## 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.

**Testing for breaks in the weighting matrix**

*by*Ana Angulo & Peter Burridge & Jesús Mur

**The income-health gradient: Evidence from self-reported health and biomarkers using longitudinal data on income**

*by*Davillas, A.; Jones, A.M.; Benzeval, M.;

**Fiscal Policy Shocks and Stock Prices in the United States**

*by*Haroon Mumtaz & Konstantinos Theodoridis

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

*by*Kahia, Montassar

**Nowcasting Building Permits with Google Trends**

*by*Coble, David & Pincheira, Pablo

**The Framework of Tunisian Textile and Clothing Industry**

*by*Kahia, Montassar

**Shock Restricted Structural Vector-Autoregressions**

*by*Sydney C. Ludvigson & Sai Ma & Serena Ng

**Macroeconomic Dynamics in Korea during and after the Global Financial Crisis: A Bayesian DSGE Approach**

*by*Hyunju Kang & Hyunduk Suh

**Modeling and forecasting electricity price jumps in the Nord Pool power market**

*by*Oskar Knapik

**The Baltic Dry Index: cyclicalities, forecasting and hedging strategies**

*by*Fotis Papailias & Dimitrios D. Thomakos & Jiadong Liu

**The Australian retirement lottery: A system failure**

*by*Amandha Ganegoda & John Evans

**Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria**

*by*Agya Atabani Adi

**Maximum likelihood and economic modeling**

*by*Gauthier Lanot

**A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators**

*by*Jochen Heberle & Cristina Sattarhoff

**Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models**

*by*P.A.V.B. Swamy & Jatinder S. Mehta & I-Lok Chang

**Acknowledgement to Reviewers of Econometrics in 2016**

*by*Econometrics Editorial Office

**Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation**

*by*Ragnar Nymoen

**Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses**

*by*Seong Yeon Chang & Pierre Perron

**Consistency of Trend Break Point Estimator with Underspecified Break Number**

*by*Jingjing Yang

**Regime Switching Vine Copula Models for Global Equity and Volatility Indices**

*by*Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber

**A Simple Test for Causality in Volatility**

*by*Chia-Lin Chang & Michael McAleer

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

*by*Jan Kiviet & Milan Pleus & Rutger Poldermans

**Goodness-of-Fit Tests for Copulas of Multivariate Time Series**

*by*Bruno Rémillard

**Testing for a Structural Break in a Spatial Panel Model**

*by*Aparna Sengupta

**Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries**

*by*Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes

**A Note on Identification of Bivariate Copulas for Discrete Count Data**

*by*Pravin Trivedi & David Zimmer

**Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression**

*by*Luis J. Álvarez

**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

**On the non-identification of counterfactuals in dynamic discrete games**

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

**Determining the number of factors when the number of factors can increase with sample size**

*by*Li, Hongjun & Li, Qi & Shi, Yutang

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

*by*Zhang, Yu Yvette

**Life-cycle educational choices in a system with early tracking and ‘second chance’ options**

*by*Biewen, Martin & Tapalaga, Madalina

**Does trend inflation make a difference?**

*by*Loberto, Michele & Perricone, Chiara

**The Effects of Asymmetric Oil Price Shocks on the Saudi Consumption: An Empirical Investigation**

*by*Abdulaziz Hamad Algaeed

**Rural Households’ Credit Access and Loan Amount in Wa Municipality, Ghana**

*by*Samuel Sekyi

**Residential Water Demand and Price Perception under Increasing Block Rates**

*by*RenÃ© Cabral & Luciano Ayala & Victor Hugo Delgado

**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

**Analysis Of Factors Affecting the Electricity Supply in Indonesia**

*by*Nababan, Tongam Sihol

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

*by*Yang, Bill Huajian & Du, Zunwei

**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

**Estimating Matching Affinity Matrix under Low-Rank Constraints**

*by*Dupuy, Arnaud & Galichon, Alfred & Sun, Yifei

**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

**How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?**

*by*Ines Chaieb & Vihang R. Errunza & Rajna Gibson

**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

**Does regulation affect market power? Evidence from Greek SMEs**

*by*Michael L. Polemis & Aikaterina Oikonomou

**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

**México: un país que no se mueve. Un análisis de movilidad social a partir de un enfoque de clases./ Mexico: a country that does not move. An analysis of social mobility from of a class approach**

*by*Reyes-Hernández, Miguel Santiago & Cerón-Vargas, José Arturo & López-López, Miguel & miguel.lpz.lpz@gmail.com

**Logit Scaling: A General Method for Alignment in Microsimulation models**

*by*Peter Stephensen

**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

**Fixed- b Inference for Testing Structural Change in a Time Series Regression**

*by*Cheol-Keun Cho & Timothy J. Vogelsang

**The Status of Bridge Principles in Applied Econometrics**

*by*Bernt P. Stigum

**Testing for the Equality of Integration Orders of Multiple Series**

*by*Man Wang & Ngai Hang Chan

**Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency**

*by*Kyoo il Kim

**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

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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**

*by*Gabriel Rodriguez & Dionisio Ramirez

**Frequentist evaluation of small DSGE models**

*by*Gunnar Bårdsen & Luca Fanelli

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

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

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

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

**Risk-Sharing Within Families: Evidence From the Health and Retirement Study**

*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

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

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

**A new methodology for incorporating nutrition indicators in economy-wide scenario analyses**

*by*Martine Rutten & Andrzej Tabeau & Frans Godeschalk

**Assessment framework and operational definitions for long-term scenarios**

*by*David Laborde & Simla Tokgoz & Lindsay Shutes & Hugo Valin

**Working Paper 13-13 - A new version of the HERMES model - HERMES III**

*by*Delphine Bassilière & Didier Baudewyns & Francis Bossier & Ingrid Bracke & Igor Lebrun & Peter Stockman & Peter Willemé

**Rational inattention or rational overreaction? Consumer reactions to health news**

*by*Martin Browning & Lars Gårn Hansen & Sinne Smed

**The maximum Number of parameters for the Hausman Test When the Estimators are from Different Sets of Equations**

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

**Collateral Equilibrium: A Basic Framework**

*by*Geanakoplos, John & William R. Zame

**Forecasting disaggregates by sectors and regions : the case of inflation in the euro area and Spain**

*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

**Two-Period Comparison of Healthcare Demand with Income Growth and Population Aging in Rural China: Implications for Adjustment of the Healthcare Supply and Development**

*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

**A Note on the Practice of Lagging Variables to Avoid Simultaneity**

*by*W. Robert Reed

**Investment strategy and Greek shipping earnings: exploring the pre & post "ordering-frenzy" period**

*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

**Education in Romania - How much is it Worth?**

*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**

*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**

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

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

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

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

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

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

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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**

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

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**Grinkevych's Model of forecasting**

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**Overlaying Time Scales in Financial Volatility Data**

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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**

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

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**Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula)**

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**A Macroeconomic Simulation Model for Uzbekistan: Technical Guide to Macroeconomic Applications**

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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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**The Role of Beliefs in Inference for Rational Expectations Models**

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**Training, Wages, and Sample Selection: Estimating Sharp Bounds on Treatment Effects**

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

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

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

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

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**Heterogeneity, State Dependence and Health**

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

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*by*Eric Meyermans & Patrick Van Brusselen

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

*by*Feng Dai & Ling Liang

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*by*Feng Dai & Hui Liu & Ying Wang

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

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*by*Georg Zachmann

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*by*Jürgen Arns & Kaushik Bhattacharya

**La Modélisation Macro–Econométrique Dynamique**

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*by*Ignazio Visco

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*by*Haakon O. Aa. Solheim

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

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*by*Kenneth F. Wallis

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

*by*Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara

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**Genetic Algorithms: Genesis of Stock Evaluation**

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

*by*Puja Guha

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

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*by*Artur C. B. da Silva Lopes & Antonio Montañés

**Data-Driven Rate-Optimal Specification Testing In Regression Models**

*by*Emmanuel Guerre & Pascal Lavergne

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

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*by*Christophe Planas & Werner Roeger & Alessandro Rossi

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**Model Comparison of Coordinate-Free Multivariate Skewed Distributions with an Application to Stochastic Frontiers**

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**Learning, Forecasting and Structural Breaks**

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**Working Paper 12-04 - The macro-economic effects of labour market reforms in the European Union - Some selected simulations with the NIME model**

*by*Eric Meyermans

**Working Paper 05-04 - Une nouvelle version du modèle HERMES**

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**Economic Evaluation of Climate Change Impacts and Adaptation in Italy**

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

**Estimating Structural Change in Linear Simultaneous Equations**

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

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**Measuring Labor Market Frictions: A Cross-Country Comparison**

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

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

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

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