Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C15: Statistical Simulation Methods: General

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Bootstrap Methods

2012

• Javier Alejo, 2012, "Relación de Kuznets en América Latina. Explorando más allá de la media condicional," CEDLAS, Working Papers, CEDLAS, Universidad Nacional de La Plata, number 0129, Mar.
• Donald W. K. Andrews & Xu Cheng, 2012, "Estimation and Inference With Weak, Semi‐Strong, and Strong Identification," Econometrica, Econometric Society, volume 80, issue 5, pages 2153-2211, September, DOI: ECTA9456.
• Donald W. K. Andrews & Panle Jia Barwick, 2012, "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Econometrica, Econometric Society, volume 80, issue 6, pages 2805-2826, November, DOI: ECTA8166.
• Gholam Hossein Hasantash & Hamidreza Mostafaei & Shaghayegh Kordnoori, 2012, "Modelling the Errors of EIA's Oil Prices and Production Forecasts by the Grey Markov Model," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 3, pages 312-319.
• Hamidreza Mostafaei & Shaghayegh Kordnoori, 2012, "Hybrid Grey Forecasting Model for Iran s Energy Consumption and Supply," International Journal of Energy Economics and Policy, Econjournals, volume 2, issue 3, pages 97-102.
• Pierre Rostan & Alexandra Rostan, 2012, "Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall," International Review of Management and Marketing, Econjournals, volume 2, issue 1, pages 59-74.
• Chan, Joshua & Koop, Gary & Potter, Simon, 2012, "A New Model Of Trend Inflation," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-12.
• Mariam Camarero & Andrés J. Picazo-Tadeo & Cecilio Tamarit, 2012, "Are the determinants of CO2 emissions converging among OECD countries?," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1215, Oct.
• Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012, "A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3398-3414, DOI: 10.1016/j.csda.2010.09.001.
• Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012, "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 3, pages 732-740, DOI: 10.1016/j.csda.2011.09.022.
• Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2012, "Do institutional changes affect business cycles? Evidence from Europe," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 10, pages 1520-1533, DOI: 10.1016/j.jedc.2012.03.017.
• Şeker, Murat, 2012, "A structural model of firm and industry evolution: Evidence from Chile," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 6, pages 891-913, DOI: 10.1016/j.jedc.2012.01.007.
• Ruge-Murcia, Francisco, 2012, "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 6, pages 914-938, DOI: 10.1016/j.jedc.2012.01.008.
• Arbia, G. & Espa, G. & Giuliani, D. & Mazzitelli, A., 2012, "Clusters of firms in an inhomogeneous space: The high-tech industries in Milan," Economic Modelling, Elsevier, volume 29, issue 1, pages 3-11, DOI: 10.1016/j.econmod.2011.01.012.
• Buck, Andrew J. & Lady, George M., 2012, "Structural sign patterns and reduced form restrictions," Economic Modelling, Elsevier, volume 29, issue 2, pages 462-470, DOI: 10.1016/j.econmod.2011.12.003.
• Bao, Qunfang & Chen, Si & Li, Shenghong, 2012, "Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest," Economic Modelling, Elsevier, volume 29, issue 2, pages 471-477, DOI: 10.1016/j.econmod.2011.12.002.
• van Sonsbeek, Jan-Maarten & Alblas, Ridwan, 2012, "Disability benefit microsimulation models in the Netherlands," Economic Modelling, Elsevier, volume 29, issue 3, pages 700-715, DOI: 10.1016/j.econmod.2012.01.004.
• Lau, Chi Keung Marco & Suvankulov, Farrukh & Su, Yongyang & Chau, Frankie, 2012, "Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test," Economic Modelling, Elsevier, volume 29, issue 3, pages 810-816, DOI: 10.1016/j.econmod.2011.08.006.
• Sadefo Kamdem, Jules, 2012, "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, volume 29, issue 4, pages 1299-1304, DOI: 10.1016/j.econmod.2012.03.015.
• Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012, "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, volume 29, issue 5, pages 1585-1591, DOI: 10.1016/j.econmod.2012.05.009.
• Baillie, Richard T. & Morana, Claudio, 2012, "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, volume 29, issue 6, pages 2451-2459, DOI: 10.1016/j.econmod.2012.07.011.
• Shi, Hui, 2012, "The efficiency of government promotion of inbound tourism: The case of Australia," Economic Modelling, Elsevier, volume 29, issue 6, pages 2711-2718, DOI: 10.1016/j.econmod.2012.06.019.
• Hoogerheide, Lennart & Block, Joern H. & Thurik, Roy, 2012, "Family background variables as instruments for education in income regressions: A Bayesian analysis," Economics of Education Review, Elsevier, volume 31, issue 5, pages 515-523, DOI: 10.1016/j.econedurev.2012.03.001.
• Di Iorio, Francesca & Fachin, Stefano, 2012, "A simple sieve bootstrap range test for poolability in dependent cointegrated panels," Economics Letters, Elsevier, volume 116, issue 2, pages 154-156, DOI: 10.1016/j.econlet.2012.02.025.
• Tanaka, Shinya & Kurozumi, Eiji, 2012, "Investigating finite sample properties of estimators for approximate factor models when N is small," Economics Letters, Elsevier, volume 116, issue 3, pages 465-468, DOI: 10.1016/j.econlet.2012.04.044.
• Lee, Hyejin & Meng, Ming & Lee, Junsoo, 2012, "Performance of nonlinear instrumental variable unit root tests using recursive detrending methods," Economics Letters, Elsevier, volume 117, issue 1, pages 214-216, DOI: 10.1016/j.econlet.2012.05.006.
• Goddard, John & Onali, Enrico, 2012, "Short and long memory in stock returns data," Economics Letters, Elsevier, volume 117, issue 1, pages 253-255, DOI: 10.1016/j.econlet.2012.05.016.
• Cozzi, Marco, 2012, "Optimal unemployment insurance in GE: A robust calibration approach," Economics Letters, Elsevier, volume 117, issue 1, pages 28-31, DOI: 10.1016/j.econlet.2012.04.066.
• Feng, Qu & Horrace, William C., 2012, "Estimating technical efficiency in micro panels," Economics Letters, Elsevier, volume 117, issue 3, pages 730-733, DOI: 10.1016/j.econlet.2012.08.031.
• Massacci, Daniele, 2012, "A simple test for linearity against exponential smooth transition models with endogenous variables," Economics Letters, Elsevier, volume 117, issue 3, pages 851-856, DOI: 10.1016/j.econlet.2012.09.002.
• Burda, Martin & Harding, Matthew & Hausman, Jerry, 2012, "A Poisson mixture model of discrete choice," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 184-203, DOI: 10.1016/j.jeconom.2011.09.001.
• Hagemann, Andreas, 2012, "A simple test for regression specification with non-nested alternatives," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 247-254, DOI: 10.1016/j.jeconom.2011.09.037.
• Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012, "Robust subsampling," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 197-210, DOI: 10.1016/j.jeconom.2011.11.005.
• Gagliardini, Patrick & Scaillet, Olivier, 2012, "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 61-75, DOI: 10.1016/j.jeconom.2011.08.006.
• Kristensen, Dennis & Shin, Yongseok, 2012, "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 76-94, DOI: 10.1016/j.jeconom.2011.09.042.
• Fan, Yanqin & Park, Sang Soo, 2012, "Confidence intervals for the quantile of treatment effects in randomized experiments," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 330-344, DOI: 10.1016/j.jeconom.2011.09.019.
• Yu, Jun, 2012, "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 473-482, DOI: 10.1016/j.jeconom.2011.09.029.
• Chang, Yoosoon & Nguyen, Chi Mai, 2012, "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 504-520, DOI: 10.1016/j.jeconom.2011.09.032.
• Bierens, Herman J. & Song, Hosin, 2012, "Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method," Journal of Econometrics, Elsevier, volume 168, issue 1, pages 108-119, DOI: 10.1016/j.jeconom.2011.09.012.
• Campo, Sandra, 2012, "Risk aversion and asymmetry in procurement auctions: Identification, estimation and application to construction procurements," Journal of Econometrics, Elsevier, volume 168, issue 1, pages 96-107, DOI: 10.1016/j.jeconom.2011.09.011.
• Chang, Yoosoon, 2012, "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 15-28, DOI: 10.1016/j.jeconom.2012.01.013.
• Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012, "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 75-93, DOI: 10.1016/j.jeconom.2012.01.011.
• Delgado, Miguel A. & Escanciano, Juan Carlos, 2012, "Distribution-free tests of stochastic monotonicity," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 68-75, DOI: 10.1016/j.jeconom.2012.02.005.
• Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012, "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 101-120, DOI: 10.1016/j.jeconom.2012.06.011.
• Salimans, Tim, 2012, "Variable selection and functional form uncertainty in cross-country growth regressions," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 267-280, DOI: 10.1016/j.jeconom.2012.06.007.
• Krüger, Jens J., 2012, "A Monte Carlo study of old and new frontier methods for efficiency measurement," European Journal of Operational Research, Elsevier, volume 222, issue 1, pages 137-148, DOI: 10.1016/j.ejor.2012.04.026.
• Giraleas, Dimitris & Emrouznejad, Ali & Thanassoulis, Emmanuel, 2012, "Productivity change using growth accounting and frontier-based approaches – Evidence from a Monte Carlo analysis," European Journal of Operational Research, Elsevier, volume 222, issue 3, pages 673-683, DOI: 10.1016/j.ejor.2012.05.015.
• Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012, "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 741-761, DOI: 10.1016/j.jempfin.2012.08.003.
• Recktenwald, G.D. & Deinert, M.R., 2012, "Cost probability analysis of reprocessing spent nuclear fuel in the US," Energy Economics, Elsevier, volume 34, issue 6, pages 1873-1881, DOI: 10.1016/j.eneco.2012.07.016.
• Chevallier, Julien & Sévi, Benoît, 2012, "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, volume 34, issue 6, pages 1896-1909, DOI: 10.1016/j.eneco.2012.08.024.
• Vacha, Lukas & Barunik, Jozef & Vosvrda, Miloslav, 2012, "How do skilled traders change the structure of the market," International Review of Financial Analysis, Elsevier, volume 23, issue C, pages 66-71, DOI: 10.1016/j.irfa.2011.06.011.
• Goddard, John & Onali, Enrico, 2012, "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 1-11, DOI: 10.1016/j.irfa.2012.06.004.
• van den End, Jan Willem & Tabbae, Mostafa, 2012, "When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour," Journal of Financial Stability, Elsevier, volume 8, issue 2, pages 107-120, DOI: 10.1016/j.jfs.2011.05.003.
• Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012, "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, volume 8, issue 3, pages 174-192, DOI: 10.1016/j.jfs.2011.10.003.
• Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J., 2012, "Modeling dependence dynamics through copulas with regime switching," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 3, pages 346-356, DOI: 10.1016/j.insmatheco.2012.01.001.
• Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012, "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 278-304, DOI: 10.1016/j.intfin.2011.09.007.
• Beliaeva, Natalia & Nawalkha, Sanjay, 2012, "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 151-163, DOI: 10.1016/j.jbankfin.2011.06.012.
• Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012, "A systematic approach to multi-period stress testing of portfolio credit risk," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 332-340, DOI: 10.1016/j.jbankfin.2011.07.009.
• Fuchs-Schündeln, Nicola & Izem, Rima, 2012, "Explaining the low labor productivity in East Germany – A spatial analysis," Journal of Comparative Economics, Elsevier, volume 40, issue 1, pages 1-21, DOI: 10.1016/j.jce.2011.09.001.
• Bajgrowicz, Pierre & Scaillet, Olivier, 2012, "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 473-491, DOI: 10.1016/j.jfineco.2012.06.001.
• Gaure, Simen & Røed, Knut & Westlie, Lars, 2012, "Job search incentives and job match quality," Labour Economics, Elsevier, volume 19, issue 3, pages 438-450, DOI: 10.1016/j.labeco.2012.04.001.
• Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012, "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 402-412, DOI: 10.1016/j.qref.2012.08.002.
• Azam, Mehtabul, 2012, "Changes in Wage Structure in Urban India, 1983–2004: A Quantile Regression Decomposition," World Development, Elsevier, volume 40, issue 6, pages 1135-1150, DOI: 10.1016/j.worlddev.2012.02.002.
• Joshua C C Chan & Gary Koop & Simon M Potter, 2012, "A New Model of Trend Inflation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-08, Feb.
• Joshua C C Chan & Eric Eisenstat, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-18, May.
• Koen Frenken & Luis R. Izquierdo & Paolo Zeppini, 2012, "Recombinant Innovation and Endogenous Transitions," Working Papers, Eindhoven Center for Innovation Studies, number 12-01, Jan, revised Jan 2012.
• Noriega, Antonio E. & Rodríguez, Cid Alonso, 2012, "Estacionariedad, cambios estructurales y crecimiento económico en México (1895-2008)," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 314, pages 333-378, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Noé Arón Fuentes & Gustavo del Castillo, 2012, "Redevelopment of the Dynamic Multisectoral Model for the Strategic Planning of the Mexican Economy and Simulation of the Trade Facilitation Program," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 5-33, January-J.
• Scott Hacker & Abdulnasser Hatemi‐J, 2012, "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 144-160, May, DOI: 10.1108/01443581211222635.
• Fredy Yair Montes Rivera & Paulino Pérez Rodríguez & Sergio Pérez Elizalde, 2012, "Ajuste del ingreso en México con un enfoque bayesiano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 27, issue 2, pages 273-293.
• di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2012, "The Incentive to Invest in Thermal Plants in the Presence of Wind Generation," Papers, Economic and Social Research Institute (ESRI), number WP446, Dec.
• Jerome Adda & Christian Dustmann & Katrien Stevens, 2012, "The Career Costs of Children," Economics Working Papers, European University Institute, number ECO2012/.
• Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas, 2012, "The Role of Oscillatory Modes in U.S. Business Cycles," Working Papers, Fondazione Eni Enrico Mattei, number 2012.26, May.
• Edward P. Herbst & Frank Schorfheide, 2012, "Sequential Monte Carlo sampling for DSGE models," Working Papers, Federal Reserve Bank of Philadelphia, number 12-27.
• Stephan Klasen & Thomas Otter & Carlos Villalobos Barría, 2012, "The dynamics of inequality change in a highly dualistic economy: Honduras, 1991-2007," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 215, Feb.
• Carlos Villalobos Barría, 2012, "Sectorial shifts and Inequality. How to relate macroeconomic events to inequality changes," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 219, Jun.
• Michele PEZZONI & Francesco LISSONI & Gianluca TARASCONI, 2012, "How To Kill Inventors: Testing The Massacrator© Algorithm For Inventor Disambiguation," Cahiers du GREThA (2007-2019), Groupe de Recherche en Economie Théorique et Appliquée (GREThA), number 2012-29.
• Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012, "Measuring human development: a stochastic dominance approach," Working Papers, University of Guelph, Department of Economics and Finance, number 1209.
• Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012, "Comparaison of Several Estimation Procedures for Long Term Behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00673934, Feb.
• Dominique Guegan & Philippe de Peretti, 2012, "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00721327, Jul.
• A. Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas, 2012, "The Role of Oscillatory Modes in U.S. Business Cycles," Post-Print, HAL, number hal-00802052, DOI: 10.1787/jbcma-2015-5jrs0lv715wl.
• Julien Chevallier & Benoît Sévi, 2012, "On the volatility-volume relationship in energy futures markets using intraday data," Post-Print, HAL, number hal-00988926, DOI: 10.1016/j.eneco.2012.08.024.
• Christian Bontemps & Nour Meddahi, 2012, "Testing distributional assumptions: A GMM aproach," Post-Print, HAL, number hal-02875123, Sep, DOI: 10.1002/jae.1250.
• Jules Sadefo-Kamdem, 2012, "A nice estimation of Gini index and power Pen's parade," Post-Print, HAL, number hal-02901877, Jul, DOI: 10.1016/j.econmod.2012.03.015.
• Emmanuel Duguet & Claire Lelarge, 2012, "Does Patenting Increase the Private Incentives to Innovate? A Microeconometric Analysis," Post-Print, HAL, number hal-04196770, DOI: 10.2307/23646577.
• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," Working Papers, HAL, number halshs-00793206, Jun.
• Gilles de Truchis, 2012, "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers, HAL, number halshs-00793220, Sep.
• Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-500, Jul.
• Maican, Florin G. & Sweeney, Richard J., 2012, "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 536, Aug.
• Zeebari, Zangin & Shukur, Ghazi, 2012, "On the Least Absolute Deviations Method for Ridge Estimation of SURE Models," HUI Working Papers, HUI Research, number 69, Oct.
• Mantalos, Panagiotis, 2012, "Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation," Working Papers, Örebro University, School of Business, number 2012:2, Feb.
• Mantalos, Panagiotis & Karagrigoriou, Alex, 2012, "Testing For Skewness In Ar Conditional Volatility Models For Financial Return Series," Working Papers, Örebro University, School of Business, number 2012:4, Mar.
• Nakajima, Jouchi & Watanabe, Toshiaki, 2012, "Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-," Economic Review, Hitotsubashi University, volume 63, issue 3, pages 193-208, July, DOI: 10.15057/25864.
• Jouchi Nakajima & Toshiaki Watanabe, 2012, "Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-232, Apr.
• Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012, "News Impact Curve for Stochastic Volatility Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-242, Sep.
• Ahmed Bensaida, 2012, "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 51-64, July.
• Jorge Aníbal Restrepo Morales & Santiago Medina Hurtado, 2012, "Estimation Of Operative Risk For Fraud In The Car Insurance Industry," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 3, pages 73-83.
• Márcio Laurini, 2012, "Dynamic Functional Data Analysis with Nonparametric State Space Models," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-01, Mar.
• Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012, "A nonparametric test of the leverage hypothesis," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/12, Sep.
• Polasek, Wolfgang, 2012, "Marketing Response Models for Shrinking Beer Sales in Germany," Economics Series, Institute for Advanced Studies, number 284, Mar.
• Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012, "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series, Institute for Advanced Studies, number 292, Oct.
• Hsinan Hsu & Emily Ho, 2012, "The Optimal Total Costs for Writing a Straddle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 11, issue 1, pages 13-24, June.
• Eugenio Zucchelli & Andrew M Jones & Nigel Rice, 2012, "The evaluation of health policies through dynamic microsimulation methods," International Journal of Microsimulation, International Microsimulation Association, volume 5, issue 1, pages 2-20.
• Andrei Silviu DOSPINESCU, 2012, "The Behavior Of Prices As A Response To Structural Changes - The Role Of The Economic Transmission Mechanisms In Explaining The Observed Behavior," Romanian Journal of Economics, Institute of National Economy, volume 35, issue 2(44), pages 201-217, December.
• Makram El-Shagi & Alexander Jung, 2012, "Does the Greenspan Era Provide Evidence on Leadership in the FOMC?," Working Papers, International Network for Economic Research - INFER, number 2012.6.
• So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012, "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, volume 60, issue 4, pages 739-756, August, DOI: 10.1287/opre.1120.1072.
• Martínez-Sánchez, José Francisco. & Venegas-Martínez, Francisco., 2012, "Una propuesta para medir dinámica y coherentemente el riesgo operacional," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 15, pages 101-116, segundo s.
• Pesaran, M. Hashem & Yamagata, Takashi, 2012, "Testing CAPM with a Large Number of Assets," IZA Discussion Papers, IZA Network @ LISER, number 6469, Apr.
• Gong, Xiaodong & Breunig, Robert, 2012, "Child Care Assistance: Are Subsidies or Tax Credits Better?," IZA Discussion Papers, IZA Network @ LISER, number 6606, May.
• José M. Albert & Nikolaos Georgantzis & Jorge Mateu & José I. Silva, 2012, "The agglomeration effect of the Athens 2004 Olympic Games," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2012/02.
• Chin-Ping King, 2012, "Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 8, issue 1, pages 1-23, January.
• William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012, "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201219, Sep, revised Sep 2012.
• A. Tonini, 2012, "A Bayesian stochastic frontier: an application to agricultural productivity growth in European countries," Economic Change and Restructuring, Springer, volume 45, issue 4, pages 247-269, November, DOI: 10.1007/s10644-011-9117-9.
• Thorsten Poddig & Albina Unger, 2012, "On the robustness of risk-based asset allocations," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 3, pages 369-401, September, DOI: 10.1007/s11408-012-0190-5.

2011

• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2011, "A Simple Test for Spurious Regressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-15, May.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-23, May.
• Rasmus Tangsgaard Varneskov & Pierre Perron, 2011, "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-26, Jun.
• Yushu Li, 2011, "Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-29, Jul.
• Rasmus Tangsgaard Varneskov, 2011, "Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-31, Sep.
• Rasmus Tangsgaard Varneskov, 2011, "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-35, Sep.
• Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011, "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-41, Nov.
• Emilian Dobrescu, 2011, "Some Issues Involved by the Policies Concerning Exchange Rate and Inflation. Quantitative Approach," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 13, issue 29, pages 250-257, February.
• Araujo-Enciso, Sergio Rene, 2011, "The Takayama and Judge Price and Allocation Models and its application in non-linear Price Transmission Analysis Approaches," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania, Agricultural and Applied Economics Association, number 103432, DOI: 10.22004/ag.econ.103432.
• Tonini, Axel & Matus, Silvia Saravia & Gomez y Paloma, Sergio, 2011, "A Bayesian Total Factor Productivity Analysis of Tropical Agricultural Systems in Central-Western Africa And South-East Asia," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists, number 116088, DOI: 10.22004/ag.econ.116088.
• Gutierrez, Luciano, 2011, "Looking for Rational Bubbles in Agricultural Commodity Markets," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists, number 120377, DOI: 10.22004/ag.econ.120377.
• Cheptea, Angela & Gohin, Alexandre & Huchet Bourdon, Marilyne, 2011, "Applying the gravity approach to sector trade: Who bears the trade costs?," Working Papers, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), number 208113, DOI: 10.22004/ag.econ.208113.
• Davidson, Russell & MacKinnon, James G., 2011, "Confidence Sets Based on Inverting Anderson-Rubin Tests," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273756, Nov, DOI: 10.22004/ag.econ.273756.
• MacKinnon, James G., 2011, "Thirty Years of Heteroskedasticity-Robust Inference," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273816, May, DOI: 10.22004/ag.econ.273816.
• Cozzi, Marco, 2011, "Optimal Unemployment Insurance in GE: a RobustCalibration Approach," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273970, Aug, DOI: 10.22004/ag.econ.273970.
• Ioan Trenca & Simona Mutu & Nicolae Petria, 2011, "Econometric Models Used For Managing The Market Risk In The Romanian Banking System," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 2011, pages 115-123, july.
• Elie BOURI, 2011, "An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 259-271, December.
• Kneip, Alois & Simar, Leopold & Wilson, Paul W., 2011, "Computational Efficient, Consistent Bootstrap for Inference with Non-parametric DEA Estimators," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011030, Jan.
• Juan Ignacio Zoloa, 2011, "Los Cambios en la Distribución del Ingreso de Argentina entre 1998 Y 2005: Un Análisis de Microdescomposiciones Utilizando Información de Paneles," IIE, Working Papers, IIE, Universidad Nacional de La Plata, number 086, Jun.
• Riccardo LUCCHETTI & Claudia PIGINI, 2011, "Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 357, Jun.
• Klaus Moeltner & Roger von Haefen, 2011, "Microeconometric Strategies for Dealing with Unobservables and Endogenous Variables in Recreation Demand Models," Annual Review of Resource Economics, Annual Reviews, volume 3, issue 1, pages 375-396, October.
• Michael Creel & Dennis Kristensen, 2011, "Indirect likelihood inference," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 874.11, May.
• Xiaodong Gong & Robert Breuing, 2011, "Estimating Net Child Care Price Elasticities of Partnered Women With Pre-School Children Using a Discrete Structural Labour Supply-Child Care Model," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 653, Nov.
• Céline Gauthier & Toni Gravelle & Xuezhi Liu & Moez Souissi, 2011, "What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?," Discussion Papers, Bank of Canada, number 11-9, DOI: 10.34989/sdp-2011-9.
• Ricardo Schechtman & Wagner Piazza Gaglianone, 2011, "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series, Central Bank of Brazil, Research Department, number 241, May.
• Paolo Guarda & Abdelaziz Rouabah & John Theal, 2011, "An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests," BCL working papers, Central Bank of Luxembourg, number 63, Oct.
• Francisco Sáez & Fernando Alvarez & Jesús Morales & Giovanni Guedez, 2011, "Expectations, Inter-Sectorial Relationships and the Business Cycle," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 63, pages 97-147, July - Se.
• Daniele Coin, 2011, "A method to estimate power parameter in Exponential Power Distribution via polynomial regression," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 834, Nov.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2011, "A Simple Test for Spurious Regressions," Working Papers, Banco de México, number 2011-05, Aug.
• Martínez-Ovando Juan Carlos & Walker Stephen G., 2011, "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers, Banco de México, number 2011-08, Sep.
• Noriega Antonio E. & Rodríguez-Pérez Cid Alonso, 2011, "Stationarity, structural breaks, and economic growth in Mexico: 1895-2008," Working Papers, Banco de México, number 2011-11, Oct.
• Loddo, Antonello & Ni, Shawn & Sun, Dongchu, 2011, "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 342-355.
• Sheheryar Malik & Pitt, M. K., 2011, "Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering," Working papers, Banque de France, number 318.
• Ramdane Djoudad, 2011, "A framework to assess vulnerabilities arising from household indebtedness using microdata," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010".
• Ronen Bar-El & Teresa García-Muñoz & Shoshana Neuman & Yossef Tobol, 2010, "The Evolution of Secularization: Cultural Transmission, Religion and Fertility Theory, Simulations and Evidence," Working Papers, Bar-Ilan University, Department of Economics, number 2010-10, Jun.
• Silvestro Di Sanzo, 2011, "Output Fluctuations Persistence: Do Cyclical Shocks Matter?," Bulletin of Economic Research, Wiley Blackwell, volume 63, issue 1, pages 28-52, January.
• Zhiping Lu & Dominique Guegan, 2011, "Testing unit roots and long range dependence of foreign exchange," Journal of Time Series Analysis, Wiley Blackwell, volume 32, issue 6, pages 631-638, November, DOI: j.1467-9892.2011.00720.x.
• Paulo M. M. Rodrigues & Antonio Rubia, 2011, "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 73, issue 4, pages 449-468, August.
• Kristian Jönsson, 2011, "Testing Stationarity in Small‐ and Medium‐Sized Samples when Disturbances are Serially Correlated," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 73, issue 5, pages 669-690, October, DOI: j.1468-0084.2010.00620.x.
• George Bagdatoglou & Alexandros Kontonikas, 2011, "A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks," Review of International Economics, Wiley Blackwell, volume 19, issue 4, pages 718-727, September, DOI: j.1467-9396.2011.00977.x.
• Stéphane Mussard & J. Sadefo Kamdem & Françoise Seyte & Michel Terraza, 2011, "Quadratic Pen'S Parade And The Computation Of The Gini Index," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 57, issue 3, pages 583-587, September.
• Pierre Perron & Rasmus T. Varneskov, 2011, "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-050, Jan.
• Koop, G. & Pesaran, M.H. & Smith, R., 2011, "On Identification of Bayesian DSGE Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1131, Mar.
• Cronin, David & Dowd, Kevin, 2011, "Fiscal fan charts - A tool for assessing member states’ (likely?) compliance with EU fiscal rules," Research Technical Papers, Central Bank of Ireland, number 15/RT/11, Dec.
• Conniffe, Denis & Kelly, Robert, 2011, "Structural Breaks - An Instrumental Variable Approach," Research Technical Papers, Central Bank of Ireland, number 4/RT/11, Mar.
• Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011, "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/03, Jan.
• Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2011, "On Identification of Bayesian DSGE Models," CESifo Working Paper Series, CESifo, number 3423.
• Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011, "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series, CESifo, number 3645.
• Elise Coudin & Jean-Marie Dufour, 2011, "Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors," CIRANO Working Papers, CIRANO, number 2011s-24, Feb.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011, "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers, CIRANO, number 2011s-27, Feb.
• Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011, "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers, CIRANO, number 2011s-72, Nov.
• Wen-Hao Chen & Jean-Yves Duclos, 2011, "Testing for poverty dominance: an application to Canada," Canadian Journal of Economics, Canadian Economics Association, volume 44, issue 3, pages 781-803, August, DOI: 10.1111/j.1540-5982.2011.01654.x.
• Javier Contreras-Reyes & Byron Idrovo, 2011, "En busca de un modelo Benchmark univariado para predecir la tasa de desempleo," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Jorge Mario Uribe Gil & Inés María Ulloa Villegas, 2011, "Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Mónica Marcela Jaime Torres & Alejandro M. Tudela Román, 2011, "Valuing a water recreation facility using semi parametric estimators in the travel cost method," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Mónica Marcela Jaime Torres & Alejandro M. Tudela Román, 2011, "Valuing a water recreation facility using semi parametric estimators in the travel cost method," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Eliana Gonz�lez, 2011, "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia, Banco de la Republica, number 7996, Feb.
• Carlos Le�n Rinc�n & Alejandro Reveiz, 2011, "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia, Banco de la Republica, number 8277, Apr.
• Andr�s Felipe Garc�a-Suaza & Jose Eduardo G�mez-Gonz�lez & Andr�s Murcia pab�n & Feenando tenjo Galarza, 2011, "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia, Banco de la Republica, number 8305, Apr.
• H�ctor Z�rate & Katherine S�nchez & Margarita Mar�n, 2011, "Cuantificaci�n de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicaci�n a la Encuesta Mensual de Expectativas Econ�micas," Borradores de Economia, Banco de la Republica, number 8327, Apr.
• Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & Jos� David Pulido, 2011, "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia, Banco de la Republica, number 8328, Apr.
• Rafael Puyana & Mario Andr�s Ramos & H�ctor Z�rate, 2011, "Determinantes del subempleo en Colombia: Un enfoque a trav�s de la compensaci�n salarial," Borradores de Economia, Banco de la Republica, number 8337, Apr.
• Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011, "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia, Banco de la Republica, number 8576, May.
• Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011, "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia, Banco de la Republica, number 8577, May.
• Javier G�mez Restrepo & Juan Manuel Hern�ndez Herrera, 2011, "Composici�n cambiaria y poder adquisitivo de las reservas internacionales," Borradores de Economia, Banco de la Republica, number 8578, May.
• Andr�s Gonz�lez & Lavan Mahadeva & Juan D. Prada & Diego Rodr�guez, 2011, "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia, Banco de la Republica, number 8698, May.
• Elkin Castano Vélez, 2011, "Una estimación no paramétrica y robusta de la transformación Box-Cox para el modelo de regresión," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Juan Camilo Galvis Ciro & Juan Guillermo Bedoya Ospina & Rubén Albeiro Loaiza Maya, 2011, "Una regla de política fiscal óptima para la economía colombiana: aproximación desde un modelo de equilibrio general dinámico y estocástico," Revista Lecturas de Economía, Universidad de Antioquia, CIE.