Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2016

• Jacobi, Liana & Wagner, Helga & Frühwirth-Schnatter, Sylvia, 2016, "Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 234-250, DOI: 10.1016/j.jeconom.2016.01.005.
• Kitagawa, Toru & Muris, Chris, 2016, "Model averaging in semiparametric estimation of treatment effects," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 271-289, DOI: 10.1016/j.jeconom.2016.03.002.
• Davis, Richard A. & Hancock, Stacey A. & Yao, Yi-Ching, 2016, "On consistency of minimum description length model selection for piecewise autoregressions," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 360-368, DOI: 10.1016/j.jeconom.2016.05.013.
• DiTraglia, Francis J., 2016, "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, volume 195, issue 2, pages 187-208, DOI: 10.1016/j.jeconom.2016.07.006.
• Shonkwiler, J.S., 2016, "Variance of the truncated negative binomial distribution," Journal of Econometrics, Elsevier, volume 195, issue 2, pages 209-210, DOI: 10.1016/j.jeconom.2016.09.002.
• Koop, Gary & Korobilis, Dimitris, 2016, "Model uncertainty in Panel Vector Autoregressive models," European Economic Review, Elsevier, volume 81, issue C, pages 115-131, DOI: 10.1016/j.euroecorev.2015.09.006.
• Caggiano, Giovanni & Calice, Pietro & Leonida, Leone & Kapetanios, George, 2016, "Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 104-116, DOI: 10.1016/j.jempfin.2016.01.005.
• Marvasti, Akbar & Lamberte, Antonio, 2016, "Commodity price volatility under regulatory changes and disaster," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 355-361, DOI: 10.1016/j.jempfin.2016.07.008.
• Chan, Joshua C.C. & Grant, Angelia L., 2016, "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, volume 54, issue C, pages 182-189, DOI: 10.1016/j.eneco.2015.12.003.
• Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan, 2016, "Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models," Energy Economics, Elsevier, volume 54, issue C, pages 68-76, DOI: 10.1016/j.eneco.2015.12.001.
• Aloui, Riadh & Gupta, Rangan & Miller, Stephen M., 2016, "Uncertainty and crude oil returns," Energy Economics, Elsevier, volume 55, issue C, pages 92-100, DOI: 10.1016/j.eneco.2016.01.012.
• Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2016, "Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data," Energy Economics, Elsevier, volume 56, issue C, pages 117-133, DOI: 10.1016/j.eneco.2016.03.008.
• De Vita, Glauco & Trachanas, Emmanouil, 2016, "‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2)," Energy Economics, Elsevier, volume 56, issue C, pages 150-160, DOI: 10.1016/j.eneco.2016.03.014.
• Potts, Todd B. & Yerger, David B., 2016, "Marcellus Shale and structural breaks in oil and gas markets: The case of Pennsylvania," Energy Economics, Elsevier, volume 57, issue C, pages 50-58, DOI: 10.1016/j.eneco.2016.04.017.
• Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016, "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 239-256, DOI: 10.1016/j.irfa.2015.11.013.
• Olkhov, Victor, 2016, "On Economic Space notion," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 372-381, DOI: 10.1016/j.irfa.2016.01.001.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016, "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, volume 16, issue C, pages 220-229, DOI: 10.1016/j.frl.2015.12.004.
• Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016, "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 283-292, DOI: 10.1016/j.ijforecast.2015.06.006.
• Lucas, André & Zhang, Xin, 2016, "Score-driven exponentially weighted moving averages and Value-at-Risk forecasting," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 293-302, DOI: 10.1016/j.ijforecast.2015.09.003.
• Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016, "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 754-762, DOI: 10.1016/j.ijforecast.2015.12.005.
• Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André, 2016, "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 875-887, DOI: 10.1016/j.ijforecast.2015.11.018.
• Liu, Weiling & Moench, Emanuel, 2016, "What predicts US recessions?," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1138-1150, DOI: 10.1016/j.ijforecast.2016.02.007.
• Buncic, Daniel & Gisler, Katja I.M., 2016, "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1317-1339, DOI: 10.1016/j.ijforecast.2016.05.001.
• Iiboshi, Hirokuni, 2016, "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, volume 40, issue C, pages 1-8, DOI: 10.1016/j.japwor.2016.07.004.
• Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016, "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 117-130, DOI: 10.1016/j.jbankfin.2016.03.011.
• Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016, "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 121-132, DOI: 10.1016/j.jbankfin.2016.07.014.
• Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016, "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 1-15, DOI: 10.1016/j.jeconbus.2016.03.001.
• Buncic, Daniel & Piras, Gion Donat, 2016, "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, volume 60, issue C, pages 313-359, DOI: 10.1016/j.jimonfin.2015.09.006.
• Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016, "Common trends in global volatility," Journal of International Money and Finance, Elsevier, volume 67, issue C, pages 194-214, DOI: 10.1016/j.jimonfin.2016.05.001.
• Buncic, Daniel & Lentner, Philipp, 2016, "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, volume 50, issue C, pages 126-150, DOI: 10.1016/j.jmacro.2016.09.004.
• Bodnar, Taras & Reiß, Markus, 2016, "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, volume 150, issue C, pages 125-151, DOI: 10.1016/j.jmva.2016.05.011.
• Lamprou, Dimitra, 2016, "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, volume 14, issue PA, pages 93-102, DOI: 10.1016/j.jeca.2016.07.006.
• Yang, Yang & Onderstal, Sander & Schram, Arthur, 2016, "Inequity aversion revisited," Journal of Economic Psychology, Elsevier, volume 54, issue C, pages 1-16, DOI: 10.1016/j.joep.2015.12.009.
• Cabrera Delgado, Jorge & Bonnel, Patrick, 2016, "Level of aggregation of zoning and temporal transferability of the gravity distribution model: The case of Lyon," Journal of Transport Geography, Elsevier, volume 51, issue C, pages 17-26, DOI: 10.1016/j.jtrangeo.2015.10.016.
• Aye, Goodness C. & Chang, Tsangyao & Gupta, Rangan, 2016, "Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model," Resources Policy, Elsevier, volume 48, issue C, pages 77-84, DOI: 10.1016/j.resourpol.2016.02.011.
• Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016, "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, Elsevier, chapter 0, in: J. B. Taylor & Harald Uhlig, "Handbook of Macroeconomics", DOI: 10.1016/bs.hesmac.2016.03.006.
• Jung, Alexander, 2016, "Is euro area money demand for M3 still stable?," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 29-39, DOI: 10.1016/j.qref.2016.01.002.
• Schorfheide, Frank & Wolpin, Kenneth I., 2016, "To hold out or not to hold out," Research in Economics, Elsevier, volume 70, issue 2, pages 332-345, DOI: 10.1016/j.rie.2016.02.001.
• Khan, Muhammad Arshad & Abbas, Faisal, 2016, "The dynamics of electricity demand in Pakistan: A panel cointegration analysis," Renewable and Sustainable Energy Reviews, Elsevier, volume 65, issue C, pages 1159-1178, DOI: 10.1016/j.rser.2016.06.054.
• Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man, 2016, "Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 291-312, DOI: 10.1016/j.iref.2015.12.003.
• Kundu, Srikanta & Sarkar, Nityananda, 2016, "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 297-311, DOI: 10.1016/j.ribaf.2015.09.023.
• Joshua C.C. Chan & Angelia L. Grant, 2016, "Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2016-44, Jul.
• Barigozzi, Matteo & Moneta, Alessio, 2016, "Identifying the independent sources of consumption variation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60979, Mar.
• Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor, 2016, "VAR models with non-Gaussian shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86238, Feb.

2015

• Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015, "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-12, Feb.
• Nicholas M. Kiefer & C. Erik Larson, 2015, "Counting Processes for Retail Default Modeling," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-17, Apr.
• Tommaso Proietti & Alessandra Luati, 2015, "Generalised partial autocorrelations and the mutual information between past and future," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-24, May.
• Markku Lanne & Jani Luoto, 2015, "Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-37, Aug.
• Mikkel Bennedsen, 2015, "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-42, Sep.
• Annastiina Silvennoinen & Timo Teräsvirta, 2015, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-47, Oct.
• Simplice A. Asongu & Jacinta C. Nwachukwu, 2015, "Drivers of FDI in Fast Growing Developing Countries: Evidence from Bundling and Unbundling Governance," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/001, Feb.
• Simplice A. Asongu & Oasis Kodila-Tedika, 2015, "Conditional determinants of FDI in fast emerging economies: an instrumental quantile regression approach," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/003, Feb.
• Simplice A. Asongu, 2015, "Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/009, Mar.
• Simplice A. Asongu, 2015, "Determinants of Growth in Fast Developing Countries: Evidence from Bundling and Unbundling Institutions," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/010, Mar.
• Simplice A. Asongu & Uchenna R. Efobi & Ibukun Beecroft, 2015, "FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/019, May.
• Simplice A. Asongu & Jacinta C. Nwachukwu, 2015, "Fighting Terrorism: Empirics on Policy Harmonization," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/024, Jan.
• Simplice A. Asongu & John Ssozi, 2015, "When is Foreign Aid Effective in Fighting Terrorism? Threshold Evidence," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/031, Sep.
• Simplice A. Asongu & Ghassen El Montasser & Hassen Toumi, 2015, "Testing the Relationships between Energy Consumption, CO2 emissions and Economic Growth in 24 African Countries: a Panel ARDL Approach," Research Africa Network Working Papers, Research Africa Network (RAN), number 15/037, Sep.
• Hyeongwoo Kim & Wen Shi & Kwang-Myoung Hwang, 2015, "Estimating Interest Rate Setting Behavior in Korea: A Constrained Ordered Choices Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2015-17, Nov.
• Francesco Furlanetto & Nicolas Groshenny, 2015, "Mismatch Shocks and Unemployment During the Great Recession," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2015-14, May.
• Susan Athey & Guido Imbens, 2015, "A Measure of Robustness to Misspecification," American Economic Review, American Economic Association, volume 105, issue 5, pages 476-480, May.
• Patrick Bajari & Denis Nekipelov & Stephen P. Ryan & Miaoyu Yang, 2015, "Machine Learning Methods for Demand Estimation," American Economic Review, American Economic Association, volume 105, issue 5, pages 481-485, May.
• Josh Angrist & David Autor & Sally Hudson & Amanda Pallais, 2015, "Evaluating Econometric Evaluations of Post-Secondary Aid," American Economic Review, American Economic Association, volume 105, issue 5, pages 502-507, May.
• Sheilla Aoko OTIENO & Benson Munyali WAMALWA & Nelson Owuor ONYANGO & Joseph Antony Makoteku OTTIENO & Victor ONGOMA, 2015, "Comparison Of Least Absolute Shrinkage And Selection Operator And Maximum Likelihood Estimators To Establish Determinants Of Immunization In Trans-Nzoia County," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 4, issue 1, pages 29-45, JULY.
• Simplice Asongu & Jacinta C. Nwachukwu, 2015, "Drivers of FDI in Fast Growing Developing Countries: Evidence from Bundling and Unbundling Governance," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/001, Feb.
• Simplice Asongu & Oasis Kodila-Tedika, 2015, "Conditional determinants of FDI in fast emerging economies: an instrumental quantile regression approach," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/003, Feb.
• Simplice Asongu, 2015, "Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/009, Apr.
• Simplice Asongu, 2015, "Determinants of Growth in Fast Developing Countries: Evidence from Bundling and Unbundling Institutions," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/010, Mar.
• Simplice Asongu & Uchenna EFOBI & Ibukun BEECROFT, 2015, "FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/019, May.
• Simplice Asongu & Jacinta C. Nwachukwu, 2015, "Fighting Terrorism: Empirics on Policy Harmonization," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/024, Jun.
• Asongu Simplice & John Ssozi, 2015, "When is Foreign Aid Effective in Fighting Terrorism? Threshold Evidence," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/031, Sep.
• Simplice Asongu & Ghassen El Montasser & Hassen Toumi, 2015, "Testing the Relationships between Energy Consumption, CO2 emissions and Economic Growth in 24 African Countries: a Panel ARDL Approach," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 15/037, Sep.
• Ma, Wanglin & Abdulai, Awudu, 2015, "Linking apple farmers to markets: Determinants and impacts of marketing contracts in China," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 202719, DOI: 10.22004/ag.econ.202719.
• Amendola, Alessandra & Candila, Vincenzo & Scognamillo, Antonio, 2015, "On the influence of the U.S. monetary policy on the crude oil price volatility," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 207860, Jun, DOI: 10.22004/ag.econ.207860.
• Gouel, Christophe & LEgrand, Nicolas, 2015, "Estimating the Competitive Storage Model with Trending Commodity Prices," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 211688, DOI: 10.22004/ag.econ.211688.
• Hoang, Hoa & Meyers, William H., 2015, "Food demand in Vietnam: structural changes and projections to 2030," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 212456, DOI: 10.22004/ag.econ.212456.
• Taha, Fawzi A. & Hahn, William F., 2015, "HPAI Impact on EU-27’s Import Demand for Cooked and Uncooked Poultry and Other Meats," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, volume 18, issue A, pages 1-22, July, DOI: 10.22004/ag.econ.207012.
• Carvalho, Glauco Rodrigues & Bessler, David & Hemme, Torsten & Schröer-Merker, Eva, 2015, "Understanding International Milk Price Relationships," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia, Southern Agricultural Economics Association, number 196692, Feb, DOI: 10.22004/ag.econ.196692.
• Sorin Marius Pirnac, 2015, "Technical Analysis Of Ftse 100 Index Using Quantmod Package," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 43, pages 114-122.
• Francesco BARTOLUCCI & Silvia BACCI & Claudia PIGINI, 2015, "A Misspecification Test for Finite-Mixture Logistic Models for Clustered Binary and Ordered Responses," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 410, Jul.
• Raphael Rocha Gouvêa & Bernardo Patta Schettini, 2015, "Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996–2010)," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 16, issue 2, pages 250-271.
• Raffaella Giacomini & Barbara Rossi, 2015, "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, volume 7, issue 1, pages 207-229, August.
• Cesar Carrera & Alan Ledesma, 2015, "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers, Peruvian Economic Association, number 50, Jul.
• Ricardo Crisostomo, 2015, "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers, arXiv.org, number 1502.02963, Feb, revised Mar 2015.
• Susan Athey & Dean Eckles & Guido Imbens, 2015, "Exact P-values for Network Interference," Papers, arXiv.org, number 1506.02084, Jun.
• Carlo Marinelli & Stefano d'Addona, 2015, "Nonparametric estimates of pricing functionals," Papers, arXiv.org, number 1506.06568, Jun, revised Sep 2017.
• Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand, 2015, "Designating market maker behaviour in Limit Order Book markets," Papers, arXiv.org, number 1508.04348, Aug.
• Toru Kitagawa & Chris Muris, 2015, "Model averaging in semiparametric estimation of treatment effects," CeMMAP working papers, Institute for Fiscal Studies, number 46/15, Aug, DOI: 10.1920/wp.cem.2015.4615.
• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers, Institute for Fiscal Studies, number 62/15, Oct, DOI: 10.1920/wp.cem.2015.6215.
• Kagerer, Kathrin, 2015, "A hat matrix for monotonicity constrained B-spline and P-spline regression," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 484, Mar.
• Konstantinos Theodoridis & Francesco Zanetti, 2015, "News Shocks and Labor Market Dynamics in Matching Models," BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics, number 1501, Apr.
• Zacharias Psaradakis & Marián Vávra, 2015, "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1514, Sep.
• Bruno Albuquerque & Georgi Krustev, 2015, "Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption," Staff Working Papers, Bank of Canada, number 15-47, DOI: 10.34989/swp-2015-47.
• Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2015, "Inattention in Individual Expectations," Working Papers Series, Central Bank of Brazil, Research Department, number 395, Aug.
• Paolo Guarda & Abdelaziz Rouabah, 2015, "Is the financial sector Luxembourg?s engine of growth?," BCL working papers, Central Bank of Luxembourg, number 97, Aug.
• Ana Inés Gárriz & Demian Tupac Panigo, 2015, "Prebisch Reciprocity Principle. An Application for the Common Automotive Policy between Argentina and Brazil," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 73, pages 117-147, December.
• Sébastien Roux, 2015, "Structural and atheoretic approaches to micro-econometrics of public policy evaluation.(in french)," Working papers, Banque de France, number 565.
• Tatevik Sekhposyan & Barbara Rossi, 2015, "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers, Barcelona School of Economics, number 758, Sep.
• Michael Funke & Chang Shu & Xiaoqiang Cheng & Sercan Eraslan, 2015, "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy," BIS Working Papers, Bank for International Settlements, number 492, Feb.
• Logan McLeod, 2015, "The Association Between Physician Supply And The Mix Of Generalist And Specialist Services Used," Contemporary Economic Policy, Western Economic Association International, volume 33, issue 3, pages 434-449, July.
• Robert Lehmann & Klaus Wohlrabe, 2015, "Forecasting GDP at the Regional Level with Many Predictors," German Economic Review, Verein für Socialpolitik, volume 16, issue 2, pages 226-254, May.
• Sarolta Laczó, 2015, "Risk Sharing With Limited Commitment And Preference Heterogeneity: Structural Estimation And Testing," Journal of the European Economic Association, European Economic Association, volume 13, issue 2, pages 265-292, April.
• Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015, "Bias Correction of Persistence Measures in Fractionally Integrated Models," Journal of Time Series Analysis, Wiley Blackwell, volume 36, issue 5, pages 721-740, September.
• Mihailo Radoman & Marcel C. Voia, 2015, "Youth Training Programs and Their Impact on Career and Spell Duration of Professional Soccer Players," LABOUR, CEIS, volume 29, issue 2, pages 163-193, June.
• André K. Anundsen & Ragnar Nymoen, 2015, "Did US consumers ‘save for a rainy day’ before the Great Recession?," Working Paper, Norges Bank, number 2015/08, May.
• Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2015, "Identification and real-time forecasting of Norwegian business cycles," Working Paper, Norges Bank, number 2015/09, May.
• Francesca Monti, 2015, "Can a data-rich environment help identify the sources of model misspecification?," Bank of England working papers, Bank of England, number 527, Mar.
• Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015, "Forecasting with VAR models: fat tails and stochastic volatility," Bank of England working papers, Bank of England, number 528, May.
• Arnold Polanski & Evarist Stoja, 2015, "Extreme risk interdependence," Bank of England working papers, Bank of England, number 563, Nov.
• Iryna Kaminska & Matt Roberts-Sklar, 2015, "A global factor in variance risk premia and local bond pricing," Bank of England working papers, Bank of England, number 576, Dec.
• Seungmoon Choi, 2015, "Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 21, issue 4, pages 28-58, December.
• Zhongjun Qu & Denis Tkachenko, 2015, "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-001, Aug.
• Zhongjun Qu, 2015, "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-002, Jun.
• Albuquerque Bruno & Baumann Ursel & Krustev Georgi, 2015, "US household deleveraging following the Great Recession – a model-based estimate of equilibrium debt," The B.E. Journal of Macroeconomics, De Gruyter, volume 15, issue 1, pages 255-307, January, DOI: 10.1515/bejm-2013-0190.
• Lehmann Robert & Wohlrabe Klaus, 2015, "Forecasting GDP at the Regional Level with Many Predictors," German Economic Review, De Gruyter, volume 16, issue 2, pages 226-254, May, DOI: 10.1111/geer.12042.
• Dehejia Rajeev, 2015, "Experimental and Non-Experimental Methods in Development Economics: A Porous Dialectic," Journal of Globalization and Development, De Gruyter, volume 6, issue 1, pages 47-69, June, DOI: 10.1515/jgd-2014-0005.
• Silva João M. C. Santos & Tenreyro Silvana & Windmeijer Frank, 2015, "Testing Competing Models for Non-negative Data with Many Zeros," Journal of Econometric Methods, De Gruyter, volume 4, issue 1, pages 29-46, January, DOI: 10.1515/jem-2013-0005.
• Jochmann Markus & Koop Gary, 2015, "Regime-switching cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 35-48, February, DOI: 10.1515/snde-2012-0064.
• Nonejad Nima, 2015, "Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 5, pages 561-584, December, DOI: 10.1515/snde-2014-0043.
• Fernanda Maria Muller & Fábio Mariano Bayer, 2015, "Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 1, pages 40-73.
• Mihailo Radoman & Marcel-Cristian Voia, 2015, "Internal Promotion in Competitive Sports: Evidence from the English Premier League," Carleton Economic Papers, Carleton University, Department of Economics, number 15-09, Oct.
• Meenagh, David & Minford, Patrick & Oyekola, Olayinka, 2015, "Oil Prices and the Dynamics of Output and Real Exchange Rate," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2015/18, Nov.
• Meenagh, David & Minford, Patrick & Oyekola, Olayinka, 2015, "Energy Business Cycles," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2015/19, Nov.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2015, "Small sample performance of indirect inference on DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2015/2, Jan.
• Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015, "Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2015/8, Jul.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015, "Testing macro models by indirect inference: a survey for users," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2015/9, Jul.
• Christophe Gouel & Nicolas Legrand, 2015, "Estimating the competitive storage model with trending commodity prices," Working Papers, Chaire Economie du climat, number 1513.
• Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans, 2015, "Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models," CESifo Working Paper Series, CESifo, number 5189.
• Michael D. Bauer, 2015, "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series, CESifo, number 5241.
• Kajal Lahiri & Liu Yang, 2015, "Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation," CESifo Working Paper Series, CESifo, number 5290.
• Steffen Henzel & Robert Lehmann & Klaus Wohlrabe, 2015, "Nowcasting Regional GDP: The Case of the Free State of Saxony," CESifo Working Paper Series, CESifo, number 5336.
• André Kallåk Anundsen & Ragnar Nymoen, 2015, "Did US Consumers 'Save for a Rainy Day' Before the Great Recession?," CESifo Working Paper Series, CESifo, number 5347.
• Tim Oliver Berg, 2015, "Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 203.
• Francesca Monti, 2015, "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers, Centre for Macroeconomics (CFM), number 1505, Jan.
• Carlos Medel & Pablo Pincheira, 2015, "The Out-of-Sample Performance of An Exact Median-Unbiased Estimator for the Near-Unity Ar(1)Model," Working Papers Central Bank of Chile, Central Bank of Chile, number 768, Sep.
• Markus LEIPPOLD & Nikola VASILJEVIC, 2015, "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-08, Feb, revised Mar 2015.
• Paul Schneider & Fabio Trojani, 2015, "Divergence and the Price of Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-60, Nov.
• Jorgen Hansen & Xingfei Liu, 2015, "Estimating labour supply responses and welfare participation: Using a natural experiment to validate a structural labour supply model," Canadian Journal of Economics, Canadian Economics Association, volume 48, issue 5, pages 1831-1854, December, DOI: 10.1111/caje.12181.
• Dante Amengual & Enrique Sentana, 2015, "Is a Normal Copula the Right Copula?," Working Papers, CEMFI, number wp2015_1504, Aug.
• Kamarul Ariffin MANSOR & Wan Irham ISHAK, 2015, "Forecasting Tourist Arrivals To Langkawi Island Malaysia," CrossCultural Management Journal, Fundația Română pentru Inteligența Afacerii, Editorial Department, issue 1, pages 69-76, June.
• Gustavo Nicol√°s P√°ez, 2015, "Prediciendo decisiones de agentes econ√≥micos: ¬øC√≥mo determina el Banco de la Rep√∫blica de Colombia la tasa de inter√©s?," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 12567, Feb.
• Raúl De Jesús Gutiérrez & Reyna Vergara Gonz�lez & Miguel A. D�az Carre�o, 2015, "Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Alejandro Ramírez Vigoya, 2015, "Ajuste de una función de producción al sector financiero en Colombia," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, volume 0, issue 1, pages 141-156.
• Gabriela Zepeda-Mercado, 2015, "Sincronización cíclica del sector manufacturero de méxico y estados unidos desde una perspectiva no lineal autorregresiva con transición suave," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, volume 23, issue 2, pages 163-175.
• Henk-Wim de Boer, 2015, "A structural analysis of labour supply and involuntary unemployment in the Netherlands," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 312, Sep.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2015, "Small sample performance of indirect inference on DSGE models," CEPR Discussion Papers, Centre for Economic Policy Research, number 10382, Feb.
• Muellbauer, John & Aron, Janine & Sebudde, Rachel, 2015, "Inflation forecasting models for Uganda: is mobile money relevant?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10739, Jul.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Xu, Yongdeng, 2015, "Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results," CEPR Discussion Papers, Centre for Economic Policy Research, number 10765, Aug.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai & Xu, Yongdeng, 2015, "Testing macro models by indirect inference: a survey for users," CEPR Discussion Papers, Centre for Economic Policy Research, number 10766, Aug.
• Sentana, Enrique & Amengual, Dante, 2015, "Is a normal copula the right copula?," CEPR Discussion Papers, Centre for Economic Policy Research, number 10809, Sep.
• Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015, "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 11032, Dec.
• Janine Aron & John Muellbauer & Rachel Sebudde, 2015, "Inflation forecasting models for Uganda: is mobile money relevant?," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2015-17.
• Blazsek, Szabolcs & Escribano, Álvaro, 2015, "Dynamic conditional score patent count panel data models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1510, Nov.
• Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015, "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1516, Jul.
• Nikolai Dokuchaev, 2015, "Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection," Annals of Economics and Finance, Society for AEF, volume 16, issue 1, pages 143-161, May.
• Chen, Haiqiang, 2015, "Robust Estimation And Inference For Threshold Models With Integrated Regressors," Econometric Theory, Cambridge University Press, volume 31, issue 4, pages 778-810, August.
• Tchatoka, Firmin Doko, 2015, "Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression," Econometric Theory, Cambridge University Press, volume 31, issue 6, pages 1192-1228, December.
• Lance Kent, 2015, "Relaxing Rational Expectations," Working Papers, Economics Department, William & Mary, number 159, Mar.
• Konstantin A. Kholodilin, 2015, "War, Housing Rents, and Free Market: A Case of Berlin's Rental Housing Market during the World War I," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1477.
• Ha-Thu Nguyen, 2015, "How is credit scoring used to predict default in China?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-1.
• Christophe Gouel & Nicolas Legrand, 2015, "Estimating the Competitive Storage Model with Trending Commodity Prices," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-15.
• T.P. Sinha, 2015, "Has Black Income as a Proportion of GDP in India Declined in the Post-Reform Period?," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 50, issue 2, pages 273-316.
• GUISAN, Maria-Carmen, 2015, "Selected Readings On Econometrics Methodology, 2001-2010: Causality, Measure Of Variables, Dynamic Models And Economic Approaches To Growth And Development," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 15, issue 2, pages 213-220.
• Camba-Méndez, Gonzalo & Kapetanios, George & Papailias, Fotis & Weale, Martin R., 2015, "An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies," Working Paper Series, European Central Bank, number 1773, Apr.
• Albuquerque, Bruno & Krustev, Georgi, 2015, "Debt overhang and deleveraging in the US household sector: gauging the impact on consumption," Working Paper Series, European Central Bank, number 1843, Aug.
• De Bruyckere, Valerie, 2015, "Systemic risk rankings and network centrality in the European banking sector," Working Paper Series, European Central Bank, number 1848, Sep.
• Ciccarelli, Matteo & García, Juan Angel, 2015, "International spillovers in inflation expectations," Working Paper Series, European Central Bank, number 1857, Oct.
• Athey, Susan & Eckles, Dean & Imbens, Guido W., 2015, "Exact P-Values for Network Interference," Research Papers, Stanford University, Graduate School of Business, number 3287, Jun.
• Athey, Susan & Eckles, Dean & Imbens, Guido W., 2015, "Exact P-Values for Network Interference," Research Papers, Stanford University, Graduate School of Business, number 3351, Jun.
• El in Aykac Alp & Elif Guneren Genc, 2015, "The Relation between Current Account Deficit and Tourism: The Case of Turkey," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 448-453.
• Samuel Yeboah Asuamah & Joseph Ohene-Manu, 2015, "An Econometric Investigation of Forecasting Premium Fuel," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 3, pages 716-724.
• Ali Acaravci & Sinan Erdogan & Guray Akalin, 2015, "The Electricity Consumption, Real Income, Trade Openness and Foreign Direct Investment: The Empirical Evidence from Turkey," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 4, pages 1050-1057.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015, "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-71.
• Korobilis, Dimitris, 2015, "Quantile forecasts of inflation under model uncertainty," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-72, Apr.
• Korobilis, Dimitris, 2015, "Prior selection for panel vector autoregressions," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-73, Apr.
• Mutschler, Willi, 2015, "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, volume 56, issue C, pages 34-54, DOI: 10.1016/j.jedc.2015.04.007.
• Cantore, Cristiano & Levine, Paul & Pearlman, Joseph & Yang, Bo, 2015, "CES technology and business cycle fluctuations," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 133-151, DOI: 10.1016/j.jedc.2015.09.006.
• Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015, "On the time-varying relationship between EMU sovereign spreads and their determinants," Economic Modelling, Elsevier, volume 44, issue C, pages 363-371, DOI: 10.1016/j.econmod.2014.07.025.
• King, Daniel & Botha, Ferdi, 2015, "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, volume 45, issue C, pages 50-73, DOI: 10.1016/j.econmod.2014.11.008.
• Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2015, "Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 126-154, DOI: 10.1016/j.najef.2014.11.001.
• Buncic, Daniel & Moretto, Carlo, 2015, "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 1-38, DOI: 10.1016/j.najef.2015.03.002.
• Mayr, Johannes & Ulbricht, Dirk, 2015, "Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected," Economics Letters, Elsevier, volume 126, issue C, pages 40-42, DOI: 10.1016/j.econlet.2014.11.008.
• Wilson, Paul, 2015, "The misuse of the Vuong test for non-nested models to test for zero-inflation," Economics Letters, Elsevier, volume 127, issue C, pages 51-53, DOI: 10.1016/j.econlet.2014.12.029.
• Zhang, Xinyu, 2015, "Consistency of model averaging estimators," Economics Letters, Elsevier, volume 130, issue C, pages 120-123, DOI: 10.1016/j.econlet.2015.03.017.
• Chan, Joshua C.C. & Grant, Angelia L., 2015, "Pitfalls of estimating the marginal likelihood using the modified harmonic mean," Economics Letters, Elsevier, volume 131, issue C, pages 29-33, DOI: 10.1016/j.econlet.2015.03.036.
• Xie, Tian, 2015, "Prediction model averaging estimator," Economics Letters, Elsevier, volume 131, issue C, pages 5-8, DOI: 10.1016/j.econlet.2015.03.027.
• Nonejad, Nima, 2015, "Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling," Economics Letters, Elsevier, volume 133, issue C, pages 35-39, DOI: 10.1016/j.econlet.2015.04.034.
• Herwartz, Helmut & Raters, Fabian H.C., 2015, "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, volume 133, issue C, pages 73-76, DOI: 10.1016/j.econlet.2015.05.023.
• Krämer, Walter & Wied, Dominik, 2015, "A simple and focused backtest of value at risk," Economics Letters, Elsevier, volume 137, issue C, pages 29-31, DOI: 10.1016/j.econlet.2015.10.028.
• Han, Xu, 2015, "Tests for overidentifying restrictions in Factor-Augmented VAR models," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 394-419, DOI: 10.1016/j.jeconom.2014.04.024.
• Andreou, Elena & Werker, Bas J.M., 2015, "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 305-331, DOI: 10.1016/j.jeconom.2014.11.001.
• Liu, Chu-An, 2015, "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 142-159, DOI: 10.1016/j.jeconom.2014.07.002.
• Clark, Todd E. & McCracken, Michael W., 2015, "Nested forecast model comparisons: A new approach to testing equal accuracy," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 160-177, DOI: 10.1016/j.jeconom.2014.06.016.
• Fujiki, Hiroshi & Hsiao, Cheng, 2015, "Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 66-73, DOI: 10.1016/j.jeconom.2014.10.010.
• Cheng, Xu & Hansen, Bruce E., 2015, "Forecasting with factor-augmented regression: A frequentist model averaging approach," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 280-293, DOI: 10.1016/j.jeconom.2015.02.010.