## 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.

**Maximum likelihood and economic modeling**

*by*Gauthier Lanot

**Characterizing investor expectations for assets with varying risk**

*by*Gaus, Eric & Sinha, Arunima

**Oil vs. gasoline: The dark side of volatility and taxation**

*by*Aboura, Sofiane & Chevallier, Julien

**A shape constrained estimator of bidding function of first-price sealed-bid auctions**

*by*Zhang, Yu Yvette

**Regimes dependent speculative trading: Evidence from the United States housing market**

*by*Chen, Zhenxi

**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

**L’attractivité des investissements directs étrangers Cas de l’industrie manufacturière marocaine**

*by*BIJOU, MOHAMMED & ELHASSOUNI, MOHAMMED

**Private Consumption in The WAEMU Zone: Does Interest Rate Matter?**

*by*Combey, Adama

**Economic Growth, Financial Development, Urbanization and Electricity Consumption Nexus in UAE**

*by*SBIA, Rashid & Shahbaz, Muhammad & Ozturk, Ilhan

**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

**Technological differences, theoretically consistent frontiers and technical efficiency: a Random parameter application in the Hungarian crop producing farms**

*by*Lajos Barath & Heinrich Hockmann

**Global Value Chains and Changing Trade Elasticities**

*by*Byron Gangnes & Ari Van Assche

**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

**Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls**

*by*Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P

**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

**Energy efficiency and rebound effect in European road freight transport**

*by*Llorca, M. & Jamasb, T.

**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 Growth: 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

**On the Linkage between the International Crude Oil Price and Stock Markets: Evidence from the Nordic and Other European Oil Importing and Oil Exporting Countries**

*by*Murad A. BEIN & Mehmet AGA

**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

**Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models**

*by*Richard A. Ashley & Xiaojin Sun

**Generalized Information Matrix Tests for Detecting Model Misspecification**

*by*Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner

**Panel Cointegration Testing in the Presence of Linear Time Trends**

*by*Uwe Hassler & Mehdi Hosseinkouchack

**Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation**

*by*Badi H. Baltagi & Chihwa Kao & Bin Peng

**Pair-Copula Constructions for Financial Applications: A Review**

*by*Kjersti Aas

**Social Networks and Choice Set Formation in Discrete Choice Models**

*by*Bruno Wichmann & Minjie Chen & Wiktor Adamowicz

**Oil Price and Economic Growth: A Long Story?**

*by*María Dolores Gadea & Ana Gómez-Loscos & Antonio Montañés

**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

**Decreasing fare evasion without fines? A microeconomic analysis**

*by*Guarda, Pablo & Galilea, Patricia & Handy, Susan & Muñoz, Juan Carlos & Ortúzar, Juan de Dios

**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.

**Dating the financial cycle with uncertainty estimates: a wavelet proposition**

*by*Ardila, Diego & Sornette, Didier

**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

**Electricity price forecasting using sale and purchase curves: The X-Model**

*by*Ziel, Florian & Steinert, Rick

**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.

**Random forests-based early warning system for bank failures**

*by*Tanaka, Katsuyuki & Kinkyo, Takuji & Hamori, Shigeyuki

**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

**Non-Linear Modelling of Money Demand in Tunisia: Evidence from the STAR Model**

*by*Nidhal Mgadmi & Helmi Hamdi & Houssem Rachdi

**Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts?**

*by*Valeriya V. Lakshina & Andrey M. Silaev

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

*by*Katsuhiro Sugita

**Comparing Functional Link Artificial Neural Network And Multilayer Feedforward Neural Network Model To Forecast Crude Oil Prices**

*by*Manel Hamdi & Chaker Aloui & Santosh kumar Nanda

**Monetary policy decision making: the role of ideology, institutions and central bank independence**

*by*Cleomar Gomes da silva & Flavio V. Vieira

**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

**Revision Policy Of Seasonally Adjusted Series – Case Study On Romanian Quarterly Gdp**

*by*Andreea MIRICĂ & Tudorel ANDREI & Elena-Doina DASCĂLU & George-Ioan MINCU RĂDULESCU & Ionela-Roxana GLĂVA

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

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

**An Approach On The Modelling Of Long Economic Cycles In The Context Of Sustainable Development**

*by*Cristina TANASESCU & Amelia BUCUR & Camelia OPREAN-STAN

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

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

**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

**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

**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

**Commodity Prices and Macroeconomic Variables in India: An Auto-Regressive Distributed Lag (ARDL) Approach**

*by*Jena, Pratap Kumar

**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**

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**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**

*by*Li, Ziran & Sun, Jiajing & Wang, Shouyang

**Combining day-ahead forecasts for British electricity prices**

*by*Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany

**The long-run causal relationship between transport energy consumption and GDP: Evidence from heterogeneous panel methods robust to cross-sectional dependence**

*by*Liddle, Brantley & Lung, Sidney

**Model averaging with covariates that are missing completely at random**

*by*Zhang, Xinyu

**A global index of riskiness**

*by*Schnytzer, Adi & Westreich, Sara

**Are government and IMF forecasts useful? An application of a new market-timing test**

*by*Tsuchiya, Yoichi

**Beach ‘lovers’ and ‘greens’: A worldwide empirical analysis of coastal tourism**

*by*Onofri, Laura & Nunes, Paulo A.L.D.

**Using CARRX models to study factors affecting the volatilities of Asian equity markets**

*by*Sin, Chor-Yiu (CY)

**Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach**

*by*Righi, Marcelo Brutti & Ceretta, Paulo Sergio

**Can signal extraction help predict risk premia in foreign exchange rates**

*by*Kiani, Khurshid M.

**Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach**

*by*Sriananthakumar, Sivagowry

**The yield curve and the macroeconomy: Evidence from Turkey**

*by*Kaya, Huseyin

**Estimating a small open economy DSGE model with indeterminacy: Evidence from China**

*by*Zheng, Tingguo & Guo, Huiming

**Variance risk-premia in CO2 markets**

*by*Chevallier, Julien

**Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models**

*by*Scheiblecker, Marcus

**Revisiting the FDI-led growth Hypothesis: The case of China**

*by*Yalta, A. Yasemin

**The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries**

*by*Kazi, Irfan Akbar & Wagan, Hakimzadi & Akbar, Farhan

**A Note on Socio-Economic Characteristics and the Demand for Beverages in Nigeria: Does Income Matter?**

*by*Kolawole Ogundari

**Monetary regime change and business cycles**

*by*Cúrdia, Vasco & Finocchiaro, Daria

**Spatial spillovers in the development of institutions**

*by*Kelejian, Harry H. & Murrell, Peter & Shepotylo, Oleksandr

**Returns to education and urban-migrant wage differentials in China: IV quantile treatment effects**

*by*Messinis, George

**Comparisons of Chinese and Indian Energy Consumption Forecasting Models**

*by*Vipin Arora

**The relationship between natural resources rents, trade openness and economic growth in Algeria**

*by*Helmi Hamdi & Rashid Sbia

**Measuring co-movement of oil price and exchange rate differential in Bangladesh**

*by*Gazi Salah Uddin & Aviral Kumar Tiwari

**Multivariate Granger causality between foreign direct investment and economic growth in Tunisia**

*by*Helmi Hamdi & Rashid Sbia & Hakimi Abdelaziz & Wafa Khlaifia hakimi

**Estimation of disaggregated import demand functions for Turkey**

*by*Ertan Oktay & Giray Gozgor

**Testing export-led growth in Tunisia and Morocco: New evidence using the Toda and Yamamoto procedure**

*by*Helmi Hamdi

**Developing a two way error component estimation model with disturbances following a special autoregressive (4) for quarterly data**

*by*Marcel die Dama & Boniface ngah Epo & Galex syrie Soh

**On asymptotic properties of the QLM estimators for GARCH models**

*by*Maddalena Cavicchioli

**Informational content of corporate ratings in a developing country: the case of Brazilian firms**

*by*Rosemarie Bröker Bone & Eduardo P Ribeiro

**Modelling the Demand for Money in Sub-Saharan Africa (SSA)**

*by*Afees Salisu & Idris Ademuyiwa & Basiru Fatai

**Aggregated Choice Data And Logit Models: Application To Environmental Benign Practices Of Conservation Tillage By Farmers In The State Of Iowa**

*by*KURKALOVA, Lyubov A. & WADE, Tara R.

**Macro-Econometric Models Of Supply And Demand: Industry, Trade And Wages In 6 Countries, 1960-2012**

*by*Guisan, M.C.

**Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers**

*by*Luis Fernando Melo & Hernán Rincón

**Tamaño óptimo del gasto público colombiano: una aproximación desde la teoría del crecimiento endógeno**

*by*Camilo Alvis & Cristian Castrillón

**Inequality, aid and growth: Macroeconomic impact of aid grants and loans in Latin America and the Caribbean**

*by*Sergio Tezanos & Ainoa Quiñones & Marta Guijarro

**Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers**

*by*Luis Fernando Melo & Hernán Rincón

**Monitoring Costs With Electricity Production From Renewable Sources By Means Of Econometric Tools**

*by*S.C. TEIUSAN & L.M. ROF

**Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity**

*by*Gürtler, Marc & Rauh, Ronald

**The StoNED age: The departure into a new era of efficiency analysis? An MC study comparing StoNED and the "oldies" (SFA and DEA)**

*by*Andor, Mark & Hesse, Frederik

**Trade Integration in the CIS: Alternate Options, Economic Effects and Policy Implications for Belarus, Kazakhstan, Russia and Ukraine**

*by*Vasily Astrov & Peter Havlik & Olga Pindyuk

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

*by*Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer

**A New Structural Break Model with Application to Canadian Inflation Forecasting**

*by*John M Maheu & Yong Song

**Mis-specification Testing: Non-Invariance of Expectations Models of Inflation**

*by*Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen

**On the Effect of Premia and Penalties on the Optimal Portfolio Choice**

*by*Currarini, Sergio & Marini, Marco A.

**Child labor in agricultural households in Burkina Faso, Ivory Coast and Mali: test of the luxury axiom by a fuzzy sets theory approach**

*by*ABALO, Kodzovi

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

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

**Understanding the supply chain resilience: a Dynamic Capabilities approach**

*by*Yao, Yuan & Meurier, Beatrice

**Modeling of EAD and LGD: Empirical Approaches and Technical Implementation**

*by*Yang, Bill Huajian & Tkachenko, Mykola

**The impact of farmland loss on income distribution of households in Hanoi's peri-urban areas, Vietnam**

*by*Quang Tran, Tuyen

**Child labor in agricultural households in Burkina Faso, Ivory Coast and Mali: test of the luxury axiom by a fuzzy sets theory approach**

*by*ABALO, Kodzovi

**Economic forces and stock exchange prices: pre and post impacts of global financial recession of 2008**

*by*Bellalah, Mondher & Masood, Omar & Thapa, Priya Darshini Pun & Levyne, Olivier & Triki, Rabeb

**The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt**

*by*Ezzat, Hassan

**On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model**

*by*Muteba Mwamba, John

**Financial deepening and economic growth in Gulf Cooperation Council countries**

*by*HAMDI, Helmi & SBIA, Rashid & TAS, Bedri

**Eficiência técnica das agropecuárias familiar e patronal – diferenças regionais no Brasil**

*by*Imori, Denise & Guilhoto, Joaquim José Martins & Postali, Fernando Antonio Slaibe

**Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation**

*by*Qiu, Yumou & Chen, Songxi

**Estimation in semiparametric models with missing data**

*by*Chen, Songxi

**Two Sample Tests for High Dimensional Covariance Matrices**

*by*Chen, Songxi

**Cross Sectoral Differences in Drivers of Innovation**

*by*Doran, Justin & Jordan, Declan

**Predicting crises: Five essays on the mathematic prediction of economic and social crises**

*by*Albers, Scott

**A Dynamic Inflation Hedging Trading Strategy Using a CPPI**

*by*Fulli-Lemaire, Nicolas

**Forecasting 2012 United States Presidential election using Factor Analysis, Logit and Probit Models**

*by*Sinha, Pankaj & Thomas, Ashley Rose & Ranjan, Varun

**Economic scenario of United States of America before and after 2012 U.S. Presidential Election**

*by*Sinha, Pankaj & Singhal, Anushree & Sondhi, Kriti

**Prediction for the 2012 United States Presidential Election using Multiple Regression Model**

*by*Sinha, Pankaj & Sharma, Aastha & Singh, Harsh Vardhan

**Challenges for Romania’s employment policy in the Real Economy**

*by*Marinela, Simuţ Ramona & Lavinia, Delcea (Săutiuţ)

**Sovereign country rating, growth volatility and financial crisis**

*by*Hassan, Gazi & Wu, Eliza

**A preliminary investigation of northern Ireland's housing market dynamics**

*by*Bond, Derek & Gallagher, Emer & Ramsey, Elaine

**Participation in pro poor agro based enterprises in Malawi: do households’ poverty levels change automatically?**

*by*Pangapanga, Phiriinnocent & Thangalimodzi, Lucy Tembo

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

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

**Residual test for cointegration with GLS detrended data**

*by*Pierre Perron & Gabriel Rodriguez

**Modelling and Forecasting Fiscal Policy and Economic Growth in Nepal**

*by*Ram Sharan Kharel Ph.D.

**Continuous-Time Linear Models**

*by*John H. Cochrane

**A New Look at Residential Electricity Demand Using Household Expenditure Data**

*by*Harrison Fell & Shanjun Li & Anthony Paul

**Spurious Common Factors**

*by*Bettina Becker & Stephen G Hall

**Prediction Markets for Economic Forecasting**

*by*Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

**Evaluating a Vector of the Fed's Forecasts**

*by*Tara Sinclair & Herman O. Stekler & Warren Carrow

**A New Approach For Evaluating Economic Forecasts**

*by*Tara Sinclair & Herman O. Stekler & Warren Carnow

**A New Approach For Evaluating Economic Forecasts**

*by*Tara M. Sinclair & H.O. Stekler & Warren Carnow

**Modelling and Forecasting Residential Electricity Consumption in the U.S. Mountain Region**

*by*Jason B. Jorgensen & Fred Joutz

**Evaluating A Vector Of The Fed’S Forecasts**

*by*Tara M. Sinclair & H.O. Stekler & Warren Carnow

**Capital adjustment cost and bias in income based dynamic panel models with fixed effects**

*by*Yoseph Yilma Getachew & Keshab Bhattarai & Parantap Basu

**The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries**

*by*Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar

**Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession**

*by*Laurent Ferrara & Clément Marsilli

**Are Retirement Decisions Vulnerable to Framing Effects? Empirical Evidence from NL and the US**

*by*Federica Teppa & Maarten van Rooij

**The CentERpanel and the DNB Household Survey: Methodological Aspects**

*by*Federica Teppa & Corrie Vis

**Prediction Markets for Economic Forecasting**

*by*Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

**How Useful are DSGE Macroeconomic Models for Forecasting?**

*by*Wickens, Michael R.

**Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis**

*by*Chudik, Alexander & Fratzscher, Marcel

**Construcción de un índice de regionalización para el Sistema Nacional de Propiedad Industrial (SPI)**

*by*Dennis Sánchez-Navarro & Jacobo Campo Robledo & Juan Pablo Herrera-Saavedra & Natalia Cantor-Vargas

**¿Responden los diferentes tipos de flujos de capitales a los mismos fundamentos y en el mismo grado? Evidencia reciente para países emergentes**

*by*Fernando Arias & Daira Garrido & Daniel Parra & Hernán Rincón

**Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers**

*by*luis Fernando Melo & Hernán Rincón

**Spatial autoregressive spillovers vs unobserved common factors models. A panel data analysis of international technology diffusion**

*by*Cern Ertur & Antonio Musolesi

**The Effect of Development Aid Unpredictability and Migrants’ Remittances on Fiscal Consolidation in Developing Countries**

*by*Sena Kimm GNANGNON

**A DSGE model with Endogenous Term Structure**

*by*M. Falagiarda & M. Marzo

**Let's Do It Again: Bagging Equity Premium Predictors**

*by*Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros

**Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors**

*by*Eric Hillebrand & Tae-Hwy Lee

**Modelling electricity day–ahead prices by multivariate Lévy semistationary processes**

*by*Almut E. D. Veraart & Luitgard A. M. Veraart

**The Macromodel of the Moldovan Economy Medium-Term Forecast for Moldova**

*by*Stratan, Alexandru & Chistruga, Marcel

**A Comparative Analysis of ASEAN Currencies Using a Copula Approach and a Dynamic Copula Approach**

*by*Chukiat Chaiboonsri & Prasert Chaitip

**Modelling and Forecasting Fiscal Policy and Economic Growth in Nepal**

*by*Ram Sharan Kharel Ph.D.

**Optimal Exchange Rate and Fiscal Policies for Slovenia on its Way into the Euro Area**

*by*Reinhard Neck & Gottfried Haber & Klaus Weyerstrass

**Ayuda oficial española al desarrollo: Los retos de la especialización geográfica y sectorial/Spanish Official Development Assistance: The Geographical and Sector Specialization Challenges**

*by*LARRÚ, JOSÉ MARÍA & TEZANOS VÁZQUEZ, SERGIO

**Predicción de la inflación en México con modelos desagregados por componente**

*by*Robinson Durán & Evelyn Garrido & Carolina Godoy & Juan de Dios Tena

**Reform and competitive selection in China: An analysis of firm exits**

*by*Yang, Qing Gong & Temple, Paul

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

*by*Pericoli, Marcello & Taboga, Marco

**Uncovering the US term premium: An alternative route**

*by*Gil-Alana, Luis A. & Moreno, Antonio

**Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields**

*by*Hautsch, Nikolaus & Ou, Yangguoyi

**Changing integration of EMU public property markets**

*by*Yunus, Nafeesa & Swanson, Peggy E.

**Econometric modeling and value-at-risk using the Pearson type-IV distribution**

*by*Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L.

**Modeling extreme dependence between European electricity markets**

*by*Lindström, Erik & Regland, Fredrik

**Assessing misspecified asset pricing models with empirical likelihood estimators**

*by*Almeida, Caio & Garcia, René

**Model selection in the presence of nonstationarity**

*by*Kim, Jae-Young

**On the observational implications of taste-based discrimination in racial profiling**

*by*Brock, William A. & Cooley, Jane & Durlauf, Steven N. & Navarro, Salvador

**Bayesian estimation of exchange rate regime choice with spatial effect**

*by*Zhang, Guoxiong

**Jointly testing linearity and nonstationarity within threshold autoregressions**

*by*Pitarakis, Jean-Yves

**Usage of an estimated coefficient as a dependent variable**

*by*Hornstein, Abigail S. & Greene, William H.

**Are the Fama–French factors good proxies for latent risk factors? Evidence from the data of SHSE in China**

*by*Lin, Jianhao & Wang, Meijin & Cai, Lingfeng

**Gauging potential sovereign risk contagion in Europe**

*by*Fong, Tom Pak Wing & Wong, Alfred Y-T.

**An application of models of speculative behaviour to oil prices**

*by*Shi, Shuping & Arora, Vipin

**Monetary and fiscal policies' effect on agricultural growth: GMM estimation and simulation analysis**

*by*Akbar, Muhammad & Jamil, Faisal

**A new interpretation of known facts: The case of two-way causality between trading and volatility**

*by*Müller, Christian

**Improving the value at risk forecasts: Theory and evidence from the financial crisis**

*by*Halbleib, Roxana & Pohlmeier, Winfried

**Yardstick competition in a federation: Theory and evidence from China**

*by*Caldeira, Emilie

**Microeconomic determinants of migrant remittances to Nigerian households**

*by*Nwosu O. Emmanuel & Fonta M. William & Aneke Gladys & Yuni N. Denis

**The shock of domestic gold price on stock price indices-an evidence of india**

*by*Amalendu Bhunia

**Uncertainty and the Dynamics of Multifactor Loadings and Pricing Errors**

*by*Carmine Trecroci

**Estimation of value at risk for financial returns of pakistan using archimedean copula**

*by*Faisal Nawaz & Abdul Qayyum

**A note on the equivalence of the Blanchard and Quah (1989) and Sims (1980) identification procedures**

*by*Hyeon-seung Huh & Yeana Lee

**The economic growth and electricity consumption nexus: Evidence from Mauritius**

*by*Neeliah Harris & Deenapanray Prakash

**Causal Link between Central Government Revenue and Expenditure: Evidence for India**

*by*Yashobanta Parida

**Is uemoa trade creating? an empirical investigation**

*by*Afees Salisu & Idris Ademuyiwa

**Trade creation and trade diversion in West African Monetary Zone (WAMZ)**

*by*Afees Salisu & Idris Ademuyiwa

**Does noncausality help in forecasting economic time series?**

*by*Henri Nyberg & Markku Lanne & Erkka Saarinen

**A new approach for evaluating economic forecasts**

*by*Tara M. Sinclair & H. O. Stekler & Warren Carnow

**Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity**

*by*Shigeyuki Hamori & Yoshihiro Hashiguchi

**Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market**

*by*João Caldeira & Guilherme Moura & André A.P. Santos

**Heteroskedastic Dynamic Factor Models: A Monte Carlo Study**

*by*Gijsbert Suren & Guilherme Moura

**Where enterprise leads, finance follows. In-sample and out-of-sample evidence on the causal relation between finance and growth**

*by*Matthias Hartmann & Helmut Herwartz & Yabibal M. Walle

**Gasoline consumption in China: a dynamic panel data analysis**

*by*Raymond Li & Guy C.K. Leung

**More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility**

*by*Aymen Belgacem & Amine Lahiani

**Active portfolio strategies to manage exchange rate risk exposure related to external debt portfolio of pakistan**

*by*Farhan Akbar & Irfan Kazi & Thierry Chauveau

**Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach**

*by*Dimitrios P. Louzis & Spyros Xanthopoulos - Sissinis & Apostolos P. Refenes

**Exploring the dynamic interdependence between gold and other financial markets**

*by*Takashi Miyazaki & Yuki Toyoshima & Shigeyuki Hamori

**A note on predicting recessions in the euro area using real M1**

*by*Jens Boysen-Hogrefe

**The fractional integrated bi- parameter smooth transition autoregressive model**

*by*Ghassen El Montasser & Ahdi Noomen Ajmi

**A structural VARX modelling of international parities between China and Japan in the liberalization era**

*by*Tze-Haw Chan & Chee-Wooi Hooy & Ahmad Zubaidi Baharumshah

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

*by*Jean-Yves Lesueur

**L'effet dynamique des chocs d'offre et de demande agrégés. Une étude sur le cas allemand**

*by*Romain Legrand

**Firms’ financing and default risk during and after the crisis (Summary of a conference hosted by the Banque de France and OSEO on 9 and 10 February 2012)**

*by*G. Horny,. & F. Savignac. & P. Sevestre.

**18e colloque international sur l’analyse des données de panel : une brève synthèse**

*by*HORNY, G. & SAVIGNAC, F. & SEVESTRE, P.

**Sims, Christopher Albert (born 1942)**

*by*Marcel Boumans

**Option pricing with discrete time jump processes**

*by*Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison

**Der Euro als Triebfeder des deutschen Exports?**

*by*Zeddies, Götz

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

*by*Andor, Mark & Hesse, Frederik

**The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR**

*by*Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano

**Applying Beta-type Size Distributions to Healthcare Cost Regressions**

*by*Jones, A & Lomas, J & Rice, N

**Sequential Self-Selection of Program Adherence**

*by*Ron Mittelhammer & Robert Rosenman & Vidhura Tennekoon

**Volatility Transmission in Emerging European Foreign Exchange Markets**

*by*Evzen Kocenda & Vit Bubak & Filip Zikes

**Consumer willingness to pay for attributes of west-African poultry: using the microeconometrics of implicit price**

*by*Cyprien Awono & Catherine Laroche Dupraz & Dominique Vermersch

**Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models**

*by*Xiangjin Shen & Hiroki Tsurumi

**In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008**

*by*Norman R. Swanson & Lili Cai

**A New Index of Environmental Quality**

*by*Elettra Agliardi & Mehmet Pinar & Thanasis Stengos

**Evaluation of Grid Level Impacts of Electric Vehicles**

*by*Safiullah, Hameed

**Using Smart Grids to Enhance Use of Energy-Efficiency and Renewable-Energy Technologies**

*by*Paget, Mia & Seacrest, Tom & Widergren, Steve & Balducci, Patrick & Orrell, Alice & Bloyd, Cary

**Impact Of Electric Vehicles And Natural Gas Vehicles On The Energy Markets**

*by*Feeney, Katie & Brass, Daniel & Kua, Dominic & Yamamoto, Atsushi & Tourneboeuf, Elisabeth & Adams, David

**On the Approximate Maximum Likelihood Estimation for Diffusion Processes**

*by*Chang, Jinyuan & Chen, Songxi

**Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos**

*by*Costa Junior, Celso Jose

**Agent-based computational economics and African modeling:perspectives and challenges**

*by*Nwaobi, Godwin

**Firm's damages from antitrust & abuse of dominant position investigations**

*by*Fotis, Panagiotis

**Determinants of Public Debt for middle income and high income group countries using Panel Data regression**

*by*Sinha, Pankaj & Arora, Varun & Bansal, Vishakha

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*by*Eric Meyermans

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*by*Andrew Gelman & Iain Pardoe

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*by*Marius Ooms & M. Angeles Carnero & Siem Jan Koopman

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

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

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

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*by*Henk Don

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*by*René Garcia & Eric Ghysels & Éric Renault

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

*by*Antonio Álvarez & Carlos Arias & William Greene

**The impact of global warming on U.S. agriculture: an econometric analysis of optimal growing conditions**

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

**Eficiência Técnica, Economias De Escala, Estrutura Da Propriedade E Tipo De Gestão No Sistema Hospitalar Brasileiro**

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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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**A Comparison of Causality Tests Applied to the Bilateral Relationship between Consumption and GDP in the USA and Mexico**

*by*Guisan, M.Carmen

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

*by*Guisan, M.C.

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*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.

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

*by*Dimitris N. Politis

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

*by*Binner, J & Gazely

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*by*Aguayo, Eva & Alvarez, Lia & Gardella, Rodrigo J.

**Effects of the Integration of Mexico into NAFTA on Trade, Industry, Employment and Economic Growth**

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

**Bootstrap Methods For Covariance Structures**

*by*Joel L. Horowitz

**Stochastic Volatility: Likelihood Inference And Comparison With Arch Models**

*by*Sangjoon Kim & Neil Shephard & Siddhartha Chib

**Bootstrap Methods for Median Regression Models**

*by*Joel L. Horowitz

**Posterior Simulation and Bayes Factors in Panel Count Data Models**

*by*Siddhartha Chib & Edward Greenberg & Rainer Winkelmann

**Bayesian Analysis of Multivariate Probit Models**

*by*Siddhartha Chib & Edward Greenberg

**A Spline Analysis of the Small Firm Effect: Does Size Really Matter?**

*by*Joel L. Horowitz & Tim Loughran & N. E. Savin

**Measuring Productivity Differences in Equilibrium Search Models**

*by*Gathier Lanot & George Neumann

**The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models**

*by*N.E. Savin & Allan Wurtz

**Power of Tests in Binary Response Models**

*by*N.E. Savin & Allan Wurtz

**Real and Spurious Long Memory Properties of Stock Market Data**

*by*I.N. Lobato & N.E. Savin

**The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market**

*by*Francisco F. R. Ramos

**Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures**

*by*Simon van Norden & Robert Vigfusson

**Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator**

*by*Joel L. Horowitz

**Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable**

*by*Tue Gorgens & Joel L. Horowitz

**Bootstrap Methods in Econometrics: Theory and Numerical Performance**

*by*Joel L. Horowitz

**Search Models and Duration Data**

*by*George Neumann

**Censoring of Outcomes and Regressors Due To Survey Nonresponse: Identification and Estimation Using Weights and Imputations**

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

**Fitting Equilibrium Search Models to Labor Market Data**

*by*Audra J. Bowlus & Nicholas M. Kiefer & George R. Neumann

**Macromodels of the Romanian transition Economy**

*by*Dobrescu, Emilian

**Forecast Evaluation and Combination**

*by*Francis X. Diebold & Jose A. Lopez

**Does Inflation Matter for Growth?**

*by*Gylfason, Thorvaldur & Herbertsson, Tryggvi Thor

**HDR 1996 - Economic Growth and Human Development**

*by*UNDP

**The Canadian Experience with Weighted Monetary Aggregates**

*by*David Longworth & Joseph Atta-Mensah

**Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions**

*by*Alain DeSerres & Alain Guay

**Further investigation of the uncertain unit root in GNP**

*by*Yin-Wong Cheung & Menzie Chinn

**Improved Score Tests for One-parameter Exponential Family Models**

*by*Silvia Ferrari & Gauss Cordeiro & Miguel Uribe & F. Cribari-Neto

**On Bartlett and Bartlett-Type Corrections**

*by*F. Cribari-Neto & G.M. Cordeiro

**A Score Test for Seasonal Fractional Integration and Cointegration**

*by*Param Silvapulle

**Observed Choice, Estimation, and Optimism About Policy Changes**

*by*Eric Rasmusen

**Improved Test Statistics for Multivariate Regression**

*by*Francisco Cribari-Neto & Spyros Zarkos

**OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels**

*by*Mark J. Jensen

**Bartlett Corrections for One-Parameter Exponential Family Models**

*by*G.M. Cordeiro & F. Cribari-Neto & E.C.Q. Aubin & S.L.P. Ferrari

**Second and Third Order Bias Reduction for One-Parameter Family Models**

*by*S.L.P. Ferrari & D.A. Botter & G.M. Cordeiro & F. Cribari-Neto

**A Frontier Model for Landscape Ecology: The Tapir in Honduras**

*by*Kevin Flesher & Eduardo Ley

**Unit Root Tests and the Burden of Proof**

*by*Robert A. Amano & Simon van Norden

**Fads or Bubbles?**

*by*Simon van Norden & Huntley Schaller & )

**Speculative Behaviour, Regime-Switching, and Stock Market Crashes**

*by*Simon van Norden & Huntley Schaller & )

**Regime Switching in Stock Market Returns**

*by*Simon van Norden & Huntley Schaller & )

**Regime Switching as a Test for Exchange Rate Bubbles**

*by*Simon van Norden

**A Multicriteria Approach to Model Specification and Estimation**

*by*Robert Kalaba & Leigh Tesfatsion

**Distribution of Preferences and Measurement Errors in a Disaggregated Expenditure System+**

*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

**Paths of economic development: modelling factors of endogenous growth**

*by*Fusari, Angelo

**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

**On Interpreting the Random Walk and Unit Root in Nominal and Real Exchange Rates**

*by*Charles Adams & Bankim Chadha

**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**

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**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)**

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**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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