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

Top JEL

/ C: Mathematical and Quantitative Methods

/ /

**C5: Econometric Modeling**

/ / / C50: General

/ / / C51: Model Construction and Estimation

/ / / C52: Model Evaluation, Validation, and Selection

/ / / C53: Forecasting and Prediction Models; Simulation Methods

/ / / C54: Quantitative Policy Modeling

/ / / C55: Large Data Sets: Modeling and Analysis

/ / / C57: Econometrics of Games and Auctions

/ / / C58: Financial Econometrics

/ / / C59: Other

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

Most recent items first, undated at the end.

**Dynamics of the European sovereign bonds and the identification of crisis periods**

*by*Chen, Zhenxi & Reitz, Stefan

**Why do investors buy sovereign default insurance?**

*by*Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G.

**Inequality of opportunity in health: a decomposition-based approach**

*by*Carrieri, V. & Jones, M.A.

**Trend Fundamentals and Exchange Rate Dynamics**

*by*Florian Huber & Daniel Kaufmann

**Weak and Strong Cross-Sectional Dependence: a Panel Data Analysis of International Technology Diffusion**

*by*Antonio Musolesi & Cem Ertur

**CICE et Pacte de responsabilité : une évaluation selon la position dans le cycle**

*by*Bruno Ducoudre & Eric Heyer & Mathieu Plane

**Forecasting United States Presidential election 2016 using multiple regression models**

*by*Sinha, Pankaj & Nagarnaik, Ankit & Raj, Kislay & Suman, Vineeta

**Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis**

*by*Ben Rejeb, Aymen

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

*by*Davis, Brent

**South african exchange rate after 2000s: an econometric investigation**

*by*Kebalo, Leleng

**Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects**

*by*Abonazel, Mohamed R.

**Generalized Random Coefficient Estimators of Panel Data Models: Asymptotic and Small Sample Properties**

*by*Abonazel, Mohamed R.

**South african exchange rate after 2000s: an econometric investigation**

*by*Kebalo, Leleng

**Testing for Non-Fundamentalness**

*by*Hamidi Sahneh, Mehdi

**Inflation and Bubbles in the Japanese Condominium Market**

*by*Nagayasu, Jun

**Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects**

*by*Abonazel, Mohamed R.

**Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model**

*by*Naurin, Abida & Qayyum, Abdul

**Inflation persistence in African countries: Does inflation targeting matter?**

*by*Phiri, Andrew

**ZD-GARCH model: a new way to study heteroscedasticity**

*by*Li, Dong & Ling, Shiqing & Zhu, Ke

**Model – spatial approach to prediction of minimum wage**

*by*Monika Hadas-Dyduch

**The Impact of the Mining Boom in Colombia: the case of the gold**

*by*Jorge Barrientos Marín & Sebastián Ramírez & Elkin Tabares

**Life-Cycle Educational Choices: Evidence for Two German Cohorts**

*by*Biewen, Martin & Tapalaga, Madalina

**The Information Industry: Measuring Russia By International Standards**

*by*Gulnara I. Abdrakhmanova & Galina G. Kovaleva & Natalia V. Bulchenko

**Global Value Chains and Changing Trade Elasticities**

*by*Byron Gangnes & Ari Van Assche

**Recession forecasting using Bayesian classification**

*by*Davig, Troy A. & Smalter Hall, Aaron

**Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries**

*by*Frank Schorfheide & Pablo Cuba-Borda & S. Boragan Aruoba

**Monetary Policy, Real Activity, and Credit Spreads : Evidence from Bayesian Proxy SVARs**

*by*Dario Caldara & Edward Herbst

**The post-crisis slump in the Euro Area and the US: evidence from an estimated three-region DSGE model**

*by*Kollmann, Robert & Pataracchia, Beatrice & Raciborski, Rafal & Ratto, Marco & Roeger, Werner & Vogel, Lukas

**The post-crisis slump in the Euro area and the US: evidence from an estimated three-region DSGE model**

*by*Robert Kollmann & Beatrice Pataracchia & Rafal Raciborski & Marco Ratto & Werner Roeger & Lukas Vogel

**Long-Run Dynamic Relationship between FDI and Domestic Investment in GCC Countries**

*by*Hassan B. Ghassan & Hassan R. Alhajhoj

**Individual inflation expectations in a declining-inflation environment: Evidence from survey data**

*by*Malka de Castro Campos & Federica Teppa

**Intraday Markets for Power: Discretizing the Continuous Trading?**

*by*Karsten Neuhoff & Nolan Ritter & Aymen Salah-Abou-El-Enien & Philippe Vassilopoulos

**Short selling constraints and stock returns volatility: empirical evidence from the German stock market**

*by*Martin T. Bohl & Gerrit Reher & Bernd Wilfling

**New Methods for Macro-Financial Model Comparison and Policy Analysis**

*by*Afanasyeva, Elena & Kuete, Meguy & Wieland, Volker & Yoo, Jinhyuk

**The Post-Crisis Slump in the Euro Area and the US: Evidence from an Estimated Three-Region DSGE Model**

*by*Kollmann, Robert & Pataracchia, Beatrice & Raciborski, Rafal & Ratto, Marco & Roeger, Werner & Vogel, Lukas

**Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness**

*by*Canova, Fabio & Hamidi Sahneh, Mehdi

**Una visión unificada del contagio en mercados financieros: un enfoque causal en el dominio de la frecuencia**

*by*Nicolás Ronderos Pulido

**Intraday Markets for Power: Discretizing the Continuous Trading**

*by*Karsten Neuhoff & Nolan Ritter & Aymen Salah-Abou-El-Enien & Philippe Vassilopoulos

**Assessing Gamma kernels and BSS/LSS processes**

*by*Ole E. Barndorff-Nielsen

**A generalized exponential time series regression model for electricity prices**

*by*Niels Haldrup & Oskar Knapik & Tommaso Proietti

**Socio-economic Determinants for the Portuguese Immigration: An Empirical Discussion**

*by*Paulo Reis Mourao

**Unchained melody: revisiting the estimation of SF-6D values**

*by*Benjamin M. Craig

**Cost-of-illness studies based on massive data: a prevalence-based, top-down regression approach**

*by*Björn Stollenwerk & Thomas Welchowski & Matthias Vogl & Stephanie Stock

**Entry time effects and follow-on drug competition**

*by*Luiz Flavio Andrade & Catherine Sermet & Sylvain Pichetti

**A Regional Approach To The Metropolitan Economic Grwoth: Evidence From The European Union**

*by*Florin Teodor Boldeanu & Ileana Tache

**The Dynamics of China's Export Growth: An Intertemporal Analysis**

*by*Francis Tuan & Agapi Somwaru & Sun Ling Wang & Efthimia Tsakiridou

**The probability of a firm making a takeover bid: An empirical analysis of Australian firms**

*by*Farida Akhtar

**Effect of financial indicators on international ratings of russian banks**

*by*Volkova, Olga & Lvova, Irina

**Impact Of FOMC Official Speeches on the Intraday Dynamics of CDS Markets**

*by*Lucian Liviu Albu & Radu Lupu & Adrian Cantemir Călin

**Twin deficit in MENA countries: an empirical investigation**

*by*Samia OMRANE BELGUITH

**Tourism and Economic Growth in South Africa: Evidence from Linear and Nonlinear Cointegration Frameworks**

*by*Andrew Phiri

**An Exploration of Regional Labor Productivity Patterns of Manufacturing SMEs in Mexico**

*by*Miguel Flores & Roldán Andrés-Rosales & Amado Villarreal

**Válasz Kőrösi Gábornak**

*by*Mellár, Tamás

**A lány továbbra is szolgál..**

*by*Kőrösi, Gábor

**Szolgálólányból királycsináló - avagy az ökonometria makroökonómiai térhódítása?**

*by*Mellár, Tamás

**The BRIC grouping’s mutually beneficial policies: A macro-modeling test**

*by*Francois Boye

**Technical and scale efficiency of Tanzanian saving and credit cooperatives**

*by*Nyankomo Marwa & Meshach Aziakpono

**Elasticidad-precio de la demanda del transporte público urbano: un análisis para los servicios de ómnibus y subterráneo de la Ciudad Autónoma de Buenos Aires**

*by*Jerónimo Montalvo

**Editorial Announcement**

*by*Kerry Patterson

**Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters**

*by*Wen Xu

**Econometric Information Recovery in Behavioral Networks**

*by*George Judge

**Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited**

*by*M. Shelton Peiris & Manabu Asai

**Nonparametric Regression with Common Shocks**

*by*Eduardo A. Souza-Rodrigues

**Special Issues of Econometrics: Celebrated Econometricians**

*by*Econometrics Editorial Office

**Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets**

*by*Xin Zhang & Donggyu Kim & Yazhen Wang

**Econometrics Best Paper Award 2016**

*by*Kerry Patterson

**Measuring the Distance between Sets of ARMA Models**

*by*Umberto Triacca

**Market Microstructure Effects on Firm Default Risk Evaluation**

*by*Flavia Barsotti & Simona Sanfelici

**Estimation of Gini Index within Pre-Specified Error Bound**

*by*Bhargab Chattopadhyay & Shyamal Krishna De

**Evaluating Eigenvector Spatial Filter Corrections for Omitted Georeferenced Variables**

*by*Daniel A. Griffith & Yongwan Chun

**Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels**

*by*Masayuki Hirukawa & Mari Sakudo

**Continuous and Jump Betas: Implications for Portfolio Diversification**

*by*Vitali Alexeev & Mardi Dungey & Wenying Yao

**Removing Specification Errors from the Usual Formulation of Binary Choice Models**

*by*P.A.V.B. Swamy & I-Lok Chang & Jatinder S. Mehta & William H. Greene & Stephen G. Hall & George S. Tavlas

**Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability**

*by*Marc S. Paolella

**Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors**

*by*Xibin Zhang & Maxwell L. King & Han Lin Shang

**Building a Structural Model: Parameterization and Structurality**

*by*Michel Mouchart & Renzo Orsi

**Distribution of Budget Shares for Food: An Application of Quantile Regression to Food Security 1**

*by*Charles B. Moss & James F. Oehmke & Alexandre Lyambabaje & Andrew Schmitz

**Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series**

*by*Nunzio Cappuccio & Diego Lubian

**Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence**

*by*Ba Chu & Stephen Satchell

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

*by*P.A.V.B. Swamy & Stephen G. Hall & George S. Tavlas & I-Lok Chang & Heather D. Gibson & William H. Greene & Jatinder S. Mehta

**Computational Complexity and Parallelization in Bayesian Econometric Analysis**

*by*Nalan Baştürk & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Volatility Forecasting: Downside Risk, Jumps and Leverage Effect**

*by*Francesco Audrino & Yujia Hu

**Multiple Discrete Endogenous Variables in Weakly-Separable Triangular Models**

*by*Sung Jae Jun & Joris Pinkse & Haiqing Xu & Neşe Yıldız

**Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth**

*by*Mustafa Koroglu & Yiguo Sun

**Acknowledgement to Reviewers of Econometrics in 2015**

*by*Econometrics Editorial Office

**A Conditional Approach to Panel Data Models with Common Shocks**

*by*Giovanni Forchini & Bin Peng

**Forecasting Value-at-Risk under Different Distributional Assumptions**

*by*Manuela Braione & Nicolas K. Scholtes

**Spatial Econometrics: A Rapidly Evolving Discipline**

*by*Giuseppe Arbia

**Bayesian Calibration of Generalized Pools of Predictive Distributions**

*by*Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo

**The Evolving Transmission of Uncertainty Shocks in the United Kingdom**

*by*Haroon Mumtaz

**Timing Foreign Exchange Markets**

*by*Samuel W. Malone & Robert B. Gramacy & Enrique ter Horst

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

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

**Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns**

*by*Urbi Garay & Enrique ter Horst & German Molina & Abel Rodriguez

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

*by*Arnaud Dufays

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

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

**Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP**

*by*John Geweke

**Long-Run Dynamic Relationship between FDI and Domestic Investment in GCC Countries**

*by*Hassan B. Ghassan & Hassan R. Alhajhoj

**Two-sided platforms in airport privatization**

*by*Bettini, Humberto F.A.J. & Oliveira, Alessandro V.M.

**Airline delays, congestion internalization and non-price spillover effects of low cost carrier entry**

*by*Bendinelli, William E. & Bettini, Humberto F.A.J. & Oliveira, Alessandro V.M.

**Modelling the joint dynamics of oil prices and investor fear gauge**

*by*Ji, Qiang & Fan, Ying

**How strong are the linkages between real estate and other sectors in China?**

*by*Chan, Steven & Han, Gaofeng & Zhang, Wenlang

**Analyzing the linkage between renewable and non-renewable energy consumption and economic growth by considering structural break in time-series data**

*by*Dogan, Eyup

**Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests**

*by*Koliai, Lyes

**Estimating the impact of airport privatization on airline demand: AÂ regression-based event study**

*by*Rolim, Paula S.W. & Bettini, Humberto F.A.J. & Oliveira, Alessandro V.M.

**Financial development, structure and growth: New data, method and results**

*by*Luintel, Kul B. & Khan, Mosahid & Leon-Gonzalez, Roberto & Li, Guangjie

**Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange**

*by*Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas

**Non-linearities in financial bubbles: Theory and Bayesian evidence from S&P500**

*by*Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N.

**Optimal rates from eigenvalues**

*by*Carr, Peter & Worah, Pratik

**Energy paradox and political intervention: A stochastic model for the case of electrical equipments**

*by*Jridi, Omar & Jridi, Maher & Barguaoui, Saoussen Aguir & Nouri, Fethi Zouheir

**An alternative semiparametric approach to the modelling of asymmetric gasoline price adjustment**

*by*Polemis, Michael L. & Tsionas, Mike G.

**Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective**

*by*Bee, Marco & Dupuis, Debbie J. & Trapin, Luca

**Liquidation discount—a novel application of ARFIMA–GARCH**

*by*Singh, Ranjodh B. & Gould, John & Chan, Felix & Yang, Joey Wenling

**The post-crisis slump in the Euro Area and the US: Evidence from an estimated three-region DSGE model**

*by*Kollmann, Robert & Pataracchia, Beatrice & Raciborski, Rafal & Ratto, Marco & Roeger, Werner & Vogel, Lukas

**Dynamic model averaging in large model spaces using dynamic Occam׳s window**

*by*Onorante, Luca & Raftery, Adrian E.

**On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors**

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

**The Balassa–Samuelson hypothesis in the developed and developing countries revisited**

*by*Wang, Weiguo & Xue, Jing & Du, Chonghua

**Gold price and stock markets nexus under mixed-copulas**

*by*Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef

**Short selling constraints and stock returns volatility: Empirical evidence from the German stock market**

*by*Bohl, Martin T. & Reher, Gerrit & Wilfling, Bernd

**On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach**

*by*Hemche, Omar & Jawadi, Fredj & Maliki, Samir B. & Cheffou, Abdoulkarim Idi

**The Impact of Gold, Bond, Currency, Metals and Oil Markets on the USA Stock Market**

*by*Xanthi Partalidou & Apostolos Kiohos & Grigoris Giannarakis & Nikolaos Sariannidis

**A Contribution of Expected Utility Theory in Taxpayers’ Behavior Modeling**

*by*Farid Ameur & Mohamed Tkiouat

**Role of Bank Specific, Macroeconomic and Risk Determinants of Banks Profitability: Empirical Evidence from Ghana’s Rural Banking Industry**

*by*Eric Kofi Boadi & Eric Kofi Boadi & Yao Li & Victor Curtis Lartey & Victor Curtis Lartey

**Bayesian inference in Markov switching vector error correction model**

*by*Katsuhiro Sugita

**Natural interest rate in Brazil: further evidence frThe main objective of this study is to estimate the natural interest rate for Brazil using a parsimonious AR-trend-bound model proposed by Chan, Koop and Potter (2013). This model considers a time varying autoregressive process for the interest rate gap (difference between real interest rate and natural interest rate) and stochastic volatility (time-variant uncertainty). The interest rate gap measures the monetary policy stance. Furthermore, the unobserved latent states are limited, which can help to reduce the uncertainty regarding the estimation of these variables. This method presents plausible results for the Brazilian case. The average natural interest rate is around 5.41% p.a. The interest rate gap is positive until mid 2009, which indicates a restrictive policy for the period. Since then, the gap has had predominantly negative values, which indicates an expansionist policy. This result is consistent with the dynamics of the Brazilian economy.om an AR-trend-bound model**

*by*Andreza A Palma

**Attractor misspecification and threshold estimation bias**

*by*Stephen Norman

**Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework**

*by*Afees A. Salisu

**Analyzing a Long-Run Relationship between Exports and Imports Revisited: Evidence from G-7 Countries**

*by*Jungho Baek

**Is energy consumption per capita stationary? Evidence from first and second generation panel unit root tests**

*by*Muhammad Shahbaz & Aviral Kumar Tiwari & Saleheen Khan

**Arbitrary temporal heterogeneity in time of European countries panel model**

*by*Roman Matkovskyy

**Density estimation based on pointwise mutual information**

*by*Akimitsu Inoue

**It is not structural breaks that earn average forecasts their fame**

*by*Dirk Ulbricht

**Predicting events with an unidentified time horizon**

*by*Patrick De lamirande & Jason Stevens

**El sector turístico y su relevancia económica en Ecuador y los países de UNASUR(1995 – 2013)**

*by*Emilia VÁZQUEZ-ROZAS & Fidel MARTÍNEZ-ROGET & Eddy Antonio CASTILLO MONTESDEOCA

**Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries**

*by*Gallegati Marco & Gallegati Mauro & Ramsey James B. & Semmler Willi

**The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014**

*by*Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari

**Systematic errors in growth expectations over the business cycle**

*by*Dovern, Jonas & Jannsen, Nils

**The Income-Health Relationship â€œBeyond the Meanâ€ : New Evidence from Biomarkers**

*by*Carrieri, V. & Jones, A.M.

**Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach**

*by*Mototsugu Shintani & Zi-yi Guo

**Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion**

*by*Antonio Musolesi & Cem Ertur

**Budget cuts on investments : a brake on growth of WAEMU**

*by*Mamadou Diop

**Identification of Counterfactuals and Payoffs in Dynamic Discrete Choice with an Application to Land Use**

*by*Myrto Kalouptsidi & Paul T. Scott & Eduardo Souza-Rodrigues

**A new monthly indicator of global real economic activity**

*by*Ravazzolo, Francesco & Vespignani, Joaquin

**Indentifying the sector bias of technical change**

*by*Thomas von Brasch

**Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion**

*by*Cem Ertur & Antonio Musolesi

**Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion**

*by*Cem Ertur & Antonio Musolesi

**Markup heterogeneity, export status ans the establishment of the euro**

*by*Sarah Guillou & Lionel Nesta

**Technical and Scale Efficiency of Tanzanian Saving and Credit Cooperatives**

*by*Nyankomo Marwa and Meshach Aziakpono

**Studiul economiei, sinteza unei aventuri**

*by*Schatteles, Tiberiu

**Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach**

*by*Zeyyad Mandalinci

**Consumer Preferences for Improvements in Mobile Telecommunication Services**

*by*Orhan Dagli & Glenn P. Jenkins

**Identifying Asymmetries between Socially Responsible and Conventional Investments**

*by*Nicholas Apergis & Vassilios Babalos & Christina Christou & Rangan Gupta

**Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013**

*by*Nikolaos Antonakakis & Rangan Gupta & Aviral Kumar Twari

**Modelling the spatial structure of Europe**

*by*Kincses, Áron & Nagy, Zoltán & Tóth, Géza

**Environmental Innovation Impact analysis with the GMR-Europe Model**

*by*VARGA, ATTILA & HAU-HORVÁTH, ORSOLYA & SZABÓ, NORBERT & JÁROSI, PÉTER

**Long Run Relationship between IFDI and Domestic Investment in GCC Countries**

*by*Ghassan, Hassan B. & Alhajhoj, Hassan R.

**Productivité agricole, intégration et transformation structurelle de l’économie marocaine**

*by*Chatri, Abdellatif & Maarouf, Abdelwahab & Ezzahid, Elhaj

**Estimating the Constant Elasticity of Substitution Function of Rice Production.The case of Vietnam in 2012**

*by*BUI, LINH & HOANG, HUYEN & BUI, HANG

**R-Codes to Calculate GMM Estimations for Dynamic Panel Data Models**

*by*Abonazel, Mohamed R.

**Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices**

*by*Ghassan, Hassan B. & Alhajhoj, Hassan R.

**Complex Exponential Smoothing**

*by*Svetunkov, Ivan & Kourentzes, Nikolaos

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

*by*Abonazel, Mohamed R.

**Alternative GMM Estimators for First-order Autoregressive Panel Model: An Improving Efficiency Approach**

*by*Youssef, Ahmed & Abonazel, Mohamed R.

**The Exchange Function and A Dynamic Exchange Model**

*by*Li, Wu

**The Determination of the Equilibrium Exchange Rates Based on a General Equilibrium Model**

*by*Li, Wu

**Efficiency and Risk Convergence of Eurozone Financial Markets**

*by*Wild, Joerg

**Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates**

*by*DIAF, Sami

**Determinants of Life Expectancy and its Prospects under the Role of Economic Misery: A Case of Pakistan**

*by*Shahbaz, Muhammad & Loganathan, Nanthakumar & Mujahid, Nooreen & Ali, Amjad & Nawaz, Ahmed

**Modeling Causality between Financial Deepening and Poverty Reduction in Egypt**

*by*Abosedra, Salah & Shahbaz, Muhammad & Nawaz, Kishwar

**Measuring Economic Cost of Electricity Shortage: Current Challenges and Future Prospects in Pakistan**

*by*Shahbaz, Muhammad

**Quantum microeconomics theory**

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

**Determinants of Economic Growth in Sub-Saharan Africa: The case of Ghana**

*by*Bonga-Bonga, Lumengo & Ahiakpor, Ferdinand

**The ins and outs of Greek unemployment in the Great Depression**

*by*Daouli, Joan & Demoussis, Michael & Giannakopoulos, Nicholas & Lambropoulou, Nikolitsa

**Estimation of International Financial Integration: Evidence from European Countries**

*by*Sadat, Nafis

**Indonesia embraces the Data Science**

*by*Situngkir, Hokky

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

*by*Leon, Costas

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

*by*Yang, Bill Huajian & Du, Zunwei

**Are the shocks obtained from SVAR fundamental?**

*by*Hamidi Sahneh, Mehdi

**Crime and the Economy in Mexican States : Heterogeneous Panel Estimates (1993-2012)**

*by*Verdugo-Yepes, Concepción & Pedroni, Peter & Hu, Xingwei

**An attitude of complexity: thirteen essays on the nature and construction of reality under the challenge of Zeno's Paradox**

*by*Albers, Scott

**Volatility forecasting using global stochastic financial trends extracted from non-synchronous data**

*by*Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly

**The effects of mass media on corruption in South Africa: A MTAR-TEC persepctive**

*by*Motlhasedi, Naomi & Phiri, Andrew

**The macroeconomic impact of the income tax reductions in Malta**

*by*Grech, Aaron George

**Forecasting Coherent Volatility Breakouts**

*by*Didenko, Alexander & Dubovikov, Michael & Poutko, Boris

**Linkages between Defense Spending and Income Inequality in Iran**

*by*Shahbaz, Muhammad & Sherafatian-Jahromi, Reza & Malik, Muhammad Nasir & Shabbir, Muhammad Shahbaz & Jam, Farooq Ahmed

**The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa**

*by*Bonga-Bonga, Lumengo & Umoetok, Ekerete

**Forecasting the yield curve: art or science?**

*by*Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A.

**The Energy-Growth Nexus in Thailand: Does Trade Openness Boost up Energy Consumption?**

*by*Kyophilavong, Phouphet & Shahbaz, Muhammad & Anwar, Sabeen & Masood, Sameen

**Pharmaceutical Drug Misuse, Industry of Employment and Occupation**

*by*Mark N Harris & Jake Prendergast & Preety Srivastava

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

*by*Kate Ho & Adam M. Rosen

**Identification of Counterfactuals in Dynamic Discrete Choice Models**

*by*Myrto Kalouptsidi & Paul T. Scott & Eduardo Souza-Rodrigues

**Has the crisis affected the behavior of the rating agencies? Panel Evidence from the Eurozone**

*by*Periklis Boumparis & Costas Milas & Theodore Panagiotidis

**Preferences for urban green spaces and peri-urban forests: An analysis of stated residential choices**

*by*Gengyang Tu & Jens Abildtrup & Serge Garcia

**Trend Fundamentals and Exchange Rate Dynamics**

*by*Daniel Kaufmann & Florian Huber

**Systematic Errors in Growth Expectations over the Business Cycle**

*by*Jonas Dovern & Nils Jannsen

**Carrot and Stick? Impact of a Low-Stakes School Accountability Program on Student Achievement**

*by*Woo, Seokjin & Lee, Soohyung & Kim, Kyunghee

**The Inequality-Growth Plateau**

*by*Henderson, Daniel J. & Qian, Junhui & Wang, Le

**China's Capital and "Hot" Money Flows: An Empirical Investigation**

*by*Tao Cai & Vinh Q. T. Dang & Jennifer T. Lai

**Markup Heterogeneity, Export Status and the Establishment of the Euro**

*by*Sarah Guillou & Lionel Nesta

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**The Herding Behavior On Small Capital Markets: Evidence From Romania**

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**Impact of Liquidity Level on the Monetary Policy Transmission Effectiveness of the Moroccan Central Bank (Bank Al Maghrib)**

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**Determinants of International Reserves: Empirical Evidence from Emerging Asia**

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**The Nexus between Inflation and Inflation Uncertainty via wavelet approach: Some Lessons from Egyptian case**

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**Models for forecasting exchange rate volatility: a comparison between developed and emerging countries**

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**A comparison of different forecasting models of the international trade in India**

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**Bankruptcy prediction for Tunisian firms : An application of semi-parametric logistic regression and neural networks approach**

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**What results can we expect from rolling trace tests? A discussion based on the issue of stock market integration**

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**World Development, 2000-2010: Production, Investment And Savings In 21 Areas Of America, Africa, Asia-Pacific, Europe And Eurasia**

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**Industry, Productivity And Development In 96 European Regions, 2005-2010**

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**The Spatial-Temporary Modeling of Standard of Living for Cities Residents in Poland**

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**Viewpoint: Boosting Recessions**

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**Economic Effects of Renewable Energy Expansion : A Model-Based Analysis for Germany**

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**Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model**

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**Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns**

*by*Gürtler, Marc & Rauh, Ronald

**The StoNED Age: The Departure Into a New Era of Efficiency Analysis? – A Monte Carlo Comparison of StoNED and the "Oldies" (SFA and DEA)**

*by*Andor, Mark & Hesse, Frederik

**Inter-format competition among retailers: The role of private label products in market delineation**

*by*Haucap, Justus & Heimeshoff, Ulrich & Klein, Gordon J. & Rickert, Dennis & Wey, Christian

**A quasi-Monte Carlo comparison of developments in parametric and semi-parametric regression methods for heavy tailed and non-normal data: with an application to healthcare costs**

*by*Jones, A. M. & Lomas, J. & Moore, P. & Rice, N.

**Modeling the Dynamics of Chinese Spot Interest Rates**

*by*Yongmiao Hong & Hai Lin & Shouyang Wang

**Exchange rate predictability**

*by*Barbara Rossi

**The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations**

*by*Kazumitsu Nawata & Michael McAleer

**Sources de revenu de retraite au QuÃ©bec 2004 - 2030: une analyse de microsimulation**

*by*Clavet, Nicholas-James & Duclos, Jean - Yves & Fortin, Bernard & Marchand, Steeve

**Stability pact and risk of pro-cyclical fiscal policy in Economic and Monetary Union countries: the case of UEMOA**

*by*Mamadou Diop

**Trade Costs, Conflicts, and Defense Spending**

*by*Seitz, Michael & Tarasov, Alexander & Zakharenko, Roman

**The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations**

*by*Kazumitsu Nawata & Michael McAleer

**The StoNED Age: The Departure Into a New Era of Efficiency Analysis? – A Monte Carlo Comparison of StoNED and the “Oldies” (SFA and DEA)**

*by*Mark Andor & Frederik Hesse

**On the Finite Sample Properties of Pre-test Estimators of Spatial Models**

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**Comparing Implementations of Estimation Methods for Spatial Econometrics**

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**A New Index of Environmental Quality Based on Greenhouse Gas Emissions**

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**Testing for Market Integration in the Australian National Electricity Market**

*by*Rabindra Nepal & John Foster

**Testing for Noncausal Vector Autoregressive Representation**

*by*Hamidi Sahneh, Mehdi

**Foreign aid and growth in Egypt: The role of economic policy**

*by*Emara, Noha & Plotkin, David & Stein, Alyssa

**Millennium development goals affecting child mortality in Bangladesh: A Vector Error Correction model**

*by*Kundu, Nobinkhor & Chowdhury, J.M. Adeeb Salman & Sikdar, Asaduzzaman

**International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach**

*by*Muteba Mwamba, John & Mokwena, Paula

**Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008**

*by*Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A.

**The sustainability of fiscal policy: A group-mean panel estimator approach**

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**The Impact of Minimum Wage on Average Earnings in the Caribbean using Two-Selected Countries, Trinidad and Tobago and Jamaica (1980-2011 and 1997-2011)**

*by*Bamikole, Oluwafemi

**Estimating Long-Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models**

*by*Yang, Bill Huajian

**Modelling the Demand for Bank Loans by Private Business Sector in Pakistan**

*by*Hassan, Faiza & Qayyum, Abdul

**Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market**

*by*El GHINI, Ahmed & SAIDI, Youssef

**Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors**

*by*Hina, Hafsa & Qayyum, Abdul

**Revisiting Linkages between Financial Development, Trade Openness and Economic Growth in South Africa: Fresh Evidence from Combined Cointegration Test**

*by*Polat, Ali & Shahbaz, Muhammad & Ur Rehman, Ijaz & Satti, Saqlain Latif

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**Factor double autoregressive models with application to simultaneous causality testing**

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**Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models**

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**On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution**

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**Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective**

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**Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate**

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**On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks**

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

**Coal Consumption: An Alternate Energy Resource to Fuel Economic Growth in Pakistan**

*by*Satti, Saqlain Latif & Hassan, Muhammad shahid & Mahmood, Haider & Shahbaz, Muhammad

**An Early Warning System for Inflation in the Philippines Using Markov-Switching and Logistic Regression Models**

*by*Cruz, Christopher John & Mapa, Dennis

**Panel analysis of CO2 emissions, GDP, energy consumption, trade openness and urbanization for MENA countries**

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**A link based network route choice model with unrestricted choice set**

*by*Fosgerau, Mogens & Frejinger, Emma & Karlstrom, Anders

**The Nexus between Electricity Consumption and Economic Growth in Bahrain**

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**Analyzing Time-Frequency Relationship between Oil Price and Exchange Rate in Pakistan through Wavelets**

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**Does J-Curve Phenomenon Exist in Case of Laos? An ARDL Approach**

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**The Role of Natural Gas Consumption and Trade in Tunisia’s Output**

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**The Environmental cost of Skiing in the Desert? Evidence from Cointegration with unknown Structural breaks in UAE**

*by*Shahbaz, Muhammad & Sbia, Rashid & Hamdi, Helmi

**The Weight of Economic Growth and Urbanization on Electricity Demand in UAE**

*by*Sbia, Rashid & Shahbaz, Muhammad

**Is Gold Investment A Hedge against Inflation in Pakistan? A Cointegtaion and Causality Analysis in the Presence of Structural Breaks**

*by*Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran

**Does The Keynesian Absolute Income Hypothesis Exist in Pakistan?**

*by*Shahbaz, Muhammad & Nawaz, Kishwer & AROURI, Mohamed El Hedi & Teulon, Frédéric

**NIG-Levy process in asset price modeling: case of Estonian companies**

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

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**Essays on Electricity Market Reforms: A Cross-Country Applied Approach**

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**Energy Consumption, Financial Development and Growth: Evidence from Cointegration with unknown Structural breaks in Lebanon**

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**Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions**

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**Mann-Whitney Test with Adjustments to Pre-treatment Variables for Missing Values and Observational Study**

*by*Chen, Songxi

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**Was there a "Greenspan conundrum" in the Euro area ?**

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**Does “Okun’s Law” state a Pi:1 ratio? Toward a harmonic interpretation of why Okun’s Law works**

*by*Albers, Scott & Albers, Andrew L.

**Foundations of the economic and social history of the United States: Metaphysical**

*by*Albers, Scott

**Socio-economic Determinants of Household Food Insecurity in Pakistan**

*by*Asghar, Zahid & Muhammad, Ahmed

**Introducing time-changing economics into credit scoring**

*by*Maria Rocha Sousa & João Gama & Elísio Brandão

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*by*Minchul Shin & Molin Zhong

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*by*Gabriel Rodriguez & Dionisio Ramirez

**A Comparative Note About Estimation of the Fractional Parameter under Additive Outliers**

*by*Gabriel Rodriguez

**A comparison between Tau-d and the procedure TRAMO-SEATS is also included**

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*by*Gunnar Bårdsen & Luca Fanelli

**Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries**

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**A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications**

*by*Patrick Bajari & Chenghuan Sean Chu & Denis Nekipelov & Minjung Park

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*by*S. Nuray Akin & Oksana Leukhina

**Probability and Severity of Recessions**

*by*Rachidi Kotchoni & Dalibor Stevanovic

**Trade Costs, Conflicts, and Defense Spending**

*by*Seitz, Michael & Tarasov, Alexander & Zakharenko, Roman

**The Real Exchange Rate and External Competitiveness in Egypt, Morocco and Tunisia**

*by*Brixiova, Zuzana & Égert, Balázs & Hadj Amor Essid, Thouraya

**Bond returns and market expectations**

*by*Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini

**Macroeconomics and Politics in the Accumulation of Greece’s Debt: An econometric investigation, 1975-2009**

*by*George Alogoskoufis

**Benchmarking time series based forecasting models for electricity balancing market prices**

*by*Gro Klaeboe & Anders Lund Eriksrud & Stein-Erik Fleten

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*by*Ertur, C. & Musolesi, A.

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*by*Martine Rutten & Andrzej Tabeau & Frans Godeschalk

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*by*Nawata, K. & McAleer, M.J.

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*by*Geanakoplos, John & William R. Zame

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*by*Espasa, Antoni & Tena, Juan de Dios & Pino, Gabriel

**Anchoring the Yield Curve Using Survey Expectations**

*by*Altavilla, Carlo & Giacomini, Raffaella & Ragusa, Giuseppe

**Exchange Rate Predictability**

*by*Rossi, Barbara

**Panel Vector Autoregressive Models: A Survey**

*by*Canova, Fabio & Ciccarelli, Matteo

**Probability and Severity of Recessions**

*by*Rachidi Kotchoni & Dalibor Stevanovic

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*by*Jacky MATHONNAT & Yong HE & Martine AUDIBERT

**Multinomial and Mixed Logit Modeling in the Presence of Heterogeneity: A Two-Period Comparison of Healthcare Provider Choice in Rural China**

*by*Jacky MATHONNAT & Yong HE & Martine AUDIBERT

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*by*W. Robert Reed

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*by*Zacharias G. Bragoudakis & Stelios Panagiotou & Helen Thanopoulou

**Exchange Rate Predictability**

*by*Barbara Rossi

**Ita-coin: a new coincident indicator for the Italian economy**

*by*Valentina Aprigliano & Lorenzo Bencivelli

**Financial Crisis and Sticky Expectations**

*by*Saten Kumar & Barrett Owen

**A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method**

*by*Asger Lunde & Anne Floor Brix & Wei Wei

**Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution**

*by*Stavros Stavroyiannis & Leonidas Zarangas

**Specifying The Effective Determinants Of House Price Volatilities In Iran**

*by*Murteza Sanjarani Pour & Parviz Nasir Khani & Gholamreza Zamanian & Kamran Barghandan

**The Input-Output Modeling Approach to the National Economy**

*by*Gaftea, Viorel

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*by*Ion Zgreaban, Irina

**Lies, Damned Lies, and Statistics? Examples From Finance and Economics**

*by*Karim M. Abadir

**Příčiny neúspěchu prosazování sanačních postupů v insolvenční realitě**

*by*Luboš Smrčka & Markéta Arltová & Jaroslav Schönfeld

**The Development of Earnings in Romania Before and After the Economic CrisisAbstract:Any economy attaches a significant role to the evolution of the wages in order to determine unemployment and inflation. The rapid increase in the average salary both before and after the emergence of the economic and financial crisis is the reason for this study. This paper is focused on the evolution of nominal and real net salary earnings at the level of the national economy, on economic activities and on development regions and the influence of salary earnings on the inflation rate and on the unemployment rate. The relationships between the salary earnings, the inflation rate and the unemployment rate are studied by means of multifactorial linear regression models. For the analysis of the correlations we took into account a 13-year period, 20002012, and for the evolution of the two studied indicators, the analysed period is 2007 – 2012. For the econometric modelling we used a software package called Eviews**

*by*Nec?ulescu Consuela & ?erbãnescu Lumini?a

**Un análisis de la política monetaria en México y sus efectos en variables reales, 1995-2011: un modelo VAR en un ambiente browniano**

*by*Martínez-García, Miguel Ángel. & Venegas-Martínez, Francisco. & Trejo-García, José Carlos.

**A survey of dynamic microsimulation models: uses, model structure and methodology**

*by*Jinjing Li & Cathal O'Donoghue

**Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Progarms**

*by*Canlin Li & Min Wei

**Academic Rankings with RePEc**

*by*Christian Zimmermann

**Polynomial Regressions and Nonsense Inference**

*by*Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero

**Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc**

*by*Chia-Lin Chang & Michael McAleer

**The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process**

*by*Umberto Triacca

**Structural Panel VARs**

*by*Peter Pedroni

**Parametric and Nonparametric Frequentist Model Selection and Model Averaging**

*by*Aman Ullah & Huansha Wang

**Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging**

*by*Naoya Sueishi

**Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments**

*by*Fei Jin & Lung-fei Lee

**Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator**

*by*Søren Johansen & Bent Nielsen

**Constructing U.K. Core Inflation**

*by*Terence C. Mills

**Forecasting Value-at-Risk Using High-Frequency Information**

*by*Huiyu Huang & Tae-Hwy Lee

**Ten Things You Should Know about the Dynamic Conditional Correlation Representation**

*by*Massimiliano Caporin & Michael McAleer

**On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations**

*by*Yongning Wang & Ruey S. Tsay

**Consumption Inequality in China: Theory and Evidence from the China Health and Nutrition Survey**

*by*Kunyuan Qiao

**Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India**

*by*Debabrata Mukhopadhyay & Nityananda Sarkar

**Heteroskedasticity and non-normality robust LM tests for spatial dependence**

*by*Baltagi, Badi H. & Yang, Zhenlin

**The divergence between core and headline inflation: Implications for consumers’ inflation expectations**

*by*Arora, Vipin & Gomis-Porqueras, Pedro & Shi, Shuping

**Sources of time-varying trade balance and real exchange rate dynamics in East Asia**

*by*Rafiq, Sohrab

**Predictability of currency carry trades and asset pricing implications**

*by*Bakshi, Gurdip & Panayotov, George

**Market capitalization and Value-at-Risk**

*by*Dias, Alexandra

**Moment-based estimation of stochastic volatility**

*by*Bregantini, Daniele

**Purchasing power parity in transition countries: Old wine with new bottle**

*by*He, Huizhen & Ranjbar, Omid & Chang, Tsangyao

**On the short- and long-run efficiency of energy and precious metal markets**

*by*Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong

**The effects of terrorism and war on the oil price–stock index relationship**

*by*Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos

**Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach**

*by*Souček, Michael & Todorova, Neda

**A cross-country analysis of electricity market reforms: Potential contribution of New Institutional Economics**

*by*Erdogdu, Erkan

**Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate**

*by*Salisu, Afees A. & Mobolaji, Hakeem

**An information diffusion-based model of oil futures price**

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*by*Chun-Teck Lye & Tze-Haw Chan & Chee-Wooi Hooy

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*by*Ju-Ann Yang & Shyan-Rong Chou & Chen-Hsun Lee

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*by*Hiremath, Gourishankar S & Bandi, Kamaiah

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**La production scientifique des enseignants-chercheurs en économie : Quelques résultats économétriques issus du dispositif PES**

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*by*Ludovic Dobbelaere & Igor Lebrun

**Long-range dependence in returns and volatility of Central European Stock Indices**

*by*Ladislav Kristoufek

**Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia**

*by*Chang, C-L. & Khamkaew, T. & McAleer, M.J.

**Predictive Ability of Value-at-Risk Methods: Evidence from the Karachi Stock Exchange-100 Index**

*by*Javed Iqbal & Sara Azher & Ayesha Ijaz

**A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects**

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**Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model**

*by*Chudik, Alexander & Fratzscher, Marcel

**Model Averaging In Economics**

*by*Enrique Moral-Benito

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*by*Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart

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*by*Institute for Economic Forecasting & Centre for Macroeconomic Modelling

**The "Dobrescu Macromodel" of the Romanian Market Economy - 2005 Version - Yearly Forecast – Autumn Forecast for 2010**

*by*Institute for Economic Forecasting & Centre for Macroeconomic Modelling

**The "Dobrescu Macromodel" of the Romanian Market Economy - 2005 Version - Yearly Forecast – Summer Forecast for 2010**

*by*Institute for Economic Forecasting & Centre for Macroeconomic Modelling

**The "Dobrescu Macromodel" Of The Romanian Market Economy - 2005 Version Yearly Forecast - Spring Forecast 2010**

*by*Institute for Economic Forecasting & Centre for Macroeconomic Modelling

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**La Numismática como objeto de inversión y valoración/Numismatics as an object of investment and valuation**

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**Measuring The Impacts Of Trade Liberalization Focusing On The Effects Of Processed Goods On Raw Material Markets: An Application To The Dairy Sector In Korea**

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**The Czech Treasury Yield Curve from 1999 to the Present**

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**Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008**

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**Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR**

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**Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications**

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*by*Khiabani, Nasser & Mazyaki, Ali

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**Time to reject the privileging of economic theory over empirical evidence? A Reply to Lawson (2009)**

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**Dynamic Estimation of Health Expenditure: A new approach for simulating individual expenditure**

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*by*Veiga, Helena & Grané, Aurea

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*by*Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia

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**Bond risk premia, macroeconomic fundamentals and the exchange rate**

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**Studying the Short-Run Dynamics of Inflation: Estimating a Hybrid New-Keynesian Phillips Curve for Argentina (1993-2007)**

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*by*Macomodel of the Romanian Market Economy Group (Cornelia Scutaru, Ion Ghizdeanu, Lucian Liviu Albu, Bianca Pauna, Corina Saman)

**Empirical Applications of Discrete Choice Dynamic Programming Models**

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**Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data**

*by*Vít Bubák & Filip Žikeš

**Analiza posljedica globalne krize na hrvatsko gospodarstvo i moguca riješenja**

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**EUROMON: the multi-country model of De Nederlandsche Bank**

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**Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk**

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*by*UNDP

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**Demand for Money in India: 1953-2003**

*by*B Bhaskara Rao & Singh Rup

**How Useful Is Contingent Valuation Of The Environment To Water Services? Evidence From South East, Nigeria**

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**Globalization and Regional Income Inequality--Evidence from within China**

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**‘‘Moving Median’’ A New Method Of Forecasting**

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**Propagation of Memory Parameter from Durations to Counts**

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**Bibliographic portrait of the Gini concentration ratio**

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**Production Functions Estimates for Soviet Industry and Some Implications**

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**Simulation des Einflusses der Planung auf die sowjetische Wirtschaft**

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**Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging**

*by*Feng Dai & Hui Liu & Ying Wang

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*by*Giovanni Maria Giorgi & Maria Grazia Pittau & Roberto Zelli

**A proposal of poverty measures based on the Bonferroni inequality index**

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**Encounter with the Italian Statistical School: A conversation with Carlo Benedetti**

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*by*Giovanni Maria Giorgi & Andrea Pallini

**A look at the Bonferroni inequality measure in a reliability framework**

*by*Giovanni Maria Giorgi & Michele Crescenzi

**Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units**

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**A New Method For Estimating The Order Of Integration Of Fractionally Integrated Processes Using Bispectra**

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**Liberalisation and it’s effect on inequality in developing countries-A case study on India**

*by*Supreena Narayanan

**Structural change in Export and economics growth: Analysis for spain (1980-2001)**

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**Adaptive Estimation of the Regression Discontinuity Model**

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**The effect on retail charges of mergers in the GB electricity market**

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**Active versus Passive Sample Attrition: The Health and Retirement Study**

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**On Tail Index Estimation for Dependent, Heterogenous Data**

*by*Jonathan B. Hill

**Does Telecommuting Reduce Vehicle-miles Traveled? An Aggregate Time Series Analysis for the U. S**

*by*Sangho Choo & Patricia L. Mokhtarian & Ilan Salomon

**Does Format of Pricing Contract Matter?**

*by*Teck-Hua Ho & Juanjuan Zhang

**Using the correlation dimension to detect non-linear dynamics: Evidence from the Athens Stock Exchange**

*by*David Chappell & Theodore Panagiotidis

**Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series**

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**Financing Constraints and Firm Inventory Investment: A Reexamination**

*by*John Tsoukalas

**Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited**

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**Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis**

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**Customer Satisfaction Measurement Models: Generalised Maximum Entropy Approach**

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**The Inflation In European Union**

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**The hunting in the Province of Elassona**

*by*Giovanis Elephtherios

**Econometric Analysis of O.U.T.A. – Organisation of Urban Transportations of Athens**

*by*Giovanis Elephtherios

**Econometric Analysis for the rural sector in Greek economy**

*by*Giovanis Elephtherios

**Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications**

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**Dynamic Conditional Correlation with Elliptical Distributions**

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**Boating Against the Current: Cases, Concepts, Models and Development Power**

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**Metodología estadística para estudios de Disponibilidad a Pagar (DAP) aplicada a un proyecto de Abastecimiento de Agua**

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**Were Cobb and Douglas Prejudiced? A Critical Re-analysis of their 1928 Production Model Identification**

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**Multivariate STAR Unemployment Rate Forecasts**

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**Grinkevych's Model of forecasting**

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**Assessing Forecast Performance in a VEC Model: An Empirical Examination**

*by*Bragoudakis Zacharias

**Overlaying Time Scales in Financial Volatility Data**

*by*Eric Hillebrand

**Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View**

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**GMM Estimation for Long Memory Latent Variable Volatility and Duration Models**

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**Tracing the Source of Long Memory in Volatility**

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**Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment**

*by*Rohit Deo & Clifford Hurvich & Yi Lu

**Are the Washington Consensus Policies Sustainable? Game Theoretical Assessment for the Case of Ecuador**

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**Are the Washington Consensus Policies Sustainable? Game Theoretical Assessment for the Case of Ecuador**

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**Specification of Functional Form in Models of Population Migration**

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**Commodity Price Fluctuations: A Century of Analysis**

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**Income Disparity and Economic Growth: Evidence from China**

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**SEAM: A Small-Scale Euro Area Model With Forward-Looking Elements**

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**Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests**

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**European Stock Market Dynamics Before and After the Introduction of the Euro**

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**Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets**

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**Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission**

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**Structural Econometric Models in Forecasting Inflation at the National Bank of Poland**

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*by*Philippe Jeanfils & Koen Burggraeve

**Noname - A new quarterly model for Belgium**

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**Is there long-run convergence of regional house prices in the UK?**

*by*Mark J. Holmes & Arthur Grimes

**The Nature and Costs of Dis-Equilibrium Trade: The Case of Transatlantic Grain Exports in the 19th Century**

*by*Mette Ejrnæs & Karl Gunnar Persson

**Heterogeneity, State Dependence and Health**

*by*Timothy J Halliday

**Modeling The Non-Linear Behaviour of Inflation Deviations From The Target**

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**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**

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**Working Paper 06-05 - The Macroeconomic Effects of an Oil Price Shock on the World Economy : A Simulation with the NIME Model**

*by*Eric Meyermans & Patrick Van Brusselen

**The Advance in Partial Distribution: A New Mathematical Tool for Economic Management**

*by*Feng Dai & Ling Liang

**Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging**

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**EMMA - A Quarterly Model of the Estonian Economy**

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**Convergence of Electricity Wholesale Prices in Europe?: A Kalman Filter Approach**

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**Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models**

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**Real-Time Model Uncertainty in the United States: the Fed from 1996-2003**

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**Biases in Static Oligopoly Models?:Evidence from the California Electricity Market**

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**Modelling Aggregate Consumption Growth with Time-Varying Parameters**

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**La Modélisation Macro–Econométrique Dynamique**

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**Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?**

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**HDR 2005 - International cooperation at a crossroads: Aid, trade and security in an unequal world**

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**Dalla teoria alla pratica nei modelli macroeconomici: l’eclettismo post-keynesiano**

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**Evaluating Macroeconometric Modelling with Regard to Usefulness: a Survey**

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**The Impact of Farm Consolidation on Productive Efficiency in Korean Agriculture: Analysis of Farm-Level Panel Data**

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**Government Revenues And Expenditures In Guinea-Bissau: Causality And Cointegration**

*by*Francisco G. Carneiro & Joao R. Faria & Boubacar S. Barry

**Estimating nonuse values using conjoint analysis**

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**The Bi-parameter Smooth Transition Autoregressive model**

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**The Optimal Prediction Simultaneous Equations Selection**

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**A New Variant of RESET for Distributed Lag Models**

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**Endogenous OCA Theory: Using the Gravity Model to Test Mundell's Intuition**

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**Exchange Rate Pass-Through Into Import Prices In Developing Countries: An Empirical Investigation**

*by*BARHOUMI Karim

**"A regression error specification test (RESET) for generalized linear models"**

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**Industry and Foreign Trade in India, China and OECD countries: an analysis of causality, 1960-2002**

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**Employment, Development and Research Expenditure in European Union: analysis of causality and comparison with the United States, 1993-2003**

*by*Guisan, M.C. & Aguayo, E.

**Budget Deficits and Indirect Taxes during the Political Instability Periods in Turkey: Cointegration Analysis and EC Model Estimation, 1985-2003**

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**El análisis econométrico desde la perspectiva de sistemas de información: un cambio de configuración**

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**Modelisation multifractale du taux de change dollar/euro**

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**Inference of Structural Econometric Models: A Unified Approach**

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**Unpredictability and the Foundations of Economic Forecasting**

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**Comparing Empirical Models of the Euro Economy**

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**Real-time price discovery in stock, bond and foreign exchange markets**

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**Information Flow Structure in Large-Scale Product Development Organizational Networks**

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**The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets**

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**Genetic Algorithms: Genesis of Stock Evaluation**

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**HABIT FORMATION IN CONSUMPTION: A Case Study of Rural India**

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**Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile**

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**Asymptotics for Duration-Driven Long Range Dependent Processes**

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**Predictive Regressions: A Reduced-Bias Estimation Method**

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**Semiparametric Estimation of Fractional Cointegrating Subspaces**

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**Estimating Long Memory in Volatility**

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**Threshold Cointegration between Stock Returns : An application of STECM Models**

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**Design-Adaptive Pointwise Nonparametric Regression Estimation For Recurrent Markov Time Series**

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**A Dynamic “Fixed Effects” Model for Heterogeneous Panel Data**

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**Multifractal analysis of Power Markets. Some empirical evidence**

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**Model Selection Uncertainty and Detection of Threshold Effecs**

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**On Describing Multivariate Skewness: A Directional Approach**

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**Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models**

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**Testing The Significance Of Local Influence**

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**Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor**

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**Simulation-based estimation of peer effects**

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**The Partial Distribution: Definition, Properties and Applications in Economy**

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*by*Eric Meyermans

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*by*Aguayo, Eva & Guisan, Maria-Carmen

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*by*Guisan, Maria-Carmen & Cardim-Barata, Ana Sofia

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**Accounting for unobservables in production models:management and inefficiency**

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*by*Schlenker, Wolfram & Hanemann, W. Michael & Fisher, Anthony C.

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**Mean-Covariance Structure Models in Economic Research: an Application to a Lending Program for Development in Burkina Faso**

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*by*Guisan, M.Carmen

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*by*Ibrahim, M.H

**Education, Research and Manufacturing in EU25: An Inter-Sectoral Econometric Model of 151 European Regions, 1995-2000**

*by*Guisan, M.C.

**Desarrollo economico de Europa Central en 1950-2002: Modelos econometricos y comparacion con Irlanda, España y Austria**

*by*Guisan, M. C. & Aguayo, E.

**Econometric Models and Evolution of Agrarian and non Agrarian Employment in OECD Countries, 1950-2000**

*by*Guisán, M.C. & Expósito, P.

**Human Capital, Trade and Development in India, China, Japan and other Asian Countries, 1960-2002: Econometric Models and Causality Tests**

*by*Guisan, M.C.

**Determinants of Aggregate Imports in the GCC countries**

*by*Metwally, M.M.

**Employment, Population and Regional Development in Western and Central Europe. Econometric Models and Challenges of EU Enlargement**

*by*Guisan, M.C. & Aguayo, E.

**The Capital Structure Choice and Financial Market Liberalization: A Panel Data Analysis and GMM Estimation in Jordan**

*by*Maghyereh, A.

**Linkages of Indian Interest Rates with US and Japanese Rates**

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**A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction**

*by*Dimitris N. Politis

**The Effect of Economic and Social Resources in Some Countries in Transition for 2000: A Static Econometric Model**

*by*Aleksandar Dimitrov

**Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data**

*by*Serena Ng & Jean Boivin

**Dynamic Neural Network Based Inflation Forecasts for the UK**

*by*Binner, J & Gazely

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*by*Márquez Pozos, Jorge Miguel & Islas Camargo, Alejandro & Venegas-Martínez, Francisco

**A macroeconometric model for the Euro economy**

*by*Dreger, Christian

**Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany**

*by*Borbély, Dóra & Meier, Carsten-Patrick

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**Testing for Stochastic Cointegration and Evidence for Present Value Models**

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**Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification**

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**Examination Of Some More Powerful Modifications Of The Dickey- Fuller Test**

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**On Unit Root Tests and the Initial Observation**

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**Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter**

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**the Multi-State Markov Switching Model**

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**Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison**

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**An Improved Panel Unit Root Test Using GLS-Detrending**

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**Estimating Economic Effects of Political Movements in China**

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**From Economic Activity to Understanding Spaces**

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**Innovation And Technological Evolution In A Western European Country – The Case Of Portugal**

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**Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS**

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**Individual Mortality and Macro Economic Conditions from Birth to Death**

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**From Economic Activity to Understanding Spaces**

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**External Trade, Tourism and Economic Integration in Latin America**

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**Causality Tests, Interdependence and Model Selection: Aplication to OECD countries 1960-97**

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**Fractional Reserve Banking as Economic Parasitism: A Scientific, Mathematical & Historical Expose, Critique, and Manifesto**

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**Some Reflections on Trend-Cycle Decompositions with Correlated Components**

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*by*Ghassan, Hassan B. & Ihnach, Houcine

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*by*Jørgen Aasness & Erik Biørn & Terje Skjerpen

**Aggregation when Markets do not Clear**

*by*Leif Andreassen

**A Framework for Estimating Disequilibrium Models with Many Markets**

*by*Leif Andreassen

**Robert E. Lucas Jr., Prix Nobel d'Économie 1995**

*by*Buda, Rodolphe

**Consumer Durables and Inertial Behavior: Estimation and Aggregation of (S,s) Rules**

*by*Orazio P. Attanasio

**HDR 1995 - Gender and Human Development**

*by*UNDP

**Using Expectations Data to Study Subjective Income Expectations**

*by*Jeff Dominitz & Charles F. Manski

**Eliciting Student Expectations Of The Returns To Schooling**

*by*Jeff Dominitz & Charles F. Manski

**Testing the null of stationarity in the presence of structural breaks for multiple time series**

*by*Ahn & Byung Chul

**Joint Censoring Of Regressors And Outcomes:Survey Nonresponse And Attrition**

*by*Joel L. Horowitz & Charles F. Manski

**Simultaneity With Downward Sloping Demand**

*by*Charles F. Manski

**Wavelets in Econometrics: An Application to Outlier Testing**

*by*Seth A. Greenblatt

**Markov Chain Monte Carlo Simulation Methods in Econometrics**

*by*Siddhartha Chib & Edward Greenberg

**The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation**

*by*Robert A. Amano & Tony S. Wirjanto

**A Further Analysis of Exchange Rate Targeting in Canada**

*by*Robert A. Amano & Tony S. Wirjanto

**Wavelet Analysis of Fractionally Integrated Processes**

*by*Mark J. Jensen

**Goodness-of-Fit for Revealed Preference Tests**

*by*Hal R. Varian

**La modélisation macroéconomique comme processus de communication : pour une formalisation finaliste des équations de comportement**

*by*Buda, Rodolphe

**Small Sample Properties of Generalized Method of Moments Based Wald Tests**

*by*Craig Burnside & Martin Eichenbaum

**Planning paper 67 - Projet MODTRIM - Description du modÃ¨le dans sa version actuelle**

*by*M.-A. Jamar de BolsÃ©e & Joost Verlinden

**Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically**

*by*Pedro Gozalo & Oliver Linton

**HDR 1994 - New Dimensions of Human Security**

*by*UNDP

**Classical Estimation Methods for LDV Models Using Simulation**

*by*V.A. Hajivassiliou & P. A. Ruud

**Nonparametric Multivariate Regression Subject to Constraint**

*by*S. M. Goldman & P. A. Ruud

**A Predictive Approach to Model Selection and Multicollinearity**

*by*Edward Greenberg & Robert P. Parks

**A Simulation Investigation of Firm-Specific Equation Models as Used in Accounting Information Event Studies**

*by*Walter Teets & Robert P. Parks

**A Multicriteria Approach to Dynamic Estimation**

*by*Kalaba, Robert E. & Tesfatsion, Leigh

**HDR 1993 - People's Participation**

*by*UNDP

**Linear and Nonlinear Associative Memories for Parameter Estimation**

*by*Kalaba, Robert E. & Lichtenstein, Z. & Simchony, T. & Tesfatsion, Leigh S.

**The Impact of Permanent Job Loss on Health Insurance Benefits**

*by*Craig A. Olson

**A Kit of Results For Sampled and Temporally Aggregated Models**

*by*Luigi Ermini

**HDR 1992 - Global Dimensions of Human Development**

*by*UNDP

**A Unified Approach to Dynamic Estimation**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**Work by Robert Kalaba on Multicriteria Estimation**

*by*Tesfatsion, Leigh S.

**Obtaining Initial Parameter Estimates for Nonlinear Systems Using Multicriteria Associative Memories**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**Estimating demand and supply of edible oil in Pakistan**

*by*Haq, Rashida

**HDR 1991 - Financing Human Development**

*by*UNDP

**An Organizing Principle for Dynamic Estimation**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**U.S. Money Demand Instability: A Flexible Least Squares Approach**

*by*Tesfatsion, Leigh S. & Veitch, J.

**A Further Note on Flexible Least Squares and Kalman Filtering**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**Flexible Least Squares for Approximately Linear Systems**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**The Econometric Analysis of Time Series, 2nd Edition**

*by*Andrew C. Harvey

**HDR 1990 - Concept and Measurement of Human Development**

*by*UNDP

**Sequential Nonlinear Estimation With Nonaugmented Priors**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**Time-Varying Linear Regression Via Flexible Least Squares**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**A Fortran Program for Time-Varying Linear Regression Via Flexible Least Squares**

*by*Kalaba, Robert E. & Rasakhoo, N. & Tesfatsion, Leigh S.

**What can we learn from univariate time series models? The case of sugar production in Mauritius 1879-1987**

*by*Lallmahomed, Naguib & Taubert, Peter

**Planning Paper 39 - A disequilibrium macroeconomic model of the Belgian economy : the Maribel II model of the Planning office**

*by*Henri Bogaert & Tanguy de Biolley & Joost Verlinden

**Exact Sequential Filtering, Smoothing, and Prediction for Nonlinear Systems**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**The Flexible Least Squares Approach to Time-Varying Linear Regression**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**Empirical Methods for International Trade**

*by*

**A development model of a dualistic economy. The Italian case**

*by*Fusari, Angelo

**Model Reliability**

*by*

**Studies on the identification problem of the simultaneous economic models from viewpoint of unique determination of parameters (I)**

*by*Tian, Guoqiang

**Exact Sequential Solutions for a Class of Discrete-Time Nonlinear Estimation Problems**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**A Sequential Method for Nonlinear Filtering: Numerical Implementation and Comparisons**

*by*Kalaba, Robert E. & Spingarn, K. & Tesfatsion, Leigh S.

**A Least-Squares Model Specification Test for a Class of Dynamic Nonlinear Economic Models With Systematically Varying Parameters**

*by*Kalaba, Robert E. & Tesfatsion, Leigh S.

**Modeling with scenarios: technology in north-south development**

*by*Chichilnisky, Graciela & Cole, Sam

**A Structural Model of Exchange Rate Dynamics**

*by*Kuzmin, Anton

**Computer Simulation of Competitive Market Response**

*by*Arnold E. Amstutz

**Random Error and Simulation Models With an Unobserved Dependent Variable as applied to the Benefits and Costs of the Clean Air Act**

*by*Scott Farrow

**Random Error and Simulation Models With an Unobserved Dependent Variable as applied to the Benefits and Costs of the Clean Air Act**

*by*Scott Farrow

**Random Error and Simulation Models With an Unobserved Dependent Variable as applied to the Benefits and Costs of the Clean Air Act**

*by*Scott Farrow

*by*Scott Farrow

*by*Scott Farrow

**The StoNED age: The Departure Into a New Era of Efficiency Analysis? An MC study Comparing StoNED and the "Oldies" (SFA and DEA)**

*by*Mark Andor & Frederik Hesse

**A Monte Carlo Simulation comparing DEA, SFA and two simple approaches to combine efficiency estimates**

*by*Mark Andor & Frederik Hesse

**Computational Economics**

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