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

Top JEL

/ C: Mathematical and Quantitative Methods

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

/ / /

**C15: Statistical Simulation Methods: General**

**This JEL code is mentioned in the follow RePEc Biblio entries:**

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

Most recent items first, undated at the end.

**Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities**

*by*M. Hashem Pesaran & Takashi Yamagata

**Joining the Incompatible: Exploiting Floristic Lists for the Sample-based Estimation of Species Richness**

*by*Alessandro Chiarucci & Rosa Maria Di Biase & Lorenzo Fattorini & Marzia Marcheselli & Caterina Pisani

**Simulation Optimization through Regression or Kriging Metamodels**

*by*Kleijnen, J.P.C.

**Design and Analysis of simulation experiments : Tutorial**

*by*Kleijnen, J.P.C.

**Testing the Assumptions of Sequential Bifurcation for Factor Screening (revision of CentER DP 2015-034)**

*by*Shi, Wen & Kleijnen, J.P.C.

**Sequential Probability Ration Tests : Conservative and Robust**

*by*Kleijnen, J.P.C. & Shi, Wen

**Agent-Based Model Calibration using Machine Learning Surrogates**

*by*Francesco Lamperti & Andrea Roventini & Amir Sani

**Validity of Wild Bootstrap Inference with Clustered Errors**

*by*Antoine Djogbenou & James G. MacKinnon & Morten Ã˜rregaard Nielsen

**The Subcluster Wild Bootstrap for Few (Treated) Clusters**

*by*James G. MacKinnon & Matthew D. Webb

**Modelling a Dutch Pension Fund’s Capital Requirement for Longevity Risk**

*by*Polman, Fabian M. & Krijgsman, Cees & Dajani, Karma & Hemminga, Marcus A.

**New Bid-Ask Spread Estimators from Daily High and Low Prices**

*by*Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel

**Estudio empírico sobre el tipo de cambio MXN/USD: Movimiento Browniano Geométrico vs. Proceso Varianza-Gamma**

*by*Mosiño, Alejandro & Salomón-Núñez, Laura A. & Moreno-Okuno, Alejandro T.

**An Entropy-Constrained Model of Induced Technical Change with a Single Innovation Possibility Frontier**

*by*Jangho Yang

**Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting**

*by*Siem Koopman & André Lucas & Marcin Zamojski

**Bayesian Inference for a 1-Factor Copula Model**

*by*Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos

**Bayesian estimation based on summary statistics: Double asymptotics and practice**

*by*Tingting Cheng & Jiti Gao & Peter CB Phillips

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

*by*Dominique Guegan & Bertrand Hassani & Kehan Li

**The contribution of jumps to forecasting the density of returns**

*by*Christophe Chorro & Florian Ielpo & Benoît Sévi

**Divide, Allocate et Impera: Comparing Allocation Strategies via Simulation**

*by*Paola CHIODINI & Giancarlo MANZI & Bianca Maria MARTELLI & Flavio VERRECCHIA

**Identification-robust moment-based tests for Markov-switching in autoregressive models**

*by*Jean-Marie Dufour & Richard Luger

**The Global Role of the U.S. Economy: Linkages, Policies and Spillovers**

*by*M. Ayhan Kose & Csilla Lakatos & Franziska Ohnsorge & Marc Stocker

**Quasi-Bayesian Inference for Latent Variable Models with External Information: Application to generalized linear mixed models for biased data**

*by*Takahiro Hoshino & Ryosuke Igari

**Which estimator to measure local governments’ cost efficiency? An application to Spanish municipalities**

*by*Isabel Narbón-Perpiñá & Mª Teresa Balaguer-Coll & Marko Petrovic & Emili Tortosa-Ausina

**The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data**

*by*Benedetta Frassi & Fabio Pammolli & Luca Regis

**Mother’s Time Allocation, Child Care and Child Cognitive Development**

*by*Brilli, Ylenia

**Changes in Persistence in Outlier Contaminated Time Series**

*by*Hirsch, Tristan & Rinke, Saskia

**Measuring Transaction Costs in the Absence of Timestamps**

*by*Filip Zikes

**A Likelihood-Based Comparison of Macro Asset Pricing Models**

*by*Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler

**The global role of the US economy: Linkages, policies and spillovers**

*by*M. Ayhan Kose & Csilla Lakatos & Franziska Ohnsorge & Marc Stocker

**Pitfall in labour market flows modeling: a Reappraisal**

*by*Maurizio Baussola & Camilla Ferretti & Chiara Mussida

**The Global Role of the U.S. Economy: Linkages, Policies and Spillovers**

*by*Kose, Ayhan & Lakatos, Csilla & Ohnsorge, Franziska & Stocker, Marc

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

*by*Elise Coudin & Jean-Marie Dufour

**Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities**

*by*M. Hashem Pesaran & Takashi Yamagata

**A goodness-of-fit test for Generalized Error Distribution**

*by*Daniele Coin

**Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**Assessing the economic effects of server launches in free-to-play MMO games**

*by*Sebastian Voigt & Oliver Hinz

**A generalization to QUAIDS**

*by*Arman Bidarbakht Nia

**Financial Instability and Inequality Dynamics in the WAEMU**

*by*Thierno Thioune

**The Future of Facilities Management in Lithuania**

*by*Willem Karel M. BRAUERS & Edmundas Kazimieras ZAVADSKAS & Natalija LEPKOVA

**Proyección de mortalidad en España mediante mixturas de modelos y análisis del impacto económico del riesgo de longevidad /Mortality Projection in Spain through Mixtures of Models and Analysis of the Economic Impact of Longevity Risk**

*by*BENCHIMOL, ANDRÉS

**Who benefits from job placement services? A two-sided analysis**

*by*German Blanco

**Sectoral scope and colocalisation of Spanish manufacturing industries**

*by*Marta R. Casanova & Vicente Orts & José M. Albert

**A divide-and-conquer method for space–time series prediction**

*by*Min Deng & Wentao Yang & Qiliang Liu & Yunfei Zhang

**Robust Monte Carlo Method for R&D Real Options Valuation**

*by*Marta Biancardi & Giovanni Villani

**A Toolkit for Value Function Iteration**

*by*Robert Kirkby

**Inequality and Household Size: A Microsimulation for Uruguay**

*by*Veronica Amarante

**Microreg: A Traditional Tax-Benefit Microsimulation Model Extended To Indirect Taxes And In Kind Transfers**

*by*M Luisa Maitino & Letizia Ravagli & Nicola Sciclone

**Regressivity-Reducing VAT Reforms**

*by*Francesca Gastaldi & Paolo Liberati & Elena Pisano & Simone Tedeschi

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

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

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

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

**Energy consumption and economic growth: An empirical study of the electricity consumption in Saudi Arabia**

*by*Mezghani, Imed & Ben Haddad, Hedi

**Common and country specific economic uncertainty**

*by*Mumtaz, Haroon & Theodoridis, Konstantinos

**Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data**

*by*Degiannakis, Stavros & Potamia, Artemis

**FX technical trading rules can be profitable sometimes!**

*by*Zarrabi, Nima & Snaith, Stuart & Coakley, Jerry

**Effects of common factors on stock correlation networks and portfolio diversification**

*by*Eom, Cheoljun & Park, Jong Won

**Meta-analytic cointegrating rank tests for dependent panels**

*by*Karaman Örsal, Deniz Dilan & Arsova, Antonia

**The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation**

*by*Kiviet, Jan F. & Pleus, Milan

**Testing for prospect and Markowitz stochastic dominance efficiency**

*by*Arvanitis, Stelios & Topaloglou, Nikolas

**Higher-order properties of approximate estimators**

*by*Kristensen, Dennis & Salanié, Bernard

**A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation**

*by*Hounyo, Ulrich & Varneskov, Rasmus T.

**Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading**

*by*Hounyo, Ulrich

**Tests for conditional ellipticity in multivariate GARCH models**

*by*Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G.

**Inference based on many conditional moment inequalities**

*by*Andrews, Donald W.K. & Shi, Xiaoxia

**The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation**

*by*Dimitrakopoulos, Stefanos

**Is MORE LESS? The role of data augmentation in testing for structural breaks**

*by*Rao, Yao & McCabe, Brendan

**Discrete-response state space models with conditional heteroscedasticity: An application to forecasting the federal funds rate target**

*by*Dimitrakopoulos, Stefanos & Dey, Dipak K.

**Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility**

*by*Dimitrakopoulos, Stefanos

**Bayesian estimation of agent-based models**

*by*Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike

**On the estimation of regime-switching Lévy models**

*by*Chevallier Julien & Goutte Stéphane

**Simulation Decomposition: New Approach For Better Simulation Analysis Of Multi-Variable Investment Projects**

*by*M. Kozlova & M. Collan & P. Luukka

**Differences in welfare take-up between immigrants and natives**

*by*Bruckmeier, Kerstin & Wiemers, Jürgen

**A panel cointegration rank test with structural breaks and cross-sectional dependence**

*by*Karaman Örsal, Deniz Dilan & Arsova, Antonia

**Confidence Intervals for Projections of Partially Identified Parameters**

*by*Stoye, Joerg & Kaido, Hiroaki & Molinari, Francesca

**On the applicability of maximum likelihood methods: From experimental to financial data**

*by*Jakusch, Sven Thorsten

**中国地方政府性债务风险与国债定价--基于城投债利差与国债收益率的分析**

*by*牛霖琳 & 洪智武 & 陈国进

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

*by*Yingxia Pu & Ying Ge

**Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Are there Bubbles in Exchange Rates? Some New Evidence from G10 and Emerging Markets Countries**

*by*Yang Hu & Les Oxley

**Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence**

*by*Furkan Emirmahmutoglu & Rangan Gupta & Stephen M. Miller & Tolga Omay

**The time-series linkages between US fiscal policy and asset prices**

*by*Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller

**A Hausman Specification Test of Conditional Moment Restrictions**

*by*Lavergne, Pascal & Nguimkeu, Pierre

**Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies**

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

**Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Estimating a Falsified Model**

*by*Andrew J. Buck & George M. Lady

**Testing for Symmetry in Weakly Dependent Time Series**

*by*Luke Hartigan

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

*by*Luke Hartigan

**How Strategic Networking Impacts the Networking Outcome: A Complex Adaptive System Approach**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**How Network Visibility and Strategic Networking Leads to the Emergence of Certain Network Characteristics: A Complex Adaptive System Approach**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**Using Generalized PathSeeker Regularized Regression for Modeling and Prediction of Output Power of CuBr Laser**

*by*Snezhana Gocheva-Ilieva & Iliycho Iliev

**Testing for Purchasing Power Parity for Selected CIS Countries Using the Sieve Bootstrap**

*by*Mehmet Fatih Tra? & Esra Ball? & Çiler Sigeze

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

*by*Ignace De Vos & Gerdie Everaert

**Estimation Of Star-Garch Models With Iteratively Weighted Least Squares**

*by*Murat Midilic

**Multivariate Method Of Simulated Quantiles**

*by*Paola Stolfi & Mauro Bernardi & Lea Petrella

**Testarea proprietatilor predictive ale modelelor macroeconomice prin utilizarea simulărilor stohastice. Influenta numarului de observatii asupra restrangerii intervalului de prognoza**

*by*Bianca Pauna

**The Real GDP Rate in European Union. A Panel Data Approach**

*by*Mihaela Simionescu

**Shifting the tax burden from labor to property: The case of Germany**

*by*Paetzold, Jörg & Tiefenbacher, Markus

**Policy Evaluation In Presence Of Interferences: A Spatial Multilevel Did Approach**

*by*Daniele Di Gennaro & Guido Pellegrini

**From the “Great Inflation” to the “Great Moderation” in Peru: A Time Varying Structural Vector Autoregressions Analysis**

*by*Castillo, Paul & Montoya, Jimena & Quineche, Ricardo

**Projection de la population des exploitations agricoles françaises à l’horizon 2025**

*by*Laurent, Piet & Legrand D.F. Saint-Cyr

**Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship**

*by*Shuping Shi & Stan Hurn & Peter C B Phillips

**Volatility Co-movement and the Great Moderation. An Empirical Analysis**

*by*Haroon Mumtaz & Konstantinos Theodoridis

**The State Level Impact of Uncertainty Shocks**

*by*Haroon Mumtaz & Laura Sunder-Plassmann & Angeliki Theophilopoulou

**Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking**

*by*Manh D. Pham & Valentin Zelenyuk

**Inference with Large Clustered Datasets**

*by*James G. MacKinnon

**A PANIC Attack on Inflation and Unemployment in Africa: Analysis of Persistence and Convergence**

*by*DO ANGO, Simplicio & AMBA OYON, Claude Marius

**A General framework for modelling mortality to better estimate its relationship with interest rate risks**

*by*Apicella, Giovanna & Dacorogna, Michel M

**Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data**

*by*Degiannakis, Stavros & Potamia, Artemis

**Fuzzy models in regional statistics**

*by*Sunanta, Owat & Viertl, Reinhard

**Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets**

*by*Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung

**Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets**

*by*Clark, Ephraim & Qiao, Zhuo & Wong, Wing-Keung

**Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities**

*by*Gencer, Murat & Unal, Gazanfer

**How compliant is the Romanian accounting with the Europan directives and international accounting standards?**

*by*Iacob, Constanta & Bosoteanu, Maria Cristina

**Simultaneity of Crime Incidence in Mindanao**

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

**The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?**

*by*Fantazzini, Dean

**Gestion des données manquantes dans les bases de données : la méthode d’imputation multiple sous XLSTAT**

*by*NJAMEN KENGDO, Arsène Aurélien

**The Path-Dependence Bias in Approximating Local Price Levels by CPIs**

*by*Gluschenko, Konstantin

**Considering the use of random fields in the Modifiable Areal Unit Problem**

*by*Michal Bernard Pietrzak & Bartosz Ziemkiewicz

**Prospects for Africa's economic growth**

*by*Przemyslaw Cieslak

**Projections and Uncertainties About Climate Change in an Era of Minimal Climate Policies**

*by*William D. Nordhaus

**Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models**

*by*Jean-Marie DUFOUR & Richard LUGER

**Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory**

*by*Firmin DOKO TCHATOKA & Jean-Marie DUFOUR

**A Frequency Approach to Bayesian Asymptotics**

*by*Tingting Cheng & Jiti Gao & Peter CB Phillips

**Asymptotic Properties of Approximate Bayesian Computation**

*by*D.T. Frazier & G.M. Martin & C.P. Robert & J. Rousseau

**Bayesian Indirect Inference and the ABC of GMM**

*by*Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen

**A note on normalization schemes:The case of generalized forecast error variance decompositions**

*by*Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli

**Intraday volatility, trading volume and trading intensity in the interbank market e-MID**

*by*Markus Engler & Vahidin Jeleskovic

**The Fragility of Meta-Regression Models in Observational Research**

*by*Stephan B. Bruns

**Sparse Change-point HAR Models for Realized Variance**

*by*Arnaud Dufays & Jeroen V.K. Rombouts

**An intersection test for the cointegrating rank in dependent panel data**

*by*Antonia Arsova & Deniz Dilan Karaman Örsal

**Correcting for Misreporting of Government Benefits**

*by*Mittag, Nikolas

**Differences in welfare take-up between immigrants and natives : a microsimulation study**

*by*Bruckmeier, Kerstin & Wiemers, Jürgen

**On Specification and Inference in the Econometrics of Public Procurement**

*by*Sundström, David

**A Comparison of Techniques to Evaluate Policies in Public Procurement**

*by*Sundström, David

**Relations between immigration and adult skills: findings based on PIAAC**

*by*Lind, Patrik & Mellander, Erik

**The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity**

*by*Rinke, Saskia

**A wild bootstrap algorithm for propensity score matching estimators**

*by*Huber, Martin & Camponovo, Lorenzo & Bodory, Hugo & Lechner, Michael

**Tempered Particle Filtering**

*by*Herbst, Edward & Schorfheide, Frank

**Proxy SVARs: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States**

*by*Lunsford, Kurt Graden & Jentsch, Carsen

**How useful are (Censored) Quantile Regressions for Contingent Valuation?**

*by*Victor Champonnois & Olivier Chanel

**Determining causal inference in linear and non-linear time-series using convergent cross mapping. An application of government expenditure and economic growth relation in Mexico 1980-2015**

*by*Rubi Tonantzin Gutiérrez Villanueva

**Thirty Years of Conflict and Economic Growth in Turkey: A Synthetic Control Approach**

*by*Fırat Bilgel & Burhan Can Karahasan

**International spill-overs of uncertainty shocks: Evidence from a FAVAR**

*by*Gunes Kamber & Ozer Karagedikli & Michael Ryan & Tugrul Vehbi

**Why risk is so hard to measure**

*by*Jon Danielsson & Chen Zhou

**Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship**

*by*Shu-Ping Shi & Stan Hurn & Peter C. B. Phillips

**"Change Detection and the Causal Impact of the Yield Curve**

*by*Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi

**Job Flexibility and Occupational Selection: An Application of Maximum Simulated Likelihood Using Data from Ghana**

*by*Jonathan Lain

**The Career Costs of Children**

*by*Adda, Jerome & Dustmann, Christian & Stevens, Katrien

**Una nota sobre la construcción de intervalos de confianza para autocorrelaciones de k-ésimo orden**

*by*Daniel Ordoñez-Callamand

**Identification-robust moment-based tests for Markov-switching in autoregressive models**

*by*Jean-Marie Dufour & Richard Luger

**Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**A Pseudo-Panel Approach to Estimating Dynamic Effects of Road Infrastructure Provision on Firm Performance in a Developing Country Context**

*by*Samira Barzin & Sabine D'Costa & Daniel Graham

**Meta-Analysis and Publication Bias: How Well Does the FAT-PET-PEESE Procedure Work?**

*by*Nazila Alinaghi & W. Robert Reed

**The Subcluster Wild Bootstrap for Few (Treated) Clusters**

*by*James G. MacKinnon & Matthew D. Webb

**Testing Subspace Granger Causality**

*by*Majid M. Al-Sadoon

**The Rewards of Self-Discovery: Learning and Firm Exporter Dynamics**

*by*Cebreros Zurita Carlos Alfonso

**Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models**

*by*Luis Uzeda

**Estimating Alternative Technology Sets in Nonparametric Efficiency Analysis: Restriction Tests for Panel and Clustered Data**

*by*Neumann, Anne & Nieswand, Maria & Schubert, Torben

**The Use of Indicator Kriging for Analyzing Prices in the Real Estate Market**

*by*Kobylińska Katarzyna & Cellmer Radosław

**Connection Between Similarity and Estimation Results of Property Values Obtained by Statistical Methods**

*by*Zyga Jacek

**A commonsense assessment of Arrow’s theorem**

*by*Ortona Guido

**Lohnimpulse und Wirtschaftswachstum — eine Simulationsanalyse für die Eurozone**

*by*Jan Limbers & Thieß Petersen & Michael Böhmer

**Estimating Capabilities with Structural Equation Models: How Well are We Doing in a ‘Real’ World?**

*by*Jaya Krishnakumar & Florian Chávez-Juárez

**On the lumpability of regional income convergence**

*by*Levi John Wolf & Sergio Rey

**The Dynamics Between Inflation and Inflation Uncertainty: Evidence from India**

*by*B. Balaji & S. Raja Sethu Durai & M. Ramachandran

**Using simulation experiments to test historical explanations: the development of the German dye industry 1857-1913**

*by*Thomas Brenner & Johann Peter Murmann

**Who benefits from the preferential treatment of business property under the German inheritance tax?**

*by*Benedikt Franke & Dirk Simons & Dennis Voeller

**Correlation structure and principal components in the global crude oil market**

*by*Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou

**Estimating the evolution of elasticities of natural gas demand: the case of Istanbul, Turkey**

*by*Galip Altinay & A. Talha Yalta

**A Monte Carlo study of the BE estimator for growth regressions**

*by*Jan Ditzen & Erich Gundlach

**Robust estimation of the Pareto tail index: a Monte Carlo analysis**

*by*Michal Brzezinski

**Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures**

*by*Xiaodong Du & Fengxia Dong

**PBoostGA: pseudo-boosting genetic algorithm for variable ranking and selection**

*by*Chun-Xia Zhang & Jiang-She Zhang & Sang-Woon Kim

**The Application of the Monte Carlo Method in the Management of Value at Risk of an Investment Portfolio (Zastosowanie metody Monte Carlo w zarzadzaniu Value at Risk portfela inwestycyjnego)**

*by*Tomasz Krawczyk

**Using Nonperforming Loan Ratios to Compute Loan Default Rates With Evidence From European Banking Sectors**

*by*Dobromił Serwa

**Valor en riesgo anual de los mercados accionarios de México y Estados Unidos: VaR tradicional vs VaR cópulas elípticas**

*by*Bucio, Christian & De Jesús, Raul & Cabello, Alejandra

**Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices**

*by*Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³

**Model Estimates Of Gross Domestic Product In Relation to Export And Import Of Fuels, Focused on the Elasticity and Determination Of Directly and Indirectly Associated Rates**

*by*Gheorghe Savoiu & Emilia Gogu & Alexandru Ionescu

**Statistical Analysis of KEMIRA Type Weights Balancing Methods**

*by*Aleksandras KRYLOVAS & Natalja KOSAREVA & Edmundas Kazimieras ZAVADSKAS

**Identifying Key Sectors in Iranian Economy using Eigenvector Method Based on Input-Output Table for year 2011**

*by*Hakimipoor, Nader & Akbarian, Hojjat

**Joint distribution of stock indices: Methodological aspects of construction and selection of copula models**

*by*Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady

**Active Portfolio Management with Conditional Tracking Error**

*by*Winfried G. Hallerback & Igor Pouchkarev

**Assessment of Price Risk on Agricultural Inventory Credit under Sparse Data Conditions**

*by*David Magaña Lemus

**Why Are Savings Accounts Perceived as Risky Bank Products?**

*by*Hana Džmuráňová & Petr Teplý

**Economía artificial: una valoración crítica || Artificial Economics: A Critical Review**

*by*Izquierdo, Segismundo S. & Izquierdo, Luis R. & Galán, José M. & Santos, José I.

**Migration Impact On Economical Situation**

*by*Virginia COJOCARU & Alexandru GRIBINCEA

**Pricing of average value options versus European options with stochastic interest rate**

*by*Ambrosio Ortiz Ramírez & María Teresa Martínez Palacios

**The International Practice of Statistical Property Valuation Methods and the Possibilities of Introducing Automated Valuation Models in Hungary**

*by*Áron Horváth & Blanka Imre & Zoltán Sápi

**The Capability Index when Some Assumptions are not Satisfied: Analysis and Empirical Comparisons/El índice de capacidad cuando no se cumplen algunas hipótesis de partida: Análisis y comparaciones empíricas**

*by*MOYA FERNÁNDEZ, PABLO JOSÉ & MUÑOZ ROSAS, JUAN FRANCISCO & ÁLVAREZ VERDEJO, ENCARNACIÓN

**The Path-Dependence Bias in Approximating Local Price Levels by CPIs**

*by*Konstantin GLUSCHENKO

**A new spread estimator**

*by*Michael Bleaney & Zhiyong Li

**The Coordinated Effect of a Merger with Balanced Sharing of Collusive Profits**

*by*Pierluigi Sabbatini

**A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies**

*by*Heni Boubaker

**Calculating Value-at-Risk Using the Granularity Adjustment Method in the Portfolio Credit Risk Model with Random Loss Given Default**

*by*Yi-Ping Chang & Jing-Xiu Lin & Chih-Tun Yu

**Can Remittances Spur Economic Growth? Evidence from Selected Asian and South American Countries**

*by*Waseem Khadim & Bilal Mehmood

**Testing the Marshall-Lerner Condition and the J-Curve Phenomenon for Pakistan: Some New Insights**

*by*Nazeef Ishtiaq & Hafiz Muhammad Qasim & Adeel Ahmad Dar

**Constructing a Synthetic City for Estimating Spatially Disaggregated Heat Demand**

*by*M. Esteban Muñoz H. & Ivan Dochev & Hannes Seller & Irene Peters

**Evaluating The Quality Of Gross Incomes In SILC: Compare Them With Fiscal Data And Re-calibrate Them Using EUROMOD**

*by*Dieter Vandelannoote & André Decoster & Toon Vanheukelom & Gerlinde Verbist

**The Eurosystem Household Finance and Consumption Survey: A New Underlying Database for EUROMOD**

*by*Sarah Kuypers & Francesco Figari & Gerlinde Verbist

**Building a Microsimulation Model of Heroin Use Careers in Australia**

*by*Alison Ritter & Nagesh Shukla & Marian Shanahan & Phuong Van Hoang & Vu Lam Cao & Pascal Perez & Michael Farrell

**NCDMod: A Microsimulation Model Projecting Chronic Disease and Risk Factors for Australian Adults**

*by*Sharyn Lymer & Deborah Schofield & Crystal M Y Lee & Stephen Colagiuri

**A Microsimulation Model for Risk in Irish Tillage Farming**

*by*Jason Loughrey & Fiona Thorne & Thia Hennessy

**Intertemporal Income in Ireland 1996-2011 – A Spatial Analysis**

*by*Paul Kilgarriff & Cathal O’Donoghue & Martin Charlton & Ronan Foley

**Assessing the Impacts of a Major Tax Reform: a CGE-microsimulation analysis for Uruguay**

*by*Cecilia Llambi & Silvia Laens & Marcelo Perera

**Freshwater White Shrimp Supply Chain Performance Assessment, Evaluacion Del Desempeno De La Cadena De Suministro Del Camaron Blanco De Agua**

*by*Ernesto A. Lagarda-Leyva

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**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

**Inference for Optimal Split Point in Conditional Quantiles**

*by*fany88@uw.edu & Ruixuan Liu & Dongming Zhu

**Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic**

*by*Tomas Konecny & Oxana Babecka-Kucharcukova

**Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods**

*by*Milan Ficura & Jiri Witzany

**Capacidad redistributiva de los gastos fiscales en el contexto de la polarización del ingreso en México, 2008-2012**

*by*José Luis Manzanares Rivera.

**Empleo femenino, pobreza y desigualdad. Un análisis de microdescomposiciones. Uruguay (1991-2012)**

*by*Parada, Cecilia

**Decision uncertainty in multi-attribute stated preference studies**

*by*Dekker, Thijs & Hess, Stephane & Brouwer, Roy & Hofkes, Marjan

**Bias correction and refined inferences for fixed effects spatial panel data models**

*by*Yang, Zhenlin & Yu, Jihai & Liu, Shew Fan

**On the correlation between commodity and equity returns: Implications for portfolio allocation**

*by*Lombardi, Marco J. & Ravazzolo, Francesco

**Estimation of bid-ask prices for options on LIBOR based instruments**

*by*Energy Sonono, Masimba & Phillip Mashele, Hopolang

**The oil price crash in 2014/15: Was there a (negative) financial bubble?**

*by*Fantazzini, Dean

**A real options model for renewable energy investment with application to solar photovoltaic power generation in China**

*by*Zhang, M.M. & Zhou, P. & Zhou, D.Q.

**Investment risks in power generation: A comparison of fossil fuel and renewable energy dominated markets**

*by*Tietjen, Oliver & Pahle, Michael & Fuss, Sabine

**The dynamics of fuel demand and illegal fuel activity in Turkey**

*by*Yalta, A. Talha & Yalta, A. Yasemin

**Bubbling over! The behaviour of oil futures along the yield curve**

*by*Tsvetanov, Daniel & Coakley, Jerry & Kellard, Neil

**Private information and limitations of Heckman's estimator in banking and corporate finance research**

*by*Campbell, Randall C. & Nagel, Gregory L.

**Panel multi-predictor test procedures with an application to emerging market sovereign risk**

*by*Westerlund, Joakim & Thuraisamy, Kannan

**A rational, economic model of paygo tax rates**

*by*De Menil, Georges & Murtin, Fabrice & Sheshinski, Eytan & Yokossi, Tite

**A nonparametric test of a strong leverage hypothesis**

*by*Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min

**Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators**

*by*Lee, Seojeong

**Bootstrap inference for instrumental variable models with many weak instruments**

*by*Wang, Wenjie & Kaffo, Maximilien

**Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers**

*by*Blazsek, Szabolcs & Escribano, Alvaro

**Adverse selection, moral hazard and the demand for Medigap insurance**

*by*Keane, Michael & Stavrunova, Olena

**Wild bootstrap Ljung–Box test for cross correlations of multivariate time series**

*by*Lee, Taewook

**An auxiliary particle filter for nonlinear dynamic equilibrium models**

*by*Yang, Yuan & Wang, Lu

**Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods**

*by*Costantini, Mauro & Lupi, Claudio

**Aggregation and long-memory: An analysis based on the discrete Fourier transform**

*by*Shi, Wendong & Sun, Jingwei

**Structural breaks and monetary dynamics: A time series analysis**

*by*El-Shazly, Alaa

**Direct comparison of agent-based models of herding in financial markets**

*by*Barde, Sylvain

**Technological heterogeneity and corporate investment**

*by*Dimopoulos, Theodosios & Sacchetto, Stefano

**The Leveling of Environmental Polarization as a Part of Strategy of Perspective Innovation Policy of Economic Systems**

*by*Aleksandr A. Novikov & Elena V. Novikova & Elena V. Moiseyeva & Larisa E. Fatikhova & Olga V. Ruzakova & Olga V. Ruzakova & Lenar R. Khairullin

**Prediction Intelligent System In The Field Of Renewable Energies Through Neural Networks**

*by*Ion LUNGU & Adela BÂRA & George CĂRUTASU & Alexandru PÎRJAN, & Simona-Vasilica OPREA

**Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo**

*by*Julián Fernández Mejía & Jorge Mario Uribe

**Salud y el uso de Internet: Un estudio de la relación médico-paciente**

*by*Carolina Barrios Laborda & Dayana Pinzón Callejas

**An analysis on operational risk in international banking: A Bayesian approach (2007–2011)**

*by*Francisco Venegas-Martínez & José Francisco Martínez-Sánchez & María Teresa V. Martínez-Palacios

**Qual VAR revisited: Good forecast, bad story**

*by*Makram El-Shagi & Gregor von Schweinitz

**Constant Proportion Portfolio Insurance Strategy in Southeast European Markets**

*by*Agić-Šabeta Elma

**Work incentives across the income distribution and for model families in Lithuania: 2005-2013**

*by*Jekaterina Navicke & Romas Lazutka

**A "litmus test" of Deficit Sustainability: The Case of the Greek Budget Deficit**

*by*Dimitris Hatzinikolaou

**GIS-based Methods for Estimating Missing Poverty Rates & Projecting Future Rates in Census Tracts**

*by*Srini Vasan & Adelamar Alcantara

**Investigating The Factors Which Are Effective On Ice Cream Consumption Of Consumers**

*by*Gamze Ã–zel & RÄ±dvan Ceylan

**Examination of Inequalities in Hungary by Microsimulation in Consistency with Macro Data**

*by*Ilona Cserháti & Tibor Keresztély & Tibor Takács

**The new economic governance in the EU Member States. Macroeconomic results and statistical correlations for Romania**

*by*Mirela Cristea & Ionu? Dr?gulin

**Analysis Of Correlation Between Indicators Of Asset Management And Profitability For Companies In The Food Industry Spanish**

*by*Marian SIMINICA & Silviu CARSTINA & Mirela SICHIGEA (GANEA)

**The Convergent Evolution of Romania’s Gross Domestic Product in Relation to the Average Macro-Economic Result of the European Union Countries**

*by*Raluca Necula & Mirela Stoian & Manea Draghici

**Currency Risk: Comovements and Intraday Cojumps**

*by*Jérôme Lahaye

**Sparse Graphical Vector Autoregression: A Bayesian Approach**

*by*Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin

**Detection of Multiple Bubbles in South African Electricity Prices**

*by*Rangan Gupta & Roula Inglesi-Lotz

**The Time-Series Linkages between US Fiscal Policy and Asset Prices**

*by*Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller

**Do Precious Metal Prices Help in Forecasting South African Inflation?**

*by*Mehmet Balcilar & Nico Katzke & Rangan Gupta

**Nonlinear Expectation Formation in the U.S. Stock Market**

*by*Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph

**Likelihood based inference and prediction in spatio-temporal panel count models for urban crimes**

*by*Vogler, Jan & Liesenfeld, Roman & Richard, Jean-Francois

**Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility**

*by*Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson

**Mehr Boden für die Grundsteuer: Eine Simulationsanalyse verschiedener Grundsteuermodelle**

*by*Henger, Ralph & Schaefer, Thilo

**A Monte Carlo analysis of alternative meta-analysis estimators in the presence of publication bias**

*by*Reed, W. Robert & Florax, Raymond J. G. M. & Poot, Jacques

**Unternehmensbewertung mit Monte-Carlo-Simulationen**

*by*Schmallowsky, Katrin

**Estimation of sentiment effects in financial markets: A simulated method of moments approach**

*by*Zhenxi, Chen & Lux, Thomas

**Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?**

*by*Koziol, Philipp & Schell, Carmen & Eckhardt, Meik

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

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

**Calculating trading book capital: Is risk separation appropriate?**

*by*Raupach, Peter

**Centrality-based capital allocations**

*by*Alter, Adrian & Craig, Ben & Raupach, Peter

**QML Estimation of the Spatial Weight Matrix in the MR-SAR Model**

*by*Saruta Benjanuvatra & Peter Burridge

**Growing Together? Projecting Income Growth in Europe at the Regional Level**

*by*Jesus Crespo Cuaresma & Gernot Doppelhofer & Florian Huber & Philipp Piribauer

**Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Accounting for tax evasion profiles and tax expenditures in microsimulation modelling. The BETAMOD model for personal income taxes in Italy**

*by*Andrea Albarea & Michele Bernasconi & Cinzia Di Novi & Anna Marenzi & Dino Rizzi & Francesca Zantomio

**The Econometrics of Networks: A Review**

*by*Daniel Felix Ahelegbey

**The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30**

*by*Xue-Zhong He & Youwei Li

**Testing subspace Granger causality**

*by*Majid M. Al-Sadoon

**Direct calibration and comparison of agent-based herding models of financial markets**

*by*Sylvain Barde

**A Practical, Universal, Information Criterion over Nth Order Markov Processes**

*by*Sylvain Barde

**Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence**

*by*Furkan Emirmahmutoglu & Rangan Gupta & Stephen M. Miller & Tolga Omay

**Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms**

*by*Yongchen Zhao

**Estimating the Variance of the Predictor in Stochastic Kriging**

*by*Kleijnen, J.P.C. & Mehdad, Ehsan

**Regression and Kriging Metamodels with Their Experimental Designs in Simulation : Review**

*by*Kleijnen, J.P.C.

**GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134)**

*by*Cizek, P. & Jacobs, J. & Ligthart, J.E. & Vrijburg, H.

**Efficient Global Optimization for Black-Box Simulation via Sequential Intrinsic Kriging**

*by*Mehdad, Ehsan & Kleijnen, J.P.C.

**Validating the Assumptions of Sequential Bifurcation in Factor Screening**

*by*Shi, W. & Kleijnen, J.P.C.

**Stochastic Intrinsic Kriging for Simulation Metamodelling**

*by*Mehdad, Ehsan & Kleijnen, J.P.C.

**Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**In-Sample Bounds for Time-Varying Parameters of Observation Driven Models**

*by*Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas

**Penalized Indirect Inference**

*by*Francisco Blasques & Artem Duplinskiy

**Estimating a Falsified Model: Some Impossibility Theorems**

*by*Andrew J. Buck & George M. Lady

**Do Precious Metal Prices Help in Forecasting South African Inflation?**

*by*Mehmet Balcilar & Nico Katzke & Rangan Gupta

**On a Bootstrap Test for Forecast Evaluations**

*by*Marian Vavra

**Testing for normality with applications**

*by*Marian Vavra

**Minimum Distance Estimation of Search Costs using Price Distribution**

*by*Fabio A. Miessi Sanches & Daniel Silva Junior, Sorawoot Srisuma

**Driving Forces of CO2 Emissions in Emerging Countries: LMDI Decomposition Analysis on China and India’s Residential Sector**

*by*Yeongjun Yeo & Dongnyok Shim & Jeong-Dong Lee & Jorn Altmann

**Value Creation in Software Service Platforms**

*by*Netsanet Haile & Jorn Altmann

**Consistent Variance of the Laplace Type Estimators: Application to DSGE Models**

*by*Anna Kormilitsina & Denis Nekipelov

**Unified M-Estimation of Fixed-Effects Spatial Dynamic Models with Short Panels**

*by*Yang Zhenlin

**Bias correction for fixed effects spatial panel data models**

*by*Zhenlin Yang & Jihai Yu & Shew Fan Liu

**Jackknife-2 confidence regions for the ratio of two percentiles**

*by*LI-FEI HUANG

**The Performance of Conditional CAPMs based on Evidence from the European Union?s (EU) Financial Stock Markets before and after the Eurozone Financial Crisis**

*by*Serdar Neslihanoglu

**Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound**

*by*Valerio Scalone

**A New Technique based on Simulations for Improving the Inflation Rate Forecasts in Romania**

*by*Mihaela Simionescu

**Stress Testing the Australian Household Sector Using the HILDA Survey**

*by*Tom Bilston & Robert Johnson & Matthew Read

**Empirical modeling of production decisions of heterogeneous farmers with random parameter models**

*by*Philippe Koutchade & Alain Carpentier & Fabienne Féménia

**Movers and stayers in the farming sector: accounting for unobserved heterogeneity in structural change**

*by*Legrand D.F. Saint-Cyr & Laurent Piet

**Change Detection and the Casual Impact of the Yield Curve**

*by*Stan Hurn & Peter C B Phillips & Shuping Shi

**Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory**

*by*Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis

**Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility**

*by*Haroon Mumtaz & Konstantinos Theodoridis

**Common and Country Specific Economic Uncertainty**

*by*Haroon Mumtaz & Konstantinos Theodoridis

**What do VARs Tell Us about the Impact of a Credit Supply Shock?**

*by*Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis

**Wild Bootstrap Inference for Wildly Different Cluster Sizes**

*by*James G. MacKinnon & Matthew D. Webb

**Covariate-augmented unit root tests with mixed-frequency data**

*by*Cláudia Duarte

**An improved bootstrap test of density ratio ordering**

*by*beare, brendan & shi, xiaoxia

**Identifying the Median Path of a Stochastic Processes**

*by*Bell, Peter N

**Financial Methods: A Quantitative Approach**

*by*Giandomenico, Rossano

**Modelling the Clustering Volatility of India's Wholesales Price Index and the Factors Affecting it**

*by*Azimi, Mohammad Naim

**Performance of microfinance institutions in achieving the poverty outreach and financial sustainability: When age and size matter?**

*by*Wijesiri, Mahinda & Yaron, Jacob & Meoli, Michele

**The future of the Romanian rural household from the perspective of agricultural censuses**

*by*Bohateret, Valentin - Mihai & Bruma, Ioan Sebastian

**Population food security assessment – a methodological approach**

*by*Alexandri, Cecilia

**Bootstrap for Value at Risk Prediction**

*by*Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi

**How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models**

*by*Abonazel, Mohamed R.

**A Simple Estimator for Short Panels with Common Factors**

*by*Juodis, Arturas & Sarafidis, Vasilis

**Tests for sphericity in multivariate garch models**

*by*Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos

**On Capturing the Spreading Dynamics over Trading Prices in the Market**

*by*Situngkir, Hokky

**Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market**

*by*Kim, Jaeho

**Korelasi Bebas-skala dalam Studi Geo-politik Pemilihan**

*by*Maulana, Ardian & Situngkir, Hokky

**Indonesia embraces the Data Science**

*by*Situngkir, Hokky

**Decomposition of the European GDP based on Singular Spectrum Analysis**

*by*Leon, Costas

**Microfinanzas en el Perú: Solvencia y Rentabilidad en las Cajas Municipales de Ahorro y Crédito**

*by*Gambetta Podesta, Renzo

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

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

**Unit Roots and Smooth Transitions: A Replication**

*by*Kulaksizoglu, Tamer

**Monetary transmission models for bank interest rates**

*by*Laura Parisi & Igor Gianfrancesco & Camillo Gilberto & Paolo Giudici

**Impacto de Esquemas de Fijacion de Cargos de Terminacion Movil sobre el Bienestar en una Industria Asimetrica: Un Modelo Economico**

*by*Manuel Gavilano

**Application of ß – Convergence Approach in Visegrad Four Regions**

*by*Jan Nevima & Ingrid Majerová

**A Quantal Response Model of Firm Competition**

*by*Ellis Scharfenaker

**Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models**

*by*Tingting Cheng & Jiti Gao & Xibin Zhang

**Testing for a Structural Break in Dynamic Panel Data Models with Common Factors**

*by*Huanjun Zhu & Vasilis Sarafidis & Mervyn Silvapulle & Jiti Gao

**On Consistency of Approximate Bayesian Computation**

*by*David T. Frazier & Gael M. Martin & Christian P. Robert

**A Practical Approach to Financial Crisis Indicators Based on Random Matrices**

*by*Antoine Kornprobst & Raphael Douady

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

*by*Alain Chateauneuf & Mina Mostoufi & David Vyncke

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

*by*Alain Chateauneuf & Mina Mostoufi & David Vyncke

**A Comprehensive Simulation Study on the Forward Imputation**

*by*Nadia SOLARO & Alessandro BARBIERO & Giancarlo MANZI & Pier Alda FERRARI

**Impact of Agricultural Related Technology Adoption on Poverty: A Study of Select Households in Rural India**

*by*Santosh K. Sahu & Sukanya Das

**Evolutionary Sequential Monte Carlo Samplers for Change-point Models**

*by*Arnaud Dufays

**Comparing the Homogeneity of Income Distributions using Polarization Indices**

*by*André-Marie Taptué

**Comparing the Size of the Middle Class using the Alienation Component of Polarization**

*by*André-Marie Taptué

**Evolutionary Sequential Monte Carlo Samplers for Change-point Models**

*by*Arnaud Dufays

**Comparing the Homogeneity of Income Distributions using Polarization Indices**

*by*André-Marie Taptué

**Comparing the Size of the Middle Class using the Alienation Component of Polarization**

*by*Andrée Marie-Taptue

**Meta-analytic cointegrating rank tests for dependent panels**

*by*Deniz Dilan Karaman Örsal & Antonia Arsova

**Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility**

*by*Konstantinos Theodoridis & Haroon Mumtaz

**Backtesting Value-at-Risk: A Generalized Markov Framework**

*by*Thor Pajhede

**Supply Analysis of the Forestry Industry**

*by*Géraud Krähenbühl

**Inference for functions of partially identified parameters in moment inequality models**

*by*Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi

**Finite sample bias corrected IV estimation for weak and many instruments**

*by*Matthew C. Harding & Jerry Hausman & Christopher Palmer

**A discrete model for bootstrap iteration**

*by*Russell Davidson

**Endogenizing take-up of social assistance in a microsimulation model : a case study for Germany**

*by*Wiemers, Jürgen

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

*by*Mayya Zhilova & & &

**Change point and trend analyses of annual expectile curves of tropical storms**

*by*P. Burdejova & W.K. Härdle & Kokoszka & Q.Xiong

**Poverty mapping based on first order dominance with an example from Mozambique**

*by*Arndt, Channing & Hussain, M. Azhar & Salvucci, Vincenzo & Tarp, Finn & Østerdal, Lars Peter

**Speeding Up Mcmc By Delayed Acceptance And Data Subsampling**

*by*Quiroz, Matias

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

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

**Speeding Up Mcmc By Efficient Data Subsampling**

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

**On the Distributional Assumptions in the StoNED model**

*by*Cheng, Xiaomei & Andersson, Jonas & Bjørndal, Endre

**Applying the Fractional Response Model to Survey Research in Accounting**

*by*Susanna Gallani & Ranjani Krishnan

**Grid and shake - Spatial aggregation and robustness of regionally estimated elasticities**

*by*Gabor Bekes & Peter Harasztosi

**Information Criteria for Nonlinear Time Series Models**

*by*Rinke, Saskia & Sibbertsen, Philipp

**Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms**

*by*Yongchen Zhao

**Treatments of Non-metric Variables in Partial Least Squares and Principal Component Analysis**

*by*Jisu Yoon & Tatyana Krivobokova

**Composite Indices Based on Partial Least Squares**

*by*Jisu Yoon & Stephan Klasen & Axel Dreher & Tatyana Krivobokova

**On the Forecasting of Financial Volatility Using Ultra-High Frequency Data**

*by*António A. F. Santos

**The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures**

*by*António Alberto Santos

**Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach**

*by*Pedro Godinho

**Bayesian Estimation of Time-Changed Default Intensity Models**

*by*Gordy, Michael B. & Szerszen, Pawel J.

**Centrality-based Capital Allocations**

*by*Alter, Adrian & Craig, Ben R. & Raupach, Peter

**GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation**

*by*Roman Horváth & Boril Sopov

**Mother's Time Allocation, Child Care and Child Cognitive Development**

*by*Brilli, Ylenia

**Quarterly Report on the Euro Area (QREA), Vol.14, No.2 (2015)**

*by*Erik Canton & Narcissa Balta & Mats Marcusson & Josefina Monteagudo & Rafal Raciborski & Anastasia Theofilakou & Lukas Vogel

**Quarterly Report on the Euro Area (QREA), Vol.14, No.1 (2015)**

*by*Alfonso Arpaia & Narcissa Balta & Serena Fatica & Aron Kiss & Alexis Loublier & Balazs Palvolgyi & Alessandro Turrini

**Banking Stress Scenarios for Public Debt Projections**

*by*Peter Benczur & Katia Berti & Jessica Cariboni & Francesca Erica Di Girolamo & Sven Langedijk & Andrea Pagano & Marco Petracco Giudici

**Why risk is so hard to measure**

*by*Jon Danielsson & Chen Zhou

**Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean**

*by*Joshua C.C. Chan & Angelia L. Grant

**The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling**

*by*Joshua C.C. Chan

**No evidence of financial accelerator in France**

*by*B. CAMPAGNE & V. ALHENC-GELAS & J.-B. BERNARD

**Estimating rational stock-market bubbles with sequential Monte Carlo methods**

*by*Benedikt Rotermann & Bernd Wilfling

**An Improved Auxiliary Particle Filter for Nonlinear Dynamic Equilibrium Models**

*by*Yang, Yuan & Wang, Lu

**Sparse Change-Point Time Series Models**

*by*Dufays, A. & Rombouts, V.

**Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors**

*by*Deschamps, P.

**Autoregressive moving average infinite hidden markov-switching models**

*by*Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud

**Welfare gains of the poor: An endogenous Bayesian approach with spatial random effects**

*by*Andr´es Ramírez Hassan & Santiago Montoya Blandón

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

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

**A Non-linear Forecast Combination Procedure for Binary Outcomes**

*by*Kajal Lahiri & Liu Yang

**Quantifying the Impacts of Limited Supply: The Case of Nursing Homes**

*by*Andrew Ching & Fumiko Hayashi & Hui Wang

**Is the Maastricht debt limit safe enough for Slovakia?**

*by*Zuzana Mucka

**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

**GMM estimation of fiscal rules: Monte Carlo experiments and empirical tests**

*by*I. Mammi

**Dynamic predictive density combinations for large data sets in economics and finance**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Statistical matching and uncertainty analysis in combining household income and expenditure data**

*by*Pier Luigi Conti & Daniela Marella & Andrea Neri

**The impact of lower oil prices on energy expenditure and economic activity**

*by*Ivan Faiella & Alessandro Mistretta

**Simulation of the term structure. An application for measuring the interest rate risk**

*by*Mirta González & María Cecilia Pérez

**Log-Transform Kernel Density Estimation of Income Distribution**

*by*Arthur Charpentier & Emmanuel Flachaire

**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

**A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation**

*by*Ulrich Hounyo & Rasmus T. Varneskov

**Validity of Edgeworth expansions for realized volatility estimators**

*by*Ulrich Hounyo & Bezirgen Veliyev

**Mathematical Programming Applied To Benchmarking In Economics And Management**

*by*Jorge Santos & Armando B Mendes & Luís Cavique & Magdalena Kapelko

**Measuring The Effects Of Marketing Actions: The Role Of Matching Methodologies**

*by*Iola Pinto & Margarida GMS Cardoso

**Clique Communities In Social Networks**

*by*Luís Cavique & Armando B Mendes & Jorge MA Santos

**Stream-Based Classification For Social Network Recommendation Systems**

*by*Yan Zhuang & Hang Yang

**A Model For Optimising Earned Attention In Social Media Based On A Memetic Algorithm**

*by*Pedro Godinho & Luiz Moutinho & Manuela Silva

**Metaheuristics In Logistics**

*by*Thomas Hanne & Suash Deb & Simon Fong

**Data Mining Process Models: A Roadmap For Knowledge Discovery**

*by*Armando B Mendes & Luís Cavique & Jorge MA Santos

**Promethee: Technical Details And Developments, And Its Role In Performance Management**

*by*Malcolm J Beynon & Harry Barton

**Bayesian Prediction With Linear Dynamic Model: Principle And Application**

*by*Yun Li & Luiz Moutinho & Kwaku K Opong & Yang Pang

**Growth Models**

*by*Mladen Sokele

**Qualitative Comparison Analysis: An Example Analysis Of Clinical Directorates And Resource Management**

*by*Malcolm J Beynon & Aoife McDermott & Mary A Keating

**Interactive Virtual Platform For Shopping Furniture Based On Unity 3d**

*by*Yingwan Wu & Simon Fong & Suash Deb & Thomas Hanne

**Too Much Ado About Nothing? Fuzzy Measurement Of Job Stress For School Leaders**

*by*Berlin Wu & Mei Fen Liu

**Non-Parametric Test With Fuzzy Data And Its Applications In The Performance Evaluation Of Customer Capital**

*by*Yu-Lan Lee & Ming-leih Wu & Chunti Su

**Meta-Heuristics In Marketing**

*by*Stephen Hurley & Luiz Moutinho

**The Application Of Nn To Management Problems**

*by*Arnaldo Coelho & Luiz Moutinho & Graeme D Hutcheson & Maria Manuela Santos Silva

**Artificial Neural Networks And Structural Equation Modelling: An Empirical Comparison To Evaluate Business Customer Loyalty**

*by*Arnaldo Coelho & Luiz Moutinho & Graeme D Hutcheson & Maria Manuela Santos Silva

**Statistical Model Selection**

*by*Graeme D Hutcheson

**Partial Least Squares Path Modelling In Marketing And Management Research: An Annotated Application**

*by*Joaquín Aldás-Manzano

**Role Of Structural Equation Modelling In Theory Testing And Development**

*by*Parikshat S Manhas & Ajay K Manrai & Lalita A Manrai & Ramjit

**A Review Of The Major Multidimensional Scaling Models For The Analysis Of Preference/Dominance Data In Marketing**

*by*Wayne S DeSarbo & Sunghoon Kim

**Quantitative Modelling in Marketing and Management**

*by*

**Quantitative analysis of financial market infrastructures: further perspectives on financial stability**

*by*Laine, Tatu (ed.)

**Die Effektivität der EZB-Liquiditätsmaßnahmen zur Steigerung der Kreditgeschäfte im Euroraum**

*by*Bendel, Daniel

**A Monte Carlo analysis of alternative meta-analysis estimators in the presence of publication bias**

*by*Reed, W. Robert

**Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options**

*by*Olivares Aguayo, Héctor Alonso & Ortiz-Ramírez, Ambrosio & Bucio Pacheco, Christian

**Evolution of the Main Banking Sector Risks in Romania in the Last Decade**

*by*Dana Sisea & Emilia Stoica & Sandra Teodorescu

**Construction Of Economic Indicators Using Internet Searches**

*by*Mioara, POPESCU

**Dynamic optimization of an investment portfolio on European stock markets using pair copulas**

*by*Atskanov, Isuf

**Age characteristics of the happy life in Russia and Europe: The econometric approach**

*by*Rodionova, Lilia

**Wealth and Labor Supply Heterogeneity**

*by*Jose Mustre-del-Rio

**Improving the Effectiveness of Maximum Score Estimators for Binary Regression Models**

*by*Marcin Owczarczuk

**Common Trends and Common Cycles – Bayesian Approach**

*by*Justyna Wróblewska

**Copula-based Stochastic Frontier Model with Autocorrelated Inefficiency**

*by*Arabinda Das

**Empirical Evidence of Ideal Filter Approximation: Peripheral and Selected EU Countries Application**

*by*Jitka Poměnková & Roman Maršálek

**Estimating the Value-at-Risk from High-frequency Data**

*by*Pavol Krasnovský

**Integrational Models and Forms of Inter-State Public-Private Partnership: Aspects of Financial Convergence**

*by*Alina Kulai

**The role of oscillatory modes in US business cycles**

*by*Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas

**Comparison of Taxes and Social Insurance Premium Burdens in Household Accounts**

*by*Taro Ohno & Masahiko Nakazawa & Kazuaki Kikuta & Manabu Yamamoto

**Default Probability Prediction with Static Merton-D-Vine Copula Model**

*by*Václav Klepáč

**Guyana: A Half a Century of Struggles with Planning, Growth, and Development**

*by*Lall B. RAMRATTAN

**Az egyéni munkaerő-piaci aktivitás becslése mikroszimulációs modellkeretben**

*by*Vékás, Péter

**Weekend vs. Medium Stay Tourism**

*by*Petru Balogh & Pompiliu Golea

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

*by*KAMEL HELALI & MAHA KALAI

**Heavy-tailed modeling of CROBEX**

*by*Danijel Grahovac & Nenad Suvak

**Accounting for Tax Evasion Profiles and Tax Expenditures in Microsimulation Modelling. The BETAMOD Model for Personal Income Taxes in Italy**

*by*Andrea Albarea & Michele Bernasconi & Cinzia Di Novi & Anna Marenzi & Dino Rizzi & Francesca Zantomio

**The Quantitative and Qualitative Evaluation of a Multi-Agent Microsimulation Model for Subway Carriage Design**

*by*Le-le Cao & Xiao-xue Li & Fen-ni Kang & Chang Liu & Fu-chun Sun & Ramamohanarao Kotagiri

**Endogenizing take-up of social assistance in a microsimulation model. A case study for Germany**

*by*Jürgen Wiemers

**Centrality-Based Capital Allocations**

*by*Adrian Alter & Ben R. Craig & Peter Raupach

**Debt Repayment Capacity Of Local Government Sector In Poland During The 2008-2013 Economic Slowdown Period**

*by*Krzysztof Kluza

**Long-term Stochastic Forecasting of the Nuclear Energy Global Market**

*by*Vladimir Kharitonov & Uliana Kurelchuk & Sergey Masterov

**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

**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

**Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis**

*by*Muhammad Irfan Malik & Atiq-ur-Rehman

**Comparative numerical analysis of two stock-flow consistent post-Keynesian growth models**

*by*Biagio Ciuffo & Eckehard Rosenbaum

**Robust hedging performance and volatility risk in option markets: Application to Standard and Poor's 500 and Taiwan index options**

*by*Han, Chuan-Hsiang & Chang, Chien-Hung & Kuo, Chii-Shyan & Yu, Shih-Ti

**A nonparametric study of real exchange rate persistence over a century**

*by*Kim, Hyeongwoo & Ryu, Deockhyun

**Improved inferences for spatial regression models**

*by*Liu, Shew Fan & Yang, Zhenlin

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

*by*Liu, Shew Fan & Yang, Zhenlin

**Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions**

*by*Assaf, Ata

**Distortions, efficiency and the size distribution of firms**

*by*Goyette, Jonathan & Gallipoli, Giovanni

**Does the Greenspan era provide evidence on leadership in the FOMC?**

*by*El-Shagi, Makram & Jung, Alexander

**Financial incentives for kidney donation: A comparative case study using synthetic controls**

*by*Bilgel, Fırat & Galle, Brian

**Which continuous-time model is most appropriate for exchange rates?**

*by*Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J.

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

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

**Counterparty risk for CDS: Default clustering effects**

*by*Bo, Lijun & Capponi, Agostino

**The effect of objective formulation on retirement decision making**

*by*Butt, Adam & Khemka, Gaurav

**Modelling longevity bonds: Analysing the Swiss Re Kortis bond**

*by*Hunt, Andrew & Blake, David

**Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models**

*by*Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V.

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

*by*Avramidis, Panagiotis & Pasiouras, Fotios

**Equilibrium option pricing: A Monte Carlo approach**

*by*Buchner, Axel

**Testing equality of modified Sharpe ratios**

*by*Ardia, David & Boudt, Kris

**Are emerging MENA stock markets mean reverting? A Monte Carlo simulation**

*by*Neaime, Simon

**Determining the economic value of ambiguous loan portfolios**

*by*Parnes, Dror

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

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

**On the use of panel cointegration tests in energy economics**

*by*Westerlund, Joakim & Thuraisamy, Kannan & Sharma, Susan

**Forecasting short-term electricity consumption using a semantics-based genetic programming framework: The South Italy case**

*by*Castelli, Mauro & Vanneschi, Leonardo & De Felice, Matteo

**Two-step estimation of the volatility functions in diffusion models with empirical applications**

*by*Ye, Xu-Guo & Lin, Jin-Guan & Zhao, Yan-Yong & Hao, Hong-Xia

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

*by*Creel, Michael & Kristensen, Dennis

**Testing of a market fraction model and power-law behaviour in the DAX 30**

*by*He, Xue-Zhong & Li, Youwei

**A new hyperbolic GARCH model**

*by*Li, Muyi & Li, Wai Keung & Li, Guodong

**Sample quantile analysis for long-memory stochastic volatility models**

*by*Ho, Hwai-Chung

**Robust inference in nonlinear models with mixed identification strength**

*by*Cheng, Xu

**Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study**

*by*Li, Xianghong & Smith, Barry

**Bootstrap inference for linear dynamic panel data models with individual fixed effects**

*by*Gonçalves, Sílvia & Kaffo, Maximilien

**A general method for third-order bias and variance corrections on a nonlinear estimator**

*by*Yang, Zhenlin

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

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

**LM tests of spatial dependence based on bootstrap critical values**

*by*Yang, Zhenlin

**Specification tests for partially identified models defined by moment inequalities**

*by*Bugni, Federico A. & Canay, Ivan A. & Shi, Xiaoxia

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

*by*Su, Liangjun & Yang, Zhenlin

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

*by*Freyberger, Joachim

**On the bootstrap for Moran’s I test for spatial dependence**

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

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

*by*Ashley, Richard A. & Parmeter, Christopher F.

**On the computation of LOT liquidity measure**

*by*Zhao, Wandi & Wang, Mingjin

**Pitfalls of estimating the marginal likelihood using the modified harmonic mean**

*by*Chan, Joshua C.C. & Grant, Angelia L.

**Evaluating simulation-based approaches and multivariate quadrature on sparse grids in estimating multivariate binary probit models**

*by*Abay, Kibrom A.

**State-dependent jump risks for American gold futures option pricing**

*by*Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home

**Shifts in volatility driven by large stock market shocks**

*by*Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias

**Estimation of ergodic agent-based models by simulated minimum distance**

*by*Grazzini, Jakob & Richiardi, Matteo

**Economic Valuation of Electrical Service Reliability for Households’ in Developing Country: A Censored Random Coefficient Model Approach**

*by*Alastaire Sèna ALINSATO

**Distribucion hiperbolica generalizada: una aplicacion en la seleccion de portafolios y en cuantificacion de medidas de riesgo de mercado**

*by*Jose Luis Alayon G.

**Estudio de Monte Carlo para comparar 8 pruebas de normalidad sobre residuos de mi?nimos cuadrados ordinarios en presencia de procesos autorregresivos de primer orden**

*by*Sebastia?n Montenegro & Julio Ce?sar Alonso

**Estudio de Monte Carlo para comparar 8 pruebas de normalidad sobreresiduos de mínimos cuadrados ordinarios en presencia de procesos autorregresivos de primer orden**

*by*Sebastián Montenegro & Julio César Alonso

**Valoración de derivados europeos con mixtura de distribuciones Weibull**

*by*Andrés Mauricio Molina & José Alfredo Jiménez

**Riesgo país, fundamentos macroeconómicos e incertidumbre en economías latinoamericanas**

*by*Ali Acosta & Daniel Barráez & Danyira Pérez & Mariana Urbina

**Country Risk, Macroeconomic Fundamentals and Uncertainty in Latin American Economies**

*by*Ali Acosta & Daniel Barráez & Danyira Pérez & Mariana Urbina

**Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models**

*by*Fernanda Maria Muller & Fábio Mariano Bayer

**Search Theories and Aggregate Demand**

*by*Annalisa Cristini & Piero Ferri & Anna Maria Variato

**The Study Of The Impact Of Active Measures On Labour Market By Factor Techniques**

*by*Ph.D. Mariana BALAN

**The Impact of the Informal Employment on the Social Security Deficits in Turkey**

*by*Adem Yavuz Elveren

**The New Economic Governance In The Eu Member States. Macroeconomic Results And Statistical Correlations For Romania**

*by*Mirela Cristea & Ionut Dragulin

**A Method For Systemic Risk Estimation Based On Cds Indices**

*by*Gabriel GAIDUCHEVICI

**Improving Graduates' Employability In It Field. The Case Of Accounting And Information Systems Study Program**

*by*Luminita HURBEAN & Vasile Daniel PAVALOAIA & Doina FOTACHE

**Simulation-Based E-Learning Framework for Entrepreneurship Education and Training**

*by*Constanta-Nicoleta Bodea & Radu Ioan Mogos & Maria-Iuliana Dascalu & Augustin Purnus

**The factors responsible with corporate reputation: A structural equation modelling approach**

*by*Mihaela Cornelia SANDU

**Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?**

*by*Ghassen El Montasser & Rangan Gupta & Andre Luis Martins & Peter Wanke

**Date Stamping Historical Oil Price Bubbles: 1876-2014**

*by*Itamar Caspi & Nico Katzke & Rangan Gupta

**Testing for Multiple Bubbles in the BRICS Stock Markets**

*by*Tsangyao Chang & Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar

**Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System**

*by*Kurmaş AKDOĞAN & Burcu Deniz YILDIRIM

**Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions**

*by*Stefan Bruder

**The identification of directed technical change revisited**

*by*Saam, Marianne

**How do employment tax credits work? An analysis of the German inheritance tax**

*by*Franke, Benedikt & Simons, Dirk & Voeller, Dennis

**The estimation uncertainty of permanent-transitory decompositions in co-integrated systems**

*by*Schreiber, Sven

**The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity**

*by*Becker, Gideon

**Systemic risk in an interconnected banking system with endogenous asset markets**

*by*Bluhm, Marcel & Krahnen, Jan Pieter

**Bridging the gap between horizontal and vertical merger simulation: Modifications and extensions of PCAID**

*by*Bush, C. Anthony

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

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

**How do employment tax credits work? An analysis of the German inheritance tax**

*by*Franke, Benedikt & Simons, Dirk & Voeller, Dennis

**Donâ€™t Stop â€™Til You Get Enough: a quickest detection approach to HTA**

*by*Daniele Bregantini

**Unit Root Tests In The Presence Of Multiple Breaks In Variance**

*by*SOO-BIN JEONG & BONG-HWAN KIM & TAE-HWAN KIM & HYUNG-HO MOON

**Sparse Graphical Vector Autoregression: A Bayesian Approach**

*by*Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio

**A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities**

*by*Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst

**Growth-cycle phases in China�s provinces: A panel Markov-switching approach**

*by*Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin

**Why can sectoral shocks lead to sizable macroeconomic fluctuations? Assessing alternative theories by means of stochastic simulation with a general equilibrium model**

*by*Roberto Roson & Martina Sartori

**Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets**

*by*Roberto Casarin & Monica Billio & Anthony Osuntuyi

**Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?**

*by*Yamin Ahmad & Luiggi Donayre

**Temporal Aggregation of Random Walk Processes and Implications for Asset Prices**

*by*Yamin Ahmad & Ivan Paya

**Ambiguity and Reality**

*by*Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan

**Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts**

*by*Trojan, Sebastian

**Multivariate Stochastic Volatility with Dynamic Cross Leverage**

*by*Trojan, Sebastian

**Is regularization necessary? A Wald-type test under non-regular conditions**

*by*Duplinskiy A.

**A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing**

*by*Smeekes S. & Urbain J.R.Y.J.

**Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Incorrectly accounting for preference heterogeneity in choice experiments: what are the implications for welfare measurement?**

*by*Catalina M. Torres & Sergio Colombo & Nick Hanley

**Testing Local Average Treatment Effect Assumptions**

*by*Ismael Mourifie & Yuanyuan Wan

**Stochastic Intrinsic Kriging for Simulation Metamodelling**

*by*Mehdad, E. & Kleijnen, Jack P.C.

**Adjustable Robust Optimizations with Decision Rules Based on Inexact Revealed Data**

*by*de Ruiter, F.J.C.T. & Ben-Tal, A. & Brekelmans, R.C.M. & den Hertog, D.

**Global Optimization for Black-box Simulation via Sequential Intrinsic Kriging**

*by*Mehdad, E. & Kleijnen, Jack P.C.

**Multivariate Versus Univariate Kriging Metamodels for Multi-Response Simulation Models (Revision of 2012-039)**

*by*Kleijnen, Jack P.C. & Mehdad, E.

**Classic Kriging versus Kriging with Bootstrapping or Conditional Simulation : Classic Kriging's Robust Confidence Intervals and Optimization (Revised version of CentER DP 2013-038)**

*by*Mehdad, E. & Kleijnen, Jack P.C.

**Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models**

*by*István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas

**Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes**

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

**Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices**

*by*Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk

**Fractional Cointegration Rank Estimation**

*by*Katarzyna Lasak & Carlos Velasco

**On Distributions of Ratios**

*by*Simon A. Broda & Raymond Kan

**The Responses of the Prime Rate to a Change in Policies of the Federal Reserve**

*by*Joseph Friedman & Yochanan Shachmurove

**A New Approach to Model Verification, Falsification and Selection**

*by*Andrew J. Buck & George M. Lady

**Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System**

*by*Kurmas Akdogan & Burcu Deniz Yildirim

**VAR(MA), what is it good for? more bad news for reduced-form estimation and inference**

*by*Yao, Wenying & Kam, Timothy & Vahid, Farshid

**Date stamping historical oil price bubbles: 1876 - 2014**

*by*Itamar Caspi & Nico Katzke & Rangan Gupta

**Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators**

*by*Seojeong Lee

**Testing Stationarity for Unobserved Components Models**

*by*James Morley & Irina B. Panovska & Tara M. Sinclair

**Incorrectly accounting for preference heterogeneity in choice experiments: what are the implications for welfare measurement?**

*by*Cati Torres & Sergio Colombo & Nick Hanley

**How Variability in Individual Patterns of Behavior Changes the Structural Properties of Networks**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**A Network Formation Model for Social Object Networks**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**How Structural Changes in Complex Networks Impact Organizational Learning Performance**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**How Placing Limitations on the Size of Personal Networks Changes the Structural Properties of Complex Networks**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**Carry Trade Activities: A Multivariate Threshold Model Analysis**

*by*Matthias Gubler

**Initial-Condition Free Estimation of Fixed Effects Dynamic Panel Data Models**

*by*Zhenlin Yang

**Asymptotic Distribution and Finite-Sample Bias Correction of QML Estimators for Spatial Error Dependence Model**

*by*Shew Fan Liu & Zhenlin Yang

**Modified QML Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity and Nonnormality**

*by*Shew Fan Liu & Zhenlin Yang

**Bootstrap tests in linear models with many regressors**

*by*Patrick Richard

**Bias-corrected inference for multivariate nonparametric regression: model selection and oracle property**

*by*Francesco Giordano & Maria Lucia Parrella

**GRID for model structure discovering in high dimensional regression**

*by*Francesco Giordano & Soumendra Nath Lahiri & Maria Lucia Parrella

**Test of Log-Normal Process with Importance Sampling for Options Pricing**

*by*Semih Yon & Cafer Erhan Bozdag

**Exchange Rate Pass-Through in Eastern Europe: a Panel Bayesian VAR Approach**

*by*Valeriu Nalban

**Predicting a future observation: A reconciliation of the Bayesian and frequentist approaches**

*by*Rahul Mukherjee

**Estimation of the Distribution of Remaning Life Time of the People in Turkey**

*by*Mehmet Fedai KAYA & Muslu Kaz?m KÖREZ & Süleyman DÜNDAR

**Statistical matching of income and consumption expenditures**

*by*GABRIELLA DONATIELLO & MARCELLO D'ORAZIO & DORIANA FRATTAROLA & ANTONY RIZZI & MAURO SCANU & MATTIA SPAZIANI

**Confidence Interval for Ratio of Percentiles of Two Independent and Small Samples**

*by*Li-Fei Huang

**Methodology Of Application Of Statistical Modelling For Risk Assessment**

*by*Konstantins Didenko & Vitalijs Jurenoks & Vladimirs Jansons & Viktors Nespors

**Dealing with unobservable common trends in small samples: a panel cointegration approach**

*by*Francesca Di Iorio & Stefano Fachin

**Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach**

*by*Loretta Mastroeni & Giuseppe D'Acquisto & Maurizio Naldi

**Monte Carlo Approximate Tensor Moment Simulations**

*by*Juan C. Arismendi

**Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed**

*by*Kaddour Hadri & Eiji Kurozumi & Yao Rao

**The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis**

*by*Haroon Mumtaz & Konstantinos Theodoridis

**What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis**

*by*Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis

**Wild cluster bootstrap confidence intervals**

*by*James G. MacKinnon

**Bootstrap tests for overidentification in linear regression models**

*by*Russell Davidson & James G. MacKinnon

**Reworking Wild Bootstrap Based Inference for Clustered Errors**

*by*Matthew D. Webb

**Modelling Firm and Market Dynamics - A Flexible Model Reproducing Existing Stylized Facts**

*by*Thomas Brenner & Matthias Duschl

**Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence**

*by*Furkan Emirmahmutoglu & Rangan Gupta & Stephen M. Miller & Tolga Omay

**The predictability of asset returns in the BRICS countries: a nonparametric approach**

*by*Muteba Mwamba, John Weirstrass & Webb, Daniel

**New GMM Estimators for Dynamic Panel Data Models**

*by*Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R.

**On the optimal use of put options under trade restrictions**

*by*Bell, Peter N

**The small multiple in econometrics – a redesign**

*by*Klein, Torsten L.

**Communicating quantitative information: tables vs graphs**

*by*Klein, Torsten L.

**Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication**

*by*Kulaksizoglu, Tamer

**Computer Simulates the Effect of Internal Restriction on Residuals in Linear Regression Model with First-order Autoregressive Procedures**

*by*Lee, Mei-Yu

**Correlation Analysis of the quality of medical quality economic and financial management using correlation coefficients based on nonparametric data**

*by*Iacob, Constanta & Constantin, Camelia

**Analysis of the links between statistical variables on financial performance and its level**

*by*Iacob, Constanta & Taus, Delia

**The Modi ed R a Robust Measure of Association for Time Series**

*by*Rehman, Atiq-ur- & Malik, Muhammad Irfan

**Choice of Spectral Density Estimator in Ng-Perron Test: Comparative Analysis**

*by*Malik, Muhammad Irfan & Rehman, Atiq-ur-

**Input-output linkages and the propagation of domestic productivity shocks: Assessing alternative theories with stochastic simulation**

*by*Roson, Roberto & Sartori, Martina

**Modeling and Forecasting Volatility – How Reliable are modern day approaches?**

*by*Mehta, Anirudh & Kanishka, Kunal

**On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**A note on implementing the Durbin and Koopman simulation smoother**

*by*Jarocinski, Marek

**Demand Model Simulation in R with Endogenous Prices and Unobservable Quality**

*by*Toro Gonzalez, Daniel

**Least squares estimation for GARCH (1,1) model with heavy tailed errors**

*by*Preminger, Arie & Storti, Giuseppe

**Macro Stress-Testing Credit Risk in Romanian Banking System**

*by*Ruja, Catalin

**Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors**

*by*Juodis, Arturas & Sarafidis, Vasilis

**A control chart using copula-based Markov chain models**

*by*Long, Ting-Hsuan & Emura, Takeshi

**On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**Climate Impacts in Europe - The JRC PESETA II Project**

*by*Ciscar, Juan-Carlos & Feyen, Luc & Soria, Antonio & Lavalle, Carlo & Raes, Frank & Perry, Miles & Nemry, Françoise & Demirel, Hande & Rozsai, Máté & Dosio, Alessandro & Donatelli, Marcello & Srivastava, Amit Kumar & Fumagalli, Davide & Niemeyer, Stefan & Shrestha, Shailesh & Ciaian, Pavel & Himics, Mihaly & Van Doorslaer, Benjamin & Barrios, Salvador & Ibáñez, Nicolás & Forzieri, Giovanni & Rojas, Rodrigo & Bianchi, Alessandra & Dowling, Paul & Camia, Andrea & Libertà, Giorgio & San-Miguel-Ayanz, Jesús & de Rigo, Daniele & Caudullo, Giovanni & Barredo, Jose-I. & Paci, Daniele & Pycroft, Jonathan & Saveyn, Bert & Van Regemorter, Denise & Revesz, Tamas & Vandyck, Toon & Vrontisi, Zoi & Baranzelli, Claudia & Vandecasteele, Ine & Batista e Silva, Filipe & Ibarreta, Dolores

**Stochastic conditonal range, a latent variable model for financial volatility**

*by*Galli, Fausto

**Imputación de ingresos laborales: Una aplicación con encuestas de empleo en México**

*by*Rodriguez-Oreggia, Eduardo & Lopez-Videla, Bruno

**Optimal Use of Put Options in a Stock Portfolio**

*by*Peter N, Bell

**Stochastic conditonal range, a latent variable model for financial volatility**

*by*Galli, Fausto

**Golden Rule of Forecasting: Be conservative**

*by*Armstrong, J. Scott & Green, Kesten C. & Graefe, Andreas

**A Method for Experimental Events that Break Cointegration: Counterfactual Simulation**

*by*Bell, Peter N

**Analysis and Forecasting of Drought by Developing a Fuzzy-Based Hybrid Index in Iran**

*by*Moghaddasi, Reza & Eghbali, Alireza & Lakhaye Rizi, Parisa

**The modifiable areal unit problem - analysis of correlation and regression**

*by*Michal Bernard Pietrzak

**Redefining the Modifiable Areal Unit Problem within spatial econometrics, the case of the aggregation problem**

*by*Michal Bernard Pietrzak

**Uniform Inference in Nonlinear Models with Mixed Identification Strength**

*by*Xu Cheng

**Structural Estimation of Sequential Games of Complete Information**

*by*Jason R. Blevins

**Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance**

*by*Jakob Grazzini & Matteo Richiardi

**Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments**

*by*Phillipp Eisenhauer & James J. Heckman & Stefano Mosso

**On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers**

*by*Arnaud Dufays

**On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers**

*by*Arnaud Dufays

**On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers**

*by*Arnaud Dufays

**Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models**

*by*Jan F. Kiviet & Milan Pleus & Rutger Poldermans

**Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models**

*by*Firmin DOKO TCHATOKA & Jean-Marie DUFOUR

**A Computational Implementation of GMM**

*by*Jiti Gao & Han Hong

**Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?**

*by*Costantini, Mauro & Lupi, Claudio

**The impact of skill and management structure on Serie A Clubs’ performance**

*by*Costanza Torricelli & Maria Cesira Urzì Brancati & Luca Mirtoleni

**Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes**

*by*Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N.

**Bootstrapping Sample Quantiles of Discrete Data**

*by*Jentsch, Carsten & Leucht, Anne

**Direct Distribution of Rents and the Resource Curse in Iran: A Micro-econometric Analysis**

*by*Mohammad Reza Farzanegan & Mohammad Habibpour

**An Efficient Parallel Simulation Method for Posterior Inference on Paths of Markov Processes**

*by*Matthias Held & Marcel Omachel

**Survey-Based Assessment of Household Borrowers' Financial Vulnerability**

*by*Mikus Arins & Nadezda Sinenko & Laura Laube

**Estimating Stable Factor Models By Indirect Inference**

*by*Giorgio Calzolari & Roxana Halbleib

**Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments**

*by*Eisenhauer, Philipp & Heckman, James J. & Mosso, Stefano

**Reweight: a stata module to reweight survey data to external totals**

*by*Daniele Pacifico

**Block Bootstrap Consistency Under Weak Assumptions**

*by*Calhoun, Gray

**Progressivity-Improving VAT Reforms in Italy**

*by*Francesca Gastaldi & Paolo Liberati & Elena Pisano & Simone Tedeschi

**Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps**

*by*Benoît Sévi

**Forecasting the density of oil futures**

*by*Florian Ielpo & Benoît Sévi

**Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Cointegration of Baltic Stock Markets in the Financial Tsunami: Empirical Evidence**

*by*Omar Masood & Mondher Bellalah & Sahil Chaudhary & Walid Mansour & Frederic Teulon

**The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process**

*by*Julien Chevallier & Stéphane Goutte

**Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model**

*by*Stelios Bekiros & Alessia Paccagnini

**Bootstrap confidence sets under model misspecification**

*by*Vladimir Spokoiny & Mayya Zhilova & &

**Stochastic Household Forecasts by Coherent Random Shares Predictions**

*by*Keilman, Nico & van Duin, Coen

**Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model**

*by*Andersson, Fredrik N. G. & Li, Yushu

**A simple wavelet-based test for serial correlation in panel data models**

*by*Li, Yushu & Andersson, Fredrik N. G.

**Policy Simulation of Firms Cooperation in Innovation**

*by*Heshmati, Almas & Lenz-Cesar, Flávio

**Stochastic Volatility Estimation with GPU Computing**

*by*António Alberto Santos & João Andrade

**Estimating capabilities with structural equation models: How well are we doing in a 'real' world?**

*by*Jaya Krishnakumar & Florian Wendelspiess Chavez Juarez

**Self-employment and health care reform: evidence from Massachusetts**

*by*Tuzemen, Didem & Becker, Thealexa

**Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach**

*by*Bognanni, Mark & Herbst, Edward

**Does Social Capital Matter for European Regional Growth**

*by*Peiró Palomino Jesús & Forte Deltell Anabel & Tortosa-Ausina Emili

**Risk management of savings accounts**

*by*Hana Dzmuranova & Petr Teply

**A Bayesian Latent Variable Mixture Model for Filtering Firm Profit Rate**

*by*Gregor Semieniuk & Ellis Scharfenaker

**Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion**

*by*Joshua C.C. Chan & Angelia L. Grant

**Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?**

*by*Varang Wiriyawit & Benjamin Wong

**Fast Computation of the Deviance Information Criterion for Latent Variable Models**

*by*Joshua C.C. Chan & Angelia L. Grant

**Semiparametric Estimation under Shape Constraints**

*by*Wu, Ximing & Sickles, Robin

**Bootstrapping Unit Root Tests with Covariates**

*by*Chang, Yoosoon & Sickles, Robin C. & Song, Wonho

**Empleo Femenino, Pobreza y Desigualdad: Un Análisis de Microdescomposiciones. Uruguay 1991- 2012**

*by*Cecilia Parada

**Financial Bubble Implosion**

*by*Peter C.B. Phillips & Shu-Ping Shi

**Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers**

*by*Escribano, Álvaro & Blazsek, Szabolcs

**Skewness Term Structure Tests**

*by*Thorsten Lehnert & Yuehao Lin

**Evaluating Option Pricing Model Performance Using Model Uncertainty**

*by*Thorsten Lehnert & Gildas Blanchard & Dennis Bams

**Skewness Risk Premium: Theory and Empirical Evidence**

*by*Christian Wolff & Thorsten Lehnert & Yuehao Lin

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**Specific Markov-switching behaviour for ARMA parameters**

*by*CARPANTIER, Jean-François & DUFAYS, Arnaud

**Which team will win the 2014 FIFA World Cup? A Bayesian approach for dummies**

*by*Andrés Ramírez Hassan & Johnatan Cardona Jiménez

**Distribución Hiperbólica Generalizada: Una Aplicación en la Selección de Portafolios y Cuantificación de Medidas de Riesgo de Mercado**

*by*José Luis Alayón

**Identification-robust inference for endogeneity parameters in linear structural models**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**Adaptive Markov chain Monte Carlo sampling and estimation in Mata**

*by*Matthew J. Baker

**Optimal Bail-out and Bail-in policy mix: Lessons from the Banco Espírito Santo (BES) failure**

*by*Miguel Rocha de Sousa

**Direct Distribution of Rents and the Resource Curse in Iran: A Micro-econometric Analysis**

*by*Mohammad Reza Farzanegan & Mohammad Habibpour

**Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes**

*by*Hynek Lavicka & Tomas Lichard & Jan Novotny

**Robustness of bootstrap in instrumental variable regression**

*by*Lorenzo Camponovo & Taisuke Otsu

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**A Monte Carlo Analysis of Alternative Meta-Analysis Estimators in the Presence of Publication Bias**

*by*W. Robert Reed & Raymond J.G.M. Florax & Jacques Poot

**On the Practice of Lagging Variables To Avoid Simultaneity**

*by*W. Robert Reed

**Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models**

*by*Pierre Perron & Wendong Shi

**pca2: implementing a strategy to reduce the instrument count in panel GMM**

*by*M. E. Bontempi & I. Mammi

**Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings**

*by*Sermin Gungor & Richard Luger

**Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment**

*by*Nicolas Labelle & Varya Taylor

**A simple and effective misspecification test for the double-hurdle model**

*by*Riccardo LUCCHETTI & Claudia PIGINI

**On Bootstrap Validity for Specification Tests with Weak Instruments**

*by*Firmin Doko Tchatoka

**Specification Tests with Weak and Invalid Instruments**

*by*Firmin Doko Tchatoka

**A Nonparametric Study of Real Exchange Rate Persistence over a Century**

*by*Hyeongwoo Kim & Deockhyun Ryu

**Indirect inference with time series observed with error**

*by*Eduardo Rossi & Paolo Santucci de Magistris

**Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading**

*by*Ulrich Hounyo

**The wild tapered block bootstrap**

*by*Ulrich Hounyo

**ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models**

*by*Michael Creel & Dennis Kristensen

**Bootstrapping Kernel-Based Semiparametric Estimators**

*by*Matias D. Cattaneo & Michael Jansson

**Discretization of Lévy semistationary processes with application to estimation**

*by*Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen

**Simulation of multivariate diffusion bridges**

*by*Mogens Bladt & Samuel Finch & Michael Sørensen

**Mjerenje međuzavisnosti poslovnih ciklusa i ekonomskoga rasta u Hrvatskoj primjenom spektralne analize**

*by*Marinko Škare

**Consistent estimation in pseudo panels in the presence of selection bias**

*by*Mora, Jhon James & Muro, Juan

**A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter**

*by*Donald W. K. Andrews & Patrik Guggenberger

**Testing Areal Interpolation Methods With Us Census 2010 Data**

*by*Huyen DO VAN & Christine THOMAS-AGNAN & Anne VANHEMS

**Business concentration through the eyes of the HHI**

*by*George Djolov

**The Time-Varying Risk And Return Trade-Off In Indian Stock Markets**

*by*ROSHNI MOHANTY & SRINIVASAN P

**Modelación del clima bajo un proceso estocástico de reversión a la media estacional / Modeling weather under a seasonal mean reversion stochastic process**

*by*Téllez Gaytán, Jesús Cuauhtémoc & Serrano Acevedo, María Eugenia & Rico Arias, Jaime Ángel

**Generating Covariances in multifactor CIR model**

*by*Wojciech Szatzschneider

**The Impact of customers' relation quality and sensing on the marketing performance for micro industries development in Banten Province, Indonesia**

*by*Suherna & Weksi Budiaji

**Forecast of Romanian Industry Employment using Simulation and Panel Data Models**

*by*Andreica, Madalina Ecaterina & Andreica, Marin

**Adequacy of Lagrange Multiplier Test**

*by*Lee , Mei-Yu

**Study of the relationship between innovation and export activity of Russian firms**

*by*Arkhipova, Marina & Aleksandrova, Elena

**Tax Compliance and Public Goods Provision. An Agent-based Econophysics Approach**

*by*Sascha Hokamp & Götz Seibold

**Where do Moderation Terms Come from in Binary Choice Models?**

*by*Alfredo A. Romero

**Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?**

*by*Małgorzata Doman & Ryszard Doman

**Divergent Priors and Well Behaved Bayes Factors**

*by*Rodney W. Strachan & Herman K. van Dijk

**Statistical Matching of Income and Consumption Expenditures**

*by*Gabriella Donatiello & Marcello D’Orazio & Doriana Frattarola & Antony Rizzi & Mauro Scanu & Mattia Spaziani

**Linkages between the Financial and Real Sectors across Interest Rate Regimes: The Case of the Czech Republic**

*by*Tomas Konecny

**The Modifiable Areal Unit Problem – Analysis Of Correlation And Regression**

*by*Michal Bernard Pietrzak

**Redefining The Modifiable Areal Unit Problem Within Spatial Econometrics, The Case Of The Aggregation Problem**

*by*Michal Bernard Pietrzak

**Redefining The Modifiable Areal Unit Problem Within Spatial Econometrics, The Case Of The Scale Problem**

*by*Michal Bernard Pietrzak

**New Strategies to Improve the Accuracy of Predictions based on Monte Carlo and Bootstrap Simulations: An Application to Bulgarian and Romanian Inflation || Nuevas estrategias para mejorar la exactitud de las predicciones de inflación en Rumanía y Bulgaria usando simulaciones Monte Carlo y Bootstrap**

*by*Simionescu, Mihaela

**The Impact of E.U. Founds between 2007-2013**

*by*Ciobanu Carmen Liliana

**Econometric Model For Forecasting Traffic On Croatian Motorways**

*by*Drago Pupavac

**Financial bubbles and recent behaviour of the Latin American stock markets**

*by*Jorge Uribe & Julián Fernández

**Improving quarterly index of turnover by means of a calibration estimator**

*by*Fabio Bacchini & Claudio Ceccarelli & Diego Chianella & Roberto Iannaccone

**Methods for variance estimation under random hot deck imputation in business surveys**

*by*Paolo Righi & Stefano Falorsi & Andrea Fasulo

**Comparing Two Methods of Reweighting a Survey File to Small Area Data**

*by*Robert Tanton & Paul Williamson & Ann Harding

**A Review of Spatial Microsimulation Methods**

*by*Robert Tanton

**Constructing an Urban Microsimulation Model to Assess the Influence of Demographics on Heat Consumption**

*by*M. Esteban Muñoz H. & Irene Peters

**Modelling the impact of declining Australian terms of trade on the spatial distribution of income**

*by*Yogi Vidyattama & Maheshwar Rao & Itismita Mohanty & Robert Tanton

**The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models**

*by*Mei-Yu LEE

**Property Assets Fair Value Accounting Under Uncertainty**

*by*Anastasios Tsamis & Konstantinos Liapis

**Las transferencias públicas y su efecto distributivo. La experiencia de los países del Cono Sur en el decenio de los 2000**

*by*Alejo, Javier. & Bérgolo, Marcelo. & Carbajal, Fedora.

**Cálculo de VaR a partir de simulaciones Monte Carlo de rendimientos de activos financieros, con distribuciones no paramétricas y dependientes, utilizando el Método de Iman-Conover**

*by*Juan Sampieri Espinoza & Barbara Ruth Trejo Becerril & Luis Manuel González de Salceda Ruiz

**Income tax evasion dynamics: Evidence from an agent-based econophysics model**

*by*Pickhardt, Michael & Seibold, Goetz

**Non-linear adjustments to intranational PPP**

*by*Woo, Kai-Yin & Lee, Shu-Kam & Chan, Alan

**The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk**

*by*Feldkircher, Martin

**Measuring the effects of reducing subsidies for private insurance on public expenditure for health care**

*by*Cheng, Terence Chai

**Flexible dependence modeling of operational risk losses and its impact on total capital requirements**

*by*Brechmann, Eike & Czado, Claudia & Paterlini, Sandra

**Systemic risk in an interconnected banking system with endogenous asset markets**

*by*Bluhm, Marcel & Krahnen, Jan Pieter

**A sovereign risk index for the Eurozone based on stochastic dominance**

*by*Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis

**Liquidity risk and the performance of UK mutual funds**

*by*Foran, Jason & O'Sullivan, Niall

**Performance and performance persistence of UK closed-end equity funds**

*by*Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C.

**On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility**

*by*Jebabli, Ikram & Arouri, Mohamed & Teulon, Frédéric

**Exploring the impacts of a carbon tax on the Chinese economy using a CGE model with a detailed disaggregation of energy sectors**

*by*Guo, Zhengquan & Zhang, Xingping & Zheng, Yuhua & Rao, Rao

**Design of experiments applied to environmental variables analysis in electricity utilities efficiency: The Brazilian case**

*by*Leme, Rafael C. & Paiva, Anderson P. & Steele Santos, Paulo E. & Balestrassi, Pedro P. & Galvão, Leandro de Lima

**Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects**

*by*Vianello, Juliano Melquiades & Costa, Leticia & Teixeira, José Paulo

**The incentive to invest in thermal plants in the presence of wind generation**

*by*Di Cosmo, Valeria & Malaguzzi Valeri, Laura

**A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models**

*by*Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud

**Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange**

*by*Gómez-González, José Eduardo & Sanabria-Buenaventura, Elioth Mirsha

**Minimum distance estimation of the errors-in-variables model using linear cumulant equations**

*by*Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M.

**Improved inference in the evaluation of mutual fund performance using panel bootstrap methods**

*by*Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian

**Consistent estimation with many moment inequalities**

*by*Menzel, Konrad

**A predictability test for a small number of nested models**

*by*Granziera, Eleonora & Hubrich, Kirstin & Moon, Hyungsik Roger

**Nonparametric estimation and inference for conditional density based Granger causality measures**

*by*Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar

**Maximum likelihood estimation of partially observed diffusion models**

*by*Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J.

**A fast resample method for parametric and semiparametric models**

*by*Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han

**Nonparametric inference based on conditional moment inequalities**

*by*Andrews, Donald W.K. & Shi, Xiaoxia

**Marginal likelihood for Markov-switching and change-point GARCH models**

*by*Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.

**Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators**

*by*Lee, Seojeong

**Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV**

*by*Fan, Yanqin & Park, Sang Soo

**Time-varying sparsity in dynamic regression models**

*by*Kalli, Maria & Griffin, Jim E.

**The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break**

*by*Neto, David

**On testing for nonlinearity in multivariate time series**

*by*Psaradakis, Zacharias & Vávra, Marián

**Aggregation of the generalized fractional processes**

*by*Sun, Jingwei & Shi, Wendong

**On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators**

*by*Chau, Tak Wai

**A simple and effective misspecification test for the double-hurdle model**

*by*Lucchetti, Riccardo & Pigini, Claudia

**Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes**

*by*Iorio, Francesca Di & Fachin, Stefano

**Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain**

*by*Dong, Yinghui & Wang, Guojing

**Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area**

*by*Bekiros, Stelios

**A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices**

*by*Kumar, Dilip & Maheswaran, S.

**Analyses of retirement benefits with options**

*by*Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan

**Correlated income shocks and excess smoothness of consumption**

*by*Hryshko, Dmytro

**Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors**

*by*Lee, Yongwoong & Poon, Ser-Huang

**Equilibrium Heterogeneous-Agent models as measurement tools: Some Monte Carlo evidence**

*by*Cozzi, Marco

**Do firms share the same functional form of their growth rate distribution? A statistical test**

*by*Lunardi, José T. & Miccichè, Salvatore & Lillo, Fabrizio & Mantegna, Rosario N. & Gallegati, Mauro

**Extracting market information from equity options with exponential Lévy processes**

*by*Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S.

**Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina**

*by*Uribe, Jorge & Fernández, Julián

**Evaluando las intervenciones cambiarias en Colombia: 2004-2012**

*by*Mauricio Lopera & Ramón Javier Mesa & Charle Londoño

**Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries**

*by*Kuo-Hao Lee & Ahmed Elkassabgi & Wei-Jen Hsieh

**Performance of mutual equity funds in Brazil – A bootstrap analysis**

*by*Marco Antonio Laes & Marcos Eugênio da Silva

**Mathematics Understanding Of Economy By The General Public In The Economic Departments**

*by*Tomita Vasile & Cora Ionela Daniasa

**REVIEW OF JOOP J. HOX MULTILEVEL ANALYSIS – TECHNIQUES AND APPLICATIONS, Second Edition, Routledge (2010)**

*by*Roxana-Otilia-Sonia HRITCU

**Monetary Policy Transmission Mechanism And Dynamic Factor Models**

*by*Andreea ROSOIU

**A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa**

*by*Rangan Gupta & Charl Jooste & Kanyane Matlou

**Pobreza monetaria. Crecimiento y redistribución**

*by*Uribe, Alejandra & Hernani-Limarino, Werner L.

**Decomposing differences in employment outcomes between Kanak and other New Caledonians: how important is the role of school achievement?**

*by*Catherine Ris & Samuel Gorohouna

**Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors**

*by*Kripfganz, Sebastian & Schwarz, Claudia

**Methods for calculating cartel damages: A survey**

*by*Doose, Anna Maria

**Cascades in real interbank markets**

*by*Karimi, Fariba & Raddant, Matthias

**Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress**

*by*Odermann, Alexander & Cremers, Heinz

**Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions**

*by*Eisele, Martin & Zhu, Junyi

**Analysis of discrete dependent variable models with spatial correlation**

*by*Liesenfeld, Roman & Richard, Jean-François & Vogler, Jan

**Pattern, Determinants and Dynamics of Austrian Service Exports – A Firmlevel Analysis**

*by*Yvonne Wolfmayr & Elisabeth Christen & Michael Pfaffermayr

**Robust estimation of the Pareto index: A Monte Carlo Analysis**

*by*Michał Brzeziński

**Controlling for overlap in matching**

*by*Paweł Strawiński

**The pricing of options on WIG20 using GARCH models**

*by*Szymon Kamiński

**Asymptotic and bootstrap inference for top income shares**

*by*Michał Brzeziński

**Adaptive Sticky Generalized Metropolis**

*by*Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino

**Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Bayesian Markov Switching Stochastic Correlation Models**

*by*Roberto Casarin & Marco Tronzano & Domenico Sartore

**Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Credit Derivative Evaluation and CVA under the Benchmark Approach**

*by*Jan Baldeaux & Eckhard Platen

**Understanding FX Liquidity**

*by*Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul

**Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously**

*by*Trojan, Sebastian

**Estimation of rates of return of social protection instruments. Making the case for non-contributory social transfers in Cambodia**

*by*Mideros A. & Gassmann F. & Mohnen P.

**Robust block bootstrap panel predictability tests**

*by*Westerlund J. & Smeekes S.

**Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study**

*by*Alberto Fernández Muñoz de Morales

**Modelling and Simulation: An Overview**

*by*Michael McAleer & Les Oxley & Felix Chan

**Ranking Law Journals and the Limits of Journal Citation Reports**

*by*Eisenberg, Theodore & Wells, Martin T.

**The Impacts of Social Networks on Immigrants’ Employment Prospects: The Spanish Case 1997-2007**

*by*Luciana Méndez Errico

**Adjustable Robust Parameter Design with Unknown Distributions**

*by*Yanikoglu, I. & den Hertog, D. & Kleijnen, Jack P.C.

**Factor Screening For Simulation With Multiple Responses : Sequential Bifurcation**

*by*Shi, W. & Kleijnen, Jack P.C. & Liu, Zhixue

**Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Modelling and Simulation: An Overview**

*by*Michael McAleer & Felix Chan & Les Oxley

**Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation**

*by*Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk

**Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**On bootstrap validity for specification tests with weak instruments**

*by*Doko Tchatoka, Firmin

**Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators**

*by*Seojeong Lee

**Testing for linear and Markov switching DSGE models**

*by*Marian Vavra

**Testing for non-linearity in multivariate stochastic processes**

*by*Marian Vavra

**Testing for marginal asymmetry of weakly dependent processes**

*by*Marian Vavra

**Mismatch, Sorting and Wages Dynamics**

*by*Jeremy Lise & Costas Meghir & Jean-Marc Robin

**Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**LM Tests of Spatial Dependence Based on Bootstrap Critical Values**

*by*Zhenlin Yang

**Disaggregate Analysis of Broad Money and Outlook of Key Monetary Aggregates**

*by*Asad Jan & Mansoor Saleem & Aqeel Ahmad & Arshad Riaz

**Spatial Dependencies of Wind Power and Interrelations with Spot Price Dynamics**

*by*Elberg, Christina & Hagspiel, Simeon

**Can Global Value Chains Effectively Serve Regional Economic Development in Asia?**

*by*Brunner, Hans-Peter

**A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance**

*by*Elettra Agliardi & Mehmet Pinar & Thanasis Stengos

**Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Euro – How Big a Difference: Finland and Sweden in Search of Macro Stability**

*by*Suni, Paavo & Vihriälä, Vesa

**The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach**

*by*Andrea Carriero & Haroon Mumtaz & Konstantinos Theodoridis & Angeliki Theophilopoulou

**Equilibrium Heterogeneous-Agent Models as Measurement Tools: some Monte Carlo Evidence**

*by*Marco Cozzi

**Selecting the W Matrix: Parametric vs. Non Parametric Approaches**

*by*Mur Lacambra, Jesús & Herrera Gómez, Marcos & Ruiz Marin, Manuel

**Periodic autoregressive stochastic volatility**

*by*Aknouche, Abdelhakim

**Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors**

*by*Degiannakis, Stavros & Livada, Alexandra

**International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach**

*by*Muteba Mwamba, John & Mokwena, Paula

**Rtadf: Testing for Bubbles with EViews**

*by*Caspi, Itamar

**Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions**

*by*Martin, Eisele & Zhu, Junyi

**Estimating International Migration on the Base of Small Area Techniques**

*by*Voineagu, Vergil & Caragea, Nicoleta & Pisica, Silvia

**Discrete Rule Learning and the Bidding of the Sexes**

*by*Shachat, Jason & Wei, Lijia

**NIG-Levy process in asset price modeling: case of Estonian companies**

*by*Teneng, Dean

**Overnight Index Rate: Model, Calibration, and Simulation**

*by*Yashkir, Yuriy & Yashkir, Olga

**On bootstrap validity for specification tests with weak instruments**

*by*Doko Tchatoka, Firmin

**Stability analysis of Uzawa-Lucas endogenous growth model**

*by*Barnett, William A. & Ghosh, Taniya

**Relevant States and Memory in Markov Chain Bootstrapping and Simulation**

*by*Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian

**Estimation of Inefficiency using a Firm-specific Frontier Model**

*by*Das, Arabinda

**Easy and flexible mixture distributions**

*by*Fosgerau, Mogens & Mabit, Stefan

**Detecting dependence between spatial processes**

*by*Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús

**A Mixed Micro-Macro Approach To Statistical Disclosure Control For Macrodata**

*by*Cristina Matias & Pedro Campos

**Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi**

*by*Flavio ANGELINI & Stefano HERZEL & Marco NICOLOSI

**Redefining The Modifiable Areal Unit Problem Within Spatial Econometrics, The Case Of The Scale Problem**

*by*Michal Bernard Pietrzak

**Operadores Moviles Virtuales: Funcionamiento, Experiencia Internacional y Recomendaciones sobre Modificaciones Normativas necesarias para su eventual funcionamiento en el Peru**

*by*Claudia Barriga & Manuel Gavilano & Daniel Argandona

**Sequential Monte Carlo Sampling for DSGE Models**

*by*Edward P. Herbst & Frank Schorfheide

**The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications**

*by*Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez

**Career Progression, Economic Downturns, and Skills**

*by*Jerome Adda & Christian Dustmann & Costas Meghir & Jean-Marc Robin

**Mismatch, Sorting and Wage Dynamics**

*by*Jeremy Lise & Costas Meghir & Jean-Marc Robin

**On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous**

*by*Jan F. KIVIET & Jerzy NIEMCZYK

**Investment Frictions and the Aggregate Output Loss in China**

*by*Guiying (Laura) Wu

**A Structural Estimation on Capital Market Distortions in Chinese Manufacturing**

*by*Zheng (Michael) Song & Guiying (Laura) Wu

**Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models**

*by*Stelios Bekiros & Alessia Paccagnini

**Evidence for the “Suicide by Firearm” Proxy for Gun Ownership from Austria**

*by*Christian Westphal

**Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence**

*by*Antonia Arsova & Deniz Dilan Karaman Oersal

**Too many skew normal distributions? The practitioner’s perspective**

*by*Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova

**Modelling and Simulation: An Overview**

*by*Michael McAleer & Felix Chan & Les Oxley

**Identifying Genuine Effects in Observational Research by Means of Meta-Regressions**

*by*Stephan B. Bruns

**Distance-Based Methods: An improvement of Ripley’s K function vs. the K density function**

*by*José M. Albert & Marta R. Casanova & Jorge Mateu & Vicente Orts

**Does social capital matter for European regional growth?**

*by*Jesús Peiró-Palomino & Anabel Forte Deltell

**Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies**

*by*Advani, Arun & Sloczynski, Tymon

**Modeling Income Dynamics for Public Policy Design: An Application to Income Contingent Student Loans**

*by*Higgins, Tim & Sinning, Mathias

**Determinants and Policy Simulation of Firms Cooperation in Innovation**

*by*Heshmati, Almas & Lenz-Cesar, Flávio

**Spatial Chow-Lin Models for Completing Growth Rates in Cross-sections**

*by*Wolfgang Polasek

**A nonparametric test of a strong leverage hypothesis**

*by*Oliver Linton & Yoon-Jae Whang & Yu-Min Yen

**Calculating confidence intervals for continuous and discontinuous functions of parameters**

*by*Tiemen M. Woutersen & John Ham

**Specification tests for partially identified models defined by moment inequalities**

*by*Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi

**Moment-Based Tests for Discrete Distributions**

*by*Bontemps, Christian

**Adaptive Markov chain Monte Carlo sampling and estimation in Mata**

*by*Matthew J. Baker

**Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed**

*by*Hadri, Kaddour & Kurozumi, Eiji & Rao, Yao

**Resolving the Coordination Problem in Health Care: Limited Responsibility HMO:s**

*by*Lundbäck, Mattias

**A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models**

*by*Li, Yushu & Andersson, Fredrik N. G.

**Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements**

*by*Reese, Simon & Li, Yushu

**Rejection Probabilities for a Battery of Unit-Root Tests**

*by*Maican, Florin G. & Sweeney, Richard J.

**Obtaining reliable Likelihood Ratio tests from simulated likelihood functions**

*by*Laura Mørch Andersen

**Time-varying structural vector autoregressions and monetary policy: a corrigendum**

*by*Del Negro, Marco & Primiceri, Giorgio E.

**Minimum distance estimation of possibly non-invertible moving average models**

*by*Gospodinov, Nikolay & Ng, Serena

**A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics**

*by*Assa, Hirbod & Dabbous, Amal & Gospodinov, Nikolay

**A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains**

*by*Gospodinov, Nikolay & Lkhagvasuren, Damba

**Economic Cycles and Their Synchronization: A Survey of Spectral Properties**

*by*L. Sella & G. Vivaldo & A. Groth & M. Ghil

**Stochastic public debt projections using the historical variance-covariance matrix approach for EU countries**

*by*Katia Berti

**Modelling and Simulation: An Overview**

*by*McAleer, M.J. & Chan, F. & Oxley, L.

**How wrong can you be, without noticing? Further evidence on speci cation errors in the Conditional Logit**

*by*Tomás del Barrio Casto & William Nilsson & Andrés J. Picazo-Tadeo

**Is the eco-efficiency in greenhouse gas emissions converging among European Union countries?**

*by*Mariam Camarero & Juana Castillo Giménez & Andrés J. Picazo-Tadeo & Cecilio Tamarit

**Through the Looking Glass: Indirect Inference via Simple Equilibria**

*by*Calvet , Laurent & Czellar, Veronika

**On Uniform Inference in Nonlinear Models with Endogeneity**

*by*Shakeeb Khan & Denis Nekipelov

**A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio**

*by*Jan Willem van den End

**Las Transferencias Públicas y su impacto distributivo: La Experiencia de los Países del Cono Sur en la década de 2000**

*by*Javier Alejo & Marcelo Bérgolo & Fedora Carbajal

**Testing for Multiple Bubbles: Limit Theory of Real Time Detectors**

*by*Peter C.B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500**

*by*Peter C.B. Phillips & Shu-Ping Shi & Jun Yu

**Mismatch, Sorting and Wage Dynamics**

*by*Jeremy Lise & Costas Meghir & Jean-Marc Robin

**Modelling long term trend and local spatial correlation: a mixed penalized spline and spatial econometrics approach**

*by*Lee, Dae-Jin & Montero, José María & Durbán, María & Mínguez, Román

**The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications**

*by*Andreasen, Martin M. & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco

**Skewness Risk Premium: Theory and Empirical Evidence**

*by*Lehnert, Thorsten & Lin, Yuehao & Wolff, Christian C

**Testing for multiple bubbles with daily data**

*by*Uribe Gil, Jorge Mario

**Aproximación al fenómeno de histéresis en el mercado laboral para siete áreas metropolitanas en Colombia**

*by*Zambrano Jurado, Juan Carlos

**Evaluating the Links Between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic**

*by*Tomas Konecny & Oxana Babecka Kucharcukova

**Efficient estimation using the Characteristic Function**

*by*Marine Carrasco & Rachidi Kotchoni

**Credit Shocks and Macroeconomic Fluctuations in Emerging Markets**

*by*Houssa Romain & Jolan Mohimont & Chris Otrok

**A Method Of Correcting For Misreporting Applied To The Food Stamp Program**

*by*Nikolas Mittag

**The dynamics of trading duration, volume and price volatility – a vector MEM model**

*by*Xu, Yongdeng

**Disequilibrium in the Indian Registered Manufacturing Sector-A Simulated Maximum Likelihood Analysis**

*by*HARISH MANI & V. PANDIT & R. PRABHAKAR RAO

**Consistent Estimation of Agent-Based Models by Simulated Minimum Distance**

*by*Jakob Grazzini & Matteo G. Richiardi

**A Note on the Practice of Lagging Variables to Avoid Simultaneity**

*by*W. Robert Reed

**Modeling and Simulation: An Overview**

*by*Michael McAleer & Felix Chan & Les Oxley

**‘Small Area Social Indicators for the Indigenous Population: Synthetic data methodology for creating small area estimates of Indigenous disadvantage’**

*by*Yogi Vidyattama & Robert Tanton & Nicholas Biddle

**Fuel Panics - insights from spatial agent-based simulation**

*by*Eben Upton & William J. Nuttall

**Contagion in the interbank network : An epidemiological approach**

*by*Toivanen, Mervi

**Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach**

*by*Darne, O. & Levy-Rueff, O. & Pop, A.

**Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances**

*by*Sermin Gungor & Richard Luger

**Indirect Likelihood Inference (revised)**

*by*Michael Creel & Dennis Kristensen

**Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems**

*by*Marcel Aloy & Gilles de Truchis

**Prediction of the Prefectural Economy in Japan Using a Stochastic Model**

*by*Sakamoto, Hiroshi

**A Nonparametric Study of Real Exchange Rate Persistence over a Century**

*by*Hyeongwoo Kim & Deockhyun Ryu

**A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method**

*by*Asger Lunde & Anne Floor Brix & Wei Wei

**Polynomial Regressions and Nonsense Inference**

*by*Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero

**Bootstrapping realized volatility and realized beta under a local Gaussianity assumption**

*by*Ulrich Hounyo

**Bootstrapping pre-averaged realized volatility under market microstructure noise**

*by*Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi

**The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications**

*by*Martin M. Andreasen & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez

**Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Fractional cointegration rank estimation**

*by*Katarzyna Lasak & Carlos Velasco

**Income Distribution in Computable General Equilibrium Modeling**

*by*Bourguignon, François & Bussolo, Maurizio

**Solving Games and All That**

*by*Saffidine, Abdallah

**Disminución del riesgo electoral mediante un algoritmo híbrido**

*by*Rincón García, Eric Alfredo & Magno Rico, Luis Fernando

**Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles**

*by*Xi Chen & Michael Funke

**Industrial dynamics in Bulgaria – the connection between past and future: The Case of Food and Beverage Industry**

*by*Diana Kopeva & Dimitar Blagoev & Nikolay Sterev

**The Interaction Of Structural Changes With Inflation in the Presence of Symetric and Asymetric Economic Behaviours – Evidence from a General Dynamic Intersectoral Model**

*by*Dospinescu, Andrei Silviu & Mitrofan, Maria

**Optimal investment paths during the life cycle of a multi-funds system**

*by*Arboleda, Alejandra & Soto, Carlos & Gutierrez, Juan

**Discrete choice modeling and demand estimation for diapers (in Russian)**

*by*Anna Anikina

**A Note on Lenk’s Correction of the Harmonic Mean Estimator**

*by*Anna Pajor & Jacek Osiewalski

**Estimating Correlated Jumps and Stochastic Volatilities**

*by*Jiří Witzany

**Aplicación de una metodología difusa a la negociación de la reforma laboral || Methodology Based on Fuzzy Logic Techniques for Searching a Solution Reached by Consensus about the Labour Reform**

*by*Lozano Gutiérrez, M. Carmen & Fernández Fernández, Melchor

**Data Mining - an Instrument Managing the Knowledge Collected for the Enterprise**

*by*Oncioiu Ionica

**Analysis of the Degree of Absorption of EU Funds, 2007-2013**

*by*Ciobanu Carmen Liliana

**The Measurement And Evaluation Of The Internal Communication Process In Project Management**

*by*Pop Alexandra Mihaela & Dumitrascu Danut & &

**Riesgo operacional en el proceso de pago del Procampo. Un enfoque bayesiano**

*by*Martínez Sánchez José Francisco & Venegas Martínez

**Visualizing multinational daily life via multidimensional scaling (MDS)**

*by*John P. Robinson & Jonathan Gershuny

**A test for the existence of a fractional root in a non-stationary time series**

*by*Diego Lemus & Elkin Castaño

**Relación de Kuznets en América Latina. Explorando más allá de la media condicional**

*by*Javier Alejo

**A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével**

*by*Nagy, Tamás

**A Simple Method For Measuring Systemic Risk Using Credit Default Swap Market Data**

*by*SANGWON SUH & INWON JANG & MISUN AHN

**Statistical Power Comparisons For Equal Skewness Different Kurtosis And Equal Kurtosis Different Skewness Coefficients In Nonparametric Tests**

*by*Otuken Senger

**Cuantificación de las pérdidas inesperadas ocasionadas por la delincuencia en Ecuador**

*by*Yannira Chávez & Patricia Cortez & Paúl Medina

**Tax-benefit systems, income distribution and work incentives in the European Union**

*by*H. Xavier Jara & Alberto Tumino

**The Application of a Grey Markov Model in Forecasting the Errors of EIA’s Projections in Gas Production and Energy Intensity**

*by*Seyed Hossein Iranmanesh & Hamidreza Mostafaei & Shaghayegh Kordnoori

**Prediction Of The Prefectural Economy In Japan Using A Stochastic Model**

*by*Hiroshi Sakamoto

**Does Openness Increase the Efficiency of China¡¯s Manufacturing Firms? Evidence from the World Bank Investment Climate Survey**

*by*Wenjun Liu & Shuliang Zou

**Riesgo operacional en la banca trasnacional: un enfoque bayesiano**

*by*José Francisco Martínez-Sánchez & Francisco Venegas-Martínez

**Estimation of tail-related risk measures in the Indian stock market: An extreme value approach**

*by*Karmakar, Madhusudan

**Estimation of the spatial weights matrix under structural constraints**

*by*Bhattacharjee, Arnab & Jensen-Butler, Chris

**And yet they Co-move! Public capital and productivity in OECD**

*by*Bottasso, Anna & Castagnetti, Carolina & Conti, Maurizio

**Does the forward premium puzzle disappear over the horizon?**

*by*Snaith, Stuart & Coakley, Jerry & Kellard, Neil

**Systemic risk contributions: A credit portfolio approach**

*by*Puzanova, Natalia & Düllmann, Klaus

**Real exchange rate adjustment in European transition countries**

*by*Maican, Florin G. & Sweeney, Richard J.

**Dynamic hedge fund portfolio construction: A semi-parametric approach**

*by*Harris, Richard D.F. & Mazibas, Murat

**Cross-country effects of regulatory capital arbitrage**

*by*Milcheva, Stanimira

**Choosing a random distribution with prescribed risks**

*by*Cascos, Ignacio & Molchanov, Ilya

**Control variates and conditional Monte Carlo for basket and Asian options**

*by*Dingeç, Kemal Dinçer & Hörmann, Wolfgang

**Causes of nonlinearities in low-order models of the real exchange rate**

*by*Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena

**Continuous-time VIX dynamics: On the role of stochastic volatility of volatility**

*by*Kaeck, Andreas & Alexander, Carol

**Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence**

*by*Degiannakis, Stavros & Floros, Christos & Dent, Pamela

**Real wages and the family: Adjusting real wages to changing demography in pre-modern England**

*by*Schneider, Eric B.

**Risk–return incentives in liberalised electricity markets**

*by*Lynch, Muireann Á. & Shortt, Aonghus & Tol, Richard S.J. & O'Malley, Mark J.

**Performance, stock selection and market timing of the German equity mutual fund industry**

*by*Cuthbertson, Keith & Nitzsche, Dirk

**Time-varying combinations of predictive densities using nonlinear filtering**

*by*Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K.

**Dilation bootstrap**

*by*Galichon, Alfred & Henry, Marc

**Panel unit root tests in the presence of a multifactor error structure**

*by*Pesaran, M. Hashem & Vanessa Smith, L. & Yamagata, Takashi

**Methods for computing marginal data densities from the Gibbs output**

*by*Fuentes-Albero, Cristina & Melosi, Leonardo

**Maximum likelihood estimation and uniform inference with sporadic identification failure**

*by*Andrews, Donald W.K. & Cheng, Xu

**Bootstrapping realized multivariate volatility measures**

*by*Dovonon, Prosper & Gonçalves, Sílvia & Meddahi, Nour

**Easy and flexible mixture distributions**

*by*Fosgerau, Mogens & Mabit, Stefan L.

**Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures**

*by*Meng, Ming & Lee, Hyejin & Cho, Myeong Hyeon & Lee, Junsoo

**News impact curve for stochastic volatility models**

*by*Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki

**Asymptotic and bootstrap inference for top income shares**

*by*Brzezinski, Michal

**Volatility and persistence of simulated DSGE real exchange rates**

*by*Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena

**Model selection for regression with heteroskedastic and autocorrelated errors**

*by*Mao, Guangyu

**A comparison of industry classification schemes: A large sample study**

*by*Hrazdil, Karel & Trottier, Kim & Zhang, Ray

**Are the determinants of CO2 emissions converging among OECD countries?**

*by*Camarero, Mariam & Picazo-Tadeo, Andrés J. & Tamarit, Cecilio

**Modeling income dynamics for public policy design: An application to income contingent student loans**

*by*Higgins, Tim & Sinning, Mathias

**Is electricity more important than natural gas? Partial liberalizations of the Western European energy markets**

*by*Golombek, Rolf & Brekke, Kjell Arne & Kittelsen, Sverre A.C.

**Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue**

*by*de Truchis, Gilles

**Trade openness and economic growth: Bayesian model averaging estimate of cross-country growth regressions**

*by*Eriṣ, Mehmet N. & Ulaṣan, Bülent

**An automatic bias correction procedure for volatility estimation using extreme values of asset prices**

*by*Maheswaran, S. & Kumar, Dilip

**An empirical estimation for mean-reverting coal prices with long memory**

*by*Sun, Qi & Xu, Weijun & Xiao, Weilin

**Fundamental traders' ‘tragedy of the commons’: Information costs and other determinants for the survival of experts and noise traders in financial markets**

*by*Witte, Björn-Christopher

**Detecting sudden changes in volatility estimated from high, low and closing prices**

*by*Kumar, Dilip & Maheswaran, S.

**Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP**

*by*Ahamada, Ibrahim & Jolivaldt, Philippe

**Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process**

*by*Degiannakis, Stavros & Livada, Alexandra

**Dependence of defaults and recoveries in structural credit risk models**

*by*Schäfer, Rudi & Koivusalo, Alexander F.R.

**Causality between GDP, Energy and Coal Consumption in India, 1970-2011: A Non-parametric Bootstrap Approach**

*by*Rohin Anhal

**¿Puede una expansión educativa reducir la desigualdad? Un ejercicio de microsimulaciones para Colombia**

*by*Juan Pablo Uribe

**Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria**

*by*Lemus Polanía, Diego Fernando & Castaño Vélez, Elkin Argemiro

**Calidad de vida y ciudad: análisis del nivel de desarrollo en Bogotá a través del método de necesidades básicas insatisfechas**

*by*Andrés Torres & Sandra Méndez Fajardo & Liliana López Kleine & Sandra Galarza Molina, Nicolás Oviedo

**Sistema de inferencia difuso para la inflación en Colombia**

*by*Jacobo Campo Robledo & Mónica Enciso Pulido & Andrés Acosta Hernández

**Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu**

*by*Mauricio Lopera Castaño & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londoño Henao

**Monetary Policy Transmission Mechanism And Tvp-Var Model**

*by*Andreea A. ROSOIU

**Computing risk measures for non-normal asset returns using Copula theory**

*by*Hela Mzoughi & Faysal Mansouri

**Analizando el riesgo sistémico en Bolivia: una aplicación de modelos de topología de redes y simulación al funcionamiento del Sistema de Pagos de Alto Valor**

*by*Jonnathan Cáceres Santos and René Aldazosa Inchauste

**Sistema de inferencia difuso para la inflación en Colombia**

*by*Mónica Enciso Pulido & Andrés Acosta Hernández & Jacobo Campo Robledo

**A Macro-econometric Model for the Sudan Economy**

*by*Ahmed Elsheikh M. Ahmed & Omer Ali Ibrahim & Khalafalla Ahmed Mohamed Arabi

**Financial Contagion and Network Analysis**

*by*Martin Summer

**Predicting BRICS Stock Returns Using ARFIMA Models**

*by*Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford

**Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model**

*by*Goodness C. Aye & Rangan Gupta & Mampho P. Modise

**Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model**

*by*Vittorio Peretti & Rangan Gupta & Roula Inglesi-Lotz

**The Simar and Wilson’s Bootstrap DEA approach: a critique**

*by*Tziogkidis, Panagiotis

**Bootstrap DEA and Hypothesis Testing**

*by*Tziogkidis, Panagiotis

**La rémunération dans les fonds d’investissement : évaluation et traitement fiscal**

*by*Najar, Dorra

**Network formation with local complements and global substitutes: the case of R&D networks**

*by*Chih-Sheng Hsieh & Michael D. König & Xiaodong Liu

**Predicting Financial Crises: The (Statistical) Significance of the Signals Approach**

*by*El-Shagi, Makram & Knedlik, Tobias & von Schweinitz, Gregor

**Qual VAR Revisited: Good Forecast, Bad Story**

*by*El-Shagi, Makram & von Schweinitz, Gregor

**A note on the estimation of long-run relationships in panel equations with cross-section linkages**

*by*Di Iorio, Francesca & Fachin, Stefano

**Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall**

*by*Mehmke, Fabian & Cremers, Heinz & Packham, Natalie

**Passive investment strategies and financial bubbles**

*by*Fischer, Thomas

**Stress testing German banks against a global cost-of-capital shock**

*by*Duellmann, Klaus & Kick, Thomas

**Selection criteria for overlapping binary Models**

*by*M. T. Aparicio & I. Villanúa

**Testing CAPM with a Large Number of Assets**

*by*M Hashem Pesaran & Takashi Yamagata

**The challenge of incorporating external evidence in trial-based cost-effectiveness analyses: the use of resampling methods**

*by*Mohsen Sadatsafavi; & Carlo Marra; & Lawrence McCandless & Stirling Bryan

**Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory**

*by*Carlos Martins-Filho & Feng Yao & Maximo Torero

**Modeling of short term interest rate based on tempered fractional Langevin equation**

*by*Janusz Gajda

**Estimating the Final Size of an Online User Base**

*by*Steven Lim

**Monte Carlo likelihood inference in multivariate model-based geostatistics**

*by*Marco Minozzo & Clarissa Ferrari

**Monte Carlo likelihood inference for marked doubly stochastic Poisson processes with intensity driven by marked point processes**

*by*Marco Minozzo & Silvia Centanni

**Combining predictive densities using Bayesian filtering with applications to US economic data**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Combination schemes for turning point predictions**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Bayesian Graphical Models for Structural Vector Autoregressive Processes**

*by*Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin

**Efficient Gibbs Sampling for Markov Switching GARCH Models**

*by*Monica Billio & Roberto Casarin & Anthony Osuntuyi

**The Affine Nature of Aggregate Wealth Dynamics**

*by*Eckhard Platen & Renata Rendek

**Modeling of Oil Prices**

*by*Ke Du & Eckhard Platen & Renata Rendek

**A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model**

*by*Susanne Griebsch & Kay Pilz

**The Construction of Gross Income Variables of Eusilc (Eu Statistics on Income and Living Conditions) in Italy: A Mixed Strategy Using Microsimulation and Administrative Data**

*by*Gabriella Donatiello & Gianni Betti & Paolo Consolini

**Sunk costs, extensive R&D subsidies and permanent inducement effects**

*by*Arqué-Castells, Pere & Mohnen, Pierre

**Evaluating binary alignment methods in microsimulation models**

*by*Li, Jinjing & O'Donoghue, Cathal

**A methodological survey of dynamic microsimulation models**

*by*Li, Jinjing & O'Donoghue, Cathal

**Non-Balanced Growth and Production Technology Estimation**

*by*Miguel A León-Ledesma & Peter McAdam & Alpo Willman

**Long swings in Japan’s current account and in the yen**

*by*Müller-Plantenberg, Nikolas

**Estimating net chid care price elasticities of partnered women with pre-school children using a discrete structural labour supply-child care model**

*by*Xiaodong Gong & Robert Breunig

**Convex and Monotonic Bootstrapped Kriging**

*by*Kleijnen, Jack P.C. & Mehdad, E. & van Beers, W.C.M.

**Kriging in Multi-response Simulation, including a Monte Carlo Laboratory (Replaced by 2014-012)**

*by*Kleijnen, Jack P.C. & Mehdad, E.

**Factor Screening for Simulation with Multiple Responses : Sequential Bifurcation**

*by*Shi, W. & Kleijnen, Jack P.C. & Liu, Zhixue

**Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes**

*by*Jan F. Kiviet

**Time-varying Combinations of Predictive Densities using Nonlinear Filtering**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo**

*by*Arnold Zellner (posthumously) & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk

**The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation**

*by*Nalan Basturk & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk

**Identification-robust inference for endogeneity parameters in linear structural models**

*by*Doko Tchatoka, Firmin & Dufour, Jean-Marie

**Specification tests with weak and invalid instruments**

*by*Doko Tchatoka, Firmin

**On the validity of Durbin-Wu-Hausman tests for assessing partial exogeneity hypotheses with possibly weak instruments**

*by*Doko Tchatoka, Firmin

**Testing for partial exogeneity with weak identification**

*by*Doko Tchatoka, Firmin

**Value Creation in IT Service Platforms through Two-Sided Network Effects**

*by*Netsanet Haile & Jorn Altmann

**IT Service Platforms: Their Value Creation Model and the Impact of their Level of Openness on their Adoption**

*by*Selam Abrham Gebregiorgis & Jorn Altmann

**Impact of Pricing Schemes on a Market for Software-as-a-Service and Perpetual Software**

*by*Juthasit Rohitratana & Jorn Altmann

**Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models**

*by*Ye Chen & Jun Yu

**Testing for Multiple Bubbles**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Simulated Maximum Likelihood Estimation for Latent Diffusion Models**

*by*Tore Selland Kleppe & Jun Yu & Hans J. Skaug

**Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test**

*by*Francesca Di Iorio & Stefano Fachin

**Modelarea PIB-ului potential. Probleme intampinate in estimare**

*by*Pauna, Bianca

**Problema stabilitatii estimarilor econometrice si metode robuste de regresie ortogonala**

*by*Saman, Corina

**Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models**

*by*Martin Burda & John M. Maheu

**Measuring Human Development: A Stochastic Dominance Approach**

*by*Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou

**Identifying Speculative Bubbles with an Infinite Hidden Markov Model**

*by*Shu-Ping Shi & Yong Song

**Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle**

*by*Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan

**ROM Simulation: Applications to Stress Testing and VaR**

*by*Carol Alexander & Daniel Ledermann

**The Real Output Costs of Financial Crisis: A Loss Distribution Approach**

*by*Kapp, Daniel & Vega, Marco

**Bootstrap Confidence Sets with Weak Instruments**

*by*Russell Davidson & James G. MacKinnon

**Thirty Years of Heteroskedasticity-Robust Inference**

*by*James G. MacKinnon

**European Union Economy System Dynamic Model Development**

*by*Skribans, Valerijs

**On the epidemic of financial crises**

*by*Demiris, Nikolaos & Kypraios, Theodore & Smith, L. Vanessa

**Maximum Likelihood Estimator for Spatial Stochastic Frontier Models**

*by*Pavlyuk, Dmitry

**Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis**

*by*Mitkov, Yuliyan & Pericon, Osvaldo

**Multiple Fractional Response Variables with Continuous Endogenous Explanatory Variables**

*by*Nam, Suhyeon

**The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model**

*by*Matkovskyy, Roman

**The comparison of optimization algorithms on unit root testing with smooth transition**

*by*Omay, Tolga

**Reassessing effective protection rates in a trade in tasks perspective: Evolution of trade policy in "Factory Asia"**

*by*Diakantoni, Antonia & Escaith, Hubert

**The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market**

*by*Chia, Rui Ming Daryl & Lim, Kai Jie Shawn

**A Critical Evaluation of the Significance of Round Numbers in European Equity Markets in Light of the Predictions from Benford’s Law**

*by*Kalaichelvan, Mohandass & Lim Kai Jie, Shawn

**Transmission of fiscal policy shocks into Romania's economy**

*by*Serbanoiu, Georgian Valentin

**Algorithm for calculating corporate marginal tax rate using Monte Carlo simulation**

*by*Sinha, Pankaj & Bansal, Vishakha

**A strategy to reduce the count of moment conditions in panel data GMM**

*by*Bontempi, Maria Elena & Mammi, Irene

**Identification-robust inference for endogeneity parameters in linear structural models**

*by*Doko Tchatoka, Firmin & Dufour, Jean-Marie

**How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey?**

*by*D. Yıldırım, Burcu & Coskun, Yener & Caglar, Ozan & Yıldırak, Kasırga

**Specification Tests with Weak and Invalid Instruments**

*by*Doko Tchatoka, Firmin Sabro

**On the Validity of Durbin-Wu-Hausman Tests for Assessing Partial Exogeneity Hypotheses with Possibly Weak Instruments**

*by*Doko Tchatoka, Firmin

**Marginal Likelihood Estimation with the Cross-Entropy Method**

*by*Chan, Joshua & Eisenstat, Eric

**Testing for time-varying fractional cointegration using the bootstrap approach**

*by*Simwaka, Kisu

**A new model of trend inflation**

*by*Chan, Joshua & Koop, Gary & Potter, Simon

**Propriétés à distance finie d'estimateurs du modèle dynamique en données de panel à effets fixes lorsque N**

*by*Kuikeu, Oscar

**Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods**

*by*Chan, Joshua & Strachan, Rodney

**Dealing with small samples and dimensionality issues in data envelopment analysis**

*by*Zervopoulos, Panagiotis

**Choosing a retirement income strategy: a new evaluation framework**

*by*Pfau, Wade Donald

**Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach**

*by*Morone, Marco & Cornaglia, Anna & Mignola, Giulio

**An international perspective on “safe” savings rates for retirement**

*by*Pfau, Wade Donald & Kariastanto, Bayu

**Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques**

*by*Zvezdov, Ivelin

**Indirect estimation of GARCH models with alpha-stable innovations**

*by*Parrini, Alessandro

**Selecting between different productivity measurement approaches: An application using EU KLEMS data**

*by*Giraleas, Dimitris & Emrouznejad, Ali & Thanassoulis, Emmanuel

**Offre optimale de liquidité bancaire par la Banque Centrale : une approche microéconomique**

*by*TINANG NZESSEU, Jules Valery

**An automatic procedure for the estimation of the tail index**

*by*Gimeno, Ricardo & Gonzalez, Clara I.

**Validity and precision of estimates in the classical newsvendor model with exponential and rayleigh demand**

*by*Halkos, George & Kevork, Ilias

**Identifying speculative bubbles with an in finite hidden Markov model**

*by*Song, Yong & Shi, Shuping

**Selection of Control Variables in Propensity Score Matching: Evidence from a Simulation Study**

*by*Nguyen Viet, Cuong

**Evaluating alternative estimators for optimal order quantities in the newsvendor model with skewed demand**

*by*Halkos, George & Kevork, Ilias

**Comparing performance of statistical models for individual’s ability index and ranking**

*by*Iqbal, Javed

**Real output costs of financial crises: a loss distribution approach**

*by*Kapp, Daniel & Vega, Marco

**Real Output Costs of Financial Crises: a Loss Distribution Approach**

*by*Daniel Kapp & Marco Vega

**Robust inference on parameters via particle filters and sandwich covariance matrices**

*by*Neil Shephard & Arnaud Doucet

**Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts**

*by*Elena Rusticelli

**Assessing the Sensitivity of Hungarian Debt Sustainability to Macroeconomic Shocks under Two Fiscal Policy Reactions**

*by*Pierre Beynet & Edouard Paviot

**Robust inference on parameters via particle filters and sandwich covariance matrices**

*by*Arnaud Doucet & Neil Shephard

**Analysis of the Payment System of the National Bank of Serbia – simulation-based approach**

*by*Aleksandar Dimitrijevic & Milan Nikolic & Miro Vukoje

**Analysis of the Payment System of the National Bank of Serbia – simulation-based approach**

*by*Aleksandar Dimitrijevic & Milan Nikolic & Miro Vukoje

**The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation**

*by*Jan F. KIVIET & Milan PLEUS

**Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes**

*by*Jan F. KIVIET

**Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval**

*by*Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang

**Comparaison of several estimation procedures for long term behavior**

*by*Dominique Guegan & Zhiping Lu & BeiJia Zhu

**Exact and heuristic approaches for the index tracking problem with UCITS constraints**

*by*Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink

**Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints**

*by*Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink

**Comparing Hybrid DSGE Models**

*by*Alessia Paccagnini

**Value at Risk Model Used to Stock Prices Prediction**

*by*Radim Gottwald

**An Inventory of Canadian Microsimulation Models**

*by*Yann Décarie & Michaël Boissonneault & Jacques Légaré

**Generating Tempered Stable Random Variates from Mixture Representation**

*by*Piotr Jelonek

**Univariate Multiple Imputation for Coarse Employee Income Data**

*by*Reza C. Daniels

**A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos**

*by*William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen

**The agglomeration effect of the Athens 2004 Olympic Games**

*by*José M. Albert & Nikolaos Georgantzis & Jorge Mateu & José I. Silva

**Child Care Assistance: Are Subsidies or Tax Credits Better?**

*by*Gong, Xiaodong & Breunig, Robert

**Testing CAPM with a Large Number of Assets**

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

**Testing CAPM with a Large Number of Assets**

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

**Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System**

*by*Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M.

**Marketing Response Models for Shrinking Beer Sales in Germany**

*by*Polasek, Wolfgang

**A nonparametric test of the leverage hypothesis**

*by*Oliver Linton & Yoon-Jae Whang & Yu-Min Yen

**Dynamic Functional Data Analysis with Nonparametric State Space Models**

*by*Márcio Laurini

**Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -**

*by*Jouchi Nakajima & Toshiaki Watanabe

**Testing For Skewness In Ar Conditional Volatility Models For Financial Return Series**

*by*Mantalos, Panagiotis & Karagrigoriou, Alex

**Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation**

*by*Mantalos, Panagiotis

**On the Least Absolute Deviations Method for Ridge Estimation of SURE Models**

*by*Zeebari, Zangin & Shukur, Ghazi

**Cost of Misspecification in Break-Model Unit-Root Tests**

*by*Maican, Florin G. & Sweeney, Richard J.

**A simple specification procedure for the transition function in persistent nonlinear time series models**

*by*Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp

**Measuring human development: a stochastic dominance approach**

*by*Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou

**How To Kill Inventors: Testing The Massacrator© Algorithm For Inventor Disambiguation**

*by*Michele PEZZONI (University of Milano-Bicocca - KiTES-Università Bocconi - Observatoire des Sciences et des Techniques) & Francesco LISSONI (GREThA, CNRS, UMR 5113 - KiTES) & Gianluca TARASCONI (KiTES, Università Bocconi)

**Sectorial shifts and Inequality. How to relate macroeconomic events to inequality changes**

*by*Carlos Villalobos Barría

**The dynamics of inequality change in a highly dualistic economy: Honduras, 1991-2007**

*by*Stephan Klasen & Thomas Otter & Carlos Villalobos Barría

**The Role of Oscillatory Modes in U.S. Business Cycles**

*by*Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas

**Recombinant Innovation and Endogenous Transitions**

*by*Koen Frenken & Luis R. Izquierdo & Paolo Zeppini

**Marginal Likelihood Estimation with the Cross-Entropy Method**

*by*Joshua C C Chan & Eric Eisenstat

**Are the determinants of CO2 emissions converging among OECD countries?**

*by*Mariam Camarero & Andrés J. Picazo-Tadeo & Cecilio Tamarit

**The optimal size of the European Stability Mechanism: A cost-benefit analysis**

*by*Daniel Kapp

**Modelling the liquidity ratio as macroprudential instrument**

*by*Jan Willem van den End & Mark Kruidhof

**Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility**

*by*Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor

**Testing for Multiple Bubbles**

*by*Peter C.B. Phillips & Shu-Ping Shi & Jun Yu

**Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior**

*by*Peter C.B. Phillips & Shu-Ping Shi & Jun Yu

**Nonparametric tests for conditional independence using conditional distributions**

*by*Taamouti, Abderrahim & Bouezmarni, Taoufik

**Patents, secret innovations and firm's rate of return : differential effects of the innovation leader**

*by*Escribano, Álvaro & Blazsek, Szabolcs

**Nonparametric estimation and inference for Granger causality measures**

*by*El Ghouch, Anouar & Bouezmarni, Taoufik & Taamouti, Abderrahim

**Sentiment Trades and Option Prices**

*by*Thorsten Lehnert & Bart Frijns & Remco Zwinkels

**Noise Trading and the Cross-Section of Index Option Prices**

*by*Fabian Irek & Thorsten Lehnert & Nicolas Martelin

**Infinite-state Markov-switching for dynamic volatility and correlation models**

*by*DUFAYS, Arnaud

**Sistema de Inferencia Difuso para la Inflación en Colombia**

*by*Mónica Enciso Pulido & Andrés Acosta Hernández & Jacobo Campo Robledo

**Redes neuronales artificiales en las ciencias económicas**

*by*Viviana María Oquendo Patiño

**Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos**

*by*Carlos Alberto Soto Quintero & Alejandra Arboleda Bedoya & Juan Carlos Gutiérrez Betancur

**Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach**

*by*Carlos Léon

**Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange**

*by*José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura

**Forecasting with Unobserved Heterogeneity**

*by*Matteo G. Richiardi

**Indirect estimation of agent-based models.An application to a simple diffusion model**

*by*Jacob Grazzini & Matteo Richiardi & Lisa Sella

**Testing CAPM with a Large Number of Assets (Updated 28th March 2012)**

*by*Pesaran, M. H. & Yamagata, T.

**A strategy to reduce the count of moment conditions in panel data GMM**

*by*M. E. Bontempi & I. Mammi

**Signaling asset price bubbles with time-series methods**

*by*Taipalus, Katja

**Real-time warning signs of emerging and collapsing Chinese house price bubbles**

*by*Chen, Xi & Funke, Michael

**The determinants of vulnerability to the global financial crisis 2008 to 2009 : Credit growth and other sources of risk**

*by*Feldkircher, Martin

**Oil price density forecasts: Exploring the linkages with stock markets**

*by*Francesco Ravazzolo & Marco J. Lombardi

**Oil price density forecasts: exploring the linkages with stock markets**

*by*Marco J. Lombardi & Francesco Ravazzolo

**Combination schemes for turning point predictions**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata**

*by*Ramdane Djoudad

**A Note on the Finite Sample Properties of the CLS Method of TAR Models**

*by*Marian Vavra

**Robustness of Power Properties of Non-linearity Tests**

*by*Marian Vavra

**Testing Non-linearity Using a Modified Q Test**

*by*Marian Vavra

**Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model**

*by*Sofia Anyfantaki & Antonis Demos

**Econometrics on GPUs**

*by*Michael Creel & Sonik Mandal & Mohammad Zubair

**Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue**

*by*Gilles de Truchis

**Estimation and Testing for Fractional Cointegration**

*by*Marcel Aloy & Gilles de Truchis

**Contributions computationnelles à la statistique Bayésienne**

*by*Jacob, Pierre E.

**Monte Carlo methods for sampling high-dimensional binary vectors**

*by*Schäfer, Christian

**Detecting asset price bubbles with time-series methods**

*by*Taipalus, Katja

**A note on the estimation of long-run relationships in panel equations with cross-section linkages**

*by*Di Iorio, Francesca & Fachin, Stefano

**Evaluation Of Small Sample Estimators Of Outliers Infested Simultaneous Equation Model: A Monte Carlo Approach**

*by*Adedayo A. ADEPOJU & John O. OLAOMI

**Industrial dynamics in Bulgaria – the connection between past and future: The case of food and beverage industry**

*by*Diana Kopeva & Dimitar Blagoev & Nikolay Sterev

**Techniques and Simulation Models in Risk Management**

*by*Mirela GHEORGHE

**Local Environment Analysis and Rules Inferring Procedure in an Agent-Based Model – Applications in Economics**

*by*Dospinescu, Andrei Silviu

**Estimation and analysis of labor productivity in Spanish cities**

*by*Rubiera-Morollón, Fernando & Fernández-Vázquez , Esteban & Aponte-Jaramillo, Elizabeth

**A Bootstrap Analysis of the Nikkei 225**

*by*Kung, James J. & Carverhill, Andrew P.

**Volatility estimation based on extremes of the bridge (in Russian)**

*by*Svetlana Lapinova & Alexander Saichev & Maria Tarakanova

**Pojištění jako nástroj řízení operačního rizika - případová studie**

*by*Milan Rippel & Lucie Suchánková & Petr Teplý

**Drivers of Output Loss during the 2008–09 Crisis: A Focus on Emerging Europe**

*by*Jesús Crespo Cuaresma & Martin Feldkircher

**The Empirical Investigation on The Relationship of Foreign Trade, Institutions and Economic Performance of The ASEAN Nations**

*by*KHIM Samitt

**Estimación de la función de distribución y cuantiles en la población de pobres/Estimation of the Distribution Function and Quantiles for the Population of Poor**

*by*ÁLVAREZ-VERDEJO, ENCARNACIÓN & ESTUDILLO-MARTÍNEZ, MARÍA DOLORES & CASTILLO-GUTIÉRREZ, SONIA

**Equilibrio competitivo en Liga española de futbol de Primera División: Un test de Montecarlo basado en datos funcionales/Competitive Balance in the First Division Spanish Soccer League: A Montecarlo Test on Functional Data**

*by*MONTES, FRANCISCO & SALA, RAMÓN

**On the Existence of a Unit Root in the Time Series of Monthly Electricity Prices in Colombia**

*by*Elkin Castaño & Jorge Sierra

**Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach**

*by*Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim

**Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies**

*by*Chin-Ping King

**Una propuesta para medir dinámica y coherentemente el riesgo operacional**

*by*Martínez-Sánchez, José Francisco. & Venegas-Martínez, Francisco.

**The evaluation of health policies through dynamic microsimulation methods**

*by*Eugenio Zucchelli & Andrew M Jones & Nigel Rice

**The Optimal Total Costs for Writing a Straddle**

*by*Hsinan Hsu & Emily Ho

**Estimation Of Operative Risk For Fraud In The Car Insurance Industry**

*by*Jorge AnÃbal Restrepo Morales & Santiago Medina Hurtado

**Improving the Forecasting Power of Volatility Models**

*by*Ahmed Bensaida

**Ajuste del ingreso en México con un enfoque bayesiano**

*by*Fredy Yair Montes Rivera & Paulino Pérez Rodríguez & Sergio Pérez Elizalde

**Redevelopment of the Dynamic Multisectoral Model for the Strategic Planning of the Mexican Economy and Simulation of the Trade Facilitation Program**

*by*Noé Arón Fuentes & Gustavo del Castillo

**Estacionariedad, cambios estructurales y crecimiento económico en México (1895-2008)**

*by*Noriega, Antonio E. & Rodríguez, Cid Alonso

**Combination schemes for turning point predictions**

*by*Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K.

**Job search incentives and job match quality**

*by*Gaure, Simen & Røed, Knut & Westlie, Lars

**Technical trading revisited: False discoveries, persistence tests, and transaction costs**

*by*Bajgrowicz, Pierre & Scaillet, Olivier

**A systematic approach to multi-period stress testing of portfolio credit risk**

*by*Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin

**Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models**

*by*Beliaeva, Natalia & Nawalkha, Sanjay

**The determinants of sovereign credit spread changes in the Euro-zone**

*by*Oliveira, Luís & Curto, José Dias & Nunes, João Pedro

**Modeling dependence dynamics through copulas with regime switching**

*by*Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J.

**Macro stress testing of credit risk focused on the tails**

*by*Schechtman, Ricardo & Gaglianone, Wagner Piazza

**When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour**

*by*van den End, Jan Willem & Tabbae, Mostafa

**Self-affinity in financial asset returns**

*by*Goddard, John & Onali, Enrico

**How do skilled traders change the structure of the market**

*by*Vacha, Lukas & Barunik, Jozef & Vosvrda, Miloslav

**On the volatility–volume relationship in energy futures markets using intraday data**

*by*Chevallier, Julien & Sévi, Benoît

**Cost probability analysis of reprocessing spent nuclear fuel in the US**

*by*Recktenwald, G.D. & Deinert, M.R.

**A new country risk index for emerging markets: A stochastic dominance approach**

*by*Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas

**Variable selection and functional form uncertainty in cross-country growth regressions**

*by*Salimans, Tim

**A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation**

*by*Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K.

**Distribution-free tests of stochastic monotonicity**

*by*Delgado, Miguel A. & Escanciano, Juan Carlos

**Jump-robust volatility estimation using nearest neighbor truncation**

*by*Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst

**Taking a new contour: A novel approach to panel unit root tests**

*by*Chang, Yoosoon

**Risk aversion and asymmetry in procurement auctions: Identification, estimation and application to construction procurements**

*by*Campo, Sandra

**Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method**

*by*Bierens, Herman J. & Song, Hosin

**Residual based tests for cointegration in dependent panels**

*by*Chang, Yoosoon & Nguyen, Chi Mai

**A semiparametric stochastic volatility model**

*by*Yu, Jun

**Confidence intervals for the quantile of treatment effects in randomized experiments**

*by*Fan, Yanqin & Park, Sang Soo

**Tikhonov regularization for nonparametric instrumental variable estimators**

*by*Gagliardini, Patrick & Scaillet, Olivier

**Robust subsampling**

*by*Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio

**A simple test for regression specification with non-nested alternatives**

*by*Hagemann, Andreas

**A Poisson mixture model of discrete choice**

*by*Burda, Martin & Harding, Matthew & Hausman, Jerry

**A simple test for linearity against exponential smooth transition models with endogenous variables**

*by*Massacci, Daniele

**Estimating technical efficiency in micro panels**

*by*Feng, Qu & Horrace, William C.

**Optimal unemployment insurance in GE: A robust calibration approach**

*by*Cozzi, Marco

**Short and long memory in stock returns data**

*by*Goddard, John & Onali, Enrico

**Performance of nonlinear instrumental variable unit root tests using recursive detrending methods**

*by*Lee, Hyejin & Meng, Ming & Lee, Junsoo

**Investigating finite sample properties of estimators for approximate factor models when N is small**

*by*Tanaka, Shinya & Kurozumi, Eiji

**A simple sieve bootstrap range test for poolability in dependent cointegrated panels**

*by*Di Iorio, Francesca & Fachin, Stefano

**Family background variables as instruments for education in income regressions: A Bayesian analysis**

*by*Hoogerheide, Lennart & Block, Joern H. & Thurik, Roy

**The efficiency of government promotion of inbound tourism: The case of Australia**

*by*Shi, Hui

**Adaptive ARFIMA models with applications to inflation**

*by*Baillie, Richard T. & Morana, Claudio

**A new energy model to capture the behavior of energy price processes**

*by*Xu, Weijun & Sun, Qi & Xiao, Weilin

**A nice estimation of Gini index and power Pen's parade**

*by*Sadefo Kamdem, Jules

**Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test**

*by*Lau, Chi Keung Marco & Suvankulov, Farrukh & Su, Yongyang & Chau, Frankie

**Disability benefit microsimulation models in the Netherlands**

*by*van Sonsbeek, Jan-Maarten & Alblas, Ridwan

**Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest**

*by*Bao, Qunfang & Chen, Si & Li, Shenghong

**Structural sign patterns and reduced form restrictions**

*by*Buck, Andrew J. & Lady, George M.

**Clusters of firms in an inhomogeneous space: The high-tech industries in Milan**

*by*Arbia, G. & Espa, G. & Giuliani, D. & Mazzitelli, A.

**Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles**

*by*Ruge-Murcia, Francisco

**A structural model of firm and industry evolution: Evidence from Chile**

*by*Şeker, Murat

**Do institutional changes affect business cycles? Evidence from Europe**

*by*Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva

**Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall**

*by*Pierre Rostan & Alexandra Rostan

**Hybrid Grey Forecasting Model for Iran’s Energy Consumption and Supply**

*by*Hamidreza Mostafaei & Shaghayegh Kordnoori

**Modelling the Errors of EIA’s Oil Prices and Production Forecasts by the Grey Markov Model**

*by*Gholam Hossein Hasantash & Hamidreza Mostafaei & Shaghayegh Kordnoori

**Análisis discriminante como seleccionador de variables incluyentes en el cálculo de la probabilidad de incumplimiento**

*by*Fredy Ocaris Pérez Ramírez & Armando Lenín Támara Ayús

**Sobre la existencia de una raíz unitaria en la serie de tiempo mensual del precio de la electricidad en Colombia**

*by*Castaño Velez, Elkin Argemiro & Sierra Almanza, Jorge

**La confiabilidad en los sistemas eléctricos competitivos y el modelo colombiano de cargo por confiabilidad**

*by*María Isabel Restrepo Estrada & Santiago Arango Aramburo & Luis Guillermo Vélez

**Evaluating Asset Pricing Models in a Simulated Multifactor Approach**

*by*Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone

**Neural Network Principles To Classify Economic Data**

*by*STEFAN Raluca-Mariana & SERBAN Mariuta

**The Behavior Of Prices As A Response To Structural Changes - The Role Of The Economic Transmission Mechanisms In Explaining The Observed Behavior**

*by*Andrei Silviu DOSPINESCU

**Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors**

*by*Elise Coudin & Jean-Marie Dufour

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

*by*Pierre Perron & Rasmus T. Varneskov

**Asset Pricing Puzzle: The Long-Run Risks Model's Approach**

*by*Francesca Brusa

**Forecasting prices from level-I quotes in the presence of hidden liquidity**

*by*Avellaneda, Marco & Reed, Josh & Stoikov, Sasha

**Binomial options pricing has no closed-form solution**

*by*Georgiadis, Evangelos

**Markets are efficient if and only if P=NP**

*by*Maymin, Philip

**Confidence in prior knowledge: Calibration and impact on portfolio performance**

*by*Wickern, Tobias

**The Phantom Menace of Omitted Variables – A Comment**

*by*Ritter, Nolan & Vance, Colin

**The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio**

*by*Dannenberg, Henry

**Ratingverfahren: Diskriminanzanalyse versus Logistische Regression**

*by*Braun, Daniel & Allgeier, Burkhard & Cremers, Heinz

**News reaction in financial markets within a behavioral finance model with heterogeneous agents**

*by*Fischer, Thomas

**Income tax evasion dynamics: Evidence from an agent-based econophysics model**

*by*Pickhardt, Michael & Seibold, Goetz

**Efficient high-dimensional importance sampling in mixture frameworks**

*by*Kleppe, Tore Selland & Liesenfeld, Roman

**Systemic risk contributions: a credit portfolio approach**

*by*Düllmann, Klaus & Puzanova, Natalia

**Assessing the effect of current account and currency crises on economic growth**

*by*Aßmann, Christian

**Measuring the effects of removing subsidies for private insurance on public expenditure for health care**

*by*Chai Cheng, T.

**Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions**

*by*David E. Giles & Xiao Ling

**Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution**

*by*Jacob Schwartz & Ryan T. Godwin & David E. Giles

**On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution**

*by*David E. Giles & Hui Feng & Ryan T. Godwin

**Testing instrument validity in sample selection models**

*by*Huber, Martin & Mellace, Giovanni

**Testing instrument validity for LATE identification based on inequality moment constraints**

*by*Huber, Martin & Mellace, Giovanni

**Dealing with Internal Inconsistency in Double-Bounded Dichotomous Choice: An Application to Community-Based Health Insurance**

*by*Hermann Pythagore Pierre Donfouet & Pierre-Alexandre Mahieu & P. Wilner Jeanty

**Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models**

*by*Martin Burda & John Maheu

**Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging - Replaces CentER DP 2010-62**

*by*Kleijnen, Jack P.C. & van Beers, W.C.M. & van Nieuwenhuyse, I.

**GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)**

*by*Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H.

**Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo**

*by*Arnold Zellner & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk

**Combination Schemes for Turning Point Predictions**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Estimating the Effects of Recent Disability Reforms in The Netherlands**

*by*Jan-Maarten van Sonsbeek & Raymond Gradus

**Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Counting with Combined Splitting and Capture-Recapture Methods**

*by*Paul Dupuis & Bahar Kaynar & Ad Ridder & Reuven Rubinstein & Radislav Vaisman

**Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models**

*by*Siem Jan Koopman & Andre Lucas & Marcel Scharth

**Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection**

*by*Redouane Elkamhia & Denitsa Stefanova

**Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions**

*by*Tim Salimans

**Divergent Priors and well Behaved Bayes Factors**

*by*Rodney W. Strachan & Herman K. van Dijk

**A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation**

*by*Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk

**Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Structural Models, Information and Inherited Restrictions**

*by*Andrew J. Buck & George M. Lady

**Structural Sign Patterns and Reduced Form Restrictions**

*by*Andrew J. Buck & George M. Lady

**On Identification of Bayesian DSGE Models**

*by*Gary Koop & M. Hashem Pesaran & Ron Smith

**Profile-score Adjustements for Nonlinearfixed-effect Models**

*by*Geert Dhaene & Koen Jochmans

**Cost–Benefit Analysis of an SLA Mapping Approach for Defining Standardized Cloud Computing Goods**

*by*Michael Maurera & Vincent C. Emeakarohaa & Ivona Brandica & Jorn Altmann

**Towards Autonomic Market Management in Cloud Computing Infrastructures**

*by*Ivan Breskovic & Michael Maurer & Vincent C. Emeakaroha & Ivona Brandic & Jorn Altmann

**Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Simulated Maximum Likelihood Estimation for Latent Diffusion Models**

*by*Tore Selland Kleppe & Jun Yu & Hans J. Skaug

**Testing for Multiple Bubbles**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles**

*by*Shu-Ping Shi & Peter C. B. Phillips & Jun Yu

**Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models**

*by*Ye Chen & Jun Yu

**Simulated Maximum Likelihood Estimation for Latent Diffusion Models**

*by*Tore Selland Kleppe & Jun Yu & Hans J. skaug

**Testing for Multiple Bubbles**

*by*Peter C.B. Phillips & Shu-Ping Shi & Jun Yu

**Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles**

*by*Shu-Ping Shi & Peter C.B. Phillips & Jun Yu

**A sieve bootstrap range test for poolability in dependent cointegrated panels**

*by*Francesca Di Iorio & Stefano Fachin

**Methods for Computing Marginal Data Densities from the Gibbs Output**

*by*Cristina Fuentes-Albero & Leonardo Melosi

**How Well Does Sticky Information Explain the Dynamics of Inflation, Output, and Real Wages?**

*by*J. A. CARRILLO

**Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence**

*by*T. DE GROOTE & G. EVERAERT

**Aplicatii ale metodei regresiei ortogonale in conomie**

*by*Saman, Corina

**Testing the One-Part Fractional Response Model against an Alternative Two-Part Model**

*by*Oberhofer, Harald & Pfaffermayr, Michael

**The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model**

*by*Wolfgang Polasek

**The Extended Hodrick-Prescott (HP) Filter for Spatial Regression Smoothing**

*by*Wolfgang Polasek

**MCMC Estimation of Extended Hodrick-Prescott (HP) Filtering Models**

*by*Wolfgang Polasek

**Does Globalization affect Regional Growth? Evidence for NUTS-2 Regions in EU-27**

*by*Wolfgang Polasek & Richard Sellner

**Applying the gravity approach to sector trade: Who bears the trade costs?**

*by*Angela Cheptea & Alexandre Gohin & Marilyne Huchet Bourdon

**Block Bootstrap and Long Memory**

*by*George Kapetanios & Fotis Papailias

**Confidence Sets Based on Inverting Anderson-Rubin Tests**

*by*Russell Davidson & James G. MacKinnon

**Assessing bank's default probability using the ASRF model**

*by*Radkov, Petar & Minkova, Leda

**Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks**

*by*Lau, Chi Keung Marco & Chau, Frankie & Deesomsak, Rataporn

**Methodological Proposal for Compiling the ILO Unemployment with Monthly Periodicity**

*by*Voineagu, Vergil & Caragea, Nicoleta & Pisica, Silvia & Moldoveanu, Ruxandra

**Indicators DZ and RDZ: essence, methods of calculation, signals and rules of trading**

*by*Kozmenko, Serhiy & Plastun, Oleksiy

**A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model**

*by*Mousa, Amani & Youssef, Ahmed H. & Abonazel, Mohamed R.

**Гибридная Имитационная Модель Отделения Банка Как Системы Массового Обслуживания: Роль Человеческого Фактора**

*by*Rumyantsev, Mikhail I.

**Partitioned Frames in Bak Sneppen Models**

*by*Piccinini, Livio Clemente & Lepellere, Maria Antonietta & Chang, Ting Fa Margherita

**Credit risk tools, (numerical methods for finance, university of Limerick 2011)**

*by*Esposito, Francesco Paolo

**Detección de Dependencia Espacial mediante Análisis Simbólico**

*by*Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús

**Combating eutrophication in coastal areas at risk for oil spills**

*by*Hyytiäinen, Kari & Huhtala, Anni

**Productivity change using growth accounting and frontier-based approaches – Evidence from a Monte Carlo analysis**

*by*Giraleas, Dimitris & Emrouznejad, Ali & Thanassoulis, Emmanuel

**Towards a benchmark on the contribution of education and training to employability: methodological note**

*by*Garrouste, Christelle

**Withdrawal Rates, Savings Rates, and Valuation-Based Asset Allocation**

*by*Pfau, Wade Donald

**Simulation of financial institutions activity in transitional economies**

*by*Rumyantsev, Mikhail I.

**Spending flexibility and safe withdrawal rates**

*by*Finke, Michael & Pfau, Wade Donald & Williams, Duncan

**Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry**

*by*Taştan, Hüseyin

**On the finite-sample properties of conditional empirical likelihood estimators**

*by*Crudu, Federico & Sándor, Zsolt

**A new method for approximating vector autoregressive processes by finite-state Markov chains**

*by*Gospodinov, Nikolay & Lkhagvasuren, Damba

**Empirical estimation of default and asset correlation of large corporates and banks in India**

*by*Bandyopadhyay, Arindam & Ganguly, Sonali

**Capital market expectations, asset allocation, and safe withdrawal rates**

*by*Pfau, Wade Donald

**Nearly optimal asset allocations in retirement**

*by*Pfau, Wade Donald

**Corporate competition: A self-organized network**

*by*Braha, Dan & Stacey, Blake & Bar-Yam, Yaneer

**Algorithms for merging tick data and data analysis for Indian financial market**

*by*Sinha, Pankaj & Sharma, Gopalakrishna & Shah, Akash & Singh, Abhijeet

**Getting on Track for a Sustainable Retirement: A Reality Check on Savings and Work**

*by*Pfau, Wade Donald

**A nonparametric hypothesis test via the Bootstrap resampling**

*by*Temel, Tugrul

**Non-negative demand in newsvendor models:The case of singly truncated normal samples**

*by*Halkos, George & Kevork, Ilias

**Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen**

*by*Mohamed, Issam A.W.

**Retirement savings guidelines for residents of emerging market countries**

*by*Meng, Channarith & Pfau, Wade Donald

**Retirement Withdrawal Rates and Portfolio Success Rates: What Can the Historical Record Teach Us?**

*by*Pfau, Wade Donald

**Identi�cation of jumps in �financial price series**

*by*Hellström, Jörgen & Lönnbark, Carl

**Can We Predict the Sustainable Withdrawal Rate for New Retirees?**

*by*Pfau, Wade Donald

**Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics**

*by*Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan

**Testing for non-causality by using the Autoregressive Metric**

*by*Di Iorio, Francesca & Triacca, Umberto

**Revisiting the Fisher and Statman Study on Market Timing**

*by*Pfau, Wade Donald

**The particle system model of income and wealth more likely to imply an analogue of thermodynamics in social science**

*by*Angle, John

**Safe Savings Rates: A New Approach to Retirement Planning over the Lifecycle**

*by*Pfau, Wade Donald

**Asymmetric Baxter-King filter**

*by*Buss, Ginters

**Un’estensione stocastica del modello "Fisher-Lange"**

*by*Massimo De Felice & Franco Moriconi

**Hálózati struktúra és egyensúly: a tudás-áramlás szerkezeti jellemzõinek kérdései**

*by*Tamás Sebestyén

**And Yet they Co-Move! Public Capital and Productivity in OECD: A Panel Cointegration Analysis with Cross-Section Dependence**

*by*Anna Bottaso & Carolina Castagnetti & Maurizio Conti

**Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models**

*by*Jason R. Blevins

**Bayesian semiparametric GARCH models**

*by*Xibin Zhang & Maxwell L. King

**Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density**

*by*Xibin Zhang & Maxwell L. King & Han Lin Shang

**Tests of Structural Changes in Conditional Distributions with Unknown Changepoints**

*by*Dominique Guegan & Philippe de Peretti

**Operational–risk Dependencies and the Determination of Risk Capital**

*by*Stefan Mittnik & Sandra Paterlini & Tina Yener

**Cardinality versus q-Norm Constraints for Index Tracking**

*by*Bjoern Fastrich & Sandra Paterlini & Peter Winker

**Cardinality versus q-Norm Constraints for Index Tracking**

*by*Bjöern Fastrich & Sandra Paterlini & Peter Winker

**Generating ordinal data**

*by*Pier Alda FERRARI & Alessandro BARBIERO

**Assessing the impact of the 2007 tax reform on poverty and inequality in Uruguay**

*by*Cecilia Llambí & Juan Marcelo Perera & Mery Ferrando & Silvia Laens

**Marginal Likelihood for Markov-Switching and Change-Point GARCH Models**

*by*Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts

**Public Job-creation Programs: The Economic Benefits of Investing in Social Care. Case Studies in South Africa and the United States**

*by*Rania Antonopoulos & Kijong Kim

**Estimating Armington elasticities for sawnwood and application to the French Forest Sector Model**

*by*Alexandre Sauquet & Franck Lecocq & Philippe Delacote & Sylvain Caurla & Ahmed Barkaoui & Serge Garcia

**Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector**

*by*Meilan Yan & Maximilian J. B. Hall & Paul Turner

**Los Cambios en la Distribución del Ingreso de Argentina entre 1998 Y 2005: Un Análisis de Microdescomposiciones Utilizando Información de Paneles**

*by*Juan Ignacio Zoloa

**Calculating Confidence Intervals for Continuous and Discontinuous Functions of Estimated Parameters**

*by*Ham, John C. & Woutersen, Tiemen

**Calculating Confidence Intervals for Continuous and Discontinuous Functions of Estimated Parameters**

*by*Ham, John C. & Woutersen, Tiemen

**A Panel Data Analysis of Racial/Ethnic Differences in Married Women's Labor Supply**

*by*Troske, Kenneth & Voicu, Alexandru

**A Panel Data Analysis of Racial/Ethnic Differences in Married Women's Labor Supply**

*by*Troske, Kenneth & Voicu, Alexandru

**On Identification of Bayesian DSGE Models**

*by*Koop, Gary & Pesaran, M. Hashem & Smith, Ron P.

**On Identification of Bayesian DSGE Models**

*by*Koop, Gary & Pesaran, Hashem & Smith, Ron P.

**Assessing the tendency of Spanish manufacturing industries to cluster: Co-localization and establishment size**

*by*Marta Casanova & Vicente Orts Ríos

**Poverty dynamics in Nairobi's slums: testing for true state dependence and heterogeneity effects**

*by*FAYE Ousmane & ISLAM Nizamul & ZULU Eliya

**The estimation uncertainty of permanent-transitory decompositions in cointegrated systems**

*by*Sven Schreiber

**Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework**

*by*Michal Franta

**Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications**

*by*Jouchi Nakajima

**Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach**

*by*Jouchi Nakajima

**The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model**

*by*Polasek, Wolfgang

**The Extended Hodrick-Prescott (HP) Filter for Spatial Regression Smoothing**

*by*Polasek, Wolfgang

**Does Globalization Affect Regional Growth? Evidence for NUTS-2 Regions in EU-27**

*by*Polasek, Wolfgang & Sellner, Richard

**Sensitivity Analysis of SAR Estimators**

*by*Liu, Shuangzhe & Polasek, Wolfgang & Sellner, Richard

**Bayesian Factor Selection in Dynamic Term Structure Models**

*by*Márcio Laurini

**Measuring the Effects of Removing Subsidies for Private Insurance on Public Expenditure for Health Care**

*by*Terence Chai Cheng

**Demand for Hospital Care and Private Health Insurance in a Mixed Public–Private System: Empirical Evidence Using a Simultaneous Equation Modeling Approach**

*by*Terence Chai Cheng & Farshid Vahid

**A new targeting - a new take-up? : non-take-up of social assistance in Germany after social policy reforms**

*by*Bruckmeier, Kerstin & Wiemers, Jürgen

**How Computational Statistics Became the Backbone of Modern Data Science**

*by*James E. Gentle & Wolfgang Karl HÃ¤rdle & Yuichi Mori

**Finite Mixture for Panels with Fixed Effects**

*by*Partha Deb & Pravin Trivedi

**Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy**

*by*Jouchi Nakajima & Toshiaki Watanabe

**Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles**

*by*Shu-Ping Shi & Peter C. B. Phillips & Jun Yu

**Identification of jumps in financial price series**

*by*Hellström, Jörgen & Lönnbark, Carl

**The dynamics of real exchange rates - A reconsideration**

*by*Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp

**Indirect Inference Based on the Score**

*by*Peter Fuleky & Eric Zivot

**Indirect Inference Based on the Score**

*by*Peter Fuleky & Eric Zivot

**Testing for Bivariate Stochastic Dominance Using Inequality Restrictions**

*by*Thanasis Stengos & Brennan S. Thompson

**A nonlinear panel unit root test under cross section dependence**

*by*Mario Cerrato & Christian de Peretti & Rolf Larsson & Nicholas Sarantis

**Estimating Correlated Jumps and Stochastic Volatilities**

*by*Jiří Witzany

**Eco-efficiency and convergence in OECD countries**

*by*Mariam Camarero & Juana Castillo & Andrés J. Picazo-Tadeo & Cecilio Tamarit

**Estimation of the Spatial Weights Matrix under Structural Constraints**

*by*Arnab Bhattacharjee & Chris Jensen-Butler

**On the volatility-volume relationship in energy futures markets using intraday data**

*by*Julien Chevallier & Benoît Sévi

**Los cambios en la Distribución del Ingreso de Argentina entre 1998 y 2005**

*by*Juan Ignacio Zoloa

**Nonparametric Inference Based on Conditional Moment Inequalities**

*by*Donald W.K. Andrews & Xiaoxia Shi

**Nonparametric Inference Based on Conditional Moment Inequalities**

*by*Donald W.K. Andrews & Xiaoxia Shi

**Nonparametric Inference Based on Conditional Moment Inequalities**

*by*Donald W.K. Andrews & Xiaoxia Shi

**GMM Estimation and Uniform Subvector Inference with Possible Identification Failure**

*by*Donald W.K. Andrews & Xu Cheng

**GMM Estimation and Uniform Subvector Inference with Possible Identification Failure**

*by*Donald W.K. Andrews & Xu Cheng

**Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure**

*by*Donald W. K. Andrews & Xu Cheng

**Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure**

*by*Donald W. K. Andrews & Xu Cheng

**Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power**

*by*Donald W.K. Andrews

**Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power**

*by*Donald W.K. Andrews

**A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter**

*by*Donald W.K. Andrews & Patrik Guggenberger

**A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter**

*by*Donald W.K. Andrews & Patrik Guggenberger

**Bias in Estimating Multivariate and Univariate Diffusions**

*by*Xiaohu Wang & Peter C.B. Phillips & Jun Yu

**An artificial neural network approach for assigning rating judgements to Italian Small Firms**

*by*Greta Falavigna

**A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains**

*by*Nikolay Gospodinov & Damba Lkhagvasuren

**Indirect Likelihood Inference**

*by*Creel, Michael & Kristensen, Dennis

**Estimating and forecasting structural breaks in financial time series**

*by*BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno

**Marginal likelihood for Markov-switching and change-point GARCH models**

*by*BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.

**Montecarlo simulation of long-term dependent processes: a primer**

*by*Carlos León Rincón & Alejandro Reveiz

**Forecasting With Many Predictors. An Empirical Comparison**

*by*Eliana González

**Marginal Likelihood for Markov-Switching and Change-Point Garch Models**

*by*Luc Bauwens & Arnaud Dufays & Jeroen Rombouts

**Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility**

*by*Jean-Marie Dufour & René Garcia & Abderrahim Taamouti

**Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach**

*by*Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault

**On Identification of Bayesian DSGE Models**

*by*Gary Koop & M. Hashem Pesaran & Ron P. Smith

**Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates**

*by*Jennifer Castle & Xiaochuan Qin & W. Robert Reed

**Structural Breaks - An Instrumental Variable Approach**

*by*Conniffe, Denis & Kelly, Robert

**Fiscal fan charts - A tool for assessing member states’ (likely?) compliance with EU fiscal rules**

*by*Cronin, David & Dowd, Kevin

**On Identification of Bayesian DSGE Models**

*by*Koop, G. & Pesaran, M.H. & Smith, R.

**Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering**

*by*Malik, S. & Pitt, M. K.

**Stationarity, structural breaks, and economic growth in Mexico: 1895-2008**

*by*Antonio E. Noriega & Cid Alonso Rodríguez-Pérez

**Time-series Modelling, Stationarity and Bayesian Nonparametric Methods**

*by*Juan Carlos Martínez-Ovando & Stephen G. Walker

**A Simple Test for Spurious Regressions**

*by*Antonio E. Noriega & Daniel Ventosa-Santaulària

**A method to estimate power parameter in Exponential Power Distribution via polynomial regression**

*by*Daniele Coin

**An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests**

*by*Paolo Guarda & Abdelaziz Rouabah & John Theal

**What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?**

*by*Céline Gauthier & Toni Gravelle & Xuezhi Liu & Moez Souissi

**Estimating Net Child Care Price Elasticities of Partnered Women With Pre-School Children Using a Discrete Structural Labour Supply-Child Care Model**

*by*Xiaodong Gong & Robert Breuing

**Indirect likelihood inference**

*by*Michael Creel & Dennis Kristensen

**Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study**

*by*Riccardo LUCCHETTI & Claudia PIGINI

**Marginal Likelihood for Markov-switching and Change-point Garch Models**

*by*Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts

**Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices**

*by*Rasmus Tangsgaard Varneskov

**Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise**

*by*Rasmus Tangsgaard Varneskov

**Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems**

*by*Yushu Li

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

*by*Rasmus Tangsgaard Varneskov & Pierre Perron

**A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation**

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

**A Simple Test for Spurious Regressions**

*by*Antonio E. Noriega & Daniel Ventosa-Santaularia

**An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution**

*by*Guerrero de Lizardi, Carlos

**Estimating standard errors for the Parks model: Can jackknifing help?**

*by*Reed, W. Robert & Webb, Rachel S.

**What Do We Know About Exposure At Default On Contingent Credit Lines? - A Survey Of The Literature, Empirical Analysis And Models**

*by*Michael Jacobs, Jr. & Pinaki Bag

**Operational Risk Modelling and Capital Adequacy – are There any Rewards in Greater Complexity?**

*by*Anghelache, Gabriela Victoria & Cozmanca, Bogdan Octavian & Radu, Alina Nicoleta

**Analyzing the Dynamics of Relative Prices on a Market with Speculative and Non-Speculative Agents Based on the Evolutionary Model**

*by*Dospinescu, Andrei Silviu

**Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market**

*by*Todea, Alexandru & Zoicas Ienciu, Adrian

**Empirical Analysis and Trading Strategies for Defaulted Debt Securities with Models for Risk and Investment Management**

*by*Jacobs, Jr., Michael

**Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default**

*by*Jacobs, Jr., Michael

**Updating weighting matrices by Cross-Entropy**

*by*Fernández Vázquez, Esteban

**Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model**

*by*Han, Young Wook

**Econometric analysis of Russian market of mergers and acquisitions**

*by*Polikarpova, Maria

**Operational Risk - Scenario Analysis**

*by*Milan Rippel & Petr Teplý

**About Direct Sales in the World, Europe and Romania**

*by*Claudia Isac & Alin Isac

**El coste de los cuidados de larga duración en la población española: análisis comparativo entre los años 1999 y 2008 || The Cost of Long-Term Care in the Spanish Population Comparative Analysis between 1999 and 2008**

*by*Alcañiz Zanón, Manuela & Alemany Leira, Ramón & Bolancé Losilla, Catalina & Guillén Estany, Montserrat

**An Overview Of Human Resources In Science And Technology (Hrst) From Research Development And Innovation (Rdi) Sector During 1993-2009 In Romania**

*by*NICOLOV MIRELA

**Fluctuation In Pension Fund Assets Privately Managed Under The Influence Of Certain Factors. Statistical Study In Romania**

*by*Cristea Mirela & Siminica Marian & Dracea Raluca

**Testando o "Cash-Flow-at-Risk" em empresas têxteis [Testing the cash flow at risk in textile companies]**

*by*Fernanda Finotti Cordeiro Perobelli & Flávia Vital Januzzi & Leandro Josias Sathler Berbert & Danilo Soares Pacheco de Medeiros & Luiz Guilherme da Silva Probst

**Heterogeneous Basket Options Pricing Using Analytical Approximations**

*by*Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani

**A Non-Parametric Robust Estimation of the Box-Cox Transformation for Regression Models**

*by*Elkin Castaño

**Estimating an Ethical Index of Human Wellbeing**

*by*Masudul Alam Choudhury & Mohammad Zakir Hossain & Mohammad Shahadat Hossain

**Kismi En Kucuk Kareler Regresyonu Yardimiyla Optimum Bilesen Sayisini Secmede Model Secim Kriterlerinin Performans Karsilastimasi**

*by*Elif BULUT & Ozlem GURUNLU ALMA

**Portafolio de consumo: problema de Merton**

*by*Eduardo Cepeda

**Estudio de la desigualdad de ingresos en el Ecuador considerando esfuerzos y herencias sociales**

*by*Margarita Velín & Paúl Medina

**Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications**

*by*Jouchi Nakajima

**Micro simulations on the effects of ageing-related policy measures: The Social Affairs Department of the Netherlands Ageing and Pensions Model**

*by*Jan-Maarten van Sonsbeek & j.m.van.sonsbeek@vu.nl

**Cohesion In The European Union – Used Markov Chains Method**

*by*Liviu-Stelian BEGU

**Is Latin America an Optimum Currency Area? Evidence from a Structural Vector Autoregression Analysis**

*by*Foresti Pasquale

**Impact of Model Specification Decisions on Unit Root Tests**

*by*Atiq-ur-Rehman

**Estimating Armington elasticities for sawnwood and application to the French Forest Sector Model**

*by*Sauquet, Alexandre & Lecocq, Franck & Delacote, Philippe & Caurla, Sylvain & Barkaoui, Ahmed & Garcia, Serge

**Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks**

*by*Lu, Zhaoyang

**A trinomial test for paired data when there are many ties**

*by*Bian, Guorui & McAleer, Michael & Wong, Wing-Keung

**A dynamic model of price discrimination and inventory management at the Fulton Fish Market**

*by*Graddy, Kathryn & Hall, George

**Development of cogeneration in Germany: A mean-variance portfolio analysis of individual technology’s prospects in view of the new regulatory framework**

*by*Westner, Günther & Madlener, Reinhard

**Nonparametric rank tests for event studies**

*by*Kolari, James W. & Pynnonen, Seppo

**Bayesian inference in a sample selection model**

*by*van Hasselt, Martijn

**Particle filters for continuous likelihood evaluation and maximisation**

*by*Malik, Sheheryar & Pitt, Michael K.

**Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models**

*by*Wang, Liqun & Hsiao, Cheng

**Control variate method for stationary processes**

*by*Amano, Tomoyuki & Taniguchi, Masanobu

**Structural models, information and inherited restrictions**

*by*Lady, George M. & Buck, Andrew J.

**Recent Trends In Income Inequality In Latin America**

*by*Leonardo Gasparini & Guillero Cruces & Leopoldo Tornarolli

**Una estimación no paramétrica y robusta de la transformación Box-Cox para el modelo de regresión**

*by*Castaño Vélez, Elkin

**Valuing a water recreation facility using semi parametric estimators in the travel cost method**

*by*Mónica Marcela Jaime Torres & Alejandro M. Tudela Román

**Valuing a water recreation facility using semi parametric estimators in the travel cost method**

*by*Mónica Marcela Jaime Torres & Alejandro M. Tudela Román

**Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones**

*by*Jorge Mario Uribe Gil & Inés María Ulloa Villegas

**En busca de un modelo Benchmark univariado para predecir la tasa de desempleo**

*by*Javier Contreras-Reyes & Byron Idrovo

**Testing for poverty dominance: an application to Canada**

*by*Wen-Hao Chen & Jean-Yves Duclos

**Expectations, Inter-Sectorial Relationships and the Business Cycle**

*by*Francisco Sáez & Fernando Alvarez & Jesús Morales & Giovanni Guedez

**Microeconometric Strategies for Dealing with Unobservables and Endogenous Variables in Recreation Demand Models**

*by*Klaus Moeltner & Roger von Haefen

**An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange**

*by*Elie BOURI

**Econometric Models Used For Managing The Market Risk In The Romanian Banking System**

*by*Ioan Trenca & Simona Mutu & Nicolae Petria

**Some Issues Involved by the Policies Concerning Exchange Rate and Inflation. Quantitative Approach**

*by*Emilian Dobrescu

**Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz**

*by*Henry Dannenberg

**Valor de una empresa en riesgo de expropiación en un entorno de crisis financiera. Caso Banamex**

*by*Cruz Aké, Salvador & Venegas-Martínez, Francisco

**An unconditional basic income in the family context: Labor supply and distributional effects**

*by*Horstschräer, Julia & Clauss, Markus & Schnabel, Reinhold

**Is there a Superior Distance Function for Matching in Small Samples?**

*by*Dettmann, Eva & Becker, Claudia & Schmeißer, Christian

**Testing for Structural Breaks at Unknown Time: A Steeplechase**

*by*El-Shagi, Makram & Giesen, Sebastian

**Estimating standard errors for the Parks model: Can jackknifing help?**

*by*Reed, W. Robert & Webb, Rachel S.

**Valuation is fuzzy: Integration qualitativer Risiken ins stochastische Bewertungsmodell mit Hilfe der Fuzzy-Set Theorie**

*by*Klein, Martin

**A Monte Carlo study of old and new frontier methods for efficiency measurement**

*by*Krüger, Jens

**Return distributions of equity-linked retirement plans**

*by*Detering, Nils & Weber, Andreas & Wystup, Uwe

**A few can do: Ethical behavior and the provision of public goods in an agent-based model**

*by*Pickhardt, Michael

**Robust Nonnested Testing for Ordinary Least Squares Regression When Some of the Regressors are Lagged Dependent Variables**

*by*Leslie G. Godrey

**Demand for hospital care and private health insurance in a mixed publicprivate system: empirical evidence using a simultaneous equation modeling approach**

*by*Chai Cheng, T & Vahid, F

**The evaluation of health policies through microsimulation methods**

*by*Zucchelli, E & Jones, A.M & Rice, N

**Ruin Probability in Finite Time**

*by*Krzysztof Burnecki & Marek Teuerle

**Building Loss Models**

*by*Krzysztof Burnecki & Joanna Janczura & Rafal Weron

**Models for Heavy-tailed Asset Returns**

*by*Szymon Borak & Adam Misiorek & Rafal Weron

**How Robust is the R&D – Productivity relationship? Evidence from OECD Countries**

*by*Mosahid Khan & Kul B. Luintel & Konstantinos Theodoris

**Latent Variables and Propensity Score Matching**

*by*Maciej Jakubowski

**Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks**

*by*Silvia Centanni & Marco Minozzo

**A dynamic copula approach to recovering the index implied volatility skew**

*by*Matthias Fengler & Helmut Herwartz & Christian Werner

**Testing for covariate balance using quantile regression and resampling methods**

*by*Martin Huber

**Mathematical Properties of a Combined Cournot-Stackelberg model**

*by*Fabio Tramontana & Laura Gardini & Tönu Puu

**New properties of the Cournot duopoly with isoelastic demand and constant unit costs**

*by*Fabio Tramontana & Laura Gardini & Tönu Puu

**Experiencing simulated outcomes**

*by*Robin Hogarth & Emre Soyer

**Latent Thresholds Analysis of Choice Data with Multiple Bids and Response Options**

*by*Mimako Kobayashi & Klaus Moeltner & Kimberly Rollins

**A Non-Parametric Microsimulation Approach to Assess Changes in Inequality and Poverty**

*by*Rob Vos & Marco V. Sánchez

**Un modelo estructural pequeño para la economía uruguaya**

*by*Diego Gianelli

**Estimación de los Flujos de Transporte de Mercancías Interregionales Trimestrales mediante Técnicas de Interpolación Temporal**

*by*Gallego López, Nuria & Llano, Carlos & Pérez García, Julian

**Are Short-Lived Jobs Stepping Stones to Long-Lasting Jobs?**

*by*Cockx, B. & Picchio, M.

**Family Background Variables as Instruments for Education in Income Regressions: A Bayesian Analysis**

*by*Lennart Hoogerheide & Joern H. Block & Roy Thurik

**A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood**

*by*David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk

**Efficient Bayesian Estimation and Combination of GARCH-Type Models**

*by*David Ardia & Lennart F. Hoogerheide

**Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations**

*by*David Ardia & Lennart F. Hoogerheide

**Some Exact Tests for Manifest Properties of Latent Trait Models**

*by*Jan G. de Gooijer & Ao Yuan

**Cost and Benefit of the SLA Mapping Approach for Defining Standardized Goods in Cloud Computing Markets**

*by*Michael Maurer & Vincent C. Emeakaroha & Ivona Brandic & Jorn Altmann

**Agent-Based Simulations of the Software Market under Different Pricing Schemes for Software-as-a-Service and Perpetual Software**

*by*Juthasit Rohitratana & Jorn Altmann

**Two Risk-aware Resource Brokering Strategies in Grid Computing:Broker-driven vs. User-driven Methods**

*by*Junseok Hwang & Jihyoun Park & Jorn Altmann

**The Impact of the Subgroup Structure on the Evolution of Networks: An Economic Model of Network Evolution**

*by*Kibae Kim & Jorn Altmann & Junseok Hwang

**Agent-based Simulation of Cooperative Innovation**

*by*Flavio Lenz-Cesar & Almas Heshmati

**Error Recovery for SLA-Based Workflows within the Business Grid**

*by*Dang Minh Quan & Jorn Altmann & Laurence T. Yang

**Capacity Planning in Economic Grid Markets**

*by*Marcel Risch & Jorn Altmann

**The GridEcon Platform: A Business Scenario Testbed for Commercial Cloud Services**

*by*Marcel Risch & Jorn Altmann & Li Guo & Alan Fleming & Costas Courcoubetis

**Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time**

*by*Tore Selland Kleppe & Jun Yu & Hans J. Skaug

**Kernel smoothing end of sample instability tests P values**

*by*Patrick Richard

**Quadratic Pen's Parade and the Computation of the Gini index**

*by*Stéphane Mussard & Jules Sadefo Kamdem & Françoise Seyte & Michel Terraza

**Production Under Uncertainty: A Simulation Study**

*by*Sriram Shankar & Chris O'Donnell & John Quiggin

**Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis**

*by*Feldkircher, Martin

**The Impact of Data Revisions on the Robustness of Growth Determinants - A Note on 'Determinants of Economic Growth. Will Data Tell?'**

*by*Feldkircher, Martin & Zeugner, Stefan

**Estimating Nonlinear DSGE Models by the Simulated Method of Moments**

*by*Francisco J. Ruge-Murcia

**Chow-Lin Methods in Spatial Mixed Models**

*by*Wolfgang Polasek & Richard Sellner & Carlos Llano

**VIX Dynamics with Stochastic Volatility of Volatility**

*by*Andreas Kaeck & Carol Alexander

**Stochastic Volatility Jump-Diffusions for Equity Index Dynamics**

*by*Andreas Kaeck & Carol Alexander

**Trends in the French commercial farm population**

*by*Madior Fall & Laurent Piet & Muriel Roger

**Critical Values for Cointegration Tests**

*by*James G. MacKinnon

**The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance**

*by*Paulo M.M. Rodrigues & Antonio Rubia

**К Вопросу Оценки Адекватности Имитационных Моделей Банковских Бизнес-Процессов**

*by*Rumyantsev, Mikhail I.

**Bootstrapping realized multivariate volatility measures**

*by*Dovonon, Prosper & Goncalves, Silvia & Meddahi, Nour

**Confidence sets for some partially identified parameters**

*by*Fan, Yanqin & Park, Sang Soo

**Estimating the risk-adjusted capital is an affair in the tails**

*by*Canestraro, Davide & Dacorogna, Michel

**Scale and Technical Efficiency of Islamic Banks in Sudan: Data Envelopment Analysis**

*by*Onour, Ibrahim & Abdalla, Abdelgadir

**Subset hypotheses testing and instrument exclusion in the linear IV regression**

*by*Doko Tchatoka, Firmin

**A Bayesian Model of Sample Selection with a Discrete Outcome Variable**

*by*Maksym, Obrizan

**Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest**

*by*Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

**Credit risk tools: an overview**

*by*Esposito, Francesco Paolo

**Attendance of ice hockey matches in the Czech Extraliga**

*by*Lahvicka, Jiri

**A comprehensive literature classification of simulation optimisation methods**

*by*Hachicha, Wafik & Ammeri, Ahmed & Masmoudi, Faouzi & Chachoub, Habib

**Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators**

*by*Gach, Florian & Pötscher, Benedikt M.

**Simulation of queueing systems with many stations and of queueing networks using copulas**

*by*Ciuiu, Daniel

**Some solutions to the equity premium and volatility puzzles**

*by*Li, Jinlu

**Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México**

*by*Ruiz-Porras, Antonio & Perez-Sicairos, Rene Benjamin

**Remittances and Poverty: Panel Evidence from High Remittance Economies**

*by*Hassan, Gazi

**Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest**

*by*Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

**A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007**

*by*Di Iorio, Francesca & Fachin, Stefano

**An econometric model to quantify benchmark downturn LGD on residential mortgages**

*by*Morone, Marco & Cornaglia, Anna

**Revealing the arcane: an introduction to the art of stochastic volatility models**

*by*Tsyplakov, Alexander

**Models for Heavy-tailed Asset Returns**

*by*Borak, Szymon & Misiorek, Adam & Weron, Rafal

**Building Loss Models**

*by*Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal

**Simulation of Risk Processes**

*by*Burnecki, Krzysztof & Weron, Rafal

**Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence**

*by*Sarafidis, Vasilis & Yamagata, Takashi

**Performance evaluation using bootstrapping DEA techniques: Evidence from industry ratio analysis**

*by*Halkos, George & Tzeremes, Nickolaos

**DSGE Model Validation in a Bayesian Framework: an Assessment**

*by*Paccagnini, Alessia

**Effets Non Linéaires de l'Inflation sur la Croissance dans l'UEMOA**

*by*Combey, Adama & Nubukpo, Kako

**Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?**

*by*Mitze, Timo

**Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization**

*by*Fries, Christian P.

**Efficient Bayesian estimation and combination of GARCH-type models**

*by*Ardia, David & Hoogerheide, Lennart F.

**Loss Distributions**

*by*Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal

**Temporal changes in the parameters of statistical distribution of journal impact factor**

*by*Mishra, SK

**Markov-switching Asset Allocation: Do Profitable Strategies Exist?**

*by*Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe

**GMM estimation of Spatial Panels with Fixed Effects**

*by*Moscone, Francesco & Tosetti, Elisa

**Alpha-root Processes for Derivatives pricing**

*by*Balakrishna, BS

**Semiparametric Inference in Dynamic Binary Choice Models, Second Version**

*by*Andriy Norets & Xun Tang

**Opportunismo e coordinamento: soluzioni regolative e istituzionali**

*by*A. Arrighetti & S. Curatolo

**Costi di coordinamento e vantaggi di aggregazione: esiti, morfologia e processi di interazione in un mondo artificiale multi-agente**

*by*A. Arrighetti & S. Curatolo

**Spatial Filtering, Model Uncertainty and the Speed of Income Convergence in Europe**

*by*Jesús Crespo Cuaresma & Martin Feldkircher

**An International Perspective on Safe Withdrawal Rates from Retirement Savings: The Demise of the 4 Percent Rule?**

*by*Wade D. Pfau

**A Structural Model of Segregation in Social Networks**

*by*Angelo Mele

**Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application**

*by*Russell Cooper & John C. Haltiwanger & Jonathan L. Willis

**Estimating Nonlinear DSGE Models by the Simulated Method of Moments**

*by*RUGE-MURCIA, Francisco J.

**Estimating Nonlinear DSGE Models by the Simulated Method of Moments**

*by*RUGE-MURCIA, Francisco J.

**Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions**

*by*Shuowen Hu & D.S. Poskitt & Xibin Zhang

**A Bayesian approach to parameter estimation for kernel density estimation via transformations**

*by*Qing Liu & David Pitt & Xibin Zhang & Xueyuan Wu

**Short-term load forecasting based on a semi-parametric additive model**

*by*Shu Fan & Rob Hyndman

**An omnibus test to detect time-heterogeneity in time series**

*by*Dominique Guegan & Philippe de Peretti

**Testing unit roots and long range dependence of foreign exchange**

*by*Dominique Guegan & Zhiping Lu

**The Power of some Standard tests of stationarity against changes in the unconditional variance**

*by*Ibrahim Ahamada & Mohamed Boutahar

**Classical vs wavelet-based filters Comparative study and application to business cycle**

*by*Ibrahim Ahamada & Philippe Jolivaldt

**Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems**

*by*Dominique Guegan & Justin Leroux

**Alternative Technical Efficiency Measures: Skew, Bias, and Scale**

*by*Qu Feng & William C. Horrace

**Portfolio Management under Asymmetric Dependence and Distribution**

*by*Stefan Hlawatsch & Peter Reichling

**Simulation and Estimation of Loss Given Default**

*by*Stefan Hlawatsch & Sebastian Ostrowski

**Multivariate Option Pricing with Time Varying Volatility and Correlations**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**A Trinomial Test for Paired Data When There are Many Ties**

*by*Guorui Bian & Michael McAleer & Wing-Keung Wong

**Production Efficiency versus Ownership: The Case of China**

*by*Alice Shiu, Valentin Zelenyuk

**Persistence Endogeneity Via Adjustment Costs: An Assessment based on Bayesian Estimations**

*by*Sebastian Sienknecht

**A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables**

*by*Michael P. Keane & Robert M. Sauer

**The Evolution of Secularization: Cultural Transmission, Religion and Fertility Theory, Simulations and Evidence**

*by*Bar-El, Ronen & García-Muñoz, Teresa & Neuman, Shoshana & Tobol, Yossi

**The Evolution of Secularization: Cultural Transmission, Religion and Fertility Theory, Simulations and Evidence**

*by*Bar-El, Ronen & García Muñoz, Teresa & Neuman, Shoshana & Tobol, Yossef

**Modeling Employment Dynamics with State Dependence and Unobserved Heterogeneity**

*by*Prowse, Victoria L.

**Modeling Employment Dynamics with State Dependence and Unobserved Heterogeneity**

*by*Prowse, Victoria L.

**Spatial Chow-Lin Methods for Data Completion in Econometric Flow Models**

*by*Polasek, Wolfgang & Sellner, Richard

**Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System**

*by*Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M.

**Models for Heavy-tailed Asset Returns**

*by*Szymon Borak & Adam Misiorek & RafaÅ‚ Weron

**Building Loss Models**

*by*Krzysztof Burnecki & Joanna Janczura & RafaÅ‚ Weron &

**Modeling Asset Prices**

*by*James E. Gentle & Wolfgang Karl HÃ¤rdle

**Unpacking the Causes of Ethnic Segregation across Workplaces**

*by*Bygren, Magnus

**The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A Simulation Study**

*by*Graziani, Rebecca & Keilman, Nico

**Effects of Sharing Parental Leave on Pensioners' Poverty and Gender Inequality in Old Age. A Simulation in IFSIM**

*by*Baroni, Elisa

**Pursuing the Wrong Options? Adjustment Costs and the Relationship between Uncertainty and Capital Accumulation**

*by*Bond, Stephen R. & Söderbom, Måns & Wu, Guiying

**A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance**

*by*Hacker, R. Scott & Hatemi-J, Abdulnasser

**Uncertainty and Sensitivity Analysis of the Human Development Index**

*by*Milorad Kovacevic & Clara García Aguña

**Has the Preston Curve Broken Down?**

*by*Georgios Georgiadis & José Pineda & Francisco Rodríguez

**A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates**

*by*Christian de Peretti & Carole Siani & Mario Cerrato

**Dépendance entre risques extrêmes : Application aux Hedge Funds**

*by*Ranoua Bouchouicha

**A New Solution to Time Series Inference in Spurious Regression Problems**

*by*Hrishikesh D. Vinod

**Maintaining symmetry of simulated likelihood functions**

*by*Laura Mørch Andersen

**The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values**

*by*Giorgio Calzolari & Laura Neri

**Monte Carlo-Based Tail Exponent Estimator**

*by*Jozef Barunik & Lukas Vacha

**Individual Characteristics and Stated Preferences for Alternative Energy Sources and Propulsion Technologies in Vehicles: A Discrete Choice Analysis**

*by*Andreas Ziegler

**A Trinomial Test for Paired Data When There are Many Ties**

*by*Bian, G. & McAleer, M.J. & Wong, W-K.

**A Trinomial Test for Paired Data When There are Many Ties**

*by*Bian, G. & McAleer, M.J. & Wong, W-K.

**Inference for stochastic volatility models using time change transformations**

*by*Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas

**Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?**

*by*Timo Mitze

**Liquidity Stress-Tester: Do Basel III and Unconventional Monetary Policy Work?**

*by*Jan Willem van den End

**“I Can Hear the Grass Grow”: The Anatomy of Distributive Changes in Argentina**

*by*Walter Sosa Escudero & Sergio Petralia

**Intangibles, Can They Explain the Dispersion in Return Rates?**

*by*Bernd Görzig & Martin Gornig

**A New Targeting - A New Take-Up?: Non-take-up of Social Assistance in Germany after Social Policy Reforms**

*by*Kerstin Bruckmeier & Jürgen Wiemers

**Estimation and Inference with Weak, Semi-strong, and Strong Identification**

*by*Donald W.K. Andrews & Xu Cheng

**Estimation and Inference with Weak, Semi-strong, and Strong Identification**

*by*Donald W.K. Andrews & Xu Cheng

**Dating the Timeline of Financial Bubbles during the Subprime Crisis**

*by*Peter C. B. Phillips & Jun Yu

**Inference Based on Conditional Moment Inequalities**

*by*Donald W.K. Andrews & Xiaoxia Shi

**Inference Based on Conditional Moment Inequalities**

*by*Donald W.K. Andrews & Xiaoxia Shi

**Inference Based on Conditional Moment Inequalities**

*by*Donald W.K. Andrews & Xiaoxia Shi

**Testing conditional monotonicity in the absence of smoothness**

*by*Escanciano, Juan Carlos & Delgado, Miguel A.

**Option pricing with asymmetric heteroskedastic normal mixture models**

*by*ROMBOUTS, Jeroen V. K. & STENTOFT, Lars

**Multivariate option pricing with time varying volatility and correlations**

*by*ROMBOUTS, Jeroen J. K & STENTOFT, Lars

**Bayesian Model Averaging. An Application to Forecast Inflation in Colombia**

*by*Eliana González

**Bayesian Model Averaging. An Application to Forecast Inflation in Colombia**

*by*Eliana González

**Bayesian Model Averaging. An Application to Forecast Inflation in Colombia**

*by*Eliana González

**Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models**

*by*Jeroen Rombouts & Lars Peter Stentoft

**Multivariate Option Pricing With Time Varying Volatility and Correlations**

*by*Jeroen Rombouts & Lars Peter Stentoft

**Alternative versions of the RESET test for binary response index models: a comparative study**

*by*Esmeralda A. Ramalho & Joaquim Ramalho

**How Robust is the R&D-Productivity relationship? Evidence from OECD Countries**

*by*Luintel, Kul B & Khan, Mosahid & Theodoridis, Konstantinos

**The PCSE Estimator is Good -- Just Not as Good as You Think**

*by*W. Robert Reed & Rachel Webb

**A Trinomial Test for Paired Data When There are Many Ties**

*by*Guorui Bian & Michael McAleer & Wing-Keung Wong

**Properties of Electricity Prices and the Drivers of Interconnector Revenue**

*by*Parail, V.

**Die Gewerbesteuer seit der Unternehmensteuerreform 2008: Steigt die Steuerbelastung und die Gefahr der Substanzbesteuerung? Eine empirische Analyse**

*by*Kerstin Schneider & Claudia Wesselbaum-Neugebauer

**The great divergence: history or path dependence? Results from the Americas**

*by*Steve de Castro

**History or path dependence in mixed-Poisson growth: Brazil, 1822-2000, and USA, 1869-1996, with an estimate of the world mixing distribution at start-up**

*by*Steve de Castro & Flávio Gonçalves

**A Cyclical Model of Exchange Rate Volatility**

*by*Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz

**Combining predictive densities using Bayesian filtering with applications to US economics data**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Experiencing Simulated Outcomes**

*by*Robin Hogarth & Emre Soyer

**The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models**

*by*Lemoine, M. & Mougin, C.

**Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective**

*by*Guillermo Benavides

**A systematic approach to multi-period stress testing of portfolio credit risk**

*by*Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer

**Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector**

*by*Abdelaziz Rouabah & John Theal

**Macroprudential Regulation and Systemic Capital Requirements**

*by*Celine Gauthier & Alfred Lehar & Moez Souissi

**Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings**

*by*Céline Gauthier & Zhongfang He & Moez Souissi

**Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Simple simulation of diffusion bridges with application to likelihood inference for diffusions**

*by*Mogens Bladt & Michael Sørensen

**Non-linear DSGE Models and The Central Difference Kalman Filter**

*by*Martin M. Andreasen

**Multivariate Option Pricing with Time Varying Volatility and Correlations**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Non-linear DSGE Models and The Optimized Particle Filter**

*by*Martin M. Andreasen

**¿Escuela pública o concertada? Una comparación mediante un índice de Malmquist educativo**

*by*Eva Crespo Cebada & Francisco Pedraja Chaparro & Daniel Santin Gonzalez

**Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model**

*by*Demary, Markus

**A Simulation Framework to Study Policy Formulation and Evaluation of Economic Viability and Sustainability of Small and Marginal Farmers**

*by*Usha Sridhar & Sridhar Mandyam

**An Empirical Study of Exposure at Default**

*by*Michael Jacobs, Jr.

**Profit Sharing and Employment Stability**

*by*Lutz Bellmann & Iris Möller

**Dynamiczna analiza finansowa w zakladzie ubezpieczen - koncepcja, przebieg i zastosowanie**

*by*Joanna Wartini

**Forecasting Romanian GDP Using a BVAR Model**

*by*Caraiani, Petre

**Exchange Market Pressure and De Facto The Evolution of Demographic Phenomena in Terms of Globalization and Environmental Changes**

*by*Balan, Mariana

**On Generalized Pareto Distributions**

*by*Mierlus Mazilu, I.

**The Evolution Of Romanian Demographic Phenomena In Terms Of Globalization**

*by*BĂLAN, Mariana & VASILE, Emilia

**A Smooth Transition GARCH-M Model**

*by*Tsatsura, Oleg

**Bayesian Methods for Completing Data in Spatial Models**

*by*Wolfang Polasek & Carlos Llano & Richard Sellner

**On the Relevance of the Bayesian Approach to Statistics**

*by*Christian P. Robert

**Trends in the French commercial farm population**

*by*Madior Fall & Laurent Piet & Muriel Roger

**Ajuste recursivo con transformaciones invariantes y bootstrapping: El caso de una caminata aleatoria con intercepto**

*by*Eddy Lizarazu Alanez & Jose A. Villasenor Alva

**Information Society - Sustainable Development Premise In A Competitive Economy**

*by*Ioana Maria Ghidiu Bîta & Tatiana Danescu

**Spurious Rejections by Dickey-Fuller Tests in the Presence of an Endogenously Determined Break under the Null = Rechazos espurios de los test de Dickey-Fuller en presencia de una ruptura bajo la hipótesis nula endógenamente determinada**

*by*Badillo Amador, Rosa & Belaire Franch, Jorge & Reverte Maya, Carmelo

**International Organizations and the Theory of Clubs = Una interpretación de las organizaciones internacionales utilizando la Teoría de los Clubes**

*by*Faíña Medín, José Andrés & García Lorenzo, Antonio & López-Rodríguez, Jesús

**Corporate Valuation Using Two-Dimensional Monte Carlo Simulation**

*by*Tarnóczi Tibor & Fenyves Veronika & Tóth Réka

**Analysis Of Convergence Within The European Union - Sigma And Beta Convergence**

*by*Begu Liviu-Stelian & Teodorescu Irina-Teodora & Dimidov Ioana-Catalina & Istrate Ionut

**Intellectual Capital Valuation Using Monte Carlo Simulation**

*by*Fenyves Veronika & Tóth Réka & Tarnóczi Tibor

**Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems**

*by*Lukasz Lach

**Estimación de los flujos de transporte de mercancías interregionales trimestrales mediante técnicas de interpolación temporal/Estimating Quarterly Interregional Commodity Transport Flows by Means of Temporal Interpolation Methods**

*by*GALLEGO LÓPEZ, NURIA & LLANO VERDURAS, CARLOS & PEREZ GARCÍA, JULIAN

**The Determinants of Pakistan’s Trade Balance: An ARDL Cointegration Approach**

*by*Waliullah & Mehmood Khan Kakar & Rehmatullah Kakar & Wakeel Khan

**Comparative Analysis of VaR Models Aplicability in the Evaluation of Exchange Rate Risk in the B&H Banking Sector**

*by*Emina Kozarevic

**Stability Of Rents And Returns As A Source Of Internal Financing: Evidence From Appalachian Coal Producers**

*by*C. W. Yang & Ken Hung

**Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?**

*by*Lawrence Kryzanowski, Shishir Singh

**Securitization of Longevity and Mortality Risk**

*by*Tomas Cipra

**Variance Estimates and Model Selection**

*by*Sýdýka Baþçý & Asad Zaman & Arzdar Kiracý

**Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective**

*by*Guillermo Benavides

**Baskenland: regionaler Konflikt lässt die Bildungsnachfrage steigen**

*by*Olaf J. de Groot & Idil Göksel

**El supuesto de normalidad: ¿mito o realidad?**

*by*Myrian Vergara & Giovany Babativa

**Efectos de las técnicas de filtrado en la evaluación de un modelo de ciclos económicos reales**

*by*Vásquez Bedoya, Fredy & Restrepo, Sergio

**Testing for Granger Causality in the Presence of Chaotic Dynamics**

*by*Dimitrios Hristu-Varsakelis & Catherine Kyrtsou

**Determinants of the receipts from shipping services: the case of Greece**

*by*Zacharias Bragoudakis & Stelios Panagiotou

**Modelo KMW - Merton para la medición del riesgo crediticio de las reservas internacionales del Banco Central de Bolivia**

*by*Oscar A. Martínez Cusicanqui & Raúl A. Ballón Fernández

**Liquidity risk stress test: new trends and methods**

*by*Pasquale La Ganga & Gianluca Trevisan

**Using stress testing methodology in evaluating banking institution’s exposure to risk**

*by*Ioan TRENCA & Simona MUTU & Maria-Miruna POCHEA

**Estimates of Technology and Convergence: Simulation Results**

*by*Graeme Wells & Thanasis Stengos

**econometric issues in the presence of multiple equilibria**

*by*Francesca Molinari

**A Nonlinear Panel Unit Root Test under Cross Section Dependence**

*by*Mario Cerrato & Christian de Peretti & Rolf Larsson & Nick Sarantis

**¿Existe discriminación salarial contra la población indígena en Chile?**

*by*Montero, Rodrigo & Garcés, Paz

**Método de la cadena de Markov-remuestreo-punto de rompimiento estructural del crecimiento económico**

*by*Adrián Hernández-del-Valle

**Sensibilidad de la evolución de la desigualdad a las técnicas de inferencia utilizadas. Una aplicación para el índice de Gini en el caso español (1993-2000)**

*by*García Pérez, Carmelo & Prieto Alaiz, Mercedes

**ZEW Corporate Taxation Microsimulation Model (ZEW TaxCoMM)**

*by*Reister, Timo & Spengel, Christoph & Finke, Katharina & Heckemeyer, Jost Henrich

**A solution to the problem of too many instruments in dynamic panel data GMM**

*by*Mehrhoff, Jens

**Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model**

*by*Gürtler, Marc & Rauh, Ronald

**Markowitz versus Michaud: Portfolio optimization strategies reconsidered**

*by*Becker, Franziska & Gürtler, Marc & Hibbeln, Martin

**Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or not IV?**

*by*Mitze, Timo

**Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz**

*by*Dannenberg, Henry

**Social Policy Targeting and Binary Information Transfer between Surveys**

*by*Gottlieb, Daniel & Kushnir, Leonid

**Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model /**

*by*Demary, Markus

**Determinants and dynamics of current account reversals: an empirical analysis**

*by*Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François

**Stress testing German banks in a downturn in the automobile industry**

*by*Düllmann, Klaus & Erdelmeier, Martin

**A solution to the problem of too many instruments in dynamic panel data GMM**

*by*Mehrhoff, Jens

**The Determinants of Economic Growth in European Regions**

*by*Jesus Crespo-Cuaresma & Gernot Doppelhofer & Martin Feldkircher

**International Financial Integration And Real Exchange Rate Long-Run Dynamics In Emerging Countries**

*by*Christophe RAULT & Guglielmo Maria CAPORALE & Thouraya HADJ AMOR

**Breeding Ones' Own Subprime Crisis**

*by*Tomasz Daras & Joanna Tyrowicz

**A survey of sequential Monte Carlo methods for economics and finance**

*by*Creal, D.

**Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae**

*by*Katja Ignatieva & Eckhard Platen

**How Do Shocks to Non-Cognitive Skills Affect Test Scores?**

*by*Stefanie Behncke

**A house price index defined in the potential outcomes framework**

*by*Nicholas Longford

**Do institutional changes affect business cycles? Evidence from Europe**

*by*Fabio Canova & Matteo Ciccarelli & Eva Ortega

**Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach**

*by*Nadia Ayari & Szabolcs Blazsek & Pedro Mendi

**Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search**

*by*Shawn Ni & Antonello Loddo & Dongchu Sun

**Desigualdad salarial en uruguay, 1981-207**

*by*Guillermo Alves & Rodrigo Arim & Gonzalo Salas & Andrea Vigorito

**Cambios en la estructura salarial en Uruguay, 1986-2007: Un análisis mediante regresiones cuantílicas**

*by*Guillermo Alves & Matias Brum & Mijail Yapor

**Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis**

*by*Giovanni Villani

**Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space**

*by*Kwamie Dunbar

**The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach**

*by*Kwamie Dunbar

**Majority, proportionality, governability and factions**

*by*Migheli, Matteo & Ortona, Guido

**A preliminary simulative assessment of disproportionality indices**

*by*Migheli, Matteo & Ortona, Guido & Ponzano, Ferruccio

**Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors**

*by*Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H.

**Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights**

*by*Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek

**To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods**

*by*David Ardia & Lennart Hoogerheide & Herman K. van Dijk

**Economies of Scale in Production versus Diseconomies in Transportation: On Structural Change in the German Dairy Industry**

*by*Ole Boysen & Carsten Schröder

**Simulating WTP Values from Random-Coefficient Models**

*by*Maurus Rischatsch

**Using SLA Mapping to Increase Market Liquidity**

*by*Marcel Risch & Ivona Brandic & Jorn Altmann

**Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models**

*by*Tore Selland Kleppe & Hans J. Skaug & Jun Yu

**Dating the Timeline of Financial Bubbles During the Subprime Crisis**

*by*Peter C.B.Phillips & Jun Yu

**Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models**

*by*Tore Selland KLEPPE & Jun YU & Hans J. SKAUG

**Dating the Timeline of Financial Bubbles During the Subprime Crisis**

*by*Peter C. B. Phillips & Jun Yu

**Asymptotics and Bootstrap for Transformed Panel Data Regressions**

*by*Liangjun Su & Zhenlin Yang

**Merger Simulation in Competition Policy: A Survey**

*by*Oliver Budzinski & Isabel Ruhmer

**ADL tests for threshold cointegration**

*by*Jing Li & Junsoo Lee

**Are Short-Lived Jobs Stepping Stones to Long-Lasting Jobs?**

*by*B. COCKX & M. PICCHIO

**Using Backward Means to Eliminate Individual Effects from Dynamic Panels**

*by*G. EVERAERT

**The Benefit of Regional Diversification of Cogeneration Investments in Europe: A Mean-Variance Portfolio Analysis**

*by*Westner, Günther & Madlener, Reinhard

**Development of Cogeneration in Germany: A Dynamic Portfolio Analysis Based on the New Regulatory Framework**

*by*Westner, Günther & Madlener, Reinhard

**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**

*by*Gary Koop & Dimitris Korobilis

**Paikkatietojen yhteiskäyttö ja jakeluperiaatteet - Hinnoitteluperiaatteiden analyysi ja kansantaloudellisten vaikutusten simulointi**

*by*Hermans, Outi & Hermans, Raine

**Spatial Aspects of Forest Management and Non-Timber Forest Product Extraction in Tanzania**

*by*Robinson, Elizabeth J.Z. & Lokina, Razack

**Exact Moment Simulation using Random Orthogonal Matrices**

*by*Carol Alexander & Walter Ledermann & Daniel Ledermann

**Parameterstabilität in hedonischen Bodenpreismodellen**

*by*Wieser, Robert

**A Comparative Study for Estimation Parameters in Panel Data Model**

*by*Youssef, Ahmed H. & Abonazel, Mohamed R.

**Bandwidth selection for continuous-time Markov processes**

*by*Bandi, Federico & Corradi, Valentina & Moloche, Guillermo

**Partial identification of the distribution of treatment effects and its confidence sets**

*by*Fan, Yanqin & Park, Sang Soo

**Simulation on long-term correlation between demographic variables and economic growth**

*by*Albu, Lucian-Liviu & Diaconescu, Tiberiu

**Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping**

*by*Gonzales, Rolando

**Stationarity of time series and the problem of spurious regression**

*by*Baumöhl, Eduard & Lyócsa, Štefan

**Consecutive k-within-m-out-of-n:F system with exchangeable components**

*by*Eryilmaz, Serkan & Kan, Cihangir & Akici, Fatih

**Production Efficiency versus Ownership: The Case of China**

*by*Shiu, Alice & Zelenyuk, Valentin

**Maximum Likelihood Estimation of the Multivariate Normal Mixture Model**

*by*Boldea, Otilia & Magnus, Jan R.

**Health Expenditures in Greece: A Multiple Least Squares Regression and Cointegration Analysis Using Bootstrap Simulation in EVIEWS**

*by*Giovanis, Eleftherios

**Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB**

*by*Giovanis, Eleftherios

**Determination of stochastic vs. deterministic trend in quarterly GDP of Pakistan**

*by*Khan, Zahid & Asghar, Zahid

**DEoptim: An R Package for Global Optimization by Differential Evolution**

*by*Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James

**Goodness of fit in optimizing consumer's model**

*by*Alcantud, José Carlos R. & Matos, Daniel L. & Palmero, Carlos R.

**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**

*by*Koop, Gary & Korobilis, Dimitris

**Factor models and the credit risk of a loan portfolio**

*by*Palombini, Edgardo

**Impact of Model Specification Decisions on Unit Root Tests**

*by*Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad

**Assessing the quality of institutions’ rankings obtained through multilevel linear regression models**

*by*Arpino, Bruno & Varriale, Roberta

**Identifikace, měření a analýza poruch E-Commerce systémů**

*by*Suchánek, Petr & Vymětal, Dominik

**Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R**

*by*Ardia, David

**Normal versus Noncentral Chi-square Asymptotics of Misspecified Models**

*by*Chun, So Yeon & Alexander, Shapiro

**Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn**

*by*Bušs, Ginters

**Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation**

*by*Thapar, Rishi & Minsky, Bernard & Obradovic, M & Tang, Qi

**A Note of Growth and Inequality in Peru, 2003-2008**

*by*Gambetta, Renzo

**Forecasting credit growth rate in Romania: from credit boom to credit crunch?**

*by*Albulescu, Claudiu Tiberiu

**A Repeated Game Heterogeneous-Agent Wage-Posting Model**

*by*Steinbacher, Matej & Steinbacher, Matjaz & Steinbacher, Mitja

**Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach**

*by*Bušs, Ginters

**Homogenous Agent Wage-Posting Model with Wage Dispersion**

*by*Steinbacher, Matej & Steinbacher, Matjaz & Steinbacher, Mitja

**A fundamental power price model with oligopolistic competition representation**

*by*Vazquez, Miguel & Barquín, Julián

**On the Use of Formative Measurement Specifications in Structural Equation Modeling: A Monte Carlo Simulation Study to Compare Covariance-Based and Partial Least Squares Model Estimation Methodologies**

*by*Ringle, Christian M. & Götz, Oliver & Wetzels, Martin & Wilson, Bradley

**Breeding Ones' Own Subprime Crisis: The effects of labour market on financial system stability**

*by*Daras, Tomasz & Tyrowicz, Joanna

**Rating philosophy and dynamic properties of internal rating systems: A general framework and an application to backtesting**

*by*Cornaglia, Anna & Morone, Marco

**Bootstrap prediction intervals for threshold autoregressive models**

*by*Jing, Li

**Predictability of Equity Models**

*by*Valls Pereira, Pedro L. & Chicaroli, Rodrigo

**Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study**

*by*Carluccio Bianchi & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi

**How to find plausible, severe, and useful stress scenarios**

*by*Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer

**The Tobit model with feedback and random effects: A Monte-Carlo study**

*by*Eva Poen

**Jump-Robust Volatility Estimation using Nearest Neighbor Truncation**

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

**Measuring the Timing Ability and Performance of Bond Mutual Funds**

*by*Yong Chen & Wayne Ferson & Helen Peters

**Announcement effect and intraday volatility patterns of euro-dollar exchange rate: monetary policy news arrivals and short-run dynamic response**

*by*Mokhtar Darmoul & Mokhtar Kouki

**Calendar effect and intraday volatility patterns of euro-dollar exchange rate: new evidence of Europe lunch period**

*by*Mokhtar Darmoul & Mokhtar Kouki

**Wavelet method for locally stationary seasonal long memory processes**

*by*Dominique Guegan & Zhiping Lu

**Demographic forecasts, migration and transition theory: a labor market perspective**

*by*Michele Bruni

**Inequality and higher education in Italy The distributive impact of fees and subsidies to academics**

*by*Daniele Pacifico

**Optimal Dimension of Transition Probability Matrices for Markov Chain Bootstrapping**

*by*Roy Cerqueti & Paolo Falbo & Cristian Pelizzari

**Modelling and Forecasting Mobile Telecommunication Services: The case of Greece**

*by*Theologos Dergiades & Apostolos Dasilas

**Pauvreté multidimensionnelle et politiques sociales au Bénin**

*by*Cosme Vodounou

**A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality**

*by*Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti

**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Basket Options on Heterogeneous Underlying Assets**

*by*Georges Dionne & Geneviève Gauthier & Nadia Ouertani

**A Test of the Rational Expectations Hypothesis using data from a Natural Experiment**

*by*Anna Conte & Peter G. Moffatt & Fabrizio Botti & Daniela T. Di Cagno & Carlo D'Ippoliti

**Mortality-Indexed Annuities**

*by*Richter, Andreas & Weber, Frederik

**The Behaviour of Dickey Fuller test in the case of noisy data: to what extent we can trust the outcome**

*by*Stephen Hall & Sahar S. Qaqeesh

**A Test of the Rational Expectations Hypothesis using data from a Natural Experiment**

*by*Anna Conte & Peter G. Moffatt & Fabrizio Botti & Daniela T. Di Cagno & Carlo D'Ippoliti

**The Random Part in Network Evolution**

*by*Thomas Grebel

**The Effect of the Timing and Spacing of Births on the Level of Labor Market Involvement of Married Women**

*by*Troske, Kenneth & Voicu, Alexandru

**The Effect of the Timing and Spacing of Births on the Level of Labor Market Involvement of Married Women**

*by*Troske, Kenneth & Voicu, Alexandru

**How Do Shocks to Non-Cognitive Skills Affect Test Scores?**

*by*Behncke, Stefanie

**How Do Shocks to Non-Cognitive Skills Affect Test Scores?**

*by*Behncke, Stefanie

**The Effect of Children on the Level of Labor Market Involvement of Married Women: What is the Role of Education?**

*by*Troske, Kenneth & Voicu, Alexandru

**The Effect of Children on the Level of Labor Market Involvement of Married Women: What is the Role of Education?**

*by*Troske, Kenneth & Voicu, Alexandru

**A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables**

*by*Keane, Michael P. & Sauer, Robert M.

**A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables**

*by*Keane, Michael P. & Sauer, Robert M.

**International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence**

*by*Caporale, Guglielmo Maria & Hadj Amor, Thouraya & Rault, Christophe

**International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence**

*by*Caporale, Guglielmo Maria & Hadj Amor Essid, Thouraya & Rault, Christophe

**Are Short-Lived Jobs Stepping Stones to Long-Lasting Jobs?**

*by*Cockx, Bart & Picchio, Matteo

**Are Short-Lived Jobs Stepping Stones to Long-Lasting Jobs?**

*by*Cockx, Bart & Picchio, Matteo

**Job Durations with Worker and Firm Specific Effects: MCMC Estimation with Longitudinal Employer-Employee Data**

*by*Horny, Guillaume & Mendes, Rute & van den Berg, Gerard J.

**Job Durations with Worker and Firm Specific Effects: MCMC Estimation with Longitudinal Employer-Employee Data**

*by*Horny, Guillaume & Mendes, Rute & van den Berg, Gerard J.

**A Distributional Analysis of Social Group Inequality in Rural India**

*by*Azam, Mehtabul

**A Distributional Analysis of Social Group Inequality in Rural India**

*by*Azam, Mehtabul

**Changes in Wage Structure in Urban India 1983-2004: A Quantile Regression Decomposition**

*by*Azam, Mehtabul

**Changes in Wage Structure in Urban India 1983-2004: A Quantile Regression Decomposition**

*by*Azam, Mehtabul

**Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation**

*by*José-Antonio Monteiro & Madina Kukenova

**Recent trends in income inequality in Latin America**

*by*Leonardo Gasparini & Guillermo Cruces & Leopoldo Tornarolli

**Spatial Filtering, Model Uncertainty and the Speed of Income Convergence in Europe**

*by*Jesus Crespo Cuaresma & Martin Feldkircher

**Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy**

*by*Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe

**La Incidencia Distributiva del Impuesto a las Gasolinas en Chile**

*by*Claudio Agostini & Johanna Jimenez

**Finite Sample Correction Factors for Panel Cointegration Tests**

*by*Hlouskova, Jaroslava & Wagner, Martin

**Bayesian Methods for Completing Data in Space-time Panel Models**

*by*Llano, Carlos & Polasek, Wolfgang & Sellner, Richard

**Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach**

*by*Richard T. Baille & Claudio Morana

**Regression methods for stochastic control problems and their convergence analysis**

*by*Denis Belomestny & Anastasia Kolodko & John Schoenmakers

**Pricing Bermudan options using regression: optimal rates of convergence for lower estimates**

*by*Denis Belomestny

**Panel Cointegration Testing in the Presence of a Time Trend**

*by*Bernd Droge & Deniz Dilan Karaman Ã–rsal

**Localized Realized Volatility Modelling**

*by*Ying Chen & Wolfgang HÃ¤rdle & Uta Pigorsch

**Information Loss in Volatility Measurement with Flat Price Trading**

*by*Peter C. B. Phillips & Jun Yu

**Using Empirical Mode Decomposition to Estimate Amplitudes in Noisy Data**

*by*Claire Blackman

**Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors**

*by*Li, Yushu & Shukur, Ghazi

**Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion**

*by*Li, Yushu & Shukur, Ghazi

**Should we expect financial globalization to have significant effects on business cycles?**

*by*Iversen, Jens

**Downside risk of derivative portfolios with mean-reverting underlyings**

*by*Leoni, Patrick L.

**Wage Rigidity, Institutions, and Inflation**

*by*Holden , Steinar & Wulfsberg, Fredrik

**Sensitivity analysis of the unconfoundedness assumption in observational studies**

*by*de Luna, Xavier & Lundin, Mathias

**Job durations with worker and firm specific effects: MCMC estimation with longitudinal employer-employee data**

*by*Horny, Guillaume & Mendes, Rute & van den Berg, Gerard J

**Testing for Unit Roots in Panel Time Series Models with Multiple Breaks**

*by*Westerlund, Joakim

**Forecasting long memory time series under a break in persistence**

*by*Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson

**Fiscal and Monetary Policies in a Keynesian Stock-Flow Consistent Model**

*by*Edwin Le Heron

**A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks**

*by*George Bagdatoglou & Alexandros Kontonikas

**Bayesian estimation of an extended local scale stochastic volatility model**

*by*Deschamps, Philippe J.

**VOSviewer: A Computer Program for Bibliometric Mapping**

*by*van Eck, N.J.P. & Waltman, L.

**Dating the Timeline of Financial Bubbles During the Subprime Crisis**

*by*Peter C. B. Phillips & Jun Yu

**Copulas and bivariate risk measures : an application to hedge funds**

*by*Rihab Bedoui & Makram Ben Dbadis

**When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour**

*by*Jan Willem van den End & Mostafa Tabbae

**A Turning Point? Recent Developments on Inequality in Latin America and the Caribbean**

*by*Leonardo Gasparini & Guillermo Cruces & Leopoldo Tornarolli & Mariana Marchionni

**International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence**

*by*Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault

**The Influence of Conflict on the Demand for Education in the Basque Region**

*by*Olaf J. de Groot & Idil Göksel

**Are Short-Lived Jobs Stepping Stones to Long-Lasting Jobs ?**

*by*Bart COCKX & Matteo PICCHIO

**Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors**

*by*Escribano, Álvaro & Blazsek, Szabolcs

**Empirical econometric evaluation of alternative methods of dealing with missing values in Investment Climate surveys**

*by*Pena, Jorge & Escribano, Álvaro

**A nonparametric copula based test for conditional independence with applications to granger causality**

*by*Taamouti, Abderrahim & Rombouts, Jeroen V. K. & Bouezmarni, Taoufik

**Behavioral Heterogeneity in the Option Market**

*by*Thorsten Lehnert & Bart Frijns & Remco Zwinkels

**Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors**

*by*Nikolay Gospodinov & Ye Tao

**A Dynamic Model of Price Discrimination and Inventory Management at the Fulton Fish Market**

*by*Graddy, Kathryn & Hall, George

**A nonparametric copula based test for conditional independence with applications to Granger causality**

*by*BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim

**Bayesian option pricing using mixed normal heteroskedasticity models**

*by*ROMBOUTS, Jeroen V.K. & STENTOFT, Lars

**Bootstrap Confidence Bands for Forecast Paths**

*by*Anna Staszewska-Bystrova

**La planeación agregada analizada desde el enfoque de la dinámica de sistemas**

*by*Juan Carlos Vergara Schmalbach & Víctor Manuel Quesada Ibargüen & Melissa Manga Altamar & Vanessa Restrepo Torres

**Administración de riesgos en los Fondos Privados de Pensiones**

*by*Carlos Alberto Castro Iragorri

**Causas de las diferencias regionales en la distribución del ingreso en Colombia, un ejercicio de micro-descomposición**

*by*Leonardo Bonilla Mejía

**Una aproximación teórica a la superficie de volatilidad en el mercado colombiano a través del modelo de difusión con saltos**

*by*Carlos León

**Modelo de simulación del valor de la pensión de un trabajador en Colombia**

*by*Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel Piraquive

**Una aproximación al problema de optimalidad y eficiencia en el sector eléctrico colombiano**

*by*Miguel Andrés Espinosa Farfán

**A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality**

*by*Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti

**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**

*by*Jeroen Rombouts & Lars Peter Stentoft

**Is neglected heterogeneity really an issue in binary and fractional regression models? A simulation exercise for logit, probit and loglog models**

*by*Esmeralda A. Ramalho & Joaquim J. S. Ramalho

**The Determinants of Joint Residential and Job Location Choices: A Mixed Logit Approach**

*by*Alexander Ebertz

*by*Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault

**A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis**

*by*Giovanni Villani

**Are Short-Lived Jobs Stepping Stones to Long-Lasting Jobs?**

*by*Bart Cockx & Matteo Picchio

**Wage Rigidity, Institutions, and Inflation**

*by*Steinar Holden & Fredrik Wulfsberg

**The Determinants of Economic Growth in European Regions**

*by*Jesús Crespo-Cuaresma & Gernot Doppelhofer & Martin Feldkircher

**The Tobit model with feedback and random effects: A Monte-Carlo study**

*by*Eva Poen

**A Correction Function Approach to Solve the Incidental Parameter Problem**

*by*Li, GuangJie & Leon-Gonzalez, Roberto

**Consistent Estimation, Model Selection and Averaging of Dynamic Panel Data Models with Fixed Effect**

*by*Li, GuangJie

**Estimating Standard Errors For The Parks Model: Can Jackknifing Help?**

*by*W. Robert Reed & Rachel S. Webb

**How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms**

*by*Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed

**More Reliable Inference for Segregation Indices**

*by*Rebecca Allen & Simon Burgess & Frank Windmeijer

**Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order**

*by*Christian Kascha & Carsten Trenkler

**Wage rigidity, institutions, and inflation**

*by*Steinar Holden & Fredrik Wulfsberg

**System GMM estimation with a small sample**

*by*Marcelo Soto

**Testing for poverty dominance: an application to Canada**

*by*Wen-Hao Chen & Jean-Yves Duclos

**Bayesian estimation of Cox models with non-nested random effects: an application to the ratification of ILO conventions by developing countries**

*by*Bernhard Boockmann. & Dragana Djurdjevic. & Guillaume Horny. & François Laisney.

**Minimum Distance Estimation and Testing of DSGE Models from Structural VARs**

*by*Fève, P. & Matheron, J. & Sahuc, J-G.

**Do institutional changes affect business cycles? Evidence from Europe**

*by*Fabio Canova & Matteo Ciccarelli & Eva Ortega

**Real Time Detection of Structural Breaks in GARCH Models**

*by*Zhongfang He & John M. Maheu

**Simulations du ratio du service de la dette des consommateurs en utilisant des données micro**

*by*Ramdane Djoudad

**SNM Guide**

*by*Michael Creel & Dennis Kristensen

**Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments**

*by*Michael Creel & Dennis Kristensen

**System GMM Estimation With A Small Sample**

*by*Marcelo Soto

**Testing for Poverty Dominance: An Application to Canada**

*by*Jean-Yves Duclos & Wen-Hao Chen

**Private long term care insurance: Theoretical approach and results applied to the Spanish case**

*by*Pablo Alonso González & Irene Albarrán Lozano

**Forecasting long memory time series under a break in persistence**

*by*Florian Heinen & Philipp Sibbertsen & Robinson Kruse

**Jump-Robust Volatility Estimation using Nearest Neighbor Truncation**

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**The Effect of Sanctions and Active Labour Market Programmes on the Exit Rate From Unemployment**

*by*Nisar Ahmad & Michael Svarer

**The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained**

*by*García Solanes, José & Torrejón-Flores, Fernando

**Social policy targeting and binary information transfer between surveys**

*by*Gottlieb, Daniel & Kushnir, Leonid

**Interdependency Between Simulation Model Development And Knowledge Management**

*by*Florica LUBAN & Daniela HINCU

**Using simulation to evaluate investment projects**

*by*LUBAN Florica

**Global Simulation of Quality and Security of Human Life**

*by*Zgurovski, M.

**Enhanced credit default models for heterogeneous SME segments**

*by*Fantazzini, Dean & DeGiuli, Maria Elena & Figini, Silvia & Giudici, Paolo

**Intensity of Russian Companies’ Mergers & Acquisitions (M&A) Processes, 2001-2004: Econometric Estimation**

*by*Musatova, Maria

**Testing for Restricted Stochastic Dominance: Some Further Results**

*by*Russell Davidson

**Trading schemes for greenhouse gas emissions from European agriculture: A comparative analysis based on different implementation options**

*by*Ignacio Pérez Domínguez & Wolfgang Britz & Karin Holm-Müller

**Smart Agents and Sentiment in the Heterogeneous Agent Model**

*by*Lukáš Vácha & Jozef Barunik & Miloslav Vošvrda

**Testing for omitted variables in partially linear regression models**

*by*Lawrence Dacuycuy

**Simulation In Inventory Management**

*by*ALEKSANDRA MARCIKIC & BORIS RADOVANOV

**Métodos de imputación para el tratamiento de datos faltantes: aplicación mediante R/Splus = Imputation methods to handle the problem of missing data: an application using R/Splus**

*by*Muñoz Rosas, Juan Francisco & Alvarez Verdejo, Encarnación

**Detecting Regime Switches In The Eur/Ron Exchange Rate Volatility**

*by*Necula Ciprian & Radu Alina-Nicoleta

**Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application**

*by*James B. McDonald & Richard A. Michelfelder & Panayiotis Theodossiou

**Effects of Filter Techniques on the Evaluation of a Model of Real Economic Cycles**

*by*Fredy Vásquez Bedoya & Sergio Restrepo Ochoa

**The Estimation of Poverty and Inequality through Parametric Estimation of Lorenz Curves: An Evaluation**

*by*Camelia Minoiu & Sanjay G. Reddy

**Common features and stylized facts in Turkish macroeconomy**

*by*Cem Payaslioglu

**Analysis of Gini for evaluating attrition in Italian survey on income and living condition**

*by*Claudio Ceccarelli & Giovanni Maria Giorgi

**Imputación Múltiple en Encuestas Microeconómicas**

*by*Rodrigo Alfaro & Marcelo Fuenzalida

**How to Find Plausible, Severe and Useful Stress Scenarios**

*by*Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer

**Macroeconomic efault Modeling and Stress Testing**

*by*Dietske Simons & Ferdinand Rolwes

**Crash Testing German Banks**

*by*Klaus Duellmann & Martin Erdelmeier

**Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy**

*by*Cyril Caillault, Dominique Guégan

**Health care system in rural China: A quantitative approach based on heterogeneous individuals**

*by*FENG Jin & SONG Zheng

**Electoral Systems and Government Stability: A Simulation of 2006 Italian Policy Space**

*by*Luigi Curini & Paolo Martelli

**Model Selection and Estimation of Long-Memory Time-Series Models**

*by*Katelijne A.E. Carbonez

**Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock**

*by*Alexandru Todea & Adrian Zoicas-Ienciu & Angela-Maria Filip

**Debt Sustainabiliy And Economic Growth In Egypt**

*by*Adel M. EL-MAHDY & Neveen M. TORAYEH

**Half-Life Deviations from PPP in the South African Development Community (SADC)**

*by*Thabo M. Mokoena & Gupta, R. & Van Eyden, R.

**Evidence for a Financial Accelerator in a Small Open Economy,and Implications for Monetary Policy**

*by*Martha López & Juan David Prada & Norberto Rodríguez

**Determinantes de las diferencias regionales en la distribución del ingreso en Colombia, un ejercicio de microdescomposición**

*by*Leonardo Bonilla Mejía

**Heterogeneous ideas production and endogenous growth: an empirical investigation**

*by*Kul B. Luintel & Mosahid Khan

**Une analyse économétrique des sources de fluctuations du taux de change réel dans trois pays en développement. Le cas du Maroc, des Philippines et de l'Uruguay**

*by*Imed Drine & Christophe Rault

**La retraite anticipée des salariés en Belgique**

*by*Mathieu Lefèbvre & Kristian Orsini & Alexis Paszukiewicz

**The systemic importance of financial institutions**

*by*Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis

**Evidence For A Financial Accelerator In A Small Open Economy, And Implications For Monetary Policy**

*by*MARTHA LÓPEZ & JUAN DAVID PRADA & NORBERTO RODRÍGUEZ

**Determinantes De Las Diferencias Regionales En La Distribución Del Ingreso En Colombia, Un Ejercicio De Microdescomposición**

*by*LEONARDO BONILLA MEJÍA

**Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation**

*by*Rangan Gupta & Josine Uwilingiye

**Half-Life Deviations from PPP in the SADC**

*by*Thabo Mokoena & Rangan Gupta & Renee van Eyden

**Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?**

*by*Rangan Gupta & Kibii Komen

**Inference on Transformed Stationary Time Series**

*by*Yuzo Hosoya & Takahiro Terasaka

**A Monte Carlo Study of the Necessary and Sufficient Conditions for Weak Separability**

*by*Hjertstrand, Per

**A Nonlinear Panel Unit Root Test under Cross Section Dependence**

*by*Mario Cerrato & Christian de Peretti & Nick Sarantis

**A “SURE” Approach to Testing for Convergence in Regional Integrated areas: An Application to Output Convergence in Mercosur**

*by*Camarero, Mariam & G. Flôres, Renato

**Cobertura óptima de riesgos de mercado en presencia de riesgos de cantidad y de costos de producción**

*by*Castillo, Augusto & Águila, Rafael

**Nonparametric Instrumental Variable Estimation in Practice**

*by*Michael Cohen & Philip Shaw & Tao Chen

**ZEW Corporate Taxation Microsimulation Model (ZEW TaxCoMM)**

*by*Reister, Timo & Spengel, Christoph & Finke, Katharina & Heckemeyer, Jost Henrich

**Sensitivity Analysis in Economic Simulations: A Systematic Approach**

*by*Hermeling, Claudia & Mennel, Tim

**Linking CGE and Microsimulation Models: A Comparison of Different Approaches**

*by*Colombo, Giulia

**Predicting birth-rates through German micro-census data: a comparison of probit and Boolean regression**

*by*Hufnagel, Rainer

**Stochastic behavioral asset pricing models and the stylized facts**

*by*Lux, Thomas

**The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained**

*by*García Solanes, José & Torrejón-Flores, Fernando

**The Effects of DR-CAFTA in Nicaragua A CGE-Microsimulation Model for Poverty and Inequality Analysis**

*by*Colombo, Giulia

**Foreign exchange symmetries**

*by*Wystup, Uwe

**Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen**

*by*Becker, Christoph & Wystup, Uwe

**Latin hypercube sampling with dependence and applications in finance**

*by*Packham, Natalie & Schmidt, Wolfgang M.

**Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen**

*by*Weber, Andreas & Wystup, Uwe

**Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen**

*by*Weber, Andreas & Wystup, Uwe

**Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models**

*by*Franke, Reiner

**On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization**

*by*Franke, Reiner

**Assessing the Effect of Current Account and Currency Crises on Economic Growth**

*by*Aßmann, Christian

**Regulatory capital for market and credit risk interaction: is current regulation always conservative?**

*by*Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin

**The pricing of correlated default risk: evidence from the credit derivatives market**

*by*Zhu, Haibin & Tarashev, Nikola A.

**Panel estimation of state dependent adjustment when the target is unobserved**

*by*von Kalckreuth, Ulf

**Effective profit taxation and the elasticity of the corporate income tax base: Evidence from German corporate tax return data**

*by*Dwenger, Nadja & Steiner, Viktor

**Panel Unit Root Tests in the Presence of a Multifactor Error Structure**

*by*M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata

**Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence**

*by*Otero, Jesús & Smith, Jeremy & Giulietti, Monica

**Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters**

*by*Dinghai Xu & John Knight

**Transport and welfare consequences of infrastructure investment : a case study for the Betuweroute**

*by*Koetse, M.J. & Rouwendal, J.

**A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio**

*by*Antonella Basso & Riccardo Gusso

**Cournot Duopoly when the Competitors Operate Multiple Production Plants**

*by*Fabio Tramontana & Laura Gardini & Tönu Puu

**Small-area estimation with spatial similarity**

*by*Nicholas Longford

**A percolation model of the product lifecycle**

*by*Frenken, Koen & Silverberg, Gerald & Valente, Marco

**Regime switching models of hedge fund returns**

*by*Szabolcs Blazsek & Anna Downarowicz

**A complex systems methodology to transition management**

*by*Malte Schwoon & Floortje Alkemade & Koen Frenken & Marko P. Hekkert

**Preference Structure and Random Paths to Stability in Matching Markets**

*by*James W. Boudreau

**Marriage Matching and Intercorrelation of Preferences**

*by*James W. Boudreau & Vicki Knoblauch

**Bayesian Analysis of a Probit Panel Data Model with Unobserved Individual Heterogeneity and Autocorrelated Errors**

*by*Martin Burda & Roman Liesenfeld & Jean-Francois Richard

**Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling**

*by*Lennart Hoogerheide & Herman K. van Dijk

**Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit**

*by*David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk

**Possibly Ill-behaved Posteriors in Econometric Models**

*by*Lennart Hoogerheide & Herman K. van Dijk

**Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation**

*by*André A. Monteiro

**Sample selection bias and the South African wage function**

*by*Cobus Burger

**Simulated Maximum Likelihood using Tilted Importance Sampling**

*by*Christian N. Brinch

**Engel elasticities, pseudo-maximum likelihood estimation and bootstrapped standard errors. A case study**

*by*Terje Skjerpen

**Pseudo-NK: an Enhanced Model of Complexity**

*by*Marco Valente

**Changes in Wage Structure in Urban India, 1983-2004: A Quantile Regression Decomposition**

*by*Mehtabul Azam

**A Semiparametric Stochastic Volatility Model**

*by*Jun Yu

**Information Loss in Volatility Measurement with Flat Price Trading**

*by*Peter C.B.Phillips & Jun Yu

**Unpacking Sources of Comparative Advantage: A Quantitative Approach**

*by*Davin Chor

**Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models**

*by*Thomas Flury & Neil Shephard

**Is the Impact of Labour Taxes on Unemployment asymmetric?**

*by*T. BERGER & G. EVERAERT

**A bayesian model averaging approach with non-informative priors for cost-effectiveness analyses in health economics**

*by*Caterina Conigliani

**Virtual Worlds as Petri Dishes for the Social and Behavioral Sciences**

*by*Edward Castronova & Matthew Falk

**Stochastic Optimization in Econometric Models – A Comparison of GA, SA and RSG**

*by*Agapie, Adriana

**The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators**

*by*Steve Lawford & Michalis P. Stamatogiannis

**An analytically tractable time-changed jump-diffusion default intensity model**

*by*Naoufel El-Bachir & Damiano Brigo

**Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels**

*by*Georgios Chortareas & George Kapetanios

**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**

*by*Russell Davidson & James G. MacKinnon

**Wild Bootstrap Tests for IV Regression**

*by*Russell Davidson & James G. MacKinnon

**Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time**

*by*Varsanyi, Zoltan

**Robust Two-Stage Least Squares: some Monte Carlo experiments**

*by*Mishra, SK

**A simple model of decision making: How to avoid large outliers?**

*by*Varsanyi, Zoltan

**A new method of robust linear regression analysis: some monte carlo experiments**

*by*Mishra, SK

**Short-term evolution of forward curves and volatility in illiquid power market**

*by*Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián

**A Test for Multimodality of Regression Derivatives with an Application to Nonparametric Growth Regressions**

*by*Henderson, Daniel J.

**Are any growth theories linear? Why we should care about what the evidence tells us**

*by*Henderson, Daniel J. & Papageorgiou, Chris & Parmeter, Christopher F.

**Notas sobre Descomposiciones Microeconométricas: Un Análisis Antropométrico**

*by*Lopez-Pablos, Rodrigo A.

**Stochastic integration for uncoupled continuous-time random walks**

*by*Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L.

**Consumer Learning and Heterogeneity: Dynamics of Demand for Prescription Drugs after Patent Expiration**

*by*Ching, Andrew

**An overview on various ways of bootstrap methods**

*by*Liew, Venus Khim-Sen

**Анализ Использования Методов Индексного Прогнозирования Для Подготовки Управленческих Решений**

*by*Kaluzhsky, Mikhail

**Моделирование Деятельности Финансово-Кредитного Учреждения Средствами Системной Динамики**

*by*Rumyantsev, Mikhail I.

**The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey**

*by*Omay, Tolga

**Estimating Impact of a Continuous Program under a Conditional Independence Assumption**

*by*Nguyen Viet, Cuong

**Solving nonlinear systems of equations and nonlinear systems of differential equations by the Monte Carlo method using queueing networks and games theory**

*by*Ciuiu, Daniel

**Equity-linked insurances and guaranteed annuity options**

*by*Burnecki, Krzysztof & Pazdan-Siudeja, Liliana

**Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana**

*by*Maldonado, Diego & Pazmiño, Mariela

**Normality Testing- A New Direction**

*by*Islam, Tanweer ul

**The Monte Carlo method to find eigenvalues and eigenvectors**

*by*Ciuiu, Daniel & Costinescu, Cristian

**Exogenous coalition formation in the e-marketplace based on geographical proximity**

*by*McBurney, Peter & Michalak, Tomasz & Tyrowicz, Joanna & Wooldridge, Michael

**Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach**

*by*Klein, A. & Urbig, D. & Kirn, S.

**Nyquist Frequency in Sequentially Sampled Data**

*by*Faghih, Nezameddin & Faghih, Ali

**Comparing the accuracy of density forecasts from competing GARCH models**

*by*Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi

**Model specification, observational equivalence and performance of unit root tests**

*by*Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad

**Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation**

*by*Kukenova, Madina & Monteiro, Jose-Antonio

**Estimation with inequality constraints on the parameters: dealing with truncation of the sampling distribution**

*by*Barnett, William A. & Seck, Ousmane

**A note on the estimation of long-run relationships in dependent cointegrated panels**

*by*Di Iorio, Francesca & Fachin, Stefano

**A simulation model of public debt sustainability**

*by*Albu, Lucian-Liviu

**Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation**

*by*Kukenova, Madina & Monteiro, Jose-Antonio

**An algorithm using GARCH process , Monte-Carlo simulation and wavelets analysis for stock prediction**

*by*Giovanis, Eleftherios

**Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland**

*by*Sznajd-Weron, Katarzyna & Weron, Rafal & Wloszczowska, Maja

**Likelihood-Based Confidence Sets for the Timing of Structural Breaks**

*by*Eo, Yunjong & Morley, James C.

**Risk aggregation, dependence structure and diversification benefit**

*by*Bürgi, Roland & Dacorogna, Michel M & Iles, Roger

**Determining the Number of Market Segments Using an Experimental Design**

*by*Ana Oliveira-Brochado & Francisco Vitorino Martins

**Forecasting temperature indices with timevarying long-memory models**

*by*Massimiliano Caporin & Juliusz Pres

**When Smaller Families Look Contagious: A Spatial Look at the French Fertility Decline Using an Agent-Based Simulation Model**

*by*Sandra Gonzalez-Bailon & Tommy Murphy

**When Smaller Families Look Contagious: A Spatial Look At The French Fertility Decline Using An Agent-Based Simulation Model**

*by*Sandra Gonzalez-Bailon & Tommy Murphy

**Computer Virus Propagation in a Network Organization: The Interplay between Social and Technological Networks**

*by*Hsing Kenneth Cheng & Hong Guo

**On Best-Response Bidding in GSP Auctions**

*by*Matthew Cary & Aparna Das & Benjamin Edelman & Ioannis Giotis & Kurtis Heimerl & Anna R. Karlin & Claire Mathieu & Michael Schwarz

**Inflation-Gap Persistence in the U.S**

*by*Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent

**Density forecasting for long-term peak electricity demand**

*by*Rob J Hyndman & Shu Fan

**Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments**

*by*Ibrahim Ahamada & Philippe Jolivaldt

**Forecasting chaotic systems : the role of local Lyapunov exponents**

*by*Dominique Guegan & Justin Leroux

**The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics**

*by*Abdou Kâ Diongue & Dominique Guegan

**Testing fractional order of long memory processes : a Monte Carlo study**

*by*Laurent Ferrara & Dominique Guegan & Zhiping Lu

**Time-Varying Yield Curve Dynamics and Monetary Policy**

*by*Mumtaz, Haroon & Surico, Paolo

**Simulating interventions in graphical chain models for longitudinal data**

*by*Riccardo Borgoni & Peter W. F. Smith & Ann M. Berrington

**Using Statistics Canada LifePaths Microsimulation Model to Project the Health Status of Canadian Elderly**

*by*Jacques Légaré & Yann Décarie

**A Refined Bootstrap For Heavy Tailed Distributions**

*by*Russell Davidson & Adriana Cornea

**Merger Simulation in Competition Policy: A Survey**

*by*Oliver Budzinski & Isabel Ruhmer

**Europäische Medienmärkte: Die Rolle der Wettbewerbspolitik**

*by*Oliver Budzinski

**A Note on Competing Merger Simulation Models in Antitrust Cases: Can the Best Be Identified?**

*by*Oliver Budzinski

**Testing for Poverty Dominance: an Application to Canada**

*by*Wen-Hao Chen & Jean-Yves Duclos

**The sensitivity of nonparametric misspecification tests to disturbance autocorrelation**

*by*Andrea Vaona

**Testing for Poverty Dominance: An Application to Canada**

*by*Chen, Wen-Hao & Duclos, Jean-Yves

**Testing for Poverty Dominance: An Application to Canada**

*by*Chen, Wen-Hao & Duclos, Jean-Yves

**The Impacts of Labor Market Policies on Job Search Behavior and Post-Unemployment Job Quality**

*by*Gaure, Simen & Røed, Knut & Westlie, Lars

**The Impacts of Labor Market Policies on Job Search Behavior and Post-Unemployment Job Quality**

*by*Gaure, Simen & Roed, Knut & Westlie, Lars

**Urban-Rural Consumption Inequality in China from 1988 to 2002: Evidence from Quantile Regression Decomposition**

*by*Qu, Zhaopeng (Frank) & Zhao, Zhong

**Urban-Rural Consumption Inequality in China from 1988 to 2002: Evidence from Quantile Regression Decomposition**

*by*Qu, Zhaopeng (Frank) & Zhao, Zhong

**Are There Waves in Merger Activity After All?**

*by*Dennis L. Gärtner & Daniel Halbheer

**Interfirm Mobility, Wages, and the Returns to Seniority and Experience in the U.S**

*by*Moshe Buchinsky & Denis Fougère & Francis Kramarz & Rusty Tchernis

**The Determinants of Economic Growth in European Regions**

*by*Jesus Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher

**EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns**

*by*Jouchi Nakajima

**Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems**

*by*Dominique Guégan & Justin Leroux

**Multiple imputation of right-censored wages in the German IAB Employment Sample considering heteroscedasticity**

*by*Büttner, Thomas & Rässler, Susanne

**Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference**

*by*Nikolaus Hautsch & Yangguoyi Ou

**Stock Picking via Nonsymmetrically Pruned Binary Decision Trees**

*by*Anton Andriyashin

**JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models**

*by*Viktor Winschel & Markus Krätzig

**Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality**

*by*Viktor Winschel & Markus Krätzig

**Standard and Shuffled Halton Sequences in a Mixed Logit Model**

*by*Alexander Staus

**Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models**

*by*Tom Pak-wing Fong & Chun-shan Wong

**How Important are Financial Frictions in the U.S. and the Euro Area?**

*by*Queijo von Heideken, Virginia

**Monetary Policy Regimes and the Volatility of Long-Term Interest Rates**

*by*Queijo von Heideken, Virginia

**The Long-Term Impacts of Vocational Rehabilitation**

*by*Westlie, Lars

**Norwegian Vocational Rehabilitation Programs: Improving Employability and Preventing Disability?**

*by*Westlie, Lars

**The Impacts of Labor Market Policies on Job Search Behavior and Post-Unemployment Job Quality**

*by*Gaure, Simen & Røed, Knut & Westlie, Lars

**Is electricity more important than natural gas? Partial liberalization of the Western-European energy markets**

*by*Brekke, Kjell Arne & Golombek, Rolf & Kittelsen, Sverre

**Bandspectrum Cointegration**

*by*Andersson, Fredrik N. G.

**Alternative Measures of Homeownership Gaps Across Segregated Neighboorhoods**

*by*Paul Carrillo & Anthony Yezer

**AdMit: Adaptive Mixtures of Student-t Distributions**

*by*Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K.

**Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit**

*by*Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K.

**Firms formation and growth in the model with heterogeneous agents and monitoring**

*by*Peter Marko & Petr Svarc

**Evoluční dynamika vězňova dilematu: Vliv topologie interakcí a imitace na vývoj kooperativního chování**

*by*Václav Hausenblas & Petr Svarc

**Operational Risk - Scenario Analysis**

*by*Milan Rippel & Petr Teply

**Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices**

*by*Christian De Peretti & Carole Siani

**Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal**

*by*Christian De Peretti & Carole Siani

**Bayesian near-boundary analysis in basic macroeconomic time series models**

*by*de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K.

**Selection of the number of frequencies using bootstrap techniques in log-periodogram regression**

*by*Arteche González, Jesús María & Orbe Lizundia, Jesús María

**Unpacking Sources of Comparative Advantage : A Quantitative Approach**

*by*Davin Chor

**Simulation-based Estimation of Contingent-claims Prices**

*by*Peter C. B. Phillips & Jun Yu

**Asymptotics and Bootstrap for Transformed Panel Data Regressions**

*by*Liangjun Su & Zhenlin Yang

**Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk**

*by*Jan Willem van den End

**A Distribution in Motion: The Case of Argentina**

*by*Guillermo Cruces & Leonardo Gasparini

**Effective Profit Taxation and the Elasticity of the Corporate Income Tax Base: Evidence from German Corporate Tax Return Data**

*by*Nadja Dwenger & Viktor Steiner

**Die kurzfristigen Steuereffekte der "Thesaurierungsbegünstigung" für Personenunternehmen: eine mikrofundierte Analyse**

*by*Michael Broer & Nadja Dwenger

**Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure**

*by*Donald W.K. Andrews & Panle Jia

**Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure**

*by*Donald W.K. Andrews & Panle Jia

**Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms**

*by*Taamouti, Abderrahim & Dufour, Jean-Marie

**Measuring causality between volatility and returns with high-frequency data**

*by*Taamouti, Abderrahim & García, René & Dufour, Jean-Marie

**Short and long run causality measures: theory and inference**

*by*Taamouti, Abderrahim & Dufour, Jean-Marie

**Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects**

*by*Stute, Winfried & Serrano, P. & Moreno, M.

**A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results**

*by*Dikaios Tserkezos & Konstantinos Tsagarakis

**Discretization of Highly-Persistent Correlated AR(1) Shocks**

*by*Damba Lkhagvasuren & Ragchaasuren Galindev

**Investigating uncertainty in macroeconomic forecasts by stochastic simulation**

*by*Debby Lanser & Henk Kranendonk

**Diseño y análisis de escenarios a partir de la caracterización de las cadenas productivas mediante modelos de redes**

*by*Juan Carlos Vergara Schmalbach & Julio Amézquita López & Francisco Javier Maza Ávila

**Financial Accelerator Mechanism in a Small Open Economy**

*by*Martha R. López & Juan D. Prada & Norberto Rodríguez Niño

**Financial Accelerator Mechanism: Evidence for Colombia**

*by*Martha R. López & Norberto Rodríguez N.

**Assessing the Effectiveness of a Stochastic Regression Imputation Method for Ordered Categorical Data**

*by*I. Sulis & M. Porcu

**Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?**

*by*Imed Drine & Christophe Rault

**Heterogeneous Ideas Production and Endogenous Growth: An Empirical Investigation**

*by*Luintel, Kul B & Khan, Mosahid

**Selection on the basis of prior testing**

*by*Carlos Santos

**Modelling the costs of non-conventional oil: A case study of Canadian bitumen**

*by*Méjean, A. & Hope, C.

**Macro-model-based stress testing of Basel II requirements**

*by*Jokivuolle, Esa & Virolainen, Kimmo & Vähämaa, Oskari

**Business cycle analysis and VARMA models**

*by*Christian Kascha & Karel Mertens

**Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects**

*by*Hajivassiliou, V. & Savignac, F.

**International Evidence on Stochastic and Deterministic Monetary Neutrality**

*by*Antonio E. Noriega & Luis M. Soria & Ramón Velázquez

**Non-Linearities, Model Uncertainty, and Macro Stress Testing**

*by*Miroslav Misina & David Tessier

**Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments**

*by*Michael Creel

**Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood**

*by*Dennis Kristensen & Yongseok Shin

**Likelihood based testing for no fractional cointegration**

*by*Katarzyna Lasak

**The limiting properties of the QMLE in a general class of asymmetric volatility models**

*by*Christian M. Dahl & Emma M. Iglesias

**Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter**

*by*Martin Møller Andreasen

**Modelling Seasonality An Extension of the HEGY Approach in the Presence of Two Structural Breaks**

*by*Ozlem Tasseven

**Labour Force Estimates for Small Geographical Domains in Italy: Problems, Data and Models**

*by*Nicola TORELLI & Matilde TREVISANI

**A Simple Model Of Decision Making Ï¿½How To Avoid Large Errors?**

*by*Zoltan VARSANY

**A New Method Of Robust Linear Regression Analysis: Some Monte Carlo Experiments**

*by*Sudhanshu Kumar MISHRA

**Factor productivity and efficiency of the Vietnamese economy in transition**

*by*Nguyen Khac Minh & Giang Thanh Long

**Modeling The Economic Growth In Romania. The Influence Of Fiscal Regimes**

*by*Altar, Moisa & Necula, Ciprian & Bobeica, Gabriel

**Modeling The Economic Growth In Romania. The Role Of Human Capital**

*by*Altar, Moisa & Necula, Ciprian & Bobeica, Gabriel

**Trends in Structural Changes and Convergence in EU**

*by*Albu, Lucian Liviu

**Measuring the Correlation of Shocks Between the UK and the Core of Europe**

*by*Hall, S.G. & Yhap, B.

**Graphical Models of Structural Relations between Variables and their Application to Russian Regions (Part One)**

*by*Weinberg Allen, Anna

**Graphical Methods of Structural Relations between Variables and their Application to Russian Regions (Part Two)**

*by*Weinberg Allen, Anna

**Caracterizing The Public Health System Reform Using The Statistical Survey Approach**

*by*Andrei Tudorel & Calin Catalina & Tusa Erika & Stancu Stelian & Stancu Stelian

**Is Current Capital Regulation Based on Conservative Risk Assessment?**

*by*Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer

**Estimation of VaR Using Copula and Extreme Value Theory**

*by*L. K. Hotta & E. C. Lucas & H. P Palaro

**Higher-Order Terms in Bivariate Returns to International Stock Market Indices**

*by*Kirt C. Butler & Katsushi Okada

**Pénzgazdálkodási szokások hatása a működőtőkére. A Magyar Posta példája**

*by*Havran, Dániel

**Estimation of Poverty Rates for the Italian Population classified by Household Type and Administrative Region**

*by*Claudio Ceccarelli & Enrico Fabrizi & Maria Rosaria Ferrante & Silvia Pacei

**Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model**

*by*Nikola Tarashev & Haibin Zhu

**The Influence Of Investment Horizon On Expected Returns And Risk Perception: Evidence From The Indonesian Market**

*by*Eddy Junarsin & Eduardus Tandelilin

**First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights**

*by*Martina Nardon

**Council Decision Rules and European Union Constitutional Design**

*by*Madeleine O. Hosli

**Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas**

*by*Adán Díaz Hernández & José C. Ramírez Sánchez

**Unternehmensteuerreform 2008: Selbstfinanzierungseffekte von knapp 3 Milliarden Euro**

*by*Nadja Dwenger & Viktor Steiner

**Firms formation and growth in the model with heterogeneous agents and monitoring**

*by*Petr Švarc & Peter Marko

**Wavelets and Sentiment in the Heterogeneous Agents Model**

*by*Lukas Vacha & Miloslav Vosvrda

**A Selective Bail-Out International Lending of Last Resort Model**

*by*Cecile Bastidon & Philippe Gilles & Nicolas Huchet

**Current Account Reversals Triggered by Large Exchange Rate Movements**

*by*Nikolas A. Müller-Plantenberg

**Análisis de series de tiempo para la predicción de los precios de la energía en la bolsa de Colombia**

*by*Sergio Botero Botero & Jovan Alfonso Cano Cano

**Potenzielle Auswirkungen des Klimawandels auf Risiko und Kosten der Weizenernte**

*by*Markus Lips & Robert Finger & Pierluigi Calanca

**Une étude empirique de la mobilité professionnelle avec employeurs et employés hétérogènes**

*by*Guillaume Horny & Rute Mendes & Gerard J. Van den Berg

**Consistency Properties of a Simulation-Based Estimator for Dynamic Processes**

*by*Manuel Santos

**Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations**

*by*Ardia, David

**Testing for (Efficiency) Catching-up**

*by*Daniel J. Henderson & Valentin Zelenyuk

**Türkiye’de Kamu Borç Stokunun Yapısı: Orijinal Günah Göstergeleri ve Risk-Dahil Kamu Borç Yükü**

*by*Burcu GÜRCİHAN & Erdal YILMAZ

**Schätzunsicherheit oder Korrelation, Welche Risikokomponente sollten Unternehmen bei der Bewertung von Kreditportfoliorisiken wann berücksichtigen?**

*by*Dannenberg, Henry

**Explaining the low labor productivity in East Germany: a spatial analysis**

*by*Izem, Rima & Fuchs-Schündeln, Nicola

**Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle**

*by*Di Iorio, Francesca & Fachin, Stefano

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

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

**Instalment options: a closed-form solution and the limiting case**

*by*Griebsch, Susanne & Kühn, Christoph & Wystup, Uwe

**Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model**

*by*Hautsch, Nikolaus

**A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes**

*by*Demary, Markus

**The Multinomial Multiperiod Probit Model: Identification and Efficient Estimation**

*by*Liesenfeld, Roman & Richard, Jean-François

**Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation**

*by*Moura, Guilherme V. & Richard, Jean-François & Liesenfeld, Roman

**Asset correlations and credit portfolio risk: an empirical analysis**

*by*Düllmann, Klaus & Scheicher, Martin & Schmieder, Christian

**Repatriierungspolitik unter Unsicherheit: lohnt sich die Optimierung**

*by*Schanz, Sebastian

**Mixture Models of Choice Under Risk**

*by*Anna Conte & John D Hey & Peter G Moffatt

**Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence**

*by*Giulietti, Monica & Otero, Jesus & Smith, Jeremy

**Real Exchange Rates in Small Open OECD and Transition Economies: Comparing Apples with Oranges?**

*by*Bal??zs ??gert & Kirsten Lommatzsch & Amina Lahr??che-R??vil

**Using flexible taste distributions to value collective reputation for environmentally-friendly production methods**

*by*Ricardo Scarpa & Mara Thiene & Francesco Marangon

**Using flexible taste distributions to value collective reputation for environmentally-friendly production methods**

*by*Ricardo Scarpa & Mara Thiene & Francesco Marangon

**Incorporating Discontinuous Preferences into the Analysis of Discrete Choice Experiments**

*by*Danny Campbell & W. George Hutchinson & Riccardo Scarpa

**Incorporating Discontinuous Preferences into the Analysis of Discrete Choice Experiments**

*by*Danny Campbell & W. George Hutchinson & Riccardo Scarpa

**The Value of Collective Reputation for Environmentally Friendly Production Methods: The Case of Val di Gresta**

*by*Ricardo Scarpa & Mara Thiene & Francesco Marangon

**The Value of Collective Reputation for Environmentally Friendly Production Methods: The Case of Val di Gresta**

*by*Ricardo Scarpa & Mara Thiene & Francesco Marangon

**Bayesian Inference on Dynamic Models with Latent Factors**

*by*Monica Billio & Roberto Casarin & Domenico Sartore

**Matrix-State Particle Filter for Wishart Stochastic Volatility Processes**

*by*Roberto Casarin & Domenico Sartore

**Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach**

*by*Silvestro Di Sanzo

**The Effects of Small Sample Bias in Threshold Autoregressive Models**

*by*Yamin Ahmad

**Health, Economic Resources and the Work Decisions of Older Men**

*by*John Bound & Todd Stinebrickner & Timothy Waidmann

**Robust Value at Risk Prediction**

*by*Loriano Mancini & Fabio Trojani

**On the impact of fundamentals, liquidity and coordination on market stability**

*by*Francisco Peñaranda & Jón Daníelsson

**Meta-Functional Benefit Transfer for Wetland Valuation: Making the Most of Small Samples**

*by*Klaus Moeltner & Richard T. Woodward

**Meta-Regression and Benefit Transfer: Data Space, Model Space, and the Quest for ‘Optimal Scope’**

*by*Klaus Moeltner & Randall S. Rosenberger

**An Agent-Based Model of Behavior in “Beauty Contest” Games**

*by*Mark W. Nichols & Michael J. Radzicki

**A Monte Carlo approach to value exchange options using a single stochastic factor**

*by*Giovanni Villani

**Estimating heterogeneous costs of participation in the risky asset markets**

*by*Graciela Sanromán

**Applying Markowitz's Critical Line Algorithm**

*by*Andras Niedermayer & Daniel Niedermayer

**Nonparametric Inferences on Conditional Quantile Processes**

*by*Chuan Goh

**Statistical Testing of Optimality Conditions in Multiresponse Simulation-based Optimization (Revision of 2005-81)**

*by*Bettonvil, B.W.M. & Del Castillo, E. & Kleijnen, J.P.C.

**Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks**

*by*C.S. Bos & S.J. Koopman & M. Ooms

**The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment**

*by*Mark J. Koetse & Raymond J.G.M. Florax & Henri L.F. de Groot

**Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model**

*by*Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest

**Turkiye’de Kamu Borc Stokunun Yapisi : Orijinal Gunah Gostergeleri ve Risk-Dahil Kamu Borc Yuku**

*by*Burcu Gurcihan & Erdal Yilmaz

**Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods**

*by*G. EVERAERT

**Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks**

*by*Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana

**Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model**

*by*Gianni Amisano & Oreste Tristani

**Simulaatio lääkekehitysalan kannattavuudesta ja riskeistä**

*by*Hermans, Raine & Kulvik, Martti

**Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach**

*by*Richard T. Baillie & Claudio Morana

**Bootstrap Hypothesis Testing**

*by*James G. MacKinnon

**The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test**

*by*Jeong, Jinook & Yoon, Byung

**Efficacité technique des banques dans la CEMAC: Approche Data Envelopment Analysis**

*by*Ngwa Edielle, T. H. Jackson & Hevi Kodzo, Dodzi

**Wann werden Serviceleistungen nachgefragt? – Ein Mikrosimulationsmodell alternativer Ladenöffnungszeiten mit Daten der Zeitbudgeterhebung ServSim**

*by*Merz, Joachim & Böhm, Paul & Hanglberger, Dominik & Rucha, Rafael & Stolze, Henning

**Asymptotic and bootstrap properties of rank regressions**

*by*Subbotin, Viktor

**An improvement of a cellular manufacturing system design using simulation analysis**

*by*Hachicha, Wafik & Masmoudi, Faouzi & Haddar, Mohamed

**Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies**

*by*Proietti, Tommaso & Riani, Marco

**Non-standard employment and mobility in the Netherlands**

*by*Dekker, Ronald

**Waiting Times in Simulated Stock Markets**

*by*Cappellini, Alessandro & Ferraris, Gianluigi

**Regional consumption inequalities in Jordan: Empirical study**

*by*Shahateet, Mohammed & Al-Tayyeb, Saud

**Wann werden Serviceleistungen nachgefragt? – Ein Mikrosimulationsmodell alternativer Ladenöffnungszeiten mit Daten der Zeitbudgeterhebung ServSim**

*by*Merz, Joachim & Böhm, Paul & Hanglberger, Dominik & Rucha, Rafael & Stolze, Henning

**Inference for stochastic volatility model using time change transformations**

*by*Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros

**Likelihood-based inference for correlated diffusions**

*by*Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O.

**The Effects of Detailing on Prescribing Decisions under Two-Sided Learning**

*by*Ching, Andrew & Ishihara, Masakazu

**Least squares estimation of joint production functions by the Differential Evolution method of global optimization**

*by*Mishra, SK

**A note on least squares fitting of signal waveforms**

*by*Mishra, SK

**Performance of lag length selection criteria in three different situations**

*by*Asghar, Zahid & Abid, Irum

**Stochastic simulations on the Romanian macroeconomic model**

*by*Dobrescu, Emilian & Pauna, Bianca

**Mixed Signals Among Tests for Panel Cointegration**

*by*Westerlund, Joakim & Basher, Syed A.

**Time-trend in spatial dependence: Specification strategy in the first-order spatial autoregressive model**

*by*López, Fernando & Chasco, Coro

**Stochastic Dominance Approach to Evaluate Optimism Bias in Truck Toll Forecasts**

*by*Sen Gupta, Rajorshi & Vadali, Sharada R

**Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas**

*by*Rodriguez, Analía

**Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations**

*by*Rodríguez Dupuy, Analía

**Efficiency and University Size: Discipline-wise Evidence from European Universities**

*by*Bonaccorsi, Andrea & Daraio, Cinzia & Räty, Tarmo & Simar, Léopold

**Construction and Evaluation of Performance Measures for Bayesian Chain Sampling Plan (BChSP-1)**

*by*K. K., Suresh & K., Pradeepa Veerakumari

**Stock Market Reaction to Catastrophic Shock: Evidence from Listed Pakistani Firms**

*by*Attiya Y. Javid

**Modeling Employment Dynamics with State Dependence and Unobserved Heterogeneity**

*by*Victoria Prowse

**Monetary Policy and Macroeconomic Stability in Latin America: The Cases of Brazil, Chile, Colombia and Mexico**

*by*Luiz de Mello & Diego Moccero

**Governments and the Market for Longevity-Indexed Bonds**

*by*Pablo Antolín & Hans J. Blommestein

**Longevity Risk and Private Pensions**

*by*Pablo Antolín

**A New Approach to Drawing States in State Space Models**

*by*William J. McCausland & Shirley Miller & Denis Pelletier

**How Structural Are Structural Parameters?**

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

**No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications**

*by*Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev

**Bootstrap-Based Improvements for Inference with Clustered Errors**

*by*A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller

**Inégalités et clubs de convergence : les résultats d'un modèle à seuil**

*by*Karim Azizi

**Conceptual Frameworks and Experimental Design in Simultaneous Equations**

*by*C.L. Skeels

**A robust multivariate long run analysis of European electricity prices**

*by*Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi

**Testing For Restricted Stochastic Dominances: Some Further Results**

*by*Russell Davidson

**Wild Bootstrap Tests For Iv Regression**

*by*Russell Davidson & James G. MacKinnon

**Bootstrapping Econometric Models**

*by*Russell Davidson

**A Test of the Rational Expectations Hypothesis using data from a Natural Experiment**

*by*Anna Conte & Peter G. Moffatt & Fabrizio Botti & Daniela Di Cagno & Carlo D'Ippoliti

**Assessing Investment and Longevity Risks within Immediate Annuities**

*by*Bauer, Daniel & Weber, Frederik

**Wann werden Serviceleistungen nachgefragt? Ein Mikrosimulationsmodell alternativer Ladenöffnungszeiten mit Daten der Zeitbudgeterhebung ServSim**

*by*Joachim Merz & Paul Böhm & Dominik Hanglberger & J.F. Rafael Rucha & Henning Stolze

**Testing for cointegration using the Johansen approach: Are we using the correct critical values?**

*by*Paul Turner

**Estimation of Tobit Type Censored Demand Systems: A Comparison of Estimators**

*by*Mikkel Barslund

**Small Sample Properties of the Wilcoxon Signed Rank Test with Discontinuous and Dependent Observations**

*by*Nadine Chlass & Jens J. Krueger

**Panel Unit Root Tests in the Presence of a Multifactor Error Structure**

*by*Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi

**Panel Unit Root Tests in the Presence of a Multifactor Error Structure**

*by*M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata

**Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models?**

*by*Imed Drine & Christophe Rault

**Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models?**

*by*Drine, Imed & Rault, Christophe

**Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions**

*by*Røed, Knut & Westlie, Lars

**Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions**

*by*Knut Røed & Lars Westlie

**Empirical Modeling of Deprivation Contagion among Social Exclusion Dimensions (Using MCMC Methods)**

*by*Poggi, Ambra & Ramos, Xavi

**Empirical Modeling of Deprivation Contagion among Social Exclusion Dimensions (Using MCMC Methods)**

*by*Ambra Poggi & Xavier Ramos

**Distribución Espacial De La Actividad Económica En La Union Europea**

*by*José Miguel Albert & Jorge Mateu & Vicente Orts

**Health Insurance and Life Style Choices: Identifying the Ex Ante Moral Hazard**

*by*Stanciole, Anderson

**Does Italy need family income taxation?**

*by*Arnstein Aassve & Maria Grazia Pazienza & Chiara Rapallini

**The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study**

*by*Wagner, Martin & Hlouskova, Jaroslava

**Cross-sectional Space-time Modeling Using ARNN(p, n) Processes**

*by*Kakamu, Kazuhiko & Polasek, Wolfgang

**Testing Distributional Assumptions: A GMM Approach**

*by*Bontemps, Christian & Meddahi, Nour

**An Extension of the Blinder-Oaxaca Decomposition to a Continuum of Comparison Groups**

*by*Hugo R. Ñopo

**Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach**

*by*Richard T. Baillie & Claudio Morana

**The effects of collective bargaining on firm performance : new evidence based on stochastic production frontiers and multiply imputed German establishment data**

*by*Jensen, Uwe & Rässler, Susanne

**Conditional Complexity of Compression for Authorship Attribution**

*by*Mikhail B. Malyutov & Chammi I. Wickramasinghe & Sufeng Li

**Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model**

*by*Nikolaus Hautsch

**Comparison of Panel Cointegration Tests**

*by*Deniz Dilan Karaman Örsal

**Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar**

*by*Laurence Fung & Ip-wing Yu

**The trade off between time and money: Is there a difference between real and hypothetical choices?**

*by*Isacsson, Gunnar

**Simulating the future of the Swedish baby-boom generations**

*by*Klevmarken, N. Anders & Bolin, Kristian & Eklöf, Matias & Flood, Lennart & Fransson, Urban & Hallberg, Daniel & Höjgård, Sören & Lindgren, Björn & Mitrut, Andrea & Lagergren, Mårten

**How to Adjust for Nonignorable Nonresponse: Calibration, Heckit or FIML?**

*by*Johansson, Fredrik

**Bayesian forecast combination for VAR models**

*by*Andersson, Michael K & Karlsson, Sune

**Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions**

*by*Røed, Knut & Westlie, Lars

**Are real wages rigid downwards?**

*by*Holden, Steinar & Wulfsberg, Fredrik

**Computationally feasible estimation of the covariance structure in Generalized linear mixed models(GLMM)**

*by*Carling, Kenneth & Alam, Moudud

**Bayesian Forecast Combination for VAR Models**

*by*Andersson, Michael K & Karlsson, Sune

**Computational Efficiency in Bayesian Model and Variable Selection**

*by*Eklund, Jana & Karlsson, Sune

**Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange**

*by*Andersson, Jonas & Moberg, Jan-Magnus

**Some new bivariate IG and NIG-distributions for modelling covariate nancial returns**

*by*Lillestøl, Jostein

**Do real interest rates converge? Evidence from the European Union**

*by*Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas

**A Modelling Framework for Addressing the Synergies between Global Conventions through Land Use Changes: Carbon Sequestration, Biodiversity Conservation, Prevention of Land Degradation and Food Security in Agricultural and Forested Lands in Developing Countries**

*by*Raul Ponce-Hernandez

**A Robust Multivariate Long Run Analysis of European Electricity Prices**

*by*Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi

**A nonlinear panel unit root test under cross section dependence**

*by*Mario Cerrato & Christian De Peretti & Nick Sarantis

**Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue**

*by*Maria S. Heracleous

**A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models**

*by*Christian Kascha

**Financing constraints and a firm's decision and ability to innovate: establishing direct and reverse effects**

*by*Vassilis Hajivassiliou & Frédérique Savignac

**Likelihood-based inference for a class of multivariate diffusions with unobserved paths**

*by*Konstantinos Kalogeropoulos

**Inflation dynamics in the US - a nonlinear perspective**

*by*A. Robert Nobay & Ivan Paya & David A. Peel

**Optimal Holding Period for a Real Estate Portfolio**

*by*Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi

**Stock Market Reaction to Catastrophic Shock : Evidence from Listed Pakistani Firms**

*by*Attiya Y. Javid

**Market Valuation, Pension Fund Policy and Contribution Volatility**

*by*Maarten van Rooij & Arjen Siegmann & Peter Vlaar

**To Claim or Not to Claim: Estimating Non-take-up of Social Assistance in Germany and the Role of Measurement Error**

*by*Joachim R. Frick & Olaf Groh-Samberg

**To Claim or Not to Claim: Estimating Non-take-up of Social Assistance in Germany and the Role of Measurement Error**

*by*Joachim R. Frick & Olaf Groh-Samberg

**Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection**

*by*Donald W.K. Andrews & Gustavo Soares

**Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities**

*by*Donald W.K. Andrews & Patrik Guggenberger

**Applications of Subsampling, Hybrid, and Size-Correction Methods**

*by*Donald W.K. Andrews & Patrik Guggenberger

**Hybrid and Size-Corrected Subsample Methods**

*by*Donald W.K. Andrews & Patrik Guggenberger

**The Limit of Finite-Sample Size and a Problem with Subsampling**

*by*Donald W.K. Andrews & Patrik Guggenberger

**The Limit of Finite-Sample Size and a Problem with Subsampling**

*by*Donald W.K. Andrews & Patrik Guggenberger

**Information Loss in Volatility Measurement with Flat Price Trading**

*by*Peter C.B. Phillips & Jun Yu

**Simulation-based Estimation of Contingent-claims Prices**

*by*Peter C.B. Phillips & Jun Yu

**Efficient importance sampling for ML estimation of SCD models**

*by*Luc, BAUWENS & Fausto Galli

**A Component GARCH Model with Time Varying Weights**

*by*Luc, BAUWENS & G., STORTI

**The effect of realised volatility on stock returns risk estimates**

*by*Veiga, Helena & Grané, Aurea

**Measuring Intersectoral Knowledge Spillovers: an Application of Sensitivity Analysis to Italy**

*by*Giovanni Cerulli & Bianca Potì

**On the Accuracy of Bootstrap Confidence Intervals for Efficiency Levels in Stochastic Frontier Models with Panel Data**

*by*Myungsup Kim & Yangseon Kim & Peter Schmidt

**Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model**

*by*Amisano, Giovanni & Tristani, Oreste

**If Winning Isn't Everything, Why Do They Keep Score? A Structural Empirical Analysis of Dutch Flower Auctions**

*by*van den Berg, Gerard J & van der Klaauw, Bas

**Efficient importance sampling for ML estimation of SCD models**

*by*BAUWENS, Luc & GALLI, Fausto

**A component GARCH model with time varying weights**

*by*BAUWENS, Luc & STORTI, Giuseppe

**Indirect estimation of elliptical stable distributions**

*by*LOMBARDI, Marco & VEREDAS, David

**Simulation based Bayesian econometric inference: principles and some recent computational advances**

*by*HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D.

**Reflexiones Sobre La Teoría Y La Práctica Del Iva En Colombia**

*by*Christian R. Jaramillo H. & Jorge Tovar

**Unemployment and Inactivity Traps in the Czech Republic: Incentive Effects of Policies**

*by*Kamil Galuscak & Jan Pavel

**Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs**

*by*Pierre Bajgrowicz & Olivier Scaillet

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

*by*Patrick Gagliardini & Olivier Scaillet

**An Objective Function for Simulation Based Inference on Exchange Rate Data**

*by*Peter Winker & Manfred Gilli & Vahidin Jeleskovic

**Real Exchange Rates in Small Open OECD and Transition Economies: Comparing Apples with Oranges?**

*by*Balazs Egert & Kirsten Lommatzsch & Amina Lahrèche-Révil

**Beyond the Salassa-Samuelson Effect in some New Member States of the European Union**

*by*José García-Solanes & Francisco I. Sancho-Portero & Fernando Torrejón-Flores

**Do real interest rates converge? Evidence from the European Union**

*by*Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros

**Empirical Modeling of Deprivation Contagion Among Social Exclusion Dimensions (Using MCMC Methods)**

*by*Ambra Poggi & Xavier Ramos

**A Monte Carlo Evaluation of Some Common Panel Data Estimators when Serial Correlation and Cross-sectional Dependence are Both Present**

*by*W. Robert Reed & Haichun Ye

**Regional Dimensions: Preparation of 1998-99 HES for reweighting to small-area benchmarks**

*by*S.F. Chin & Ann Harding & Anthea Bill

**Discriminating mean and variance shifts**

*by*Carlos Santos

**Panel Unit Root Tests in the Presence of a Multifactor Error Structure**

*by*Pesaran, M.H. & Smit, L.V. & Yamagata, T.

**Technology Choices for New Entrants in Liberalised Markets: The Value of Operating Flexibility and Contractual Arrangements**

*by*Roques, F.A.

**Identification and Estimation in an Incoherent Model of Contagion**

*by*Massacci, D.

**Nonlinearities in Cross-Country Growth Regressions: A Bayesian Averaging of Thresholds (BAT) Approach**

*by*Doppelhofer, G. & Cuaresma, J.C.

**Consumption, Working Hours, and Wealth Determination in a Life Cycle Model**

*by*Naohito Abe & Noriko Inakura & Tomoaki Yamada

**Are real wages rigid downwards?**

*by*Steinar Holden & Fredrik Wulfsberg

**Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis**

*by*David Jamieson Bolder & Tiago Rubin

**Do the World Trade Organization and the Generalized System of Preferences foster bilateral trade?**

*by*Bernhard Herz & Marco Wagner

**On the Solution of Stochastic Input Output-Models**

*by*Hartmut Kogelschatz

**Assessing the Behaviour of Non-Survey Methods of Constructing Regional Input-Output Tables through a Monte Carlo Simulation**

*by*Andrea BONFIGLIO & Francesco CHELLI

**Long memory modelling of inflation with stochastic variance and structural breaks**

*by*Charles S. Bos & Siem Jan Koopman & Marius Ooms

**GRAN8: Gauss procedure to generate standard EPD (GED) random numbers**

*by*Urzúa, Carlos M.

**GRAN7: Gauss procedure to generate lognormal random numbers**

*by*Urzúa, Carlos M.

**GRAN6: Gauss procedure to generate Pareto-distributed random numbers**

*by*Urzúa, Carlos M.

**GRAN5: Gauss procedure to generate heteroskedastic normal random numbers**

*by*Urzúa, Carlos M.

**GRAN4: Gauss procedure to generate Laplace-distributed random numbers**

*by*Urzúa, Carlos M.

**GRAN3: Gauss procedure to generate stable random numbers**

*by*Urzúa, Carlos M.

**GRAN2: Gauss procedure to generate t-distributed random numbers**

*by*Urzúa, Carlos M.

**GRAN1: Gauss procedure to generate normal random numbers**

*by*Urzúa, Carlos M.

**Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle**

*by*Di Iorio, Francesca & Fachin, Stefano

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

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

**Demanda por servicios turísticos: análisis de su evolución en un modelo autoorganizado**

*by*Silvia London & Juan Gabriel Brida & Edgar J. Sánchez Carrera

**Self-organization of R&D search in complex technology spaces**

*by*Gerald Silverberg & Bart Verspagen

**Urban Simulation Models for the Future City Evolution**

*by*Georgiana I. STEFAN

**An Estimated New Keynesian Model for Romania**

*by*Caraiani, Petre

**How much the Rounding Errors could affect the Computer Results**

*by*Stefanescu, Stefan

**An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets**

*by*Zlotnik, Andrey

**Bootstrapping econometric models (in Russian)**

*by*Russell Davidson

**Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©**

*by*Merino, María & Vadillo, Fernando

**Asymmetric Return and Volatility Responses to Composite News from Stock Markets**

*by*Thomas C. Chiang & Cathy W.S. Chen & Mike K.P. So

**TIME-TREND IN SPATIAL DEPENDENCE: SPECIFICATION STRATEGY IN THE FIRST-ORDER SPATIAL AUTOREGRESSIVE MODEL/Tendencia temporal en la dependencia espacial: estrategia de modelización en el modelo autorregresivo espacial de primer orden**

*by*LÓPEZ-HERNÁNDEZ, FERNANDO A. & CHASCO, CORO

**Medición de la calidad del agua del trasvase del Ebro (tramo Castellón-Mijares): valoración del coste económico asociado a la adecuación de calidades/Water Quality Measurement in the Ebro Transfer (Castellón-Mijares Section): Economic Valuation of Quality Adaptation**

*by*EDUARDO BEAMONTE CÓRDOBA & JOSÉ D. BERMÚDEZ EDO & ALEJANDRO CASINO MARTÍNEZ & ERNESTO J. VERES FERRER

**Az ügyfélelvándorlás kereskedelmi banki modellezése**

*by*Lublóy, Ágnes & Szenes, Márk

**"Dupla vagy semmi". Duplikációbecslés szimulációs módszerekkel**

*by*Benedek, Gábor

**The Impact of the Increase in Non-regular Employment on Income Disparities**

*by*Seiichi Inagaki

**A Simulation-Based Model for Final Price Prediction in Online Auctions**

*by*Shihyu Chou & Chin-Shien Lin & Chi-hong Chen & Tai-Ru Ho & Yu-Chen Hsieh

**Tendencias de la distribución personal de la renta en España (1985-2002). Inferencia sobre indicadores y sensibilidad ante encuestas y escalas de equivalencia**

*by*Mercedes Prieto Alaiz & Carmelo García Pérez

**Testing for Model Selection in Predicting Aggregate Variables**

*by*Giacomo Sbrana

**Information Efficiency of the Capital Market: a Stochastic Calculus Approach Evidence from the Czech Republic (in English)**

*by*Vít Pošta & Zbynìk Hackl

**Poniendo a la pobreza de ingresos y a la desigualdad en el mapa de México**

*by*Miguel Székely Pardo & Luis F. López-Calva & Álvaro Meléndez Martínez & Ericka G. Rascón Ramírez & Lourdes Rodríguez-Chamussy

**Un modelo macroeconométrico de simulación con microfundamentos para la economía mexicana**

*by*Lucía A. Ruiz-Galindo & Francisco Venegas-Martínez

**Negociación de portafolios de acciones**

*by*JORGE HERNAN RESTREPO CORREA & EDUARDO ARTURO CRUZ TREJOS & PEDRO DANIEL MEDINA VARELA

**Reflexiones sobre la teoría y la práctica del IVA en Colombia**

*by*Christian R. Jaramillo & Jorge Tovar

**Fluctuations de Change et Performances Economiques**

*by*Imed Drine & Christophe Rault

**Note sur les méthodes univariées d’extraction du cycle économique**

*by*Anna Sess & Michel Grun-Rehomme

**Cash flow at risk: different estimation methods tested in the Brazilian steel industry**

*by*Fernanda Finotti Cordeiro Perobelli & Flávia Vital Januzzi & Leandro Josias Sathler Berbet & Danilo Soares de Medeiros

**Measuring portfolio credit risk: modelling versus calibration errors**

*by*Nikola Tarashev & Haibin Zhu

**A Unified Copula Framework for VaR forecasting**

*by*Dean Fantazzini & Alessandro Carta & Elena Maria DeGiuli

**A closed form approach to valuing and hedging basket options**

*by*Svetlana Borovkova & Ferry Permana

**A multiple testing procedure for neural network model selection**

*by*Michele La Rocca & Cira Perna

**The combination of volatility forecasts**

*by*Alessandra Amendola & Giuseppe Storti

**Lag or Error? - Detecting the Nature of Spatial Correlation**

*by*Mario Larch & Janette Walde

**A component GARCH model with time varying weights**

*by*Giuseppe Storti & Luc Bauwens

**Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods**

*by*Anna Staszewska

**(Un)naturally low?**

*by*Silvia Sgherri & Marco J. Lombardi

**Estimation of IP Telephony Demand Using the Integrated Choice and Latent Variables Approach**

*by*Denis Bolduc & Moshe Ben-Akiva

**Nonlinear State-Space Models for Microeconometric Panel Data**

*by*Florian Heiss

**Validating and Calibrating Agent-based Models: a Case Study**

*by*Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi

**Extreme observations in developed and emerging equity markets**

*by*Pilar Grau-Carles

**Pricing Basket spread options**

*by*Kostas Giannopoulos

**Analysis of Regime Switching Behaviour of Indian Stock Markets**

*by*Arnab Kumar Laha

**The Econometrics of the Old and New Phillips Curve**

*by*Romulo A. Chumacero

**Creating and Using a Non-Dedicated HPC Cluster with ParallelKnoppix**

*by*Michael Creel & Universitat AutÃ²noma de Barcelona

**Computing the Distributions of Economic Models via Simulation**

*by*John Stachurski & University of Melbourne

**Generalized variance ratio tests in the presence of statistical dependence**

*by*Periklis Kougoulis & John C. Nankervis & Jerry Coakley

**An Objective Function for Simulation Based Inference on Exchange Rate Data**

*by*Manfred Gilli & Peter Winker & Vahidin Jeleskovic

**The extremal index for GARCH(1,1) processes with t-distributed innovations**

*by*F. Laurini & J. A. Tawn

**Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated**

*by*Jönsson, Kristian

**Relative sources of European regional productivity convergence: A bootstrap frontier approach**

*by*Enflo, Kerstin & Hjertstrand, Per

**Improved Nonparametric Confidence Intervals in Time Series Regressions**

*by*Joseph P. Romano & Michael Wolf

**A Note on Consistency of Heckman-type two-step Estimators for the Multivariate Sample-Selection Model**

*by*Tauchmann, Harald

**Empirical risk analysis of pension insurance: the case of Germany**

*by*Schmieder, Christian & Reinschmidt, Timo & Mager, Ferdinand & Gerke, Wolfgang

**Measuring business sector concentration by an infection model**

*by*Düllmann, Klaus

**Forecast Encompassing Tests and Probability Forecasts**

*by*Clements, Michael P & Harvey, David I

**Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence**

*by*Giulietti, Monica & Otero, Jesús & Smith, Jeremy

**Testing for stationarity in heterogeneous panel data in the presence of cross section dependence**

*by*Giulietti, Monica & Otero, Jesus & Smith, Jeremy

**Style of practice and assortative mating: a recursive probit analysis of cesarean section scheduling in Italy**

*by*Daniele Fabbri & Chiara Monfardini

**Rags in the High Rent District: The Evolution of Quota Rents in Textiles and Clothing**

*by*Joseph F. Francois & Julia Wörz

**Utility in WTP Space: A Tool to Address Confounding Random Scale Effects in Destination Choice to the Alps**

*by*Ricardo Scarpa & Mara Thiene & Kenneth Train

**Utility in WTP Space: A Tool to Address Confounding Random Scale Effects in Destination Choice to the Alps**

*by*Ricardo Scarpa & Mara Thiene & Kenneth Train

**On the efficient application of the repeated Richardson extrapolation technique to option pricing**

*by*Luca Barzanti & Corrado Corradi & Martina Nardon

**Simulation techniques for generalized Gaussian densities**

*by*Martina Nardon & Paolo Pianca

**Incomplete pairwise comparison and consistency optimization**

*by*Michele Fedrizzi & Silvio Giove

**A credit contagion model for loan portfolios in a network of firms with spatial interaction**

*by*Diana Barro & Antonella Basso

**A comparison of different trading protocols in an agent-based market**

*by*Paolo Pellizzari & Arianna Dal Forno

**Learning and equilibrium selection in a coordination game with heterogeneous agents**

*by*Alberto Fogale & Paolo Pellizzari & Massimo Warglien

**Nonlinearities in Cross-Country Growth Regressions: A Bayesian Averaging of Thresholds (BAT) Approach**

*by*Jesus Crespo Cuaresma & Gernot Doppelhofer

**Output fluctuations persistence: Do cyclical shocks matter?**

*by*Silvestro Di Sanzo

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

*by*Hiroyuki Kasahara & Katsumi Shimotsu

**An assessment of empirical Bayes and composite estimators for small areas**

*by*Nicholas Longford

**Evaluating Targeting Efficiency of Government Programmes: International Comparisons**

*by*Nanak Kakwani & Hyun H. Son

**Job mobility in Portugal: a Bayesian study with matched worker-firm data**

*by*Guillaume Horny & Rute Mendes & Gerard J. Van den Berg

**Applying Markowitz's Critical Line Algorithm**

*by*Andras Niedermayer & Daniel Niedermayer

**Modeling the Duration of Patent Examination at the European Patent Office**

*by*Harhoff, Dietmar & Wagner, Stefan

**White Noise Assumptions Revisited : Regression Models and Statistical Designs for Simulation Practice**

*by*Kleijnen, J.P.C.

**Regression Models and Experimental Designs : A Tutorial for Simulation Analaysts**

*by*Kleijnen, J.P.C.

**Are Economic Agents Successful Optimizers? An Analysis Through Strategy in Tennis**

*by*Klaassen, F.J.G.M. & Magnus, J.R.

**Extreme Value Theory Approach to Simultaneous Monitoring and Thresholding of Multiple Risk Indicators**

*by*Einmahl, J.H.J. & Li, J. & Liu, R.Y.

**Optimization of Simulated Inventory Systems : OptQuest and Alternatives**

*by*Kleijnen, J.P.C. & Wan, J.

**The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations**

*by*Jan F. Kiviet & Jerzy Niemczyk

**On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling**

*by*Michiel D. de Pooter & René Segers & Herman K. van Dijk

**Are Economic Agents Successful Optimizers? An Analysis through Service Strategy in Tennis**

*by*Franc J.G.M. Klaasen & Jan R. Magnus

**Earnings bracket obstacles in household surveys – How sharp are the tools in the shed?**

*by*Dieter von Fintel

**Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve**

*by*Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle

**Global sensitivity analysis for macro-economic models**

*by*Marco Ratto

**A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function**

*by*George Monokroussos

**Breaking trend panel unit root tests**

*by*Pui Sun Tam & University of Macau

**Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory**

*by*Christian de Peretti & Carole Siani

**Bootstrapping Neural tests for conditional heteroskedasticity**

*by*Carole Siani & Christian de Peretti

**A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects**

*by*Norman Swanson & Geetesh Bhardwaj

**Unemployment in the OECD since the 1960s. Do we really know?**

*by*T. BERGER & G. EVERAERT

**Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model**

*by*Damiano Brigo & Naoufel El-Bachir

**The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building**

*by*Jesús Ferreyra & Jorge Salas

**Stochastic Volatility Driven by Large Shocks**

*by*George Kapetanios & Elias Tzavalis

**Forecasting Using Predictive Likelihood Model Averaging**

*by*George Kapetanios & Vincent Labhard & Simon Price

**Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation**

*by*George Kapetanios & Vincent Labhard & Simon Price

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

*by*Hiroyuki Kasahara & Katsumi Shimotsu

**Inference via kernel smoothing of bootstrap P values**

*by*Jeff Racine & James G. MacKinnon

**Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap**

*by*Russell Davidson & James G. MacKinnon

**Bootstrap Methods in Econometrics**

*by*James G. MacKinnon

**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**

*by*Russell Davidson & James G. MacKinnon

**Applications of the Fast Double Bootstrap**

*by*James G. MacKinnon

**Non – parametric estimation of conditional and unconditional loan portfolio loss distributions with public credit registry data**

*by*Gutierrez Girault, Matias

**Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity**

*by*Jeong, Jinook & Kang, Byunguk

**Bootstrap Tests Based on Goodness-of-Fit Measures for Nonnested Hypotheses in Regression Models**

*by*Jeong, Jinook

**Interpolating Value Functions in Discrete Choice Dynamic Programming Models**

*by*Sullivan, Paul

**Estimation of an Occupational Choice Model when Occupations are Misclassified**

*by*Sullivan, Paul

**From Marginals to Array Structure with the Shuttle Algorithm**

*by*Buzzigoli, Lucia & Giusti, Antonio

**Some Experiments on Fitting of Gielis Curves by Simulated Annealing and Particle Swarm Methods of Global Optimization**

*by*Mishra, SK

**Estimating population means in covariance stationary process**

*by*Halkos, George & Kevork, Ilias

**Forecasting an ARIMA (0,2,1) using the random walk model with drift**

*by*Halkos, George & Kevork, Ilias

**Are there gains from including monetary aggregates and stock market indices in the monetary policy reaction function? A simulation study of recent U.S. monetary policy**

*by*Mandler, Martin

**Is spatial dependence an instantaneous effect? Some evidence in economic series of Spanish provinces**

*by*Chasco, Coro & López, Fernando

**Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods**

*by*Enrique, Navarrete

**Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?**

*by*Westerlund, Joakim & Basher, Syed A.

**Examining the segment retention problem for the “Group Satellite” case**

*by*Ana Oliveira-Brochado & F. Vitorino Martins

**Optimal asset allocation based on utility maximization in the presence of market frictions**

*by*Alessandro Bucciol & Raffaele Miniaci

**Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison**

*by*Marek Jarocinski

**Sources of Knowledge and Productivity: How Robust is the Relationship?**

*by*Mosahid Khan & Kul B. Luintel

**A Small New Keynesian Model of the New Zealand economy**

*by*Philip Liu

**Estimating Macroeconomic Models: A Likelihood Approach**

*by*Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez

**Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity**

*by*Azhong Ye & Rob J Hyndman & Zinai Li

**Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes**

*by*D. S. Poskitt

**Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach**

*by*Jae Kim & Param Silvapulle & Rob J. Hyndman

**Pillar I treatment of concentrations in the banking book – a multifactor approach**

*by*Zoltán Varsányi

**Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables**

*by*Russell Davidson & James MacKinnon

**Testing For Restricted Stochastic Dominance**

*by*Russell Davidson & Jean-Yves Duclos

**The Case Against Jive**

*by*Russell Davidson & James MacKinnon

**Statistical Comparison of Aggregation Rules for Votes**

*by*Michel Truchon & Stephen Gordon

**Chronic and Transient Poverty: Measurement and Estimation, with Evidence from China**

*by*Jean-Yves Duclos & Abdelkrim Araar & John Giles

**Testing for Restricted Stochastic Dominance**

*by*Russell Davidson & Jean-Yves Duclos

**Heterogeneous Basket Options Pricing Using Analytical Approximations**

*by*Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani

**Estimation with Numerical Integration on Sparse Grids**

*by*Heiss, Florian & Winschel, Viktor

**Nonlinear State-Space Models for Microeconometric Panel Data**

*by*Heiss, Florian

**Modeling the Duration of Patent Examination at the European Patent Office**

*by*Harhoff, Dietmar & Wagner, Stefan

**Computing the Distributions of Economic Models Via Simulation**

*by*John Stachurski

**Vicious and Virtuous Circles: The Political Economy of Unemployment**

*by*Ruthira Naraidoo & Patrick Minford

**Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation**

*by*Lorenzo Cappellari & Stephen P. Jenkins

**Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation**

*by*Cappellari, Lorenzo & Jenkins, Stephen P.

**Chronic and Transient Poverty: Measurement and Estimation, with Evidence from China**

*by*Jean-Yves Duclos & Abdelkrim Araar & John Giles

**Chronic and Transient Poverty: Measurement and Estimation, with Evidence from China**

*by*Duclos, Jean-Yves & Araar, Abdelkrim & Giles, John T.

**Testing for Restricted Stochastic Dominance**

*by*Russell Davidson & Jean-Yves Duclos

**Testing for Restricted Stochastic Dominance**

*by*Davidson, Russell & Duclos, Jean-Yves

**A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models**

*by*Alicia Pérez Alonso

**Consistent Specification Test For Ordered Discrete Choice Models**

*by*Juan Mora & Ana I. Moro

**Inappropriate Detrending and Spurious Cointegration**

*by*Heejoon Kang

**Testing for Restricted Stochastic Dominance**

*by*Russell Davidson & Jean-Yves Duclos

**Chronic and Transient Poverty: Measurement and Estimation, with Evidence from China**

*by*Jean-Yves Duclos & Abdelkrim Araaryand & John Giles

**Ranking Inequality: Applications of Multivariate Subset Selection**

*by*William C. Horrace & Joseph T. Marchand & Timothy M. Smeeding

**Rags in the High Rent District: the Evolution of Quota Rents in Textiles and Clothing**

*by*Joseph Francois & Julia Woerz

**Simulation based selection of competing structural econometric models**

*by*Tong Li

**Bayesian inference for the mixed conditional heteroskedasticity model**

*by*Luc Bauwens & Jeroen V.K. Rombouts

**Der Einsatz von Missing Data Techniken in der Arbeitsmarktforschung des IAB**

*by*Rässler, Susanne

**How valid can data fusion be?**

*by*Kiesl, Hans & Rässler, Susanne

**Measuring overeducation with earnings frontiers and multiply imputed censored income data**

*by*Jensen, Uwe & Gartner, Hermann & Rässler, Susanne

**Regression methods in pricing American and Bermudan options using consumption processes**

*by*Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny

**An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems**

*by*Denis Belomestny & Pavel V. Gapeev

**Forward and reverse representations for Markov chains**

*by*Grigori Milstein & John Schoenmakers & Vladimir Spokoiny

**Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market**

*by*Denis Belomestny & Grigori Milstein

**A jump-diffusion Libor model and its robust calibration**

*by*Denis Belomestny & John Schoenmakers

**Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions**

*by*Ralf Brüggemann

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

*by*Carsten Trenkler

**Incorporating Judgement in Fan Charts**

*by*Österholm, Pär

**Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis**

*by*Angelov, Nikolay

**Modelling firm mergers as a roommate problem**

*by*Angelov, Nikolay

**Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models**

*by*Giordani, Paolo & Kohn, Robert

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

*by*Jönsson, Kristian

**Bayesian simultaneous determination of structural breaks and lag lengths**

*by*Hultblad, Brigitta & Karlsson, Sune

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

*by*Akay, Alpaslan & Tsakas, Elias

**Real Exchange Rate Adjustment In European Transition Countries**

*by*Maican, Florin G. & Sweeney, Richard J.

**Working Paper 02-06 - An Evaluation of the Risks Surrounding the 2006-2012 NIME Economic Outlook : Illustrative Stochastic Simulations**

*by*Eric Meyermans & Patrick Van Brusselen

**Business Cycle Analysis and VARMA models**

*by*Christian Kascha & Karel Mertens

**Does rounding matter for payment efficiency?**

*by*Bijwaard, G.E. & Franses, Ph.H.B.F.

**Gibbs sampling in econometric practice**

*by*de Pooter, M.D. & Segers, R. & van Dijk, H.K.

**Measuring volatility with the realized range**

*by*Martens, M.P.E. & van Dijk, D.J.C.

**Testing for stochastic monotonicity**

*by*Sokbae Lee & Oliver Linton & Yoon-Jae Whang

**Are there Monday effects in stock returns: a stochastic dominance approach**

*by*Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang

**Gains From Commitment Policy For A Small Open Economy: The Case Of New Zealand**

*by*Philip Liu

**A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition**

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

**Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy**

*by*Choi, Hwan-sik & Kiefer, Nicholas M.

**Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation**

*by*Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi

**Decomposing the causes of health care use inequalities: a micro-simulations approach**

*by*Hélène Huber

**Desigualdad y Pobreza entre las Regiones Argentinas: Un Análisis de Microdescomposiciones**

*by*Héctor Zacaria & Juan Ignacio Zoloa

**Development under Regulation: The Way of the Ukrainian Insurance Market**

*by*Oleg Badunenko & Bogdana Grechanyuk & Oleksandr Talavera

**The Data Quality Concept of Accuracy in the Context of Public Use Data Sets**

*by*Carsten Kuchler & Martin Spieß

**Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency**

*by*Meenagh, David & Minford, Patrick & Peel, David

**Rags in the High Rent District: The Evolution of Quota Rents in Textiles and Clothing**

*by*Francois, Joseph & Wörz, Julia

**Estimation of stable distributions by indirect inference**

*by*GARCIA, René & RENAULT, Eric & VEREDAS, David

**A GARCH (1,1) estimator with (almost) no moment conditions on the error term**

*by*PREMINGER, Arie & STORTI, Giuseppe

**Acumulación de capital humano y gasto público en educación: Un Modelo OLG para Colombia**

*by*Oliver Enrique PARDO REINOSO

**Do Wealth Differences Affect Fairness Considerations?**

*by*Olivier Armantier

**Testing For Equality Between Two Copulas**

*by*Bruno Rémillard & Olivier Scaillet

**Robust Subsampling**

*by*Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani

**Tikhonov Regularization for Functional Minimum Distance Estimators**

*by*P. Gagliardini & O. Scaillet

**How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World**

*by*Lubos Briatka

**Testing For Stochasticmonotonicity**

*by*Sokbae Lee & Oliver Linton & Yoon-Jae Whang

**Simulating Stock Returns under switching regimes - a new test of market efficiency**

*by*Meenagh, David & Minford, Patrick & Peel, David

**Bootstrap-Based Improvements for Inference with Clustered Errors**

*by*Doug Miller & A. Colin Cameron & Jonah B. Gelbach

**A Monte Carlo Evaluation of the Efficiency of the PCSE Estimator**

*by*Xiujian Chen & Shu Lin & W. Robert Reed

**Another Look at what to do with Time-series Cross-section Data**

*by*Xiujian Chen & Shu Lin & W. Robert Reed

**Problems and Prospects for Dynamic Microsimulation: A review and lessons for APPSIM**

*by*Rebecca Cassells & Ann Harding & Simon Kelly

**Using Probabilistic Analysis to Value Power Generation Investments Under Uncertainty**

*by*Roques, F.A. & Nuttall, W.J. & Newbery, D.M.

**A Percolation-Based Model Explaining Delayed Take-Off in New-Product Diffusion**

*by*Martin Hohnisch & Sabine Pittnauer & Dietrich Stauffer

**Asymptotics and Consistent Bootstraps for DEA Estimators in Non-parametric Frontier Models**

*by*Alois Kneip & Léopold Simar & Paul W. Wilson

**The pricing of portfolio credit risk**

*by*Nikola A. Tarashev & Haibin Zhu

**An Optimal Method Of Binary Information Transfer (Bit) Between Surveys Of An Identical Population**

*by*Daniel Gottlieb & Leonid Kushnir

**Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector**

*by*Miroslav Misina & David Tessier & Shubhasis Dey

**Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices**

*by*Jean-Marie Dufour & David Tessier

**Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization**

*by*Tilke, Stephan

**Bootstrapping pairs in Distance-Based Regression**

*by*Eva Boj del Val & M. Mercedes Claramunt Bielsa & Jose Fortiana Gregori

**Creating and Using a Non-Dedicated HPC Cluster with ParallelKnoppix**

*by*Michael Creel

**Social Free Energy of a Pareto-Like Resource Distribution**

*by*Josip Stepanic & Hrvoje Stefancic & Vinko Zlatic

**Mercato del credito e imprese in un modello con agenti eterogenei**

*by*Pietro A. VAGLIASINDI & Giovanni VERGA & Pasquale CIRILLO

**Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte**

*by*Catherine Bruneau & Amine Lahiani

**Option bounds for multinomial stock returns in Jump-Diffusion processes - a Monte Carlo simulation for a multi-jump process**

*by*Lupu, Radu

**An Unbiased Estimator for the Parameter of a Homographic Distribution Used in Economy**

*by*Stefanescu, Poliana & Stefanescu, Stefan

**Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach**

*by*Oya Celasun & Xavier Debrun & Jonathan D. Ostry

**Has Production Management Improved Since 1984?**

*by*David G. Bivin

**Multiple Imputation Of Missing Data In Sustainable Development Modelling**

*by*Roberto Benedetti & Rita Lima & Alessandro Pandimiglio

**Empirical Insights on the Heterogeneity of the Spanish Stock Market/Un Análisis Empírico De La Heterogeneidad Del Mercado De Capitales Español**

*by*POUCHKAREV, IGOR & SPRONK, JAAP & TRINIDAD SEGOVIA, JUAN E.

**Including environmental variables in the effi ciency analysis: A three-step method/El análisis de efi ciencia con variables de entorno: un método de programas con tres etapas**

*by*DIOS PALOMARES, RAFAELA & MARTÍNEZ PAZ, JOSÉ MIGUEL & MARTÍNEZCARRASCO PLEITE, FEDERICO

**Using Market Information for Banking System Risk Assessment**

*by*Helmut Elsinger & Alfred Lehar & Martin Summer

**A Dynamic Accumulation Model for the Second Pillar of the Slovak Pension System**

*by*Soòa KILIÁNOVÁ & Igor MELICHERÈÍK & Daniel ŠEVÈOVIÈ

**Oportunidades de desarrollo económico en el posconflicto: propuesta de política**

*by*Ana María Ibáñez L. & Christian Jaramillo H.

**Modelos de valoración de opciones europeas en tiempo continuo**

*by*Jaime Villamil

**Le « risque de montant » des primes de rentes viagères. L'exemple de la loterie-tontine de 1743**

*by*Georges Gallais-Hamonno & Nicolas Zamfirescu & Laurent Monsigny

**Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation**

*by*Marcos Roberto Gois de Oliveira & Charles Ulises de Montreuil Carmona & José Lamartine Távora Junior

**Application of Compound Options in the Evaluation of American Puts**

*by*José Ferreira Marinho Junior & Mauro Antonio Rincon

**A Critical Approach To The Demographic Policy**

*by*Carmen Radu

**Unit Roots and Cointegration in Panels**

*by*Jörg Breitung & M. Hashem Pesaran

**Swing Options: A Mechanism for Pricing Peak IT Demand**

*by*Bernardo A. Huberman & Scott H. Clearwater

**Estimating the Deep Parameters of RBC Model with Learning**

*by*Stefano Eusepi & Stefania D'Amico

**Stochastic Volatility in DSGE models**

*by*Giorgio Primiceri & Alejandro Justiniano

**Cross Equation Effects of Misspecification: A partial estimation approach to DSGE Models**

*by*Kai Christoffel

**Bootstrap inference on a nonlinear time series model of advertising effects**

*by*Miguel A. Arranz

**Test for serial independence based on quadratic forms**

*by*Cees Diks & Valentyn Panchenko

**The accuracy of welfare computations**

*by*Michel Juillard

**Heterogeneity, Profitability and Autocorrelations**

*by*Youwei Li & Xue-Zhong (Tony) He

**Limited Dependet Panel Data: a Bayesian Approach**

*by*Giuseppe Bruno

**Long Swings in the US-Dollar: a Stochastic Control Approach**

*by*Rita L. Dâ€™Ecclesia & Rosella Castellano

**Estimating default probabilities using a non parametric approach**

*by*Rita L. D'Ecclesia & Robert G. Tompkins

**Panel Cointegration Tests of the Fisher Hypothesis**

*by*Westerlund, Joakim

**Simulation-based finite-sample linearity test against smooth transition models**

*by*González, Andrés & Teräsvirta, Timo

**Bayesian estimation of Cox model with non-nested random effects: an application to the ratification of ILO conventions by developing countries**

*by*Horney, Guillaume & Boockmann, Bernhard & Djurdjevic, Dragana & Laisney, François

**On the cost of delayed currency fixing announcements**

*by*Becker, Christoph & Wystup, Uwe

**The Decline in German Output Volatility: A Bayesian Analysis**

*by*Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian

**Unit roots and cointegration in panels**

*by*Breitung, Jörg & Pesaran, Mohammad Hashem

**Optimal Monetary Policy Rules in A Simple Stochastic Macro Model: China's Evidence**

*by*Shengzu Wang & Shen Guo

**Can the SupLR test discriminate between different switching**

*by*CHARFEDDINE Lanouar

**Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality**

*by*Viktor Winschel

**Valuing defaultable bonds: an excursion time approach**

*by*Martina Nardon

**The Foresight Bias in Monte-Carlo Pricing of Options with Early**

*by*Christian Fries

**Persistence Characteristics of the Chinese Stock Markets**

*by*Cornelis A. Los & Bing Yu

**From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices**

*by*Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil

**Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)**

*by*Christian P. Fries & Joerg Kampen

**Measurement of Financial Risk Persistence**

*by*Cornelis A. Los

**Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe**

*by*Pierangelo De Pace

**Bayesian Estimation of a Dynamic Partial-Equilibrium Model for Investment**

*by*Matthias Kredler

**Assessing Forecast Performance in a VEC Model: An Empirical Examination**

*by*Zacharias Bragoudakis

**Nonparametric Slope Estimators for Fixed-Effect Panel Data**

*by*Kusum Mundra

**Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues**

*by*Bal??zs ??gert, & L??szl?? Halpern & Ronald MacDonald

**Equilibrium Exchange Rates in Central and Eastern Europe: A Meta-Regression Analysis**

*by*Bal??zs ??gert & L??szl?? Halpern &

**Testing for inflation convergence between the Euro Zone and its CEE partners**

*by*Imed Drine & Christophe Rault &

**Experimental Designs for Environmental Valuation with Choice-Experiments: A Monte-Carlo Investigation**

*by*Silvia Ferrini & Riccardo Scarpa

**Experimental Designs for Environmental Valuation with Choice-Experiments: A Monte-Carlo Investigation**

*by*Silvia Ferrini & Riccardo Scarpa

**A Recursive Thick Frontier Approach To Estimating Production Efficiency**

*by*Rien Wagenvoort & Paul Schure

**Long Memory, Heterogeneity and Trend Chasing**

*by*Xue-Zhong He & Youwei Li

**Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models**

*by*Loriano Mancini & Elvezio Ronchetti & Fabio Trojani

**Structural Change and the Order of Integration in Univariate Time Series**

*by*Luis Alberiko Gil-Alana

**Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf**

*by*Luis Alberiko Gil-Alana

**Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994**

*by*Luis Alberiko Gil-Alana & Guglielmo M.Caporale

**Technical Efficiency and Stock Market Reaction to Horizontal Mergers**

*by*Yanna Wu & Subhash C. Ray

**Unit Roots and Cointegrating Matrix Estimation using Subspace Methods**

*by*Alfredo Garcia Hiernaux & Miguel Jerez & José Casals

**The KPSS Test with Two Structural Breaks**

*by*Josep Lluís Carrion-i-Silvestre & Andreu Sansó

**The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study**

*by*Jaroslava Hlouskova & Martin Wagner

**Labor Income and the Demand for Long-term Bonds**

*by*Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M.

**Customized Sequential Designs for Random Simulation Experiments : Kriging Metamodelling and Bootstrapping**

*by*van Beers, W.C.M. & Kleijnen, J.P.C.

**Robust Optimization Using Computer Experiments**

*by*Stinstra, E. & den Hertog, D.

**Statistical Testing of Optimality Conditions in Multiresponse Simulation-Based Optimization (Replaced by Discussion Paper 2007-45)**

*by*Bettonvil, B.W.M. & Del Castillo, E. & Kleijnen, Jack P.C.

**On Importance Sampling for State Space Models**

*by*Borus Jungbacker & Siem Jan Koopman

**Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models**

*by*Jan F. Kiviet

**Total Factor Productivity and the Mongolian Transition**

*by*Antonio G. Chessa & Marije C. Schouwstra

**Nonparametric Tests for Serial Independence Based on Quadratic Forms**

*by*Cees Diks & Valentyn Panchenko

**The Multi-State Latent Factor Intensity Model for Credit Rating Transitions**

*by*Siem Jan Koopman & André Lucas & André Monteiro

**A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk**

*by*Siem Jan Koopman & André Lucas & Robert Daniels

**Correcting for Primary Study Misspecifications in Meta-Analysis**

*by*Mark J. Koetse & Raymond J.G.M. Florax & Henri L.F. de Groot

**Non-Bayesian Multiple Imputation**

*by*Jan F. Bjørnstad

**An estimated open-economy model for the EURO area**

*by*Marco Ratto & Werner Roeger

**Estimating Single Factor Jump Diffusion Interest Rate Models**

*by*Ghulam Sorwar

**Identification and Estimation of Discrete Games of Complete Information**

*by*Stephen Ryan & Patrick Bajari & Han Hong

**User-Friendly Parallel Computations with Econometric Examples**

*by*Michael Creel

**A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem**

*by*Simon Lysbjerg Hansen

**Bayesian Sampling Algorithms for the Sample Selection and Two-Part Models**

*by*Martijn van Hasselt

**Common Trends and Common Cycles in Canadian Sectoral Output**

*by*Christoph Schleicher & Francisco Barillas

**Accurate Yield Curve Scenarios Generation using Functional Gradient Descent**

*by*Fabio Trojani & Francesco Audrino

**Central Bank Credibility and Monetary Policy: Evidence from Small Scale Macroeconomic Model of Indonesia**

*by*Enrico Tanuwidjaja & Choy Keen Meng

**Unit root and cointegration tests for cross-sectionally correlated panels. Estimating regional production functions**

*by*Roberto Basile & Mauro Costantini & Sergio Destefanis

**On the generation of a regular multi-input multi-output technology using parametric output distance functions**

*by*Sergio Perelman & Daniel Santin

**Structural Spurious Regressions and A Hausman-type Cointegration Test**

*by*Chi-Young Choi & Ling Hu & Masao Ogaki

**Carbon Mitigation Costs for the Commercial Sector: Discrete-Continuous Choice Analysis of Multifuel Energy Demand**

*by*Pizer, William & Newell, Richard

**Assessing the Usefulness of Structural Vector Autoregressions**

*by*Lawrence Christiano & Martin Eichenbaum

**Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey**

*by*Kevin X.D. Huang & Zheng Liu

**Econométrie de la concurrence entre produits différenciés : théorie et méthodes empiriques**

*by*Bonnet, C.

**A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets**

*by*George Kapetanios

**Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling**

*by*Gonzalo Camba-Mendez & George Kapetanios

**Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria**

*by*George Kapetanios

**Choosing the Optimal Set of Instruments from Large Instrument Sets**

*by*George Kapetanios

**Variable Selection using Non-Standard Optimisation of Information Criteria**

*by*George Kapetanios

**Finite Sample Accuracy of Integrated Volatility Estimators**

*by*Morten Ørregaard Nielsen & Per Houmann Frederiksen

**Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration**

*by*Morten Ørregaard Nielsen & Per Frederiksen

**Size Matters: Covariance Matrix Estimation Under the Alternative**

*by*Jason Allen

**Analysis of delinquent firms using multi-state transitions**

*by*António R. Antunes

**Numerical Analysis in Econom(etr)ic Softwares: the Data-Memory Shortage Management**

*by*Buda, Rodolphe

**Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996: Appendices**

*by*Geweke, John & Keane, Michael

**Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996**

*by*Geweke, John & Keane, Michael

**Indirect estimation of Markov switching models with endogenous switching**

*by*Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca

**Generalized maximum entropy (GME) estimator: formulation and a monte carlo study**

*by*Eruygur, H. Ozan

**Modelling catastrophe claims with left-truncated severity distributions (extended version)**

*by*Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal

**Assessing the Number of Components in Mixture Models: a Review**

*by*Ana Oliveira-Brochado & Francisco Vitorino Martins

**Valuing Limited Information in Decision Making Under Uncertainty**

*by*Allan W. Gray & Joshua D. Detre & Brian C. Briggeman

**Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues**

*by*Balázs Égert & László Halpern & Ronald MacDonald

**An Empirical Contribution to Knowledge Production and Economic Growth**

*by*Kul B. Luintel & Mosahid Khan

**Masking Identification of Discrete Choice Models under Simulation Methods**

*by*Lesley Chiou & Joan Walker

**State Dependence in a Multi-state Model of Employment**

*by*Victoria Prowse

**How Damaging is Part-time Employment to a Woman's Occupational Prospects?**

*by*Victoria Prowse

**Downside Risk**

*by*Andrew Ang & Joseph Chen & Yuhang Xing

**Edgeworth Expansions for Realized Volatility and Related Estimators**

*by*Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia

**Convergence Properties of the Likelihood of Computed Dynamic Models**

*by*Jesus Fernandez-Villaverde & Juan Rubio & Manuel Santos

**Financial Well-Being in an Urban Setting: An Application of Multiple Imputation**

*by*David A. Penn

**Determinants of Self-Reported Financial Security for Oklahoma County Households – An Application of Multiple Imputation**

*by*David A. Penn

**Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing**

*by*DUFOUR, Jean-Marie & JOUINI, Tarek

**Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression**

*by*DUFOUR, Jean-Marie & FARHAT, Abdeljelil & KHALAF, Lynda

**Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions**

*by*BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda

**Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics**

*by*DUFOUR, Jean-Marie

**Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing**

*by*DUFOUR, Jean-Marie & JOUINI, Tarek

**Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression**

*by*DUFOUR, Jean-Marie & FARHAT, Abdekjelik & KHALAF, Lynda

**Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions**

*by*BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda

**Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics**

*by*DUFOUR, Jean-Marie

**Simulation-Based Two-Step Estimation with Endogenous Regressors**

*by*Kamhon Kan & Chihwa Kao

**On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence**

*by*Jushan Bai & Chihwa Kao

**Aggregation of Rankings: a Brief Review of Distance-Based Rules**

*by*Michel Truchon

**Rana, Formichiere o un Milione di Euro? UnÕanalisi delle scelte in condizioni di incertezza in un esperimento naturale**

*by*Fabrizio Botti & Anna Conte & Daniela T. Di Cagno & Carlo D'Ippoliti

**Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options**

*by*Ruijun Bu & Kaddour Hadri

**The latent factor VAR model: Testing for a common component in the intraday trading process**

*by*Nikolaus Hautsch

**Sensitivity of Propensity Score Methods to the Specifications**

*by*Zhong Zhao

**Sensitivity of Propensity Score Methods to the Specifications**

*by*Zhao, Zhong

**How Damaging Is Part-Time Employment to a Woman's Occupational Prospects?**

*by*Victoria Prowse

**How Damaging Is Part-Time Employment to a Woman's Occupational Prospects?**

*by*Prowse, Victoria L.

**State Dependence in a Multi-State Model of Employment Dynamics**

*by*Victoria Prowse

**State Dependence in a Multi-State Model of Employment Dynamics**

*by*Prowse, Victoria L.

**Interfirm Mobility, Wages, and the Returns to Seniority and Experience in the U.S**

*by*Buchinsky, Moshe & Fougère, Denis & Kramarz, Francis & Tchernis, Rusty

**Interfirm Mobility, Wages, and the Returns to Seniority and Experience in the U.S**

*by*Buchinsky, Moshe & Fougère, Denis & Kramarz, Francis & Tchernis, Rusty

**Job Turnover, Wage Rates, and Marital Stability: How Are They Related?**

*by*Ahituv, Avner & Lerman, Robert

**Job Turnover, Wage Rates, and Marital Stability: How Are They Related?**

*by*Ahituv, Avner & Lerman, Robert I.

**Unemployment And Hysteresis: A Nonlinear Unobserved Components Approach**

*by*Alicia Pérez Alon & Silvestro Di Sanzo

**The Process Followed By Ppp Data. On The Properties Of Linearity Tests**

*by*Ivan Paya & David A. Peel

**Unit root and cointegration tests for cross-sectionally correlated panels. Estimating regional production functions**

*by*Roberto Basile & Mauro Costantini & Sergio Destefanis

**On assessing pro-poorness of government programmes:international comparisons**

*by*Nanak Kakwani & Hyun H. Son

**Inference on Income Inequality and Tax Progressivity Indices: U-Statistics and Bootstrap Methods**

*by*Raquel Andres & Samuel Calonge

**Where have all the data gone? Stochastic production frontiers with multiply imputed German establishment data**

*by*Jensen, Uwe & Rässler, Susanne

**Analyzing the changing gender wage gap based on multiply imputed right censored wages**

*by*Gartner, Hermann & Rässler, Susanne

**Portfolio Value at Risk Based on Independent Components Analysis**

*by*Ying Chen & Wolfgang Härdle & Vladimir Spokoiny

**Macroeconomic Volatility, Debt Dynamics, and Sovereign Interest Rate Spreads**

*by*Hans Genberg & Astrit Sulstarova

**Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests**

*by*Welz, Peter & Österholm, Pär

**Demand and Welfare Effects in Recreational Travel Models: A Bivariate Count Data Approach**

*by*Hellström, Jörgen & Nordström, Jonas

**Estimation of an Adaptive Stock Market Model with Heterogeneous Agents**

*by*Amilon, Henrik

**Firm Tunrover and the Rate of Macroeconomic Growth - Simulating the Macroeconomic Effects of Schumpeterian Creative Destruction**

*by*Eliasson, Gunnar & Johansson, Dan & Taymaz, Erol

**Time and Causality: A Monte Carlo Assessment of the Timing-of-Events Approach**

*by*Gaure, Simen & Røed, Knut & Zhang, Tao

**Downward Nominal Wage Rigidity in the OECD**

*by*Holden, Steinar & Wulfsberg, Fredrik

**Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results**

*by*Jönsson, Kristian

**How Important are Financial Frictions in the U.S. and Euro Area?**

*by*Queijo, Virginia

**Measuring conditional segregation: methods and empirical examples**

*by*Åslund, Olof & Nordström Skans, Oskar

**Correlation Between Intensity and Recovery in Credit Risk Models**

*by*Gaspar, Raquel M. & Slinko, Irina

**Bootstrapping a Hedonic Price Index: Experience from Used Cars Data**

*by*Beer, Michael

**Working Paper 17-05 - Monetary Policy, Asset Prices and Economic Growth in the World Economy over the 1995-2004 Period : A counterfactual simulation with the NIME Model**

*by*Eric Meyermans & Patrick Van Brusselen

**Productivity and its Drivers in Finnish Primary Care 1988-2003**

*by*Maija-Liisa Järviö & Juho Aaltonen & Tarmo Räty & Kalevi Luoma

**Testing for Stochastic Dominance Efficiency**

*by*Olivier Scaillet & Nikolas Topaloglou

**Multiariate Wavelet-based sahpe preserving estimation for dependant observation**

*by*Antonio Cosma & Olivier Scaillet & Rainer von Sachs

**Indirect Robust Estimation of the Short-term interest Rate Process**

*by*Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti

**The Balassa-Samuelson Effect in Central and Eastern Europe: Myth or Reality?**

*by*Balázs Égert & Imed Drine & Kirsten Lommatzsch & Christophe Rault

**La PPA est-elle vérifiée pour les pays développés et en développement ? Un ré-examen par l’économétrie des panels non-stationnaires**

*by*Imed Drine & Christophe Rault

**The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study**

*by*Jaroslava Hlouskova & Martin Wagner

**Weakly informative priors and well behaved Bayes factors**

*by*Strachan, R.W. & van Dijk, H.K.

**On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks**

*by*Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K.

**Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap**

*by*Myung Hwan Seo

**A parametric bootstrap test for cycles**

*by*Violetta Dalla & Javier Hidalgo

**Simulated nonparametric estimation of dynamic models with applications to finance**

*by*Filippo Altissimo & Antonio Mele

**Estimation of environmental efficiencies of economies and shadow prices of pollutants in countries in transition**

*by*Salnykov Mykhaylo & Zelenyuk Valentin

**Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998**

*by*Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin

**Central Bank Credibility and Monetary Policy : Evidence from Small Scale Macroeconomic Model of Indonesia**

*by*Enrico Tanuwidjaja & Choy Keen Meng

**Pobreza Rural y Urbana en Argentina: Un Análisis de Descomposiciones**

*by*Francisco Haimovich & Hernán Winkler

**Dynamic Discrete Choice Modeling: Monte Carlo Analysis**

*by*Robert L. Hicks & Kurt Schnier

**Bayesian inference for the mixed conditional heteroskedasticity model**

*by*Luc, Bauwens & J.V.K., ROMBOUTS

**Modelling Demographic Events in the Microsimulation Model DESTINIE**

*by*M. DUÉE

**Estimation and inference in dynamic unbalanced panel data models with a small number of individuals**

*by*Giovanni S.F. Bruno

**Modelling the duration of patent examination at the European Patent Office**

*by*Harhoff, Dietmar & Wagner, Stefan

**Equilibrium Exchange Rates in Central and Eastern Europe: A Meta-Regression Analysis**

*by*Égert, Balázs & Halpern, László

**Bayesian inference for the mixed conditional heteroskedasticity model**

*by*BAUWENS, Luc & ROMBOUTS, Jeroen V.K.

**On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks**

*by*HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K.

**El censo nacional de poblacio?n: una comparacio?n de metodologi?as mediante simulaciones de Monte Carlo**

*by*Christian Jaramillo H. & Ana María Ibáñez

**El Censo Nacional De Población: Una Comparación De Metodologías Mediante Simulaciones De Monte Carlo**

*by*Christian Jaramillo & Ana María Ibáñez

**Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing**

*by*Jean-Marie Dufour & Tarek Jouini

**Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression**

*by*Jean-Marie Dufour & Abdeljelil Farhat & Lynda Khalaf

**Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions**

*by*Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf

**Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics**

*by*Jean-Marie Dufour

**Robust Value at Risk Prediction**

*by*Loriano Mancini & Fabio Trojani

**A Parametric Bootstrap Test for Cycles**

*by*Violetta Dalla & Javier Hidalgo

**Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap**

*by*Myunghwan Seo

**Towards a Non-Equilibrium Unemployment Theory**

*by*Matteo Richiardi

**Nuclear Power: a Hedge against Uncertain Gas and Carbon Prices?**

*by*Roques, F.A. & Nuttall, W.J. & Newbery, D.M. & de Neufville, R.

**Unit Roots and Cointegration in Panels**

*by*Breitung, J. & Pesaran, M.H.

**Copula Based Monte Carlo Integration in Financial Problems**

*by*Sancetta, A.

**Equilibrium exchange rates in Central and Eastern Europe : A meta-regression analysis**

*by*Égert, Balázs & Halpern, László

**A nonparametric analysis of the shape dynamics of the US personal income distribution: 1962-2000**

*by*Feng Zhu

**User-Friendly Parallel Computations with Econometric Examples**

*by*Michael Creel

**A Cellular Automata Model Of The General Rate Of Profit**

*by*Claudio Castelo Branco Puty

**Ca Non-survey Methods Substitute for Survey-based Models ? A Performance Analysis of Indirect Techniques of Estimating I-O Coefficients and Multipliers**

*by*Andrea BONFIGLIO

**Testing the BalassA-Samuelson hypothesis in two different groups of countries: OECD and Latin America**

*by*José García Solanes & Fernando Torrejón Flores

**Discriminación salarial por género en Chile: una mirada global**

*by*Jeanette Fuentes & Amalia Palma & Rodrigo Montero

**Characterizing income distribution for poverty and inequality analysis**

*by*Rómulo A.Chumacero & Ricardo D.Paredes

**Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters**

*by*Timothy Cogley

**Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad**

*by*AUGUSTO CASTILLO R. & RAFAEL AGUILA

**Aplicabilidad del test BDS al análisis de series económicas/Aplicadility of las test to economic time series analysis**

*by*MATILLA-GARCÍA, M. & RODRÍGUEZ RUIZ, J.

**A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al efecto enero**

*by*POST, THIERRY

**Underlying Inflation in Colombia: a common stochastic trend approach associated with structural restriction vectorial error correction model (SVEC)**

*by*Martha Misas & Enrique López & Juana Téllez & José Fernando Escobar

**Ýlerleyen Tür Týp-Ii Saðdan Sansürlü Örnekleme Dayali Düzgün Daðilimin Parametrelerýnýn Jackknýfe Tahmýn Edýcýsý**

*by*Coskun Kus

**Rastlantisal seritler ile En Kucuk Medyan Kareler Dogrusunun Bulunmasi**

*by*Enis Siniksaran & Aylin Aktükün

**Asal Bilesenler Analizine Bootstrap Yaklasimi**

*by*Aylin Aktükün

**¿Es el ingreso suficiente para explicar cambios en la elección de carrera?**

*by*Emanuel Vespa

**Modified maximum likelihood estimation of Tobit models with fixed effects: theory and an application to earnings equations**

*by*Gabriel Jiménez Zambrano

**Transmisión intergeneracional de la violencia intrafamiliar: evidencia para las familias colombianas**

*by*Salas Bahamón Luz Magdalena

**Explanation of Economic Growth Differences in the CEE Countries: Importance of the BOP Constraint**

*by*Virmantas Kvedaras

**Cognitive Learning and the Emergence of Cooperation - An Simulation Approach**

*by*Thomas Brenner

**Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling**

*by*Michiel D. de Pooter & Rengert Segers

**Limited dependent panel data models: a comparative analysis of classical and Bayesian inference among econometric packages**

*by*Giuseppe Bruno

**The Use of a Simple Decision Rule in Repeated Oligopoly Games**

*by*Jan Edman

**(The Evolution of) Post-Secondary Education: A Computational Model and Experiments**

*by*Sergey Slobodyan & Andreas Ortmann

**International evidence on monetary neutrality under broken trend stationary models**

*by*R. Velazquez & Noriega & A.

**Speculative option valuation: A supercomputing approach**

*by*Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano

**Estimation of the fractionally integrated process with Missing Values: Simulation and Application**

*by*Valderio A. Reisen, UFES, Brazil. & Carlos Feitosa Luna & Manoel R. Sena Jr.

**Semi-parametric procedures for Unit root and fractional cointegration tests**

*by*Valderio A. Reisen, DEST-UFES, Brazil & Luz A. M. Santander & GET-UFF

**Elements in the Design of an Early Warning System for Sovereign Default**

*by*Ana-Maria Fuertes & Elena Kalotychou

**Forecasting sovereign default using panel models: A comparative analysis**

*by*Ana-Maria Fuertes & Elena Kalotychou

**A double-auction artificial market with time-irregularly spaced orders**

*by*Enrico Scalas & Silvano Cincotti

**Fitting and comparing stochastic volatility models through Monte Carlo simulations**

*by*Silvano Bordignon & Davide Raggi

**Neighborhood models of minority opinion spreading**

*by*C. J. Tessone & R. Toral

**Estimating Dynamic Equilibrium Economies: Linear and Nonlinear Likelihood**

*by*Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez

**Testing Distributional Assumptions: A GMM Approach**

*by*N. MEDDAHI & C. BONTEMPS

**A Dynamic Stochastic Ananlysis of International Patent Application and Renewal Processes**

*by*Yi Deng

*by*Robert M. Sauer & Michael P. Keane

**Jackstrapping Dea Scores For Robust Efficiency Measurement**

*by*Darcy Ribeiro & Maria da ConceiÃ§Ã£o Sampaio de Sousa

**Income Nonresponse and Inequality Measurement**

*by*Guillermo Paraje

**Taking a New Contour: A Novel Approach to Panel Unit Root Tests**

*by*Yoosoon Chang

**Smooth Test For Testing Equality Of Two Densities**

*by*Zhijie Xiao & Anil K. Bera & Aurobindo Ghosh

**Inappropriate Detrending and Spurious Cointegration**

*by*Heejoon Kang

**On Leverage in a Stochastic Volatility Model**

*by*Jun Yu

**On leverage in a stochastic volatility model**

*by*Jun Yu

**Testing the Power of Panel Cointegration Tests When Frequency of the Data Changes: A Simulation Study**

*by*Azhar Iqbal

**Bayesian Estimation of an Endogenous Bivariate Semiparametric Probit Model for Health Practitioner Utilisation in Australia**

*by*Denzil Fiebig & Michael Smith & Remy Cottet

**Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data**

*by*Gael Martin & Chris Strickland & Catherine Forbes

**The Consequences of Systematic Sampling on Granger Causality**

*by*Tilak Abeysinghe & Gulasekaran Rajaguru

**Market Response Analysis: The Demand System versus Non-Restricted Marketing Models**

*by*Tie Wang

**Nonlinear Purchasing Power Parity under the Gold Standard**

*by*Ivan Paya & David A. Peel

**A Bootstrap-Regression Procedure to Capture Unit Specific Effects In Data Envelopment Analysis**

*by*Evangelia Desli & Subhash C. Ray

**Jarque-Bera test and its competitors for testing normality: A power comparison**

*by*Thadewald, Thorsten & Büning, Herbert

**Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations**

*by*Winker, Peter & Meyer, Mark

**The Hidden Risks of Optimizing Bond Portfolios under VaR**

*by*Winker, Peter & Maringer, Dietmar

**Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models**

*by*Liesenfeld, Roman & Richard, Jean-François

**Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms**

*by*Trenkler, Carsten

**Testing for Seasonal Unit Roots in Heterogeneous Panels**

*by*Otero, Jesus & Smith, Jeremy & Giulietti, Monica

**Structural Models In Consumer Credit**

*by*Fabio de Andrade & Lyn Thomas

**Monetary Policy with a Wider Information Set: a Bayesian Model Averaging Approach**

*by*Fabio Milani

**Hiring discrimination in the French financial sector: an econometric analysis on field experiment data**

*by*DUGUET Emmanuel & PETIT Pascale

**Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash**

*by*CORNELIS A. LOS & ROSSITSA M. YALAMOVA

**Visualization of Chaos for Finance Majors**

*by*CORNELIS A. LOS

**Econometric Estimation of Parameters of Preservation of Perishable Goods in Cold Logistic Chains**

*by*Miroslav Verbic

**Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power**

*by*Evzen Kocenda & Lubos Briatka

**On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates**

*by*Paulo M. M. Rodrigues & Antonio Rubia

**Does patenting increase the private incentives to innovate? A microeconometric analysis**

*by*DUGUET Emmanuel & LELARGE Claire

**Block-diagonal representation of a dualistic agricultural economy and its application in formal modelling: the case of Bulgaria**

*by*Philip Kostov & John Lingard

**Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach**

*by*Lauren Bin Dong

**The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach**

*by*Lauren Bin Dong

**An Empirical Likelihood Ratio Test for Normality in Linear Regression**

*by*Lauren Bin Dong & David E. A. Giles

**Fractional Integration and Business Cycles Features**

*by*Luis A. Gil-Alana & Bertrand Candelon

**Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ**

*by*Luis A. Gil-Alana & Bertrand Candelon

**Deterministic Seasonality versus Seasonal Fractional Integration**

*by*Luis A. Gil-Alana

**A Bootstrap-Regression Procedure to Capture Unit Specific Effects in Data Envelopment Analysis**

*by*Evangelia Desli & Subhash Ray

**Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment**

*by*Gustavo A. Marrero

**Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options**

*by*Berridge, S.J. & Schumacher, J.M.

**Pricing High-Dimensional American Options Using Local Consistency Conditions**

*by*Berridge, S.J. & Schumacher, J.M.

**An Irregular Grid Approach for Pricing High-Dimensional American Options**

*by*Berridge, S.J. & Schumacher, J.M.

**Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form**

*by*Charles S. Bos & Neil Shephard

**Two-Stage Sampling from a Prediction Point of View**

*by*Jan F. Bjørnstad & Elinor Ytterstad

**Are There Waves in Merger Activity After All?**

*by*Dennis Gaertner & Daniel Halbheer

**Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility**

*by*Jun Yu

**Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison**

*by*Jun Yu & Renate Meyer

**On Leverage in a Stochastic Volatility Model**

*by*Jun Yu

**Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling**

*by*Lennart F. Hoogerheide & Johan F. Kaashoek

**Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions**

*by*Paola Palmitesta & Corrado Provasi

**Test for long memory processes. A bootstrap approach**

*by*Pilar Grau-Carles

**An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series**

*by*Geetesh Bhardwaj & Norman Swanson

**On Testing for Diagonality of Large Dimensional Covariance Matrices**

*by*George Kapetanios

**A New Method for Determining the Number of Factors in Factor Models with Large Datasets**

*by*George Kapetanios

**How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP**

*by*Georgios Chortareas & George Kapetanios

**Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels**

*by*Georgios Chortareas & George Kapetanios

**Nonlinear Autoregressive Models and Long Memory**

*by*George Kapetanios

**Testing for Exogeneity in Nonlinear Threshold Models**

*by*George Kapetanios

**A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes**

*by*George Kapetanios

**The Power of Bootstrap and Asymptotic Tests**

*by*Russell Davidson & James G. MacKinnon

**The Case Against JIVE**

*by*Russell Davidson & James G. MacKinnon

**Simulation-based Tests that Can Use Any Number of Simulations**

*by*Jeff Racine & James G. MacKinnon

**Nonlinearly testing for a unit root in the presence of a break in the mean**

*by*Gluschenko, Konstantin

**SINGUL 2.0 : les équations et les programmes**

*by*Buda, Rodolphe

**On testing equality of distributions of technical efficiency scores**

*by*Simar, Leopold & Zelenyuk, Valentin

**Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison**

*by*Dibartolomeo, Giovanni & Rossi, Lorenza & Tancioni, Massimiliano

**Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood**

*by*Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez

**Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach**

*by*Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez

**Estimating Time Demand Elasticities Under Rationing**

*by*Victoria Prowse

**Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates**

*by*Angela Huang

**Estimating Time Demand Elasticities Under Rationing**

*by*Victoria Prowse

**Pseudo Market Timing and Predictive Regressions**

*by*Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler

**How Confident Can We Be in CGE-Based Assessments of Free Trade Agreements?**

*by*Thomas Hertel & David Hummels & Maros Ivanic & Roman Keeney

**Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak**

*by*Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez

**The Ghost in the Machine: Inferring Machine-Based Strategies from Observed Behavior**

*by*ENGLE-WARNICK, Jim & McCAUSLAND, William J. & MILLER, John H.

**The Ghost in the Machine: Inferring Machine-Based Strategies from Observed Behavior**

*by*ENGLE-WARNICK, Jim & McCAUSLAND, William J. & MILLER, John H.

**Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors**

*by*Xibin Zhang & Maxwell L. King

**Bayesian Analysis of Continuous Time Models of the Australian Short Rate**

*by*Andrew D. Sanford & Gael Martin

**Does patenting increase the private incentives to innovate ? A microeconometric analysis**

*by*Emmanuel Duguet & Claire Lelarge

**Hiring discrimination in the French financial sector : an econometric analysis on field experiment data**

*by*Emmanuel Duguet & Pascale Petit

**How Much More Does a Disadvantaged Student Cost?**

*by*William D. Duncombe & John Yinger

**Econometric Inference, Cyclical Fluctuations, and Superior Information**

*by*Denis Larocque & Michel Normandin

**Exceptions to Bartlett’s Paradox**

*by*Rodney W. Strachan & Herman K. van Dijk

**Job Search with Nonparticipation**

*by*Frijters, Paul & van der Klaauw, Bas

**Job Search with Nonparticipation**

*by*Frijters, Paul & van der Klaauw, Bas

**Joint Estimation of Sequential Labor Force Participation and Fertility Decisions Using Markov Chain Monte Carlo Techniques**

*by*Troske, Kenneth R. & Voicu, Alexandru

**Joint Estimation of Sequential Labor Force Participation and Fertility Decisions Using Markov Chain Monte Carlo Techniques**

*by*Troske, Kenneth & Voicu, Alexandru

**A Simulation of an Income Contingent Tuition Scheme in a Transition Economy**

*by*Vodopivec, Milan

**A Simulation of an Income Contingent Tuition Scheme in a Transition Economy**

*by*Vodopivec, Milan

**Forecasting Time Series Subject to Multiple Structural Breaks**

*by*Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan

**Forecasting Time Series Subject to Multiple Structural Breaks**

*by*Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan

**Analytical Prediction of Transitions Probabilities in the Conditional Logit Model**

*by*Bonin, Holger & Schneider, Hilmar

**Analytical Prediction of Transitions Probabilities in the Conditional Logit Model**

*by*Bonin, Holger & Schneider, Hilmar

**Nonlinear Ppp Under The Gold Standard**

*by*Ivan Paya & David A. Peel

**On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates**

*by*Paulo M.M. Rodrigues & Antonio Rubia

**Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence**

*by*Caporale, Guglielmo Maria & Pittis, Nikitas

**The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study**

*by*Caporale, Guglielmo Maria & Ntantamis, Christos & Pantelidis, Theologos & Pittis, Nikitas

**Econometric Inference, Cyclical Fluctuations, and Superior Information**

*by*Michel Normandin

**Editing and multiply imputing German establishment panel data to estimate stochastic production frontier models**

*by*Kölling, Arnd & Rässler, Susanne

**Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?**

*by*Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper

**Downward Nominal Wage Rigidity in Europe**

*by*Holden, Steinar & Wulfsberg, Fredrik

**Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study**

*by*Eriksson , Åsa

**Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated**

*by*Jönsson, Kristian

**A smooth permanent surge process**

*by*González Gómez, Andrés

**Interest of site-specific pollution control policies**

*by*Lacroix, A. & Bel, F. & Mollard, A. & Sauboua, E.

**A flexible prior distribution for Markov switching autoregressions with Student-t errors**

*by*Deschamps, Philippe J.

**Does Patenting Increase the Private Incentives to Innovate? A Microeconometric Analysis**

*by*Emmanuel Duguet & Claire Lelarge

**The detection of hidden periodicities: A comparison of alternative methods**

*by*Michael ARTIS & Mathias HOFFMANN & Dilip NACHANE & Juan TORO

**Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models**

*by*Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K.

**Improper priors with well defined Bayes Factors**

*by*Strachan, R.W. & van Dijk, H.K.

**Simulated nonparametric estimation of continuous time models of asset prices and returns**

*by*Filippo Altissimo & Antonio Mele

**The impact of risk regulation on price dynamics**

*by*Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand

**Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia**

*by*Gevorgyan Ruben & Melikyan Narine

**Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity**

*by*Ruxandra Prodan

**Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap**

*by*Myunghwan Seo

**Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects**

*by*Garland Durham

**Bootstrap correcting the score test**

*by*Dirk Hoorelbeke

**Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand**

*by*Helle Bunzel

**Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors**

*by*Emma Iglesias & Jean Marie Dufour

**Bootstrapping the HEGY Seasonal Unit Root Tests**

*by*Robert Taylor & Peter Burridge

**International Evidence on Monetary Neutrality Under Broken Trend Stationary Models**

*by*R. Velazquez & A.E. Noriega & L.M. Soria

**Testing for seasonal unit roots in heterogeneous panels**

*by*Jesus Otero & Jeremy Smith

**Structural Error Correction Model: A Bayesian Perspective**

*by*Chew Lian Chua & Peter Summers

**The Cusum Test for Parameter Change in Regression with ARCH Errors**

*by*Koichi Maekawa & Sangyeol & Lee

**Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR**

*by*Takayuki Morimoto

**Empirical Modelling of Contagion: A Review of Methodologies**

*by*Martin, V. & Dungey & M.

**A Spurious Regression Approach to Estimating Structural Parameters**

*by*Chi-Young Choi; Ling Hu; Masao Ogaki

**Indirect Estimation of Long Memory Volatility Models**

*by*Nigel Wilkins

**Further results on weak-exogeneity in vector error correction models**

*by*Christophe Rault

**Seasonality, Cycles and Unit Roots**

*by*Mickael Salabasis & Sune Karlsson

**Empirical Modelling of Contagion: A Review of Methodologies**

*by*Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry

**Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC**

*by*Rob L. Hyndman & Xibin Zhang & Maxwell L. King,

**Palmnet: A pension asset and liability model for the Netherlands**

*by*M.C.J. van Rooij & A.H. Siegmann & P.J.G. Vlaar

**Caracterización de los Cambios en la Desigualdad y la Pobreza en Argentina Haciendo Uso de Técnicas de Descomposiciones Microeconometricas (1992-2001)**

*by*Monserrat Bustelo

**Simulating Income Distribution Changes in Bolivia: a Microeconometric Approach**

*by*Leonardo Gasparini & Mariana Marchionni & Federico Gutierrez

**La Pobreza en Argentina: Perfil, Evolución y Determinantes Profundos (1996, 1998 Y 2001)**

*by*Monserrat Bustelo & Leonardo Lucchetti

**The Impact of U.S. Unions On Productivity: A Bootstrap Meta-Analysis**

*by*H. Doucouliagos & P. Laroche

**Smoothed Empirical Likelihood Methods for Quantile Regression Models**

*by*Yoon-Jae Whang

**Computing price trends in sequential auctions**

*by*Olivier CHANEL & Stéphanie VINCENT

**Does patenting increase the private incentives to innovate? A microeconometric analysis**

*by*E. DUGUET & C. LELARGE

**Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues**

*by*Égert, Balázs & Halpern, László & MacDonald, Ronald

**Forecasting Time Series Subject to Multiple Structural Breaks**

*by*Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G

**Análisis del nuevo acuerdo de capitales de Basilea (BIS-II): PYME-risk, country-risk y operational-risk**

*by*Mariano González

**The Stock-Flow Approach to the Real Exchange Rate of CEE Transition Economies**

*by*Balazs Egert & Amina Lahrèche-Révil & Kirsten Lommatzsch

**Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power**

*by*Evzen Kocenda & Lubos Briatka

**Who's Afraid of Reduced-Rank Parameterizations of Multivariate Models? Theory and Example**

*by*Scott Gilbert & Petr Zemcik

**Variables de entorno en el análisis de eficiencia.Un método de tres etapas con variables categóricas**

*by*Rafaela Dios-Palomares & Jose Miguel Martínez Paz & Federico Martínez-Carrasco Pleite

**A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment**

*by*José Angel Roldán Casas & Rafaela Dios-Palomares

**A spreading method to improve efficiency prediction**

*by*Rafaela Dios-Palomares & Jose Miguel Martínez Paz

**‘Forecasting Time Series Subject to Multiple Structural Breaks’**

*by*Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A.

**‘Estimation of Discrete Choice Models Using DCM for Ox’**

*by*Eklöf, M. & Weeks, M.

**An Extended Reinforcement Algorithm for Estimation of Human Behaviour in Congestion Games**

*by*Thorsten Chmura & Thomas Pitz

**Downward Nominal Wage Rigidity in Europe**

*by*Steinar Holden & Fredrik Wulfsberg

**CDO rating methodology: Some thoughts on model risk and its implications**

*by*Ingo Fender & John Kiff

**Règle de Taylor et politique monétaire dans la zone euro**

*by*Mésonnier, J-S. & Renne, J-P.

**Desagregación espacial para pequeñas áreas. Un modelo bayesiano normal-gamma**

*by*ROJO GARCÍA, J.L. & SANZ GÓMEZ, J.A.

**Dynamics of the Spanish Stock Market Through a Broadband View of the IBEX 35® index / Dinámica del mercado de capitales español a través de una visión amplia del índice IBEX 35®**

*by*POUCHKAREV, I & SPRONK, J. & TRINIDAD SEGOVIA, J.E.

**Monte Carlo Option Pricing**

*by*Cecilia Maya Ochoa

**An Endogeneity-Corrected Bootstrap Test On Instrument Relevance In Instrumental Variables Estimation**

*by*Jinook Jeong

**Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach**

*by*Augusto Castillo

**Pension Reform in Slovakia: Fiscal Debt and Pension Levels**

*by*Igor Melicherèík & Cyril Ungvarský

**Replication Methods in the Pricing and Hedging of Barrier Options**

*by*Tichý Tomáš

**Does the Balassa-Samuelson Hypothesis Hold for Asian Countries?. An Empirical Analysis using Panel Data and Cointegration Tests**

*by*Drine, I. & Rault, Ch.

**Valuation of financial assets using montecarlo: when the world is not so normal**

*by*Cecilia Maya

**Modeling the distribution of exchange rate time series and measuring the tail area: an empirical application of the colombian flexible exchange rate**

*by*Héctor Manuel Zarate

**La PPA est-elle verifiee pour les pays developpes et en developpement ? Un re-examen par l'econometrie des panels non-stationnaires**

*by*Imed Drine & Christophe Rault

**Estimating nonlinear dynamic economies: A likelihood approach**

*by*Jesus Fernandez-Villaverde & Juan Rubio-Ramirez

**Conditional distribution resampling for time series**

*by*Cees Diks & Svetlana Borovkova

**Agriculture: transition buffer or black hole? A three-state model of employment dynamics**

*by*Alexandru Voicu

**Long Memory Models and Tests for Cointegration: A Synthesizing Study**

*by*Aaron D Smallwood & Stefan C Norrbin

**Robust Bootstrap Inference On Long Run Dependence Using Panels**

*by*Ana-maria Fuertes

**A Comparative Analysis Of Alternative Econometric Packages For The Unbalanced Two-Way Error Component Model**

*by*Giuseppe Bruno

**Variety of Agent-based Models for Computer Simulation of FX Rate**

*by*Lukas, L.

**Using Markov Chain Monte Carlo and Particle Filters to Compute Invariant Distributions for Nonlinear Rational Expectations Models**

*by*Gary S. Anderson

**Testing stationarity of AR(1) process with symmetric stable disturbance**

*by*Michal Greszta

**A Dynamic Stochastic Analysis of International Patent Application and Renewal Processes**

*by*Yi Deng

**Robust Monetary Policy Rules for the Short and Long Run**

*by*Noah Williams & Alexei Onatski

**Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping**

*by*Christian A. Johnson & Francisco A. Gallego

**A Numerical Solution to American Style Options on Commodities**

*by*Kevin Burrage & Jamie Alcock & Monica Barbu

**Structural Time-Series Models with Common Trends and Common Cycles**

*by*Christoph Schleicher

**Feasible Estimation in Cointegrated Panels**

*by*Westerlund, Joakim

**Microdata Disclosure by Resampling: Empirical Findings for Business Survey Data**

*by*Gottschalk, Sandra

**Detecting multi-fractal properties in asset returns: The failure of the scaling estimator**

*by*Lux, Thomas

**A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function**

*by*Behr, Andreas

**Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach**

*by*Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda

**An introduction to simulation of risk processes**

*by*Krzysztof Burnecki & Wolfgang Hardle & Rafal Weron

**The KPSS Test with Outliers**

*by*Otero, Jesus & Smith, Jeremy

**How effective is advertising in duopoly markets?**

*by*Katarzyna Sznajd-Weron & Rafal Weron

**An Empirical Evaluation of Five Small Area Estimators**

*by*Alex Costa & Albert Satorra & Eva Ventura

**Static Hedging of Multivariate Derivatives by Simulation**

*by*Paolo Pellizzari

**Smoothed Empirical Likelihood Methods for Quantile Regression Models**

*by*Yoon-Jae Whang

**An Alternative to the BDS Test: Integration Across The Correlation Integral**

*by*Evzen Kocenda

**Measurement and Estimation of Credit Migration Matrices**

*by*Til Schuermann & Yusuf Jafry

**Output specific efficiencies: The case of UK private secondary schools**

*by*Dieter Gstach & Andrew Somers & Susanne Warning

**A Statistical Framework for Estimating Output-Specific Efficiencies**

*by*Dieter Gstach

**On the long-run determinants of real exchange rates for developing countries : Evidence from Africa, Latin America and Asia**

*by*Imed Drine & Christophe Rault &

**A re-examination of the Purchasing Power Parity using non-stationary dynamic panel methods : a comparative approach for developing and developed countries**

*by*Imed Drine & Christophe Rault &

**MCMC Bayesian Estimation of a Skew-GED Stochastic Volatily Model**

*by*Nunzio Cappuccio & Diego Lubian & Davide Raggi

**Estimation of an Adaptive Stock Market Model with Heterogeneous Agents**

*by*Henrik Amilon

**Using composite estimators to improve both domain and total area estimation**

*by*Àlex Costa & Albert Satorra & Eva Ventura

**A BPE model for the Burgers' equation**

*by*Arturo Kohatsu & Shigeyoshi Ogawa

**Australian Asian options**

*by*Manuel Moreno & Javier F. Navas

**An empirical evaluation of small area estimators**

*by*Àlex Costa & Albert Satorra & Eva Ventura

**The impact of grants, tax credit and education savings account on parental contributions to college expenses and the educational attainment of children**

*by*Morris, Michael D.

**Testing of Fractional Cointegration in Macroeconomic Time Series**

*by*Luis A. Gil-Alana

**A model of the anchoring effect in dichotomous choice valuation with follow-up**

*by*Sandra Lechner & Anne Rozan & François Laisney

**Gradient Estimation for a Class of Systems with Bulk Services: A Problem in Public Transportation**

*by*Felisa J. Vazquez-Abad & Bernd Heidergott

**Asset return correlation: The case of automotive lease portfolios**

*by*Stéphanie Duchemin & Marie-Paule Laurent & Mathias Schmit

**L'effet de l'âge de l'investisseur sur le niveau de risque de son portefeuille**

*by*Ariane Chapelle & Marie-Paule Laurent & Ariane Szafarz

**The effect of earnings release for Belgian listed companies**

*by*Marie-Paule Laurent

**Indices as diversification instruments in Europe**

*by*Marie-Paule Laurent

**The Error Correction Model as a Test for Cointegration**

*by*Athina Kanioura & Paul Turner

**A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge**

*by*Nick Webber & Claudia Ribeiro

**Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge**

*by*Nick Webber & Claudia Ribeiro

**Meta Analysis in Model Implementation: Choice Sets and the Valuation of Air Quality Improvements**

*by*Smith, V. Kerry & Banzhaf, H. Spencer

**Identifying the Efficacy of Central Bank Interventions: Evidence from Australia**

*by*Jonathan Kearns & Roberto Rigobon

**Determining the Poolability of Individual Series in Panel Datasets**

*by*George Kapetanios

**Determining the Stationarity Properties of Individual Series in Panel Datasets**

*by*George Kapetanios

**Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests**

*by*George Kapetanios & Melvyn Weeks

**Statistical indicator system for forestry and forest exploitation**

*by*Seceleanu, Ioan & Carcea, Filimon & Badea, Ovidiu & Giurgiu, Victor & Ionascu, Gheorghita & Stefan, Bruno

**Brand and Quantity Choice Dynamics Under Price Uncertainty**

*by*Erdem, Tulin & Imai, Susumu & Keane, Michael

**Investigating asymmetries in the bank lending channel. An analysis using Austrian banks’ balance sheet data**

*by*Sylvia Fruehwirth-Schnatter & Sylvia Kaufmann

**The business cycle of European countries Bayesian clustering of country - individual IP growth series**

*by*Sylvia Kaufmann

**Discrete Hours Labour Supply Modelling: Specification, Estimation and Simulation**

*by*John Creedy & Guyonne Kalb

**The Effect of Schooling and Ability on Achievement Test Scores**

*by*Karsten Hansen & James J. Heckman & Kathleen J. Mullen

**Methods to Estimate Dynamic Stochastic General Equilibrium Models**

*by*RUGE-MURCIA, Francisco J.

**Identification, Weak Instruments and Statistical Inference in Econometrics**

*by*DUFOUR, Jean-Marie

**Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models**

*by*DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude

**Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models**

*by*DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude

**Methods to Estimate Dynamic Stochastic General Equilibrium Models**

*by*RUGE-MURCIA, Francisco J.

**Identification, Weak Instruments and Statistical Inference in Econometrics**

*by*DUFOUR, Jean-Marie

**Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models**

*by*DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude

**Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models**

*by*DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude

**Simulation-Based Bayesian Estimation of Affine Term Structure Models**

*by*Andrew D. Sanford & Gael M. Martin

**Bayesian Analysis of the Stochastic Conditional Duration Model**

*by*Chris M. Strickland & Catherine S. Forbes & Gael M. Martin

**Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application**

*by*Matteo Pelagatti

**Improvements in Maximum Likelihood Estimators of Truncated Normal Samples with Prior Knowledge of σ**

*by*A'Hearn, Brian & Komlos, John

**Joint Labour Supply Dynamics of Older Couples**

*by*Michaud, Pierre-Carl

**Joint Labour Supply Dynamics of Older Couples**

*by*Michaud, Pierre-Carl

**The Effect of Schooling and Ability on Achievement Test Scores**

*by*Hansen, Karsten T. & Heckman, James J. & Mullen, Kathleen

**The Effect of Schooling and Ability on Achievement Test Scores**

*by*Hansen, Karsten T. & Heckman, James J. & Mullen, Kathleen J.

**Children and Women's Participation Dynamics: Transitory and Long-Term Effects**

*by*Voicu, Alexandru & Buddelmeyer, Hielke

**Children and Women's Participation Dynamics: Direct and Indirect Effects**

*by*Voicu, Alexandru & Buddelmeyer, Hielke

**SubGame, set and match. Identifying Incentive Response in a Tournament**

*by*Andrew J. Leach

**Argentina's Distributional Failure: The Role of Integration and Public Policy**

*by*Leonardo Gasparini

**Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions**

*by*Österholm, Pär

**Assessing Social Costs of Inefficient Procurement Design**

*by*Eklöf, Matias

**Relaxing the IIA Assumption in Locational Choice Models: A Comparison Between Conditional Logit, Mixed Logit, and Multinomial Probit Models**

*by*Dahlberg, Matz & Eklöf, Matias

**Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies**

*by*Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper

**A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity**

*by*Zhang, Tao

**The effect of schooling and ability on achievement test scores**

*by*Hansen, Karsten T & Heckman, James J & Mullen, Kathleen J

**Dynamic Microsimulation Models Using to Analyze Retirement Systems Reforms: An Essay of Synthesis**

*by*Gael Dupont & Cyrille Hagnere & Vincent Touzé

**On the use of panel unit root tests on cross-sectionally dependent data: an application to PPP**

*by*Fabian BORNHORST

**A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms**

*by*Casten TRENKLER

**Fat Tails in Power Prices**

*by*Huisman, R. & Huurman, C.

**Estimating duration intervals**

*by*Franses, Ph.H.B.F. & Vroomen, B.L.K.

**Portfolio Return Characteristics of Different Industries**

*by*Pouchkarev, I. & Spronk, J. & van Vliet, P.

**Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods**

*by*Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D.

**Alternate Samplingmethods for Estimating Multivariate Normal Probabilities**

*by*Sándor, Z. & András, P.

**An alternative bootstrap to moving blocks for time series regression models**

*by*Javier Hidalgo

**Systemic Risk in the Dutch Financial Sector**

*by*Koen Minderhoud

**Extreme Stock Return Co-movements of Financial Institutions: Contagion or Interdependence?**

*by*Koen Minderhoud

**Argentina´s Distributional Failure: The role of Integration and Public Policies**

*by*Leonardo Gasparini

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

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

**Job Search with Nonparticipation**

*by*Frijters, Paul & van der Klaauw, Bas

**Garantía De Pensión Mínima En Colombia: El Efecto De La Volatilidad Del Retorno De La Cuenta De Ahorro Individual**

*by*Carlos Fernando Silva Peña

**Short Run and Long Run Causality in Time Series: Inference**

*by*Jean-Marie Dufour & Denis Pelletier & Éric Renault

**Identification, Weak Instruments and Statistical Inference in Econometrics**

*by*Jean-Marie Dufour

**Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models**

*by*Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu

**Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models**

*by*Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu

**On Tests for Double Differencing: Some Extensions and the Role of Initial Values**

*by*Paulo M. M. Rodrigues & A. M. Robert Taylor

**Searching for the Causal Structure of a Vector Autoregression**

*by*Kevin Hoover & Selva Demiralp

**The New Italian Road Code and the Virtues of the ‘Shame Lane’**

*by*Matteo Richiardi

**A Search Model of Unemployment and Firm Dynamics**

*by*Matteo Richiardi

**The Promises and Perils of Agent-Based Computational Economics**

*by*Matteo Richiardi

**A Bayesian Confidence Interval for Value-at-Risk**

*by*Contreras, P. & Satchell, S.E.

**On The Panel Unit Root Tests Using Nonlinear Instrumental Variables**

*by*Im, K.S. & Pesaran, M.H.

**A Simple Panel Unit Root Test in the Presence of Cross Section Dependence**

*by*Pesaran, M.H.

**Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests**

*by*Kapetanios, G. & Weeks, M.

**Macro stress testing with a macroeconomic credit risk model for Finland**

*by*Virolainen, Kimmo

**Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach**

*by*Andrew Rennison

**Testing the Stability of the Canadian Phillips Curve Using Exact Methods**

*by*Lynda Khalaf & Maral Kichian

**Common Trends and Common Cycles in Canadian Sectoral Output**

*by*Francisco Barillas & Christoph Schleicher

**A Stochastic Simulation Framework for the Government of Canada's Debt Strategy**

*by*David Jamieson Bolder

**Employing Extended Kalman Filter in a Simple Macroeconomic Model**

*by*Levent Ozbek & Umit Ozlale & Fikri Ozturk

**BVARs: A Survey of the Recent Literature with an Application to the European Monetary System**

*by*Matteo Ciccarelli & Alessandro Rebucci

**Impacto de la inversión pública en la reducción de la pobreza en Bolivia**

*by*Canavire Bacarreza, Gustavo Javier

**Deviation from Covered Interest Rate Parity in Korea**

*by*Lee, Seungho

**The Properties of the Equity Premium and the Risk-Free Rate: An Investigation Across Time and Countries**

*by*Fabio Canova & Gianni De Nicoló

**Generación de una proyección de la población española para el período 1996-2025, mediante un modelo de simulación estocástica**

*by*CASAS SÁNCHEZ, J.M. & GUTIÉRREZ DE MESA, J.L. & NÚÑEZ VELÁZQUEZ, J.J.

**Revisiting Residential Segregation by Income: A Monte Carlo Test**

*by*Junfu Zhang

**Modeling Of Returns And Option Pricing Using Models With Flexible Volatility**

*by*Pavel Vaněček

**Optimizing Benchmark-Based Utility Functions**

*by*David Morton & Elmira Popova & Ivilina Popova & Ming Zhong

**A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators**

*by*Insik Min & Sheng jang Sheu & Zijun Wang

**Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data**

*by*Xiaodong Jin & Janusz Kawczak

**Identification, weak instruments, and statistical inference in econometrics**

*by*Jean-Marie Dufour

**International Trade, Productivity Growth, Education and the Wage Differential: A Case Study of Taiwan**

*by*Hsiao-chuan Chang

**Evaluating the CDF for m weighted sums of n correlated lognormal random variables**

*by*Lars Rasmusson

**Cultural drift induced diversity in a model for the transmission of culture**

*by*Konstantin Klemm & Victor M. Eguiluz & Raul Toral & Maxi San Miguel

**Testing abnormal performance in event studies with small samples**

*by*J.S. Baixauli & S. Alvarez

**Employment Dynamics in the Romanian Labor Market. A Markov Chain Monte Carlo Approach**

*by*Alexandru Voicu

**Empirical investigation and modeling of a financial market after a crash**

*by*Fabrizio Lillo & Rosario N. Mantegna

**unilateral and bilateral bootstrap tests for long memory**

*by*Christian de Peretti

**Likelihood function optimization of elliptical copula models with financial applications**

*by*P. Palmitesta & C. Provasi

**Existence and Uniqueness of Price Equilibrium in Discrete Choice Models**

*by*Zsolt Sandor

**Indirect Estimation of the Parameters of Agent Based Models of Financial Markets**

*by*Peter Winker & Manfred Gilli

**Adaptive Polar Sampling**

*by*Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest

**An Efficient Monte Carlo Study of Feasible Generalized Least Squares Estimators for Panel Data Models**

*by*Elena Casquel & Ezequiel Uriel

**Hedging using simulation: a least squares approach**

*by*Claudio Tebaldi

**Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations**

*by*Lennart F. Hoogerheide & Johan F. Kaashoek & Herman K. van Dijk

**The Dynamics of Dealer Quoting Behavior**

*by*B. Frijns & P. Schotman

**Phase Transition in Supermarket Chain Network: Multi-Agent System in Soap Froth**

*by*K.Y.Szeto & Chiwah Kong

**A Bivariate Count Data Model for Household Tourism Demand**

*by*Hellström, Jörgen

**Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon**

*by*Graflund, Andreas & Nilsson, Birger

**A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models**

*by*Hjelm, Göran & Johansson, Martin W

**Sustainability Function**

*by*Albu, Lucian Liviu

**Anonymisierung von Unternehmensdaten: Ein Überblick und beispielhafte Darstellung anhand des Mannheimer Innovationspanels**

*by*Gottschalk, Sandra

**Simulated Classical Tests in the Multiperiod Multinomial Probit Model**

*by*Ziegler, Andreas

**The effects of ignoring level shifts on systems cointegration tests**

*by*Trenkler, Carsten

**The Pricing puzzle: The default term structure of collateralised loan obligations**

*by*Jobst, Andreas A.

**Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form**

*by*Kilian, Lutz & Gonçalves, Sílvia

**Simulation of Pickands constants**

*by*Krzysztof Burnecki & Zbigniew Michna

**Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology**

*by*Raymond J.G.M. Florax & Hendrik Folmer & Sergio J. Rey

**Parametric Estimation of Quadratic Term Structure Models of Interest Rate**

*by*Li Chen & H. Vincent Poor

**A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths**

*by*Allen Abrahamson

**Does the Balassa-Samuelson Hypothesis Hold for Asian Countries? An Empirical Analysis using Panel Data Cointegration Tests**

*by*Imed Drine & Christophe Rault

**The Balassa-Samuelson effect in Central and Eastern Europe: Myth or reality?**

*by*Bal??zs ??gert & Imed Drine & Kirsten Lommatzsch & Christophe Rault

**Labor Force Participation Dynamics in the Romanian Labor Market**

*by*Alexandru Voicu

**Beyond Oaxaca-Blinder: Accounting for Differences in Household Income Distributions Across Countries**

*by*Fran??ois Bourguignon & Francisco H. G. Ferreira & Phillippe G. Leite

**The importance of individual heterogeneity in the decomposition of measures of socioeconomic inequality in health: An approach based on quantile regression**

*by*Andrew M. Jones & Ángel López-Nicolás

**Improved nonparametric confidence intervals in time series regressions**

*by*Joseph P. Romano & Michael Wolf

**The importance of individual heterogeneity in the decomposition of measures of socioeconomic inequality in health: An approach based on quantile regression**

*by*Andrew M. Jones & Ángel López-Nicolás

**Using Unlabeled Data to Improve Classification in the Naive Bayes Approach: Application to Web Searc**

*by*Stella M. Salvatierra

**Poverty and Inequality in Chile 1990-1998: Learning from Microeconomic Simulations**

*by*David Bravo & Dante Contreras & Sergio Urzúa

**A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis**

*by*Martin Wagner

**An Irregular Grid Approach for Pricing High Dimensional American Options**

*by*Berridge, S.J. & Schumacher, J.M.

**Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series**

*by*Siem Jan Koopman & Charles S. Bos

**Detecting Serial Dependence in Tail Events**

*by*Cees Diks

**How Large is Average Economic Growth? Evidence from a Robust Method**

*by*H. Peter Boswijk & Philip Hans Franses

**Absolute Convergence, Period**

*by*ROMULO A. CHUMACERO

**A Spline LR Test for Goodness-of-Fit**

*by*J. Huston McCulloch & E. Richard Percy, Jr.

**Educational expansion and income distribution. A Micro-Simulation for Ceará**

*by*Francisco H. G. Ferreira & Phillippe George Leite

**Beyond Oaxaca-Blinder: accounting for differences in household income distributions across countries**

*by*François Bourguignon & Francisco H.G. Ferreira & Phillipe G. Leite

**Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks**

*by*George Kapetanios

**Bootstrap Statistical Tests of Rank Determination for System Identification**

*by*Gonzalo Camba-Mendez & George Kapetanios

**VAR, ARIMA, Üstsel Düzleme, Karma ve İlave-Faktör Yöntemlerinin Özel Tüketim Harcamalarına ait Ex Post Öngörü Başarılarının Karşılaştırılması**

*by*Bilgili, Faik

**Determinantes del nivel de pensiones en el Sistema Privado de Pensiones**

*by*Olivera, Javier

**Confidence intervals in stationary autocorrelated time series**

*by*Halkos, George & Kevork, Ilias

**Imputation of continuous variables missing at random using the method of simulated scores**

*by*Calzolari, Giorgio & Neri, Laura

**One and One-Half Bound Dichotomous Choice Contingent Valuation**

*by*Cooper, Joseph C. & Hanemann, W.M. & Signorello, Giovanni

**Risk Assessment for Banking Systems**

*by*Helmut Elsinger & Alfred Lehar & Martin Summer

**Impact of Systematic Sampling on Causality in the presence of Unit Roots**

*by*Rajaguru GULASEKARAN

**Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach**

*by*BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda.

**Non-linear Modelling of the Australian Business Cycle using a Leading Indicator**

*by*Roland G. Shami & Catherine S. Forbes

**Estimation of Hyperbolic Diffusion Using MCMC Method**

*by*Y.K. Tse & Xibin Zhang & Jun Yu

**Agriculture: Transition Buffer or Black Hole? A Three-State Model of Employment Dynamics**

*by*Voicu, Alexandru

**Agriculture: Transition Buffer or Black Hole? A Three-State Model of Employment Dynamics**

*by*Voicu, Alexandru

**State Dependence in Unemployment Incidence: Evidence for British Men Revisited**

*by*Arulampalam, Wiji

**State Dependence in Unemployment Incidence: Evidence for British Men Revisited**

*by*Arulampalam, Wiji

**Employment Dynamics in the Romanian Labor Market: A Markov Chain Monte Carlo Approach**

*by*Voicu, Alexandru

**Employment Dynamics in the Romanian Labor Market: A Markov Chain Monte Carlo Approach**

*by*Voicu, Alexandru

**Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration**

*by*Kunst, Robert M.

**Testing for Stationarity in a Cointegrated System**

*by*Kunst, Robert M.

**Education, Family Background and Racial Earnings Inequality in Brazil**

*by*Omar Arias & Gustavo Yamada & Luis Tejerina

**A Currency Board Model of Hong Kong**

*by*Yue Ma & Guy Meredith & Matthew S. Yiu

**Power Properties of the Sargan Test in the Presence of Measurement Errors in Dynamic Panels**

*by*Dahlberg, Matz & Johansson, Eva & Tovmo, Per

**Count Data Modelling and Tourism Demand**

*by*Hellström, Jörgen

**Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model**

*by*Jacobson, Tor & Lyhagen, Johan & Larsson, Rolf & Nessén, Marianne

**Financial Liberalization and the Changing Characteristics of Nordic Stock Returns**

*by*Nilsson, Birger

**International Asset Pricing and the Benefits from World Market Diversification**

*by*Nilsson, Birger

**An Agent-Based Model of Wealth Distribution**

*by*Giammario Impullitti & C. Matthias Rebmann

**A Broadband Vision of the DAX over Time**

*by*Hallerbach, W.G.P.M. & Hundack, C. & Pouchkarev, I. & Spronk, J.

**Functional approximations to posterior densities: a neural network approach to efficient sampling**

*by*Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K.

**Loan securitisation: default term structure and asset pricing based on loss prioritisation**

*by*Andreas A. Jobst

**Consistent testing for stochastic dominance : a subsampling approach**

*by*Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang

**Mean Group Tests for Stationarity in Heterogeneous Panels**

*by*Yongcheol Shin & Andy Snell

**Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices**

*by*Eraker, Bjorn

**Does the Behaviour of Myopic Addicts Support the Rational Addiction model?: A Simulation**

*by*Björn Frank

**Alternative Measures of the Explanatory Power of Multivariate Probit Models with Continuous or Ordinal Responses**

*by*Martin Spieß & Gerhard Tutz

**Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes**

*by*Donald W.K. Andrews & Offer Lieberman

**Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market**

*by*George Hall & John Rust

**Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems**

*by*Steven Berry & Oliver Linton & Ariel Pakes

**Consistent Testing for Stochastic Dominance: A Subsampling Approach**

*by*Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae

**Microsimulation of demographic behaviours using 2 alternative data sources**

*by*I. ROBERT-BOBÉE

**Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model**

*by*Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén

**Statistical Measurement of Income Polarization. A cross-national comparison**

*by*Axel Schmidt

**Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity**

*by*Yoosoon Chang & Wonho Song

**On the Effects of Career Choice: Matching Efficiency of Different Occupations and Education Levels**

*by*René Fahr & Uwe Sunde

**Microeconomic models for long-memory in the volatility of financial time series**

*by*KIRMAN, Alan & TEYSSIÈRE, Gilles

**Seasonal adjustment and cointegration**

*by*Jesus Otero & Jeremy Smith

**Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach**

*by*Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf

**Testing Normality: A GMM Approach**

*by*Christian Bontemps & Nour Meddahi

**Generalised Mean-Variance Analysis and Robust Portfolio Diversification**

*by*Wright, S.M. & Satchell, S.E.

**Experiments and Simulations on Day-to-Day Route Choice-Behaviour**

*by*Reinhard Selten & Michael Schreckenberg & Thomas Pitz & Thorsten Chmura & Sebastian Kube

**Bootstrap bias-correction procedure in estimating long-run relationships from dynamic panels, with an application to money demand in the euro area**

*by*Dario Focarelli

**Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. output**

*by*Patrick J. Coe

**Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data**

*by*Sylvia Kaufmann

**The propagation of uncertainty through travel demand models: An exploratory analysis**

*by*Yong Zhao & Kara Maria Kockelman

**No-Respuesta De Items En Estudios De Mercado**

*by*PABLO MARSHALL

**Un análisis del mercado laboral relativo a la población valenciana que busca su primer empleo**

*by*EDUARDO BEAMONTE CÓRDOBA & JOSÉ DOMINGO BERMÚDEZ EDO

**Avances recientes en métodos bootstrap para procesos ARCH. Una aplicación en el mercado español de valores**

*by*JESÚS ÁNGEL MIGUEL ÁLVAREZ & PILAR OLAVE RUBIO

**Portfóliószemléletű hitelkockázat szimulációs meghatározása**

*by*Janecskó, Balázs

**Intra-Day Features of Realized Volatility: Evidence from an Emerging Market**

*by*Burc Kayahan & Thanasis Stengos & Burak Saltoglu

**Assymetric Mean Reversion in the Consumption-Income Ratio: Evidence from OECD economies**

*by*Cook, Steven

**Econometric analysis of the sequential probit model with an application to innovation surveys**

*by*Patrick Waelbroeck

**Endogenous Growth Paths in Economies with Locally Interacting Agents**

*by*Fagiolo, G. and Dosi, G.

**An efficient and simple simulation smoother for state space time series analysis**

*by*J. Durbin and S.J. Koopman

**Small neighborhoods**

*by*Brian Krauth

**Bootstrap LR Tests for Sign and Amplitude Asymmetries**

*by*Jerry Coakley; Ana-Maria Fuertes

**Very High Order Lattice Methods for One Factor Models**

*by*Jonathan Alford and Nick Webber

**Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity**

*by*Nikolay Gospodinov

**Simulation**

*by*Nalan

**A Gibbs Sampler for Mixed Logit Analysis of Differentiated Product Markets Using Aggregate Data**

*by*Charles J. Romeo

**Size and power of the likelihood ratio test for seasonal cointegration in small samples: A Monte Carlo study**

*by*Löf, Mårten

**Can the Mortensen & Pissarides Model Reproduce the Asymmetric Dynamics of US and French Aggregate Gross Job Flows?**

*by*Karame, F.

**Indirect Estimation of the Parameters of Agent Based Models of Financial Markets**

*by*Winmker, P. & Gilli, M.

**Bootstrap Bandwidth Selection in Kernel Density Estimation from a Contaminated Sample**

*by*Delaigle, A. & Gijbels, I.

**A fast Subsampling Method for Nonlinear Dynamic Models**

*by*Hong, H. & Scaillet, O. & Tamer, E.

**On the Predictive Distributions of Outcome Gains in the Presence of an Unidentified Parameter**

*by*Poirier, D.J. & Tobias, J.L.

**Across-Regime Covariance Restrictions in Treatment Response Models**

*by*Poirier, D.J. & Tobias, L.

**Moving in and out of financial distress: evidence for newly founded service sector firms**

*by*Kaiser, Ulrich

**Smoothed influence function: Another view at robust nonparametric regression**

*by*Tamine, Julien

**The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models**

*by*Gil-Alaña, Luis A.

**Fractional integration and business cycle features**

*by*Candelon, Bertrand & Gil-Alaña, Luis A.

**Effekte der multiplen Imputation fehlender Werte am Beispiel von Produktivitätsschätzungen mit dem IAB-Betriebspanel**

*by*Kölling, Arnd & Rässler, Susanne

**Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios**

*by*Kern, Markus & Rudolph, Bernd

**Competitive Pricing Behavior in the US Auto Market: A Structural Analysis**

*by*K. Sudhir

**Consistent Estimation of Shape-Restricted Functions and Their Derivatives**

*by*Pok Man Chak & Neal Madras & J. Barry Smith

**Testing the Gaussian Copula Hypothesis for Financial Assets Dependences**

*by*Y. Malevergne & D. Sornette

**On the Similarity of Classical and Bayesian Estimates of Individual Mean Partworths**

*by*Joel Huber & Kenneth Train

**Halton Sequences for Mixed Logit**

*by*Kenneth Train

**Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities**

*by*Norbert Jobst & Stavros A. Zenios

**Subsampling inference in threshold autoregressive models**

*by*Jesús Gonzalo & Michael Wolf

**Estimating parliamentary composition through electoral polls**

*by*Frederic Udina & Pedro Delicado

**On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives**

*by*Manuel Moreno & Javier R. Navas

**How to implement the Bootstrap in Static or Stable Dynamic Regression Models**

*by*Noud P.A. van Giersbergen & Jan F. Kiviet

**A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components**

*by*Arvid Raknerud

**Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market**

*by*George Hall and John Rust, Yale University

**Testing For Unit Roots Using Economics**

*by*ROMULO CHUMACERO

**Artificial Regressions**

*by*Russell Davidson & James G. MacKinnon

**Computing Numerical Distribution Functions in Econometrics**

*by*James G. MacKinnon

**Bootstrap Tests: How Many Bootstraps?**

*by*Russell Davidson & James G. MacKinnon

**Simulation-based estimation of Tobit model with random effects**

*by*Calzolari, Giorgio & Magazzini, Laura & Mealli, Fabrizia

**Cointegration and the joint confirmation hypothesis**

*by*Vasco J. Gabriel

**Downside Risk and the Momentum Effect**

*by*Andrew Ang & Joseph Chen & Yuhang Xing

**The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study**

*by*Vahid, F. & Issler, J.V.

**International Trade, Productivity Growth, Education and Wage Differentials: A Case Study of Taiwan**

*by*Chang, H.-C.

**Simulating Cohort Earnings for Australia**

*by*van de Ven, J.

**Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions**

*by*Dufour, Jean-Marie & Khalaf, Lynda

**Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions**

*by*Dufour, Jean-Marie & Khalaf, Lynda

**The Propensity Score: A Means to An End**

*by*Augurzky, Boris & Schmidt, Christoph M.

**The Propensity Score: A Means to An End**

*by*Augurzky, Boris & Schmidt, Christoph M.

**The Evaluation of Community-Based Interventions: A Monte Carlo Study**

*by*Augurzky, Boris & Schmidt, Christoph M.

**The Evaluation of Community-Based Interventions: A Monte Carlo Study**

*by*Augurzky, Boris & Schmidt, Christoph M.

**Testing Restrictions In Normal Data Models Using Gibbs Sampling**

*by*Matteo Ciccarelli

**Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios**

*by*Graflund, Andreas

**Are the Nordic Stock Markets Mean Reverting?**

*by*Graflund, Andreas

**Testing exogeneity under distributional misspecification**

*by*de Luna, Xavier & Johansson, Per

**A method to generate multivariate data with moments arbitrary close to the desired moments**

*by*Lyhagen, Johan

**Indirect Estimation of the Parameters of Agent Based Models of Financial Markets**

*by*Manfred GILLI, & Peter WINKER

**Poverty and Expenditure Differentiation of the Russian Population**

*by*Aivazian Sergey & Kolenikov Stanislav

**Performance of core inflation measures**

*by*C.K. Folkertsma & K. Hubrich

**Macro-economic adjustment socio-demographic change, and the evolution of income distribution in Côte d'Ivoire. A decomposition by microsimulation**

*by*Michael Grimm

**Bootstrapping Macroeconometric Models**

*by*Ray C. Fair

**Higher-order Improvements of the Parametric Bootstrap for Markov Processes**

*by*Donald W.K. Andrews

**Is the transmission of crude oil prices to gasoline prices asymmetric?**

*by*C. AUDENIS & P. BISCOURP & N. RIEDINGER

**Modelling demographic behaviours in the French microsimulation model Destinie: An analysis of future change in completed fertility**

*by*I. ROBERT-BOBEE

**Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model**

*by*Canova, Fabio & Ciccarelli, Matteo

**The econometrics of airline network management**

*by*GRAMMIG, Joachim & HUJER, Reinhard & SCHEIDLER, Michael

**Detecting Mutiple Breaks in Financial Market Volatility Dynamics**

*by*Elena Andreou & Eric Ghysels

**Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects**

*by*Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf

**The Fiscal Stabilization Policy under EMU - An Empirical Assessment**

*by*Arjan Kadareja

**General Model-based Filters for Extracting Cycles and Trends in Economic Time Series**

*by*Harvey, A.C. & Trimbur, T.M.

**A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate**

*by*Fabio Fornari & Antonio Mele

**A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data**

*by*Fuchun Li & Greg Tkacz

**Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación**

*by*PRESNO CASQUERO, Mª J. & LÓPEZ MENÉNDEZ, A.J.

**Observaciones anómalas y contrastes de raíz unitaria en datos semanales**

*by*CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J.

**Nonlinear Smoother for Stochastic Volatility Model**

*by*Miroslav Šimandl & Tomáš Soukup

**Do Stock Returns Follow a Finite Variance Distribution?**

*by*Qi-Man Shao & Hao Yu & Jun Yu

**Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints**

*by*Chihwa Kao & Lung-fei Lee & Mark M. Pitt

**Simulation-Based Estimation of the Structural Errors-in-Variables Negative Binomial Regression Model with an Application**

*by*Jie Q. Guo & Tong Li

**Bayesian estimation and model selection for the weekly Colombian exchange rate**

*by*Norberto Rodríguez

**An Analysis of Own Account Trading by Dual Traders in Futures Markets: A Bayesian Approach**

*by*Chakravarty, Sugato & Li, Kai

**Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes**

*by*Dufour, J.M. & Torres, O.

**Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions**

*by*Dufour, J.M. & Khalaf, L.

**Simulation-Based Finite and Large Sample Tests in Multivariate Regressions**

*by*Dufour, J.M. & Khalaf, L.

**A Gibbs Sampler for Mixed Logit Analysis of Differentiated Product Markets Using Aggregate Data**

*by*Romeo, C.J.

**Wealth Dynamics in the 1980' and 1990's: Sweden and the U.S**

*by*Klevmarken, A. & Lupton, J. & Stafford, F.

**Wealth Dynamics in the 1980' and 1990's: Sweden and the U.S**

*by*Klevmarken, A. & Lupton, J. & Stafford, F.

**Time Series Simulation With Quasi Monte Carlo Methods**

*by*Li, J.X. & Winker, P.

**Simulation-Based Exact Tests in Jump-Diffusion Models in the Presence of Unidentified Nuisance Parameters: an Application to Commodity Spot Prices**

*by*Khalaf, L. & Saphores, J. & Bilodeau, J.F.

**On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests**

*by*Saphores, J.D. & Khalaf, L. & Pelletier, D.

**Two-Dimensional Graphical Representations of Regression Submodels**

*by*Rolle, J.-D.

**Constrained EMM and Indirect Inference Estimation**

*by*Calzolari, G. & Fiorentini, G. & Sentana, E.

**Stochastic Programming: Non-Anticipativity and Lagrange Multipliers**

*by*Evstigneev, I.V. & Flam, S.D.

**Bayesian Inference in the Non-Central Student-T Model**

*by*Tsionas, E.G.

**Bayesian Option Pricing using Asymmetric Garch Models**

*by*Bauwens, L. & Lubrano, M.

**Bootstrap Confidence Intervals Based on Inverting Hypothesis Tests**

*by*Davidson, R.

**Bayesian Inference in the Non-Central Student-T Model**

*by*Tsionas, E.G.

**MCMC in econometrics**

*by*Dani Gamermam

**Bootstrap inference in single equation error correction models**

*by*Herwartz, Helmut & Neumann, Michael H.

**Modelling seasonality with fractionally integrated processes**

*by*Gil-Alaña, Luis A.

**Deterministic seasonality versus seasonal fractional integration**

*by*Gil-Alaña, Luis A.

**Testing of fractional cointegration in macroeconomic time series**

*by*Gil-Alaña, Luis A.

**Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung**

*by*Meier, Carsten-Patrick

**Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test**

*by*Ignacio Díaz-Emparanza

**Two-Step Sequential Sampling**

*by*Moors, J.J.A. & Strijbosch, L.W.G.

**An EVT Approach to calculating Risk Capital Requirements**

*by*Chris Brooks & Gita Persand & Andrew D. Clare

**Value at Risk and Market Crashes**

*by*Chris Brooks & Gita Persand

**Improving the Reliability of Bootstrap Tests**

*by*Russell Davidson & James G. MacKinnon

**Forecasting the Macro Targets of Turkish Economy for the Year 2000: An Application of Box-Jenkins and Exponential Smoothing Methods**

*by*Bilgili, Faik

**Sustainability of public debt: a theoretical and empirical investigation**

*by*Albu, Lucian-Liviu & Pelinescu, Elena

**Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes**

*by*DUFOUR, Jean-Marie & TORRÈS, Olivier

**Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions**

*by*DUFOUR, Jean-Marie & KHALAF, Lynda

**Simulation-Based Finite and Large Sample Tests in Multivariate Regressions**

*by*DUFOUR, Jean-Marie & KHALAF, Lynda

**Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity**

*by*Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François

**On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests**

*by*Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis

**Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity**

*by*Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François

**On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests**

*by*Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis

**Wealth Dynamics in the 1980’s and 1990’s: Sweden and the U.S**

*by*Klevmarken, Anders & Lupton, Joseph & Stafford, Frank

**Improving Fractional Integration Tests With Bootstrap Distributions**

*by*Andersson, Michael K. & Gredenhoff, Mikael P.

**The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?**

*by*Amilon , Henrik & Byström , Hans

**A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market**

*by*Graflund, Andreas

**Testing for common cointegrating rank in dynamic panels**

*by*Larsson, Rolf & Lyhagen, Johan

**Semi-parametric indirect inference**

*by*Ramdan Dridi & Eric Renault

**Simulated asymptotic least squares theory**

*by*Ramdan Dridi

**Limit theorems for estimating the parameters of differentiated product demand systems**

*by*Steve Berry & Oliver Linton & Ariel Pakes

**Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators**

*by*Alexander Michaelides & Serena Ng

**Performance of core inflation measures**

*by*C.K. Folkertsma & K. Hubrich

**Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency**

*by*Yoosoon Chang

**Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints**

*by*Chihwa Kao & Lung-fei Lee & Mark M. Pitt

**Microsimulations of the retirement decision: a supply side approach**

*by*R. MAHIEU & B. SÉDILLOT

**On the econometric estimation of the distance function representation of a production technology**

*by*COELLI, Tim

**Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results**

*by*Elena Andreou & Eric Ghysels

**Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions**

*by*Jean-Marie Dufour & Lynda Khalaf

**Simulation Based Finite and Large Sample Tests in Multivariate Regressions**

*by*Jean-Marie Dufour & Lynda Khalaf

**Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration**

*by*Michael Binder & Cheng Hsiao & M. Hashem Pesaran

**Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry**

*by*Khalaf, Lynda & Kichian, Maral

**Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities**

*by*Pedro J. F. de Lima & Michelle L. Barnes

**Testing for Non-Normality in the Presence of One-Sided Slope Parameters**

*by*Anthony W. Hughes

**Technological Diffusion Patterns and their Effects on Industrial Dynamics**

*by*Machiel van Dijk & Önder Nomaler

**Uncertainty and the size distribution of rewards from innovation**

*by*F. M. Scherer & Dietmar Harhoff & J, rg Kukies

**A simple regime switching term structure model**

*by*Asbjørn T. Hansen & Rolf Poulsen

**Discrete time option pricing with flexible volatility estimation**

*by*Christian M. Hafner & Wolfgang HÄrdle

**Spell durations and the impact of censoring**

*by*Michael A. Nolan

**A feltétel nélküli normalitás egyszerű alternatívái a kockáztatott érték számításában**

*by*Kóbor, Ádám

**Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach**

*by*Shinn-Juh Lin & Jian Yang

**Dépendance de court et de long terme des rendements de taux de change**

*by*Christelle Lecourt

**Bayesian Analysis of the Convergence Hypothesis in Economic Drowth: A Markov Approach**

*by*Teruo Nakatsuma

**Bootstrapping Error Component Models**

*by*Andersson, Michael K. & Karlsson, Sune

**Pricing Foreign Currency and Cross-Currency Options Under GARCH**

*by*Wei, J.Z. & Duan, J.C.

**Pricing Foreign Currency and Cross-Currency Options Under GARCH**

*by*Wei, J.Z. & Duan, J.C.

**Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths**

*by*Rault, C.

**Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths**

*by*Rault, C.

**Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation**

*by*Tan, B. & Yilmaz, K.

**Kernel Based Nonlinear Canonical Analysis**

*by*Darolles, S. & Florens, J.-P. & Gourieroux, C.

**Backpropagation Neural Network versus Translog Model in Stochastic Frontiers: a Note Carlo Compatrison**

*by*Guermat, C. & Hadri, K.

**Heteroscedasticity in Stochastic Frontier Models: a Monte Carlo Analysis**

*by*Guermat, C. & Hadri, K.

**The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator**

*by*Hadri, K. & Phillips, G.D.A.

**Estimating a Bargaining Model with Asymmetric Information: Evidence from Medical Malpractice Disputes**

*by*Sieg, Holger

**Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis**

*by*Hafner, Christian M. & Herwartz, Helmut

**Backward Unraveling over Time: The Evolution of Strategic Behavior in the Entry-Level British Medical Labor Markets**

*by*M. Utku Unver

**Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators**

*by*Joachim Inkmann

**Forecasting and turning point predictions in a Bayesian panel VAR model**

*by*Fabio Canova & Matteo Ciccarelli

**A scaled difference chi-square test statistic for moment structure analysis**

*by*Albert Satorra & Peter M. Bentler

**Scaled and adjusted restricted tests in multi-sample analysis of moment structures**

*by*Albert Satorra

**Asymptotic behaviour of the density in a parabolic SPDE**

*by*Arturo Kohatsu & D. Márquez Carreras & M. Sanz Solé

**Weak approximations. A Malliavin calculus approach**

*by*Arturo Kohatsu

**Signal Extraction and the Formulation of Unobserved Components Models**

*by*Harvey, A.C. & Koopman, S.J.M.

**Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk**

*by*Luc Bauwens & Charles S. Bos & Herman K. van Dijk

**Daily Exchange Rate Behaviour and Hedging of Currency Risk**

*by*Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk

**Decomposing Portfolio Value-at-Risk: A General Analysis**

*by*Winfried G. Hallerbach

**The slippery slope: explaining the increase in extreme poverty in urban Brazil, 1976-1996**

*by*Francisco de Hollanda Guimarães Ferreira & Ricardo Paes de Barros

**Simulated Likelihood Estimation of Non-Linear Diffusion Processes Through Non-Parametric Procedure With an Application to the Portuguese Interest Rate**

*by*João Nicolau

**Simulation Based Inference for Dynamic Multinomial Choice Models**

*by*Geweke, John & Houser, Dan & Keane, Michael

**Market Exchange Modelling Experiment, Simulation Algorithms, and Theoretical Analysis**

*by*Buda, Rodolphe

**Noise trading and exchange rate regimes**

*by*Olivier Jeanne & Andrew K Rose

**The Declining Price Effect in Sequential Auctions: What Theory Does Not Predict**

*by*Olivier Chanel & Stéphanie Vincent

**Bierens' and Johansen's Method - Complements or Substitutes?**

*by*Wagner, Martin

**VAR Cointegration in VARMA Models**

*by*Wagner, Martin

**Optimal Bandwidth Selection in Non-Parametric Spectral Density Estimation**

*by*Fortin, Ines & Kuzmics, Christoph

**Monte Carlo simulations of DEA efficiency measures and hypothesis tests**

*by*Kittelsen,S.A.C.

**Stochastic Frontier Production Function With Errors-In-Variables**

*by*Dhawan, Rajeev & Jochumzen, Peter

**Likelihood-Based Inference in Multivariate Panel Cointegration Models**

*by*Larsson, Rolf & Lyhagen, Johan

**Detecting equilibrium correction with smoothly time-varying strength**

*by*Eliasson, Ann-Charlotte

**On the power and interpretation of panel unit root tests**

*by*Karlsson, Sune & Löthgren, Mickael

**Indirect Estimation of Just-Identified Models with Control Variates**

*by*Giorgio Calzolari & F. Di Iorio & G. Fiorentini

**Bias and Efficiency of Single vs Double Bound Models for Contingent Valuation Studies.A Monte Carlo Analysis**

*by*Pinuccia Calia & Elisabetta Strazzera

**Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk**

*by*Bauwens, L. & Bos, C.S. & van Dijk, H.K.

**Testing for Stationarity in Heterogeneous Panels with Serially Correlated Errors**

*by*Yongcheol Shin & Andy Snell

**Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators**

*by*Donald W.K. Andrews

**Adaptive polar sampling with an application to a Bayes measure of value-at-risk**

*by*BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K.

**Stochastic Volatility: Univariate and Multivariate Extensions**

*by*Éric Jacquier & Nicholas G. Polson & Peter E. Rossi

**Model Selection in Threshold Models**

*by*Kapetanios, G.

**Hypothesis Testing in the Presence of One-sided Nuisance Parameters**

*by*Anthony W. Hughes

**Stock market prices and long-range dependence**

*by*Murad S. Taqqu & Vadim Teverovsky & Walter Willinger

**Metodología para la zonificación de una ciudad**

*by*CANO GUERVÓS, R. & CHICA OLMO, J. & HERMOSO GUTIÉRREZ, J.A.

**Opcióárazás numerikus módszerekkel**

*by*Benedek, Gábor

**Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége**

*by*Darvas, Zsolt

**Empirically Relevant Critical Values For Hypothesis Tests: The Bootstrap to the Rescue**

*by*Horowitz, J.L. & Savin, N.E.

**Between Cultures and Markets: an Eclectic Analysis of Juvenile Gender Ratios in India**

*by*Dasgupta, I. & Palmer-Jones, R. & Parikh, A.

**The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?**

*by*Kamstra, M.

**Conflicts Among Tests for Cointegration**

*by*Allan W. Gregory & Alfred Haug

**Likelihood INference for Discretely Observed Non-linear Diffusions**

*by*Elerian, O. & Chib, S. & Shephard, N.

**Nonparametric Seemingly Unrelated Regression**

*by*Smith, M. & Kohn, R.

**On Bootstrap Standard Errors in Dynamic Panel Data Models**

*by*Bergström, Pål

**Estimation in integer - valued moving average models**

*by*Brännäs, Kurt & Hall, Andreia

**Likelihood-Based Cointegration Tests in Heterogeneous Panels**

*by*Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael

**Mixed Logit Estimation of the Value of Travel Time**

*by*Algers, S. & Bergstrom, P. & Dahlberg, M. & Dillen, J.L.

**Some Monte Carlo Results for the Modified Logit Model**

*by*Aalouze & C.M.

**How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?**

*by*Kilian, L. & Chang, P.L.

**Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics**

*by*Kilian, L.

**Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models**

*by*Glasserman, P. & Zhao, X.

**Price Decline in Sequential Auction: Reasons and Measures**

*by*Chanel, O. & Vincent, S.

**Forecasting (LOG) Volatility Models**

*by*Christodoulakis, G.A. & Satchell, S.E.

**Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods**

*by*Hsaio, Cheng & Pesaran, M. Hashem & Tahmiscioglu, A. Kamil

**Comparing Evaluation Methodologies for Stochastic Dynamic General Equilibrium Models**

*by*Eva Ortega

**Benchmark Priors for Bayesian Model Averaging**

*by*Carmen Fernandez & Eduardo Ley & Mark F.J. Steel

**MCMC Methods for Fitting and Comparing Multinomial Response Models**

*by*Siddhartha Chib & Edward Greenberg & Yuxin Chen

**Small Sample Performance of Two Approaches to Technical Efficiency Estimation with Multiple Outputs**

*by*Dieter Gstach

**Simulation of Multinomial Probit Probabilities and Imputation of Missing Data**

*by*Steven Stern & Victor Lavy & Michael Palumbo

**Constant coefficient tests for random coefficient regression**

*by*Pedro Delicado & Juan Romo

**Rate of convergence of a particle method to the solution of the Mc Kean-Vlasov's equation**

*by*Fabio Antonelli & Arturo Kohatsu

**On the efficiency and sensitivity of a pyramidal classification algorithm**

*by*Àngel J. Gil & Carles Capdevila & Antoni Arcas

**Statistical Algorithms for Models in State Space Using SsfPack 2.2**

*by*Koopman, S.J.M. & Shephard, N. & Doornik, J.A.

**Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives**

*by*Durbin, J. & Koopman, S.J.M.

**Simulation-Based Finite-Sample Normality Tests in Linear Regressions**

*by*DUFOUR, Jean-Marie & FARHAT, Abdeljelil & GARDIOL, Lucien

**Bayesian Analysis of Road Accidents: A General Framework for the Multinomial Case**

*by*Bolduc, Denis & Bonin, Sylvie

**Mixed Logit Estimation of the Value of Travel Time**

*by*Algers, Staffan & Bergström, Pål & Dahlberg, Matz & Lindqvist Dillén, Johanna

**Essays on Exchange Rates: Deterministic Chaos and Technical Analysis**

*by*Bask, Mikael

**World-Wide Purchasing Power Parity**

*by*Jacobson, Tor & Nessen, Marianne

**Testing linearity against smooth transition autoregression using a parametric bootstrap**

*by*Skalin, Joakim

**Rational Bubbles and Fractional Alternatives**

*by*Andersson, Michael K. & Nydahl, Stefan

**A Monte Carlo Analysis of Technical Inefficiency Predictors**

*by*Kumbhakar, Subal C. & Löthgren, Mickael

**On the Effects of Imposing or Ignoring Long Memory when Forecasting**

*by*Andersson, Michael K.

**How to Bootstrap DEA Estimators: A Monte Carlo Comparison**

*by*Löthgren, Mickael

**Robust Testing for Fractional Integration Using the Bootstrap**

*by*Andersson, Michael K. & Gredenhoff, Mikael P.

**Benchmark priors for Bayesian model averaging**

*by*Carmen Fernandez & Eduardo Ley & Mark F J Steel

**Benchmark priors for Bayesian model averaging**

*by*Carmen Fernandez & Eduardo Ley & Mark F J Steel

**Uncertainty and Experimentation in Pharmaceutical Demand: Anti-Ulcer Drugs**

*by*Crawford, Gregory S. & Shum, Matthew

**Fractional cointegrating regressions in the presence of linear time trends**

*by*Marmol, Francesc & Hassler, Uwe

**A Bayesian approach to the econometrics of first-price auctions**

*by*ALBANO, Gian Luigi & JOUNEAU, Fréféric

**Variable Selection in the Linear Regression Model with One-Sided Information and a Small Sample**

*by*Anthony W. Hughes

**The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations**

*by*Chung, Chae-Shick

**Estimation of Dynamic Programming Models with Censored Dependent Variables**

*by*Aguirregabiria, V.

**The Power of Hessian and Outer Product Based Wald and LM Tests**

*by*Parks, R.W. & Savin, N.E. & Wurtz, A.H.

**On the Small Sample Distribution of the R/S Statistic**

*by*Michael Harrison & Glenn Treacy

**Income Taxation and the Accounting Period : A Simulation Analysis**

*by*Creedy, J

**Inequality, Mobility and Income Distribution Comparisons**

*by*Creedy, J

**An Examination of the Dynamic Behavior of Local Governments Using GMM Bootstrapping Methods**

*by*Dahlberg, Matz & Johansson, Eva

**GMM Bootstrapping and Testing in Dynamic Panels**

*by*Bergström, Pål & Dahlberg, Matz & Johansson, Eva

**Generalized Method of Moment and Indirect Estimation of the ARASMA Model**

*by*Brännäs, Kurt & de Luna, Xavier

**Testing Linearity against Nonlinear Moving Average Models**

*by*Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo

**Bootstrapping the Malmquist Productivity Index: A Simulation Study**

*by*Löthgren, Mickael

**On the Consistency of the DEA-based Average Technical Efficiency Bootstrap**

*by*Löthgren, Mickael

**On Bootstrap Standard Errors in Dynamic Panel Data Models**

*by*Bergstrom, P.

**Managing Funds in the US Market: How to Distinguish Between Transitory Distortions and Structural Changes in the Stock Prices?**

*by*Bruneau, C. & Duval-Kieffer, C. & Nicolai, J.P.

**Residual-Based Bootstrap Tests for Normality in Autoregressions**

*by*Kilian, L. & Demiroglu, U.

**La gestion des donnees imprecises**

*by*Chauveau, J.-M.

**A Sotchastic Mesh Method for Pricing High-Dimensional American Options**

*by*Broadie, M. & Glasserman, P.

**Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model**

*by*Sentana, E. & Fiorentini, G.

**Bayesian Option Pricing Using Asymmetric GARCH**

*by*Bauwens, L. & Lubrano, M.

**On the Finite Sample Bhaviour of the Durbin-Watson Test in the Presence of Nonsense Regressions**

*by*Marmol, F. & Reboredo, J.C.

**Trading volume and the short and long-run components of volatility**

*by*Liesenfeld, Roman

**Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model**

*by*Inkmann, Joachim

**Evolution in a changing environment**

*by*Katarzyna Sznajd-Weron & Rafal Weron

**Statistical Modeling of Fishing Activities in the North Atlantic**

*by*Carmen Fernandez & Eduardo Ley & Mark F.J. Steel

**Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter**

*by*Mark J. Jensen

**An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets**

*by*Mark J. Jensen

**Convergence in Output in Transition Economies Central & Eastern Europe, 1970-1995**

*by*Saul Estrin & Geovanni Urga

**Outlier robust cointegration analysis**

*by*Franses, Philip Hans & Lucas, André

**A state-space calculus for rational probability density functions and applications to non-Gaussian filtering**

*by*Hanzon, Bernard & Ober, Raimund J.

**Comparing and validating hypothesis test procedures: Graphical and numerical tools**

*by*Pedro Delicado & Iolanda Placencia

**Stock returns, term structure, inflation and real activity: An international perspective**

*by*Fabio Canova & Gianni de Nicolo

**Current Issues in Discrete Choice Modeling**

*by*Keane, Michael

**A tobit model with garch errors**

*by*Gabriele Fiorentini & Giorgio Calzolari

**On the Damodaran Estimator of Price Adjustment Coefficients**

*by*Säfvenblad, Patrik

**Bootstrap Testing for Fractional Integration**

*by*Andersson, Michael K. & Gredenhoff, Mikael P.

**Discrete Time Hedging of OTC Options in a GARCH Environment: A Simulation Experiment**

*by*Hagerud, Gustaf E.

**Specification Tests for Asymmetric GARCH**

*by*Hagerud, Gustaf E.

**Computationally Efficient Double Bootstrap Variance Estimation**

*by*Karlsson, Sune & Löthgren, Mickael

**On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests**

*by*Donald W.K. Andrews & Moshe Buchinsky

**Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995**

*by*Estrin, Saul & Urga, Giovanni

**Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective**

*by*Canova, Fabio & de Nicolò, Gianni

**Bayesian option pricing using asymmetric GARCH**

*by*BAUWENS, LUC & LUBRANO, Michel

**How to deal with unobservable variables in economics**

*by*Krelle, Wilhelm

**Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators**

*by*Alexander Michaelides & Serena Ng

**Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples**

*by*Marie-Josée Godbout & Simon van Norden

**The distribution of the agreement index in diagnostics**

*by*Elizabeth Torres Rivas

**Simulation of structural changes and scenario analysis**

*by*Oswaldo Terán & Carlos Domingo

**Selección de modelos no anidados. Un estudio de Monte Carlo**

*by*Pons Novell, Jordi

**The Effects of Seasonal Adjustment Linear Filters on Cointegrating Equations: A Monte Carlo Investigation**

*by*Smith, J.C. & Otero, J.

**Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa**

*by*Otrok, C. & Whiteman, C.H.

**Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles**

*by*Donaldson, R.G. & Kamstra, M.

**Did Option Prices Predict the ERM Crises?**

*by*Bruce Mizrach

**Collinearity and Two-Step Estimation of Sample Selection Models: Problems, Origins and Remedies**

*by*Leung, S.F. & Yu, S.

**The Robustness of Estimators for Dynamic Panel Data Models to Misspecification**

*by*Harris, M.N. & Longmire, R.J. & Matyas, L.

**Testing for Serial Correlation in the of Dynamic Heteroscedasticity**

*by*Silvapulle, P. & Evans, M.

**Estimation of Regression Disturbances Based on Minimum Message Length**

*by*Laskar, M.R. & King, M.L.

**Using the EM Algorithm with Complete, but Scrambled, data**

*by*Kalb, G.

**A Comparative Analysis of Different Estimatiors for Dynamic Panel data Models**

*by*Harris, M.N. & Matyas, L.

**Aggregation and Cointegration**

*by*Korosi, G. & Longmire, R. & Matyas, L.

**Additive Nonparametric Regression with Autocorrelated Errors**

*by*Smith, M. & Wong, C.M. & Kohn, R.

**Improved Small Sample Midel selection Procedures**

*by*King, M.L. & Forbes, C.S. & Morgan, A.

**Business Forecasting with Exponential Smoothing : Computation of Prediction Intervals**

*by*Snyder, R.D. & Grose, S.

**Nonsmooth Infinit Horizon Control Problem**

*by*Seierstad, A.

**Scale Efficiency and Scale Elasticity in DEA-models - A Bootstrapping Approach**

*by*Löthgren, Mickael & Tambour, Magnus

**Addressing Collinearity Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection**

*by*Swanson, N.R. & Zeng, T.

**A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables**

*by*Swanson, N.R. & Ozyildirim, A. & Pisu, M.

**On the Size and Power of System Tests for Cointegration**

*by*Bewley, R. & Yang, M.

**Estimation des Modeles de Donnees de Panel avec Regresseurs Temporels**

*by*Boumahdi, R. & Thomas, A.

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

*by*Florens, J.P. & Richard, J.F. & Rolin, J.M.

**Minimum Variance Quadratic Unbiased Estimators as a Tool to Identify Compound Normal Distributions**

*by*Rolle, J.D.

**Pricing American-Style Securities Using Simulation**

*by*Broadie, M. & Glasserman, P.

**Bayesian Inference on GARCH Models Using the Gibbs Sampler**

*by*Bauwens, L. & Lubrano, M.

**Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration**

*by*Mackinnon, J.G. & Haug, A.A. & Michelis, L.

**Using Panel Data to Evaluate Growth Theories**

*by*Evans, P

**Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes**

*by*Juan J. Dolado & Francisco Mármol

**A Monte Carlo Study into Time Aggregation in Continuous and Discrete-Time Hazard Models**

*by*Ter Hofstede, F. & Wedel, M.

**A Monte Carlo study into time-aggregation in continuous and discrete- time hazard models**

*by*Frenkel ter Hofstede & Michel Wedel University of Groningen

**Nonparametric inference for second order stochastic dominance**

*by*Schmid, Friedrich & Trede, Mark

**The transmission of knowledge spillovers and its impact on regional economic growth**

*by*Dohse, Dirk

**Approximation of stochastic differential equations driven by alpha-stable Levy motion**

*by*Aleksander Janicki & Zbigniew Michna & Aleksander Weron

**Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables"**

*by*Rafal Weron

**Are International R&D Spillovers Trade-related? Analyzing Spillovers among Randomly Matched Trade Partners**

*by*Wolfgang Keller

**Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning**

*by*Kenneth E. Train

**A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos**

*by*William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen

**Nonlinear models and small sample performance of the generalized method of moments**

*by*Eva Ventura

**Fusion of data sets in multivariate linear regression with errors-in-variables**

*by*Albert Satorra

**Testing calibrated general equilibrium models**

*by*Fabio Canova & Eva Ortega

**Weighted Kernel regression**

*by*Pedro Delicado & Manuel del Rio

**Why Does the Australian Dollar Move so Closely with the Terms of Trade?**

*by*David Gruen & Tro Kortian

**An Alternative to the BDS Test: Integration Across the Correlation Integral**

*by*Kocenda, Evzen

**Inflation Convergence Within the European Union: A Panel Data Analysis**

*by*Kocenda, Evzen & Papell, David

**Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"**

*by*Weron, Rafal

**Further Investigation of the Uncertain Unit Root in GNP**

*by*Yin-Wong Cheung & Menzie D. Chinn

**Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI**

*by*Matthew D. Shapiro & David W. Wilcox

**Specification Testing in Panel Data With Instrumental Variables**

*by*Gilbert E. Metcalf

**The Energy-Capital Complementarity Debate: An Example of a Bootstrapped Sensitivity Analysis**

*by*Raj, Baldev & Veall, Michael R.

**Bartlett Corrections in Cointegration Testing**

*by*Jacobson, Tor & Larsson, Rolf

**Conditional Independence Restrictions: Testing and Estimation**

*by*Oliver Linton & Pedro Gozalo

**A Note on the Power of Revealed Preference Tests with Afriat Inefficiency**

*by*Reinhard Sippel

**A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regressions**

*by*David A. Belsley

**Re-engineering and the dynamic of systems**

*by*Giampaolo Orlandoni Merli

**Scenario Simulation: Theory and methodology (*)**

*by*Farshid Jamshidian & Yu Zhu

**Auction Format Matters: Evidence on Bidding Behavior and Seller Revenue**

*by*Robert A. Feldman & Vincent Reinhart

**Comportamiento en muestras pequeñas de los atípicos innovacionales: Un ejercicio de simulación**

*by*F. Javier Trivez & Javier Nievas

**Non-Nested Pretest Tests**

*by*Michelis, L.

**Likelihood Analysis of Non-Gaussian Parameter-Driven Models**

*by*Shephard, N. & Pitt, M.K.

**Bootstrapping DEA-based Efficiency Measures and Malmquist Productivity Indices. A Study of Swedish Eye-Care Service Provision**

*by*Löthgren, Mickael & Tambour, Magnus

**On the Efficiencies of Some Common Quick Estimators**

*by*Mudholkar, G.S. & Freimer, M. & Hutson, A.D.

**GMM Estimation of Panel Probit Models : Nonparametric Estimation of the Optimal Instruments**

*by*Bertsched, I & Lechner, M

**Statistical Inference for Random Variance Option Pricing**

*by*Pastorello, S. & Renault, E. & Touzi, N.

**Estimation and Inference in Cointegrated Systems Under Near-Integration**

*by*Sheldon, M.

**An Empirical Examination of a Multilateral Target Zone**

*by*Paul Schulstad & Ángel Serrat

**Performance of the estimators of stable law parameters**

*by*Rafal Weron

**Asymptotic robustness in multi-sample analysis of multivariate linear relations**

*by*Albert Satorra

**Noisy signals in target zone regimes Theory and Monte Carlo experiments**

*by*Steinar Holden & Dag Kolsrud & Birger Vikøren

**A Factor-Analytic Probit Model for Representing the Market Structure in Panel Data**

*by*Elrod, Terry & Keane, Michael

**Iterative Least Squares Estimator of Binary Choice Models: a Semi-Parametric Approach**

*by*Wang, Weiren & Zhou, Mai

**Small Sample Properties of GMM for Business Cycle Analysis**

*by*Lawrence J. Christiano & Wouter J. Den Haan

**A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model**

*by*Kenneth D. West & David W. Wilcox

**Testing Additivity in Generalized Nonparametric Regression Models**

*by*Oliver Linton & Pedro Gozalo

**The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination**

*by*Canova, Fabio & de Nicolò, Gianni

**Models and Priors for Multivariate Stochastic Volatility**

*by*Éric Jacquier & Nicholas G. Polson & Peter E. Rossi

**Számítások és következtetések nyugdíjreformra**

*by*Martos, Béla & Augusztinovics, Mária

**Simulating small-sample properties of the maximum likelihood cointegration method : estimation and testing**

*by*Tor Jacobson

**Are Real Wages and Unemployment Related?**

*by*Jacobson, Tor & Vredin, Anders & Warne, Anders

**Two Dynamic Discrete Choice Estimation Problems and Simulation Method Solutions**

*by*Steven Stern

**Measuring Business Cycles with Business-Cycle Models**

*by*Allan W. Gregory & Gregor W. Smith

**Changing Wage Structure and Black-White Wage Differentials: A Longitudinal Analysis**

*by*David Card & Thomas Lemieux

**Recursively Simulating Multinomial Multiperiod Probit Probabilities**

*by*Geweke, John & Keane, Michael & Runkle, David

**Advances in Random Utility Models**

*by*Horowitz, Joel & Keane, Michael & Bolduc, Denis & Divakar, Suresh & Geweke, John & Gonul, Fosun & Hajivassiliou, Vassilis & Koppelman, Frank & Matzkin, Rosa & Rossi, Peter & Ruud, Paul

**Conditional heteroskedasticity in nonlinear simultaneous equations**

*by*Calzolari, Giorgio & Fiorentini, Gabriele

**Numerical Aspects of Bayesian VAR-modeling**

*by*Kadiyala, K. Rao & Karlsson, Sune

**Bayesian Inference for Periodic Regime-Switching Models**

*by*Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay

**Simulation estimation for panel data models with limited dependent variables**

*by*Keane, Michael

**A Calibration Algorithm for Micro-Simulation Models**

*by*Taymaz, Erol

**The Identifiability of the Mixed non-Proportional Hazards Models**

*by*McCall, B.P.

**A Note on the Identifiability of Dynamic Binary Choice Model with State Dependence**

*by*McCall, B.P.

**Specification Diagnostics for Duration Models : A Martingale Approach**

*by*McCall, B.P.

**residual-Based Tests for Cointegration in Models with Regime Shifts**

*by*Allan w. Gregory & Bruce E. Hansen

**The Estimation Of Food Stamp Self-Selection Models Using The Method Of Simulation**

*by*Keane, Michael & Moffitt, Robert

**Testing for Structural Breaks**

*by*Allan W. Gregory & James M. Nason

**Le Rapport Industrie - Agriculture Et Le Developpement Economique**

*by*Albu, Lucian-Liviu

**Simulation Estimation Methods for Limited Dependent Variable Models**

*by*Vassilis A. Hajivassiliou

**Critical Values for Cointegration Tests**

*by*James G. MacKinnon

**An Analysis of the Distributional Impact of the Goods and Services Tax**

*by*Grady, Patrick

**The Method of Simulated Scores for the Estimation of LDV Models with an Application to External Debt Crisis**

*by*Vassilis A. Hajivassiliou & Daniel McFadden

**Het gebruik van een parametrische en een semi-parametrische schattingsmethode voor het binaire keuzemodel: Probit Maximum Likelihood versus Maximum Score**

*by*Peeters, H.M.M.

**Nonrandom Mixing Models of HIV Transmission**

*by*Peter Cramton & Edward Kaplan & A. David Paltiel

**Finite sample performance of the robust Wald test in simultaneous equation systems**

*by*Calzolari, Giorgio & Panattoni, Lorenzo

**A development model of a dualistic economy. The Italian case**

*by*Fusari, Angelo

**Asymptotic properties of dynamic multipliers in nonlinear econometric models**

*by*Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Panattoni, Lorenzo

**On the Optimal Rate of Structural Adjustment**

*by*Eliasson, Gunnar

**Stochastic simulation as a validation tool for econometric models**

*by*Calzolari, Giorgio & Corsi, Paolo

**Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model**

*by*Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo

**The Finite-Sample Effects of VAR Dimensions on MLE Bias, MLE Variance and Minimum MSE Estimators: Purely Nonstationary Case**

*by*Steve Lawford & Michalis P Stamatogiannis

**Rags in the High Rent District: the Evolution of Quota Rents in Textiles and Clothing**

*by*Joseph Francois & Julia Woerz

**A note on the 'Natural Rate of Subjective Inequality' hypothesis and the approximate relationship between the Gini coefficient and the Atkinson index**

*by*James Harvey

**A Study of the Probit Model with Latent Variables in Phase I Clinical Trials**

*by*Xiaobin Yang & Keying Ye & Yanping Wang

**Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data**

*by*Peter C.B.Phillips & Jun Yu

**Simulation-based Estimation of Contingent Claims Prices**

*by*Peter C.B.Phillips & Jun Yu

**A characterization of self-affine processes in finance through the scaling function**

*by*Marina Resta & Davide Sciutti

**Evaluacion de los efectos de distintos instrumentos tarifarios sobre el bienestar de los usuarios**

*by*David Florian & Luis Orezzoli

**Income Tax Evasion Dynamics: Evidence from an Agent-based Econophysics Model**

*by*Michael Pickhardt & Goetz Seibold

**A few can do – Ethical behavior and the provision of public goods in an agent-based model**

*by*Michael Pickhardt

**Risk attitude in real decision proBLEMs**

*by*Fabrizio Botti & Anna Conte & Daniela T. Di Cagno & Carlo D'Ippoliti

**Unemployment and Hysteresis: A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components Approach**

*by*Silvestro DI SANZO & Alicia PEREZ-ALONSO

**Fractional Response Models - A Replication Exercise of Papke and Wooldridge (1996)**

*by*Harald Oberhofer & Michael Pfaffermayr

**Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology**

*by*Lucas FIEVET & Zalàn FORRO & Peter CAUWELS & Didier SORNETTE

**Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums**

*by*Valentina Corradi & Walter Distaso & Antonio Mele

**Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much**

*by*Fabio TROJANI & Christian WIEHENKAMP & Jan WRAMPELMEYER

**Investment strategies used as spectroscopy of financial markets reveal new stylized facts**

*by*Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE

**Robust Resampling Methods for Time Series**

*by*Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI

**Frailty Correlated Default**

*by*Darrell DUFFIE & Andreas ECKNER & Guillaume HOREL & Leandro SAITA

**Anomalous Returns in a Neural Network Equity-Ranking Predictor**

*by*J.B. Satinover & D. Sornette

**Econometrics on GPUs**

*by*Michael Creel & Sonik Mandal & Mohammad Zubair

**Indirect Likelihood Inference**

*by*Michael Creel & Dennis Kristensen

**Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701**

*by*Robinson Kruse

**An Evaluation Of Outdoor Activities On Life Satisfaction: An Application Of Propensity Score Matching Of A Case In Turkey**

*by*Mehmet Mert & Celil Zurnacı & Eray Akgün

**Economic Simulations in Swarm: Agent-Based Modelling and Object Oriented Programming - By Benedikt Stefansson and Francesco Luna: A Review and Some Comments about Agent Based Modeling**

*by*Pietro Terna