EU Gender Directive**

*by*An Chen & Elena Vigna

**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

**Extreme Downside Risk and Market Turbulence**

*by*Richard Harris & Linh Nguyen & Evarist Stoja

**Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns**

*by*Rasmus T. Varneskov & Pierre Perron

**A Composite Likelihood Framework for Analyzing Singular DSGE Models**

*by*Zhongjun Qu

**Extreme downside risk and financial crises**

*by*Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist

**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

**Panel Time Series. Review of the Methodological Evolution**

*by*Tamara Burdisso & Máximo Sangiácomo

**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

**Consistent tests for risk seeking behavior: A stochastic dominance approach Abstract We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) with rejection regions determined by block bootstrap resampling techniques. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We engage into Monte Carlo experiments to assess the nite sample size and power of the tests allowing for the presence of numerical errors. We use them to empirically analyze investor preferences and beliefs by testing whether the value-weighted market portfolio can be considered as efficient according to prospect and Markowitz stochastic dominance criteria when confronted to diversi cation principles made of risky assets. Our results indicate that we cannot reject the hypothesis of prospect stochastic dominance efficiency for the market portfolio. This is supportive of the claim that the particular portfolio can be rationalized as the optimal choice for any S-shaped utility function. Instead, we reject the hypothesis for Markowitz stochastic dominance, which could imply that there exist reverse S-shaped utility functions that do not rationalize the market portfolio**

*by*Stelios Arvanitis & Nikolas Topaloglou

**Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model**

*by*Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar

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

*by*Firmin Doko Tchatoka & Wenjie Wang

**Edgeworth expansion for the pre-averaging estimator**

*by*Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida

**On critical cases in limit theory for stationary increments Lévy driven moving averages**

*by*Andreas Basse-O'Connor & Mark Podolskij

**Limit theorems for stationary increments Lévy driven moving averages**

*by*Andreas Basse-O'Connor & Raphaël Lachièze-Rey & Mark Podolskij

**A weak limit theorem for numerical approximation of Brownian semi-stationary processes**

*by*Mark Podolskij & Nopporn Thamrongrat

**On U- and V-statistics for discontinuous Itô semimartingale**

*by*Mark Podolskij & Christian Schmidt & Mathias Vetter

**Parametric Portfolio Policies with Common Volatility Dynamics**

*by*Yunus Emre Ergemen & Abderrahim Taamouti

**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

**Satisfacción laboral en los países pobres: el caso de los docentes malgaches**

*by*Carlos Gamero Burón & Gerard Lassibille

**Overeducation, skills and wage penalty: Evidence for Spain using PIAAC data**

*by*Sandra Nieto

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

*by*Qin, Duo

**Currency Crises in EU Candidate Countries: An Early Warning System Approach**

*by*Vesna Bucevska

**Modeling The Informal Economy: A Review**

*by*MIHĂILĂ, Teodora

**Szacunki kwartalnego PKB w polskich województwach**

*by*Mateusz Pipień & Sylwia Roszkowska

**La profundidad de mercado y el impacto cruzado de precios**

*by*Treviño Aguilar, Erick & Refugio Vallejo Gutiérrez

**Linkage between US monetary policy and emerging economies: the case of Korea?s financial market and monetary policy**

*by*Chan-Guk Huh & Jie Wu

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

*by*Valeriu Nalban

**Entrepreneurial Choice of Investment Capital for House-based Industries**

*by*Shrabani Mukherjee

**Estimation and Variance Decomposition in a Small-size DSGE Model**

*by*Oana Simona HUDEA

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

*by*Dan Dumitru Ionescu & Alina Mariuca Ionescu

**Inductive Effect of Physicians Number and Hospital Bed on Health Expenditures in Iran**

*by*Panahi, Hossein & Salmani, Behzad & Nasibparast, Sima

**The Effect of Money Supply on the Inflation the Period between 1980-2013 in Turkey Economy**

*by*Şahin, İsmail & Karanfil, Muhammet

**Medidas macroprudenciales y política monetaria en una economía pequeña y abierta**

*by*Ribeiro, Joao

**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

**Hysteresis and the NAIRU: The Case of Countries in Transition**

*by*Gordana Marjanovic & Ljiljana Maksimovic & Nenad Stanisic

**Income Inequality By Method Of Non-Weighted Average Absolute Deviation: Case Study Of Central And Eastern European Countries***

*by*Kamila Tureckova

**Consumption Expenditure in Romania – between Present Constraints and Past Habits**

*by*Moraru Andreea-Daniela & Baca Eleonora

**Impact Assessment of the Key Quantitative Indices for Road Transport Performance on Its Energy Efficiency**

*by*Hristina Nikolova & Petya Koralova

**Trade Effects Estimation for the Case of Eurasian Economic Space Countries: Application of Regional Gravity Model**

*by*Mogilat, A. & Salnikov, V.

**Log-volatility enhanced GARCH models for single asset returns**

*by*Tomasz Skoczylas

**Skewed Generalized Error Distribution of Financial Assets and Option Pricing**

*by*Panayiotis Theodossiou

**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

**FDI, private investment and public investment in Nigeria: An unravelled dynamic relation**

*by*Amassoma Ditimi & Ogbuagu Matthew I.

**Re-gendering globalization: Overcoming the phenomenon of gendering globalization**

*by*Sadia Afrin & Mahmudul Hasan Fouiji & Muhammad Raquib

**Forecasting Seasonal Factors Method Vs. Regression Method With MS Excel**

*by*Petru Balogh & Pompiliu Golea

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

*by*Mariana Balan

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

*by*KAMEL HELALI & MAHA KALAI

**An Empirical Analysis of Engel Curve on Energy for Households in Sabah and Sarawak Based on Location and Income Group**

*by*Vivin Vincent Chandran & Caroline Geetha & Kwang Jing Yii & Amran Ahmed

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

*by*Ioannis N. Kallianiotis

**Analyzing the Market Concentration of the Romanian Capital Market**

*by*Sorin-Iulian Cioaca

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

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

*by*Ivashchenko Sergey

**Exchange Rate Pass-Through in Central and Eastern Europe: A Panel Bayesian VAR Approach**

*by*Valeriu Nalban

**The Capital Markets Research Based on the Financial Quantitative Models**

*by*Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA

**An Approach to the Analysis of Strategic Development Trend in the Electricity Production Regarding the Energy Sector Framework: The Ukrainian and Spanish Cases**

*by*Viktoria Sihua & Anxo Calvo-Silvosa & Ilya Starodumov

**Prediction and simulation using simple models characterized by nonstationarity and seasonality**

*by*Swanson, Norman R. & Urbach, Richard

**ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails**

*by*Paolella, Marc S. & Polak, Paweł

**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

**Industry localization, distance decay, and knowledge spillovers: Following the patent paper trail**

*by*Figueiredo, Octávio & Guimarães, Paulo & Woodward, Douglas

**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.

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

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

**Linear programming-based estimators in nonnegative autoregression**

*by*Preve, Daniel

**A semiparametric conditional capital asset pricing model**

*by*Cai, Zongwu & Ren, Yu & Yang, Bingduo

**The role of the variance premium in Jump-GARCH option pricing models**

*by*Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong

**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

**Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns**

*by*Riedel, Christoph & Wagner, Niklas

**Liquidity shocks and stock bubbles**

*by*Nneji, Ogonna

**Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank׳s monetary policy strategy**

*by*Neto, David

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

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

**Structural gravity and fixed effects**

*by*Fally, Thibault

**US stock market regimes and oil price shocks**

*by*Angelidis, Timotheos & Degiannakis, Stavros & Filis, George

**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

**On corporate capital structure adjustments**

*by*Dang, Viet Anh & Garrett, Ian

**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

**The demand for transport fuels in Turkey**

*by*Hasanov, Mübariz

**Environmental Kuznets curve for CO2 emissions: The case of Arctic countries**

*by*Baek, Jungho

**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 role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework**

*by*Cho, Dooyeon

**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

**Asymptotic inference in multiple-threshold double autoregressive models**

*by*Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel

**High dimensional stochastic regression with latent factors, endogeneity and nonlinearity**

*by*Chang, Jinyuan & Guo, Bin & Yao, Qiwei

**Identification and shape restrictions in nonparametric instrumental variables estimation**

*by*Freyberger, Joachim & Horowitz, Joel L.

**Regression discontinuity designs with unknown discontinuity points: Testing and estimation**

*by*Porter, Jack & Yu, Ping

**Panel nonparametric regression with fixed effects**

*by*Lee, Jungyoon & Robinson, Peter M.

**Semiparametric single-index panel data models with cross-sectional dependence**

*by*Dong, Chaohua & Gao, Jiti & Peng, Bin

**Maximum likelihood estimation of a spatial autoregressive Tobit model**

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

**Two-step estimation of network-formation models with incomplete information**

*by*Leung, Michael P.

**Structural-break models under mis-specification: Implications for forecasting**

*by*Koo, Bonsoo & Seo, Myung Hwan

**Identification and estimation in a correlated random coefficients binary response model**

*by*Hoderlein, Stefan & Sherman, Robert

**Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity**

*by*Hayakawa, Kazuhiko & Pesaran, M. Hashem

**Large sample properties of the matrix exponential spatial specification with an application to FDI**

*by*Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei

**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**

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

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

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**Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator**

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