Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2016

• Jan F. Kiviet & Zhenxi Chen, 2016, "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1606, Feb.
• Lukasz Prorokowski, 2016, "Rank-order statistics for validating discriminative power of credit risk models," Bank i Kredyt, Narodowy Bank Polski, volume 47, issue 3, pages 227-250.
• Dobromił Serwa & Piotr Wdowiński, 2016, "Macro-financial linkages in the Polish economy: combined impulse-response functions in SVAR models," NBP Working Papers, Narodowy Bank Polski, number 246.
• Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016, "Solution and Estimation Methods for DSGE Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 21862, Jan.
• Lars P. Hansen & Thomas J. Sargent, 2016, "Sets of Models and Prices of Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 22000, Feb.
• Francis X. Diebold & Minchul Shin, 2016, "Assessing Point Forecast Accuracy by Stochastic Error Distance," NBER Working Papers, National Bureau of Economic Research, Inc, number 22516, Aug.
• Steven Lehrer & Tian Xie, 2016, "Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22959, Dec.
• Sam Asher & Denis Nekipelov & Paul Novosad & Stephen P. Ryan, 2016, "Classification Trees for Heterogeneous Moment-Based Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 22976, Dec.
• David Havrlant & Peter Tóth & Julia Wörz, 2016, "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.
• Olimpia Ban & Versavia Ancusa, 2016, "Analysis Of Social Validation Behaviour On Travel Online Reviews Websites," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 561-571, July.
• Ban Olimpia & Ancusa Versavia, 2016, "Evaluation Credibility Of Opinions On A Travel Tourism Website," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 305-312, December.
• Karen Poghosyan & Evžen Kočenda, 2016, "Determinants of export sophistication: Evidence from Monte Carlo simulations," Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies), number 360, Oct.
• Muhammad Akhtaruzzaman & Christopher Hajzler & P. Dorian Owen, 2016, "Does institutional quality resolve the Lucas Paradox?," Working Papers, University of Otago, Department of Economics, number 1611, Dec, revised Dec 2016.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "The great mortgaging: housing finance, crises and business cycles," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 31, issue 85, pages 107-152.
• Òscar Jordá & Moritz Schularick & Alan M. Taylor, 2016, "Sovereigns Versus Banks: Credit, Crises, and Consequences," Journal of the European Economic Association, European Economic Association, volume 14, issue 1, pages 45-79.
• Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016, "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," The Review of Economic Studies, Review of Economic Studies Ltd, volume 83, issue 4, pages 1511-1543.
• Jonathon M. Clegg, 2016, "Perception vs Reality: How Does The British Electorate Evaluate Economic Performance of Incumbent Governments In The Post War Period?," Oxford Economic and Social History Working Papers, University of Oxford, Department of Economics, number _143, Mar.
• Godfrey Keller & Martin Cripps & Olin School of Business & Washington University & Sven Rady & Department of Economics & University of Munich, 2003, "Strategic Experimentation with Exponential Bandits," Economics Series Working Papers, University of Oxford, Department of Economics, number 143, Jan.
• David Hendry & Lea Schneider & Jason E. Smerdon, 2016, "Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation," Economics Series Working Papers, University of Oxford, Department of Economics, number 780, Feb.
• James Reade & Genaro Sucarrat, 2016, "General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets," Economics Series Working Papers, University of Oxford, Department of Economics, number 794, Apr.
• Emilio Zanetti Chini, 2016, "Generalizing smooth transition autoregressions," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 114, Jan.
• Gabriel Rodríguez & Dennis Alvaro & Ángel Guillén, 2016, "Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-414.
• Gabriel Rodríguez & José Carlos Gonzáles Tanaka, 2016, "An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un modelo," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-415.
• Gabriel Rodríguez, 2016, "Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cam," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-416.
• Sucarrat, Genaro & Grønneberg, Steffen, 2016, "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper, University Library of Munich, Germany, number 68931, Jan.
• Liu, Chu-An & Tao, Jing, 2016, "Model selection and model averaging in nonparametric instrumental variables models," MPRA Paper, University Library of Munich, Germany, number 69492, Feb.
• Lehmann, Robert & Wohlrabe, Klaus, 2016, "Experts, firms, consumers or even hard data? Forecasting employment in Germany," MPRA Paper, University Library of Munich, Germany, number 69611, Feb.
• Phiri, Andrew, 2016, "Asymmetric pass-through effects from monetary policy to housing prices in South Africa," MPRA Paper, University Library of Munich, Germany, number 70258, Mar.
• Phiri, Andrew, 2016, "Long run equilibrium adjustment between inflation and stock market returns in South Africa: A nonlinear perspective," MPRA Paper, University Library of Munich, Germany, number 70260, Mar.
• Gouriéroux, Christian & Zakoian, Jean-Michel, 2016, "Local Explosion Modelling by Noncausal Process," MPRA Paper, University Library of Munich, Germany, number 71105, May.
• O'Hare, Colin & Li, Youwei, 2016, "Modelling mortality: Are we heading in the right direction?," MPRA Paper, University Library of Munich, Germany, number 71392, May.
• O'Hare, Colin & Li, Youwei, 2016, "Models of Mortality rates - analysing the residuals," MPRA Paper, University Library of Munich, Germany, number 71394, May.
• Xu, Ning & Hong, Jian & Fisher, Timothy, 2016, "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," MPRA Paper, University Library of Munich, Germany, number 71670, Apr.
• fajardo, José, 2016, "A New Factor to Explain Implied Volatility Smirk," MPRA Paper, University Library of Munich, Germany, number 71809, May.
• Fajardo, José, 2016, "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper, University Library of Munich, Germany, number 71813, May.
• Xu, Ning & Hong, Jian & Fisher, Timothy, 2016, "Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression," MPRA Paper, University Library of Munich, Germany, number 73622, Sep.
• Khoza, Keorapetse & Thebe, Relebogile & Phiri, Andrew, 2016, "Nonlinear impact of inflation on economic growth in South Africa: A smooth transition regression (STR) analysis," MPRA Paper, University Library of Munich, Germany, number 73840, Sep.
• Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew, 2016, "The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models," MPRA Paper, University Library of Munich, Germany, number 74101, Sep.
• Gammoudi, Mouna & Cherif, Mondher & Asongu, Simplice A, 2016, "FDI and Growth in the MENA countries: Are the GCC countries Different?," MPRA Paper, University Library of Munich, Germany, number 74227, Jun.
• Motloja, Lehlohonolo & Makhoana, Tsholofelo & Kassoma, Rooyen & Houdman, Rozadian & Phiri, Andrew, 2016, "Changes in the optimal tax rate in South Africa prior and subsequent to the global recession period," MPRA Paper, University Library of Munich, Germany, number 74342, Oct.
• Asongu, Simplice & Anyanwu, John & Tchamyou, Vanessa, 2016, "Information sharing and conditional financial development in Africa," MPRA Paper, University Library of Munich, Germany, number 74653, Jan.
• Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew, 2016, "Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective," MPRA Paper, University Library of Munich, Germany, number 74671, Oct.
• Ali, Amjad, 2016, "Issue of Income Inequality under the perceptive of Macroeconomic Instability: An Empirical Analysis of Pakistan," MPRA Paper, University Library of Munich, Germany, number 74963.
• Huseynov, Salman & Mammadov, Fuad, 2016, "A small scale forecasting and simulation model for Azerbaijan (FORSAZ)," MPRA Paper, University Library of Munich, Germany, number 76348, Nov.
• Shijaku, Gerti, 2016, "The role of money as an important pillar for monetary policy: the case of Albania," MPRA Paper, University Library of Munich, Germany, number 79088.
• Druica, Elena & Goschin, Zizi, 2016, "Does Economic Status Matter for the Regional Variation of Malnutrition-Related Diabetes in Romania? Temporal Clustering and Spatial Analyses," MPRA Paper, University Library of Munich, Germany, number 88831.
• Jana Marková & Božena Hrvoľová, 2016, "Share Valuation Using the Comparative Method
  [Ohodnocovanie akcií porovnávacou metódou]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2016, issue 6, pages 16-37, DOI: 10.18267/j.aop.544.
• Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016, "VAR Models with Non-Gaussian Shocks," CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL, number 4, Feb.
• Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016, "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL, number 5, Jul.
• Raul De Jesus Gutierrez & Edgar Ortiz Calisto & Oswaldo Garcia Salgado & Veronica Angeles Morales, 2016, "Medicion del riesgo de la cola en el mercado del petroleo mexicano aplicando la teoria de valores extremos condicional," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 13, issue 2, pages 77-98, Julio-Dic.
• Ranoua Bouchouicha & Ferdinand Vieider, 2016, "Accommodating Stake Effects under Prospect Theory," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2016-03, Apr.
• Siab Mamipour & Behnam Najafzadeh, 2016, "Environmental Efficiency Assessment of Iranian Electric Power Companies: Comparison between Radial and Non-Radial Models," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 3, issue 3, pages 153-178.
• Mirjana Miletić & Siniša Miletić, 2016, "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 54-75, March.
• Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016, "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 50-64, December.
• Francesco Bartolucci & Fulvia Pennoni & Giorgio Vittadini, 2016, "Causal Latent Markov Model for the Comparison of Multiple Treatments in Observational Longitudinal Studies," Journal of Educational and Behavioral Statistics, , volume 41, issue 2, pages 146-179, April, DOI: 10.3102/1076998615622234.
• Simin Mozayeni & Parisa Amirmostofian, 2016, "Comparison of Parametric and Nonparametric Modeling: Aesthetic Effect of Kamran Khavarani?s Paintings," International Journal of Social Sciences, International Institute of Social and Economic Sciences, volume 5, issue 1, pages 72-92, February.
• Bucio, Christian & De Jesús, Raul & Cabello, Alejandra, 2016, "Valor en riesgo anual de los mercados accionarios de México y Estados Unidos: VaR tradicional vs VaR cópulas elípticas," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 6, issue 1, pages 83-114, enero-jun.
• Riadh El Abed & Samir Maktouf, 2016, "Long Memory And Asymmetric Effect In East Asian Foreign Exchange Markets," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 8, issue 2 (July), pages 294-306.
• Chu-An Liu & Jing Tao, 2016, "Model Selection and Model Averaging in Nonparametric Instrumental Variables Models," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 16-A002, Mar.
• Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016, "Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 16-A016, Dec.
• Sophie van Huellen & Duo Qin, 2016, "Compulsory Schooling and the Returns to Education: A Re-examination," Working Papers, Department of Economics, SOAS University of London, UK, number 199, Oct.
• Mert URAL, 2016, "Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(29).
• Fabiana Rocha & Veronica Orellano, Karina Bugarin, 2016, "Local public finances in Brazil: are mayoral characteristics important?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2016_04, Mar.
• Philipp Piribauer, 2016, "Heterogeneity in spatial growth clusters," Empirical Economics, Springer, volume 51, issue 2, pages 659-680, September, DOI: 10.1007/s00181-015-1023-y.
• Zouheir Mighri & Faysal Mansouri, 2016, "Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach," Empirical Economics, Springer, volume 51, issue 3, pages 1115-1149, November, DOI: 10.1007/s00181-015-1029-5.
• Rickard Sandberg, 2016, "Testing for unit roots in nonlinear heterogeneous panels with smoothly changing trends: an application to Scandinavian unemployment rates," Empirical Economics, Springer, volume 51, issue 3, pages 1053-1083, November, DOI: 10.1007/s00181-015-1043-7.
• David Audretsch & Xiaodan Guo & Adrian Hepfer & Hugo Menendez & Xingzhi Xiao, 2016, "Ownership, productivity and firm survival in China," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 43, issue 1, pages 67-83, March, DOI: 10.1007/s40812-015-0021-6.
• David Audretsch & Xiaodan Guo & Adrian Hepfer & Hugo Menendez & Xingzhi Xiao, 2016, "Ownership, productivity and firm survival in China," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 43, issue 1, pages 67-83, March, DOI: 10.1007/s40812-015-0021-6.
• Olivier Bargain & Andreas Peichl, 2016, "Own-wage labor supply elasticities: variation across time and estimation methods," IZA Journal of Labor Economics, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), volume 5, issue 1, pages 1-31, December, DOI: 10.1186/s40172-016-0050-z.
• Cathy W. S. Chen & Mike K. P. So & Thomas C. Chiang, 2016, "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Springer, volume 67, issue 1, pages 96-124, March, DOI: 10.1111/jere.12074.
• Rituparna Sen & Pulkit Mehrotra, 2016, "Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 137-150, June, DOI: 10.1007/s40953-016-0028-5.
• Gabriele Fiorentini & Enrique Sentana, 2016, "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 121-178, March, DOI: 10.1007/s13209-015-0132-3.
• Juan J. Dolado & Salvador Ortigueira & Rodolfo Stucchi, 2016, "Does dual employment protection affect TFP? Evidence from Spanish manufacturing firms," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 4, pages 421-459, November, DOI: 10.1007/s13209-016-0150-9.
• Alessandra Luati & Tommaso Proietti, 2016, "Generalised Partial Autocorrelations and the Mutual Information Between Past and Future," Springer Books, Springer, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart, "The Fascination of Probability, Statistics and their Applications", DOI: 10.1007/978-3-319-25826-3_14.
• Polanski, Arnold & Stoja, Evarist, 2016, "Extreme risk interdependence," ESRB Working Paper Series, European Systemic Risk Board, number 12, Jun.
• Mattia Guerini & Alessio Moneta, 2016, "A Method for Agent-Based Models Validation," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2016/16, Dec.
• Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2016, "Modelling OPEC behaviour. Theory and evidence," Discussion Papers, Statistics Norway, Research Department, number 843, Jul.
• Zacharias Psaradakis & Marian Vavra, 2016, "Portmanteau Tests for Linearity of Stationary Time Series," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 1/2016, May.
• Luke Hartigan, 2016, "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers, School of Economics, The University of New South Wales, number 2016-18, Nov.
• Christian Kleiber & Achim Zeileis, 2016, "Visualizing Count Data Regressions Using Rootograms," The American Statistician, Taylor & Francis Journals, volume 70, issue 3, pages 296-303, July, DOI: 10.1080/00031305.2016.1173590.
• Carlos A. Medel & Pablo M. Pincheira, 2016, "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 2, pages 126-131, February, DOI: 10.1080/13504851.2015.1057890.
• Hyeongwoo Kim & Wen Shi & Kwang-Myoung Hwang, 2016, "Estimating interest rate setting behaviour in Korea: a constrained ordered choices model approach," Applied Economics, Taylor & Francis Journals, volume 48, issue 23, pages 2199-2214, May, DOI: 10.1080/00036846.2015.1117045.
• Francesca Di Iorio & Stefano Fachin & Riccardo Lucchetti, 2016, "Can you do the wrong thing and still be right? Hypothesis testing in I(2) and near-I(2) cointegrated VARs," Applied Economics, Taylor & Francis Journals, volume 48, issue 38, pages 3665-3678, August, DOI: 10.1080/00036846.2016.1142660.
• Adusei Jumah & Robert M. Kunst, 2016, "Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging," Applied Economics, Taylor & Francis Journals, volume 48, issue 45, pages 4366-4378, September, DOI: 10.1080/00036846.2016.1158915.
• Tommaso Proietti, 2016, "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 3, pages 373-395, March, DOI: 10.1080/07474938.2014.966631.
• Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016, "Stochastic Model Specification Search for Time-Varying Parameter VARs," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1638-1665, December, DOI: 10.1080/07474938.2015.1092808.
• Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2016, "Generalized Least Squares Model Averaging," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1692-1752, December, DOI: 10.1080/07474938.2015.1092817.
• Anders Bredahl Kock & Timo Teräsvirta, 2016, "Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1753-1779, December, DOI: 10.1080/07474938.2015.1035163.
• Marine Carrasco & Barbara Rossi, 2016, "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 3, pages 313-338, July, DOI: 10.1080/07350015.2016.1186029.
• Philipp Piribauer & Jesús Crespo Cuaresma, 2016, "Bayesian Variable Selection in Spatial Autoregressive Models," Spatial Economic Analysis, Taylor & Francis Journals, volume 11, issue 4, pages 457-479, October, DOI: 10.1080/17421772.2016.1227468.
• Andrew J. Buck & George M. Lady, 2016, "Estimating a Falsified Model," DETU Working Papers, Department of Economics, Temple University, number 1601, May.
• Pierre Koning & Jan-Maarten van Sonsbeek, 2016, "Making Disability Work? The Effect of Financial Incentives on Partially Disabled Workers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-001/V, Jan.
• Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-061/III, Aug.
• Manabu Asai & Michael McAleer, 2016, "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-065/III, Aug.
• Andre Lucas & Anne Opschoor & Julia Schaumburg, 2016, "Accounting for Missing Values in Score-Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-067/IV, Aug.
• Aiste Ruseckaite & Dennis Fok & Peter Goos, 2016, "Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-075/III, Sep.
• Tino Berger & Lorenzo Pozzi, 2016, "Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-088/VI, Oct.
• Chia-Lin Chang & Michael McAleer, 2016, "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-094/III, Nov.
• Guido W. Imbens & Michal Kolesár, 2016, "Robust Standard Errors in Small Samples: Some Practical Advice," The Review of Economics and Statistics, MIT Press, volume 98, issue 4, pages 701-712, October.
• Lavergne, Pascal & Nguimkeu, Pierre, 2016, "A Hausman Specification Test of Conditional Moment Restrictions," TSE Working Papers, Toulouse School of Economics (TSE), number 16-743, Dec.
• Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov, 2016, "The new hybrid value at risk approach based on the extreme value theory," Estudios de Economia, University of Chile, Department of Economics, volume 43, issue 1 Year 20, pages 29-52, June.
• José Ignacio González Giangrossi, 2016, "Agregados monetarios Divisia y demanda de dinero en Uruguay," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0916, Oct.
• Jack Fosten, 2016, "Model selection with factors and variables," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2016-07, Mar.
• Vincent Vergnat, 2016, "Lutte contre la pauvreté et incitations à l’emploi : quelle politique pour les jeunes ?," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-13.
• Candelon, B. & Colletaz, G. & Hurlin, C. & Tokpavi, S., 2009, "Backtesting value-at-risk : a GMM duration-based test," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 062, Jan, DOI: 10.26481/umamet.2009062.
• Marine Carrasco & Barbara Rossi, 2016, "In-sample inference and forecasting in misspecified factor models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1530, Apr.
• Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre, 2016, "Understanding the sources of macroeconomic uncertainty," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1531, May, revised Dec 2018.
• Galina Gagarina & Nikita Moiseev & Alla Ryzhakova & Gleb Ryzhakov, 2016, "Estimation And Forecast Of Regional Competitiveness Level," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, volume 1, issue 4, pages 1040-1049.
• Duro Moreno, Juan Antonio & Turrión Prats, Judith, 2016, "Tourist seasonality in Catalonia: The relevance of demand factors," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/266571.
• Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016, "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1613, Jun.
• Brzezińska Justyna, 2016, "Ordinal Log-Linear Models for Contingency Tables," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 1, pages 264-273, December, DOI: 10.1515/foli-2016-0017.
• Kubus Mariusz, 2016, "Assessment of Predictor Importance with the Example of the Real Estate Market," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 2, pages 29-39, December, DOI: 10.1515/foli-2016-0023.
• Tinh Doan & Tran Quang Tuyen & Le Quan, 2016, "Lost in Transition? Declining Returns to Education in Vietnam," Working Papers in Economics, University of Waikato, number 16/01, Mar.
• Marcin Chlebus, 2016, "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-06.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp235, Sep.
• Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 235, Sep.
• Konstantinos Theodoridis & Francesco Zanetti, 2016, "News shocks and labour market dynamics in matching models," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 49, issue 3, pages 906-930, August, DOI: 10.1111/caje.12218.
• Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016, "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, volume 84, issue , pages 985-1046, May.
• Chu‐An Liu & Biing‐Shen Kuo, 2016, "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, volume 19, issue 2, pages 203-231, June.
• Raffaella Giacomini & Barbara Rossi, 2016, "Model Comparisons In Unstable Environments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 57, issue 2, pages 369-392, May, DOI: 10.1111/iere.12161.
• Tomohiro Ando & Jushan Bai, 2016, "Panel Data Models with Grouped Factor Structure Under Unknown Group Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 1, pages 163-191, January.
• Matteo Barigozzi & Alessio Moneta, 2016, "Identifying the Independent Sources of Consumption Variation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 2, pages 420-449, March.
• Barbara Rossi & Tatevik Sekhposyan, 2016, "Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 3, pages 507-532, April.
• Francesco Furlanetto & Nicolas Groshenny, 2016, "Mismatch Shocks and Unemployment During the Great Recession," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1197-1214, November.
• Tim Oliver Berg, 2016, "Multivariate Forecasting with BVARs and DSGE Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 8, pages 718-740, December.
• Robert Reed & Christina Lira & Lee Byung‐Ki & Junsoo Lee, 2016, "Free Trade Agreements and Foreign Direct Investment: The Role of Endogeneity and Dynamics," Southern Economic Journal, John Wiley & Sons, volume 83, issue 1, pages 176-201, July, DOI: 10.1002/soej.12136.
• Jin Seo Cho & Peter C.B. Phillips, 2016, "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2016rwp-89, Aug.
• Jin Seo Cho & Peter C.B. Phillips, 2016, "Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2016rwp-90, Aug.
• Kurz-Kim, Jeong-Ryeol, 2016, "Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators," Discussion Papers, Deutsche Bundesbank, number 47/2016.
• Krüger, Jens J. & Rhiel, Mathias, 2016, "Determinants of ICT infrastructure: A cross-country statistical analysis," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 228.
• Stević, Željko & Tanackov, Ilija & Vasiljević, Marko & Vesković, Slavko, 2016, "Fuzzy Multicriteria Model for Ranking Suppliers in Manufacturing Company," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2016), Rovinj, Croatia, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb, "Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 8-9 September 2016".
• Dreger, Christian & Wolters, Jürgen, 2016, "On the Empirical Relevance of the Lucas Critique: the Case of Euro Area Money Demand," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 43, issue 1, pages 61-82.
• Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016, "Automatic identification of general vector error correction models," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-33.
• Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016, "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 10, pages 1-41, DOI: 10.5018/economics-ejournal.ja.2016-.
• Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016, "A quasi real-time leading indicator for the EU industrial production," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 118 [rev.], revised 2016, DOI: 10.2139/ssrn.2694608.
• Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019, "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 146, revised 2019, DOI: 10.2139/ssrn.2845338.
• Hackethal, Andreas & Jakusch, Sven Thorsten & Meyer, Steffen, 2016, "Taring all investors with the same brush? Evidence for heterogeneity in individual preferences from a maximum likelihood approach," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 147, DOI: 10.2139/ssrn.2845866.
• Jakusch, Sven Thorsten, 2017, "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 148, revised 2017, DOI: 10.2139/ssrn.2845871.
• Trimborn, Simon & Härdle, Wolfgang Karl, 2016, "CRIX or evaluating blockchain based currencies," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-021.
• Schnücker, Annika, 2016, "Restrictions Search for Panel VARs," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145566.
• de Lazzer, Jakob, 2016, "Non-monotonic Selection Issues in Electoral Regression Discontinuity Designs," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145845.
• Zwick, Thomas & Frosch, Katharina, 2016, "Attenuation bias when measuring inventive performance," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 16-014.
• Markku Lanne & Jani Luoto, 2016, "Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-04, Jan.
• Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias, 2016, "Volatility Discovery," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-07, Feb.
• Robinson Kruse & Christian Leschinski & Michael Will, 2016, "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-17, May.
• Tim Bollerslev & Jia Li & Yuan Xue, 2016, "Volume, Volatility and Public News Announcements," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-19, Jun.
• Mouna Gammoudi & Mondher Cherif & Simplice A. Asongu, 2016, "FDI and Growth in the MENA countries: Are the GCC countries Different?," Research Africa Network Working Papers, Research Africa Network (RAN), number 16/015, Jun.
• Simplice A. Asongu & John C. Anyanwu & Vanessa S. Tchamyou, 2016, "Information sharing and conditional financial development in Africa," Research Africa Network Working Papers, Research Africa Network (RAN), number 16/054, Jan.
• Firmin Doko Tchatoka & Jean-Marie Dufour, 2016, "Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 2016-01, Jan.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361, DOI: 10.15609/annaeconstat2009.123-124.0.
• Jonathan D. Ketcham & Nicolai V. Kuminoff & Christopher A. Powers, 2016, "Choice Inconsistencies among the Elderly: Evidence from Plan Choice in the Medicare Part D Program: Comment," American Economic Review, American Economic Association, volume 106, issue 12, pages 3932-3961, December.
• Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016, "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, volume 106, issue 3, pages 664-698, March.
• Olimpia Neagu & Florin Dumiter & Alexandra Braica, 2016, "Inequality, Economic Growth and Trade Openness: a Study Case for Central and Eastern Countries (ECE)," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 18, issue 43, pages 557-557, August.
• Maru?a Pescu (Beca) & Camelia ?tefan (Baraba?), 2016, "The Effects of Gaps and Disparities on Economic Growth. A Study of 10 Former Socialist Countries from the CEE, Members of the EU," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 18, issue 43, pages 592-592, August.
• Liviu B. Vlad & Dragos C. Vasile & Octav-Ionut Macovei & Claudia E. Tuclea, 2016, "Determinant Factors of Green Marketing Adoption in the Hospitality Sector," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 18, issue S10, pages 862-862, November.
• Fadel HAMID HADI ALHUSSEINI, 2016, "Some Methods Of Quantile Regression For Analysis Of The Poverty In Iraq," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 5, issue 1, pages 67-85, JULY.
• Rohit Malhorta, 2016, "Demystifying Optimal Welfare Weights Controversy From A Social Strategist Perspective," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 5, issue 2, pages 33-48, DECEMBER.
• Théophile T. Azomahou & Fatoumata L. Diallo, 2016, "Home vs. School Deworming and Meal Programs: Evidence from Rural Senegal," Journal of African Development, African Finance and Economic Association (AFEA), volume 18, issue 1, pages 31-60.
• Simplice Asongu & John Anyanwu & Vanessa Tchamyou, 2016, "Information sharing and conditional financial development in Africa," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 16/001, Jan.
• Mouna Gammoudi & Mondher Cherif & Simplice Asongu, 2016, "FDI and Growth in the MENA countries: Are the GCC countries Different?," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 16/015, Jun.
• Darko, Francis Addeah & Ricker-Gilbert, Jacob & Kilic, Talip & Florax, Raymond & Shively, Gerald, 2016, "Profitability of fertilizer use in SSA: evidence from rural Malawi," 2016 Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia, African Association of Agricultural Economists (AAAE), number 249269, Sep, DOI: 10.22004/ag.econ.249269.
• Dharmasena, Senarath & Bessler, David & Capps, Oral. Jr, 2016, "On the Evaluation of Probability Forecasts: An Application to Qualitative Choice Models," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235424, May, DOI: 10.22004/ag.econ.235424.
• Gouel, Christophe & Legrand, Nicolas, 2016, "Bayesian Estimation of the Storage Model using Information on Quantities," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235599, DOI: 10.22004/ag.econ.235599.
• Shr, Yau-Huo & Ready, Richard, 2016, "Comparing performance of discrete choice models in stated choice methods: A prediction-based approach using preference order data," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 236174, DOI: 10.22004/ag.econ.236174.
• Huang, Wei & Hagerman, Amy & Bessler, David A., 2016, "The Impact of Highly Pathogenic Avian Influenza on Table Egg Prices," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, volume 31, issue 2, pages 1-7, DOI: 10.22004/ag.econ.236294.
• Aneta Kosztowniak, 2016, "Verification of the Relationship between FDI and GDP in Poland," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 66, issue 2, pages 307-332, June.
• Gordon Rausser & David A. Bessler, 2016, "Information Recovery and Causality: A Tribute to George Judge," Annual Review of Resource Economics, Annual Reviews, volume 8, issue 1, pages 7-23, October.
• Saâd Benbachir & Mohammed Mehdi El Hamzi, 2016, "Non-Maturity Deposit Modeling in the Framework of Asset Liability Management," International Journal of Economics and Financial Research, Academic Research Publishing Group, volume 2, issue 5, pages 79-98, 05-2016.
• Ning Xu & Jian Hong & Timothy C. G. Fisher, 2016, "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," Papers, arXiv.org, number 1606.00142, Jun.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2016, "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers, arXiv.org, number 1607.04532, Jul, revised Jul 2018.
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• Iulia-Oana ?TEFAN(BELCIC-?TEFAN), 2016, "The implications of financial performance on stock exchange indicators of listed companies: empirical evidence for the Romanian capital market," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 14, issue 140, pages 875-875, August.
• Salman Huseynov & Fuad Mammadov, 2016, "A small scale forecasting and simulation model for Azerbaijan (FORSAZ)," Working Papers, Central Bank of Azerbaijan Republic, number 1608, Nov.
• Paolo Brunori & Vito Peragine & Laura Serlenga, 2016, "Upward and downward bias when measuring inequality of opportunity," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 05-2016, Sep, revised Sep 2016.
• Irena Stefanova, 2016, "Statistical risk assessment in bank lending to citizens," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 35-58.
• Federica Ciocchetta & Wanda Cornacchia & Roberto Felici & Michele Loberto, 2016, "Assessing financial stability risks from the real estate market in Italy," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 323, Mar.
• Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2016, "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia, Banco de la Republica de Colombia, number 927, Feb, DOI: 10.32468/be.927.
• Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2016, "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," Borradores de Economia, Banco de la Republica de Colombia, number 930, Mar, DOI: 10.32468/be.930.
• Alexander Guarín-López & Ignacio Lozano-Espitia, 2016, "Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies," Borradores de Economia, Banco de la Republica de Colombia, number 931, Mar, DOI: 10.32468/be.931.
• Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016, "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia, Banco de la Republica de Colombia, number 939, May, DOI: 10.32468/be.939.
• Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016, "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia, Banco de la Republica de Colombia, number 975, Dec, DOI: 10.32468/be.975.
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• M. Mogliani & Thomas Ferrière, 2016, "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers, Banque de France, number 600.
• Matthieu Soupre & Tatevik Sekhposyan & Barbara Rossi, 2016, "Understanding the Sources of Macroeconomic Uncertainty," Working Papers, Barcelona School of Economics, number 920, Jul.
• José Ignacio González Giangrossi, 2016, "Agregados monetarios Divisia y demanda de dinero en Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2016003.
• Cathy W.S. Chen & Mike K.P. So & Thomas C. Chiang, 2016, "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Japanese Economic Association, volume 67, issue 1, pages 96-124, March.
• Brian Chi-ang Lin & Siqi Zheng & Felix Pretis & Lea Schneider & Jason E. Smerdon & David F. Hendry, 2016, "Detecting Volcanic Eruptions In Temperature Reconstructions By Designed Break-Indicator Saturation," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 3, pages 403-429, July, DOI: 10.1111/joes.12148.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "Sovereigns Versus Banks: Credit, Crises, And Consequences," Journal of the European Economic Association, European Economic Association, volume 14, issue 1, pages 45-79, February.