Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2012

• Seong-Min Yoon & Sang Hoon Kang, 2012, "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012, EcoMod, number 3944, Jul.
• Fabio Milani, 2012, "The Modeling of Expectations in Empirical DSGE Models: A Survey," Advances in Econometrics, Emerald Group Publishing Limited, "DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments", DOI: 10.1108/S0731-9053(2012)0000028004.
• Fabio Milani & Ashish Rajbhandari, 2012, "Expectation Formation and Monetary DSGE Models: Beyond the Rational Expectations Paradigm," Advances in Econometrics, Emerald Group Publishing Limited, "DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments", DOI: 10.1108/S0731-9053(2012)0000028009.
• Ndahiriwe Kasaï & Ruthira Naraidoo, 2012, "Financial assets, linear and nonlinear policy rules," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 161-177, May, DOI: 10.1108/01443581211222644.
• George Karathanasis & Vasilios Sogiakas & Kenellos Toudas, 2012, "Derivatives listing strategy," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 20, issue 3, pages 307-321, July, DOI: 10.1108/13581981211237990.
• Caporin, M. & McAleer, M.J., 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2012-13, Apr.
• Alessandro Cardinali, 2012, "An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 1-16, April.
• Jan R. Magnus & Karen Poghosyan, 2012, "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 40-58, April.
• Christian Buelens, 2012, "Inflation forecasting and the crisis: assessing the impact on the performance of different forecasting models and methods," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 451, Mar.
• Frédéric Karamé, 2012, "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 12-04.
• Valter Di Giacinto & Matteo Gomellini & Giacinto Micucci & Marcello Pagnini, 2012, "The productivity advantages of spatial concentration: evidence from Italian Industrial districts and cities," ECONOMIA E POLITICA INDUSTRIALE, FrancoAngeli Editore, volume 2012, issue 2, pages 163-175.
• Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012, "Empirical simultaneous prediction regions for path-forecasts," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-05.
• Dario Caldara & Christophe Kamps, 2012, "The analytics of SVARs: a unified framework to measure fiscal multipliers," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-20.
• Jaroslav Borovicka & Lars Peter Hansen, 2012, "Examining macroeconomic models through the lens of asset pricing," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2012-01.
• Leonardo Melosi, 2012, "Signaling effects of monetary policy," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2012-05.
• Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2012, "Forecasting national recessions using state level data," Working Papers, Federal Reserve Bank of St. Louis, number 2012-013, DOI: 10.20955/wp.2012.013.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_02, Jul, revised Jul 2012.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_03, Jul, revised Jul 2012.
• Gary Koop & Dimitris Korobilis, 2012, "Large time-varying parameter VARs," Working Papers, Business School - Economics, University of Glasgow, number 2012_04, Jan.
• Dimitris Korobilis, 2012, "Bayesian forecasting with highly correlated predictors," Working Papers, Business School - Economics, University of Glasgow, number 2012_12, Jul.
• Katja Landau & Stephan Klasen & Walter Zucchini, 2012, "Measuring Vulnerability to Poverty Using Long-Term Panel Data," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 118, Jul.
• Mubariz Hasanov & Tolga Omay, 2012, "The Relationship between Inflation, output growth, and their Uncertainties: Evidence from selected CEE countries," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20128.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long terme," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00820721, May, DOI: 10.3917/reco.633.0591.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Les liaisons fallacieuses : quasi-colinéarité et " suppresseur classique ", aide au développement et croissance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00674011, Feb.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Les liaisons fallacieuses : quasi-colinéarité et "suppresseur classique", aide au développement et croissance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00686765, DOI: 10.3917/reco.633.0557.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Spurious Regressions and Near-Multicollinearity, with an Application to Aid, Policies and Growth," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00802579, Nov.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00825337, Jan.
• Pierre-Philippe Combes & Gilles Duranton & Laurent Gobillon & Diego Puga & Sébastien Roux, 2012, "The productivity advantages of large cities: distingushing agglomeration from firm selection," Post-Print, HAL, number hal-00812695, Nov, DOI: 10.3982/ECTA8442.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Post-Print, HAL, number hal-01386007.
• F. Karamé, 2012, "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Post-Print, HAL, number hal-02877971, Oct, DOI: 10.1016/j.econlet.2012.04.089.
• Nicolas Debarsy, 2012, "The Mundlak Approach in the Spatial Durbin Panel Data Model," Post-Print, HAL, number hal-04989094, Mar, DOI: 10.1080/17421772.2011.647059.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Les liaisons fallacieuses : quasi-colinéarité et " suppresseur classique ", aide au développement et croissance," Post-Print, HAL, number halshs-00674011, Feb.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Les liaisons fallacieuses : quasi-colinéarité et "suppresseur classique", aide au développement et croissance," Post-Print, HAL, number halshs-00686765, DOI: 10.3917/reco.633.0557.
• Pierre-Philippe Combes & Gilles Duranton & Laurent Gobillon & Diego Puga & Sébastien Roux, 2012, "The productivity advantages of large cities: distingushing agglomeration from firm selection," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00812695, Nov, DOI: 10.3982/ECTA8442.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Les liaisons fallacieuses : quasi-colinéarité et "suppresseur classique", aide au développement et croissance," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00686765, DOI: 10.3917/reco.633.0557.
• R. Khalfaoui & M. Boutahar, 2012, "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers, HAL, number halshs-00793068, Mar.
• Olivier Bargain & Kristian Orsini & Andreas Peichl, 2012, "Comparing Labor Supply Elasticities in Europe and the US: New Results," Working Papers, HAL, number halshs-00805736, Jul.
• Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-500, Jul.
• Li, Yushu, 2012, "Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems," Working Papers, Lund University, Department of Economics, number 2012:12, May.
• Li, Dao & He, Changli, 2012, "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers, Örebro University, School of Business, number 2012:6, Feb.
• Li, Dao & He, Changli, 2012, "Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models," Working Papers, Örebro University, School of Business, number 2012:7, Feb.
• Lönnbark, Carl, 2012, "On the role of the estimation error in prediction of expected shortfall," Umeå Economic Studies, Umeå University, Department of Economics, number 844, Aug.
• Hossein Mirshojaeian Hosseini & Shinji Kaneko, 2012, "Spatial Spillover of Governance and Institutional Quality: A Spatial Econometric Approach," IDEC DP2 Series, Hiroshima University, Graduate School for International Development and Cooperation (IDEC), number 2-3, Jan.
• Nakajima, Jouchi & Watanabe, Toshiaki, 2012, "Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-," Economic Review, Hitotsubashi University, volume 63, issue 3, pages 193-208, July, DOI: 10.15057/25864.
• Jouchi Nakajima & Toshiaki Watanabe, 2012, "Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-232, Apr.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-266, Dec.
• Terrance Jalbert & James E. Briley & Mercedes Jalbert, 2012, "Forecasting Financial Statements Using Risk Management Associates Industry Data," Business Education and Accreditation, The Institute for Business and Finance Research, volume 4, issue 1, pages 123-134.
• Fève, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 706, Mar.
• Fève, Patrick & Jidoud, Ahmat, 2012, "News Shocks, Information Flows and SVARs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 705, Mar.
• Raffaella Giacomini & Barbara Rossi, 2012, "Model comparisons in unstable environments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/12, Jun.
• Polasek, Wolfgang, 2012, "Marketing Response Models for Shrinking Beer Sales in Germany," Economics Series, Institute for Advanced Studies, number 284, Mar.
• Sabine Zinn, 2012, "A Mate-Matching Algorithm for Continuous-Time Microsimulation Models," International Journal of Microsimulation, International Microsimulation Association, volume 5, issue 1, pages 31-51.
• Edgar C. Merkle & Jinyan Fan & Achim Zeileis, 2012, "Testing for Measurement Invariance with Respect to an Ordinal Variable," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2012-24, Oct.
• Yannira Chávez & Paúl Medina, 2012, "Diferencia de gastos según tamaño y composición familiar: una aplicación para Ecuador usando escalas de equivalencia," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, volume 4, issue 2, pages 7-24, Diciembre.
• Juan Carlos Escanciano & Pei Pei, 2012, "Pitfalls in Backtesting Historical Simulation VaR Models," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2012-003, Feb.
• A. Martínez, Carlos & A. Núñez, José, 2012, "Análisis de componentes principales de la estructura a plazos de las tasas de interés en México," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 33, pages 3-23, primer tr.
• Alexander Gocht & Norbert Röder & Sebastian Neuenfeldt & Hugo Storm & Thomas Heckelei, 2012, "Modelling farm structural change: A feasibility study for ex-post modelling utilizing FADN and FSS data in Germany and developing an ex-ante forecast module for the CAPRI farm type layer baseline," JRC Research Reports, Joint Research Centre, number JRC75524, Oct.
• Fabio Milani & Ashish Rajbhandari, 2012, "Expectation Formation and Monetary DSGE Models: Beyond the Rational Expectations Paradigm," Working Papers, University of California-Irvine, Department of Economics, number 111212, Jun.
• Fabio Milani, 2012, "The Modeling of Expectations in Empirical DSGE Models: a Survey," Working Papers, University of California-Irvine, Department of Economics, number 121301, Jun.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 16, May.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 5, May.
• Rothe, Christoph & Wied, Dominik, 2012, "Misspecification Testing in a Class of Conditional Distributional Models," IZA Discussion Papers, IZA Network @ LISER, number 6364, Feb.
• Combes, Pierre-Philippe & Duranton, Gilles & Gobillon, Laurent & Puga, Diego & Roux, Sébastien, 2012, "The Productivity Advantages of Large Cities: Distinguishing Agglomeration from Firm Selection," IZA Discussion Papers, IZA Network @ LISER, number 6502, Apr.
• de Luna, Xavier & Johansson, Per, 2012, "Testing for Nonparametric Identification of Causal Effects in the Presence of a Quasi-Instrument," IZA Discussion Papers, IZA Network @ LISER, number 6692, Jun.
• Bargain, Olivier B. & Orsini, Kristian & Peichl, Andreas, 2012, "Comparing Labor Supply Elasticities in Europe and the US: New Results," IZA Discussion Papers, IZA Network @ LISER, number 6735, Jul.
• Haruhisa Nishino & Kazuhiko Kakamu & Takashi Oga, 2012, "Bayesian estimation of Persistent Income Inequality using the Lognormal Stochastic Volatility Model," Journal of Income Distribution, Ad libros publications inc., volume 21, issue 1, pages 88-101, March.
• Ivan Savin & Peter Winker, 2012, "Lasso-type and Heuristic Strategies in Model Selection and Forecasting," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2012-055, Oct.
• Frick, Hannah & Strobl, Carolin & Leisch, Friedrich & Zeileis, Achim, 2012, "Flexible Rasch Mixture Models with Package psychomix," Journal of Statistical Software, Foundation for Open Access Statistics, volume 48, issue i07, DOI: http://hdl.handle.net/10.18637/jss..
• Grün, Bettina & Kosmidis, Ioannis & Zeileis, Achim, 2012, "Extended Beta Regression in R: Shaken, Stirred, Mixed, and Partitioned," Journal of Statistical Software, Foundation for Open Access Statistics, volume 48, issue i11, DOI: http://hdl.handle.net/10.18637/jss..
• William Barnett & Isaac Kalonda-Kanyama, 2012, "Time-Varying Parameters in the Almost Ideal Demand System and the Rotterdam Model: Will the Best Specication Please Stand Up?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201201, Feb, revised Feb 2012.
• John W. Keating, 2012, "Interpreting Permanent Shocks to Output When Aggregate Demand May Not be Neutral in the Long Run," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201205, Feb.
• William Barnett & Unal Eryilmaz, 2012, "An Analytical and Numerical Search for Bifurcations in Open Economy New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201210, Aug, revised Aug 2012.
• William Barnett & Unal Eryilmaz, 2012, "Hopf Bifurcation in the Clarida, Gali, and Gertler Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201211, Sep, revised Sep 2012.
• William Barnett & Yijun He, 2012, "Center Manifold, Stability, and Bifurcations in Continuous Time Macroeconometric Systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201227, Sep, revised Sep 2012.
• William Barnett & Yijun He, 2012, "Stabilization Policy as Bifurcation Selection: Would Keynesian Policy Work if the World Really Were Keynesian?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201228, Sep, revised Sep 2012.
• Francesco Audrino, 2012, "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Springer;Society for Computational Economics, volume 39, issue 3, pages 315-335, March, DOI: 10.1007/s10614-011-9310-y.
• Cathy Chen & Simon Lin & Philip Yu, 2012, "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, volume 40, issue 1, pages 19-48, June, DOI: 10.1007/s10614-011-9266-y.
• Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012, "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, volume 40, issue 3, pages 245-264, October, DOI: 10.1007/s10614-011-9288-5.
• Tao Cheng & James Haworth & Jiaqiu Wang, 2012, "Spatio-temporal autocorrelation of road network data," Journal of Geographical Systems, Springer, volume 14, issue 4, pages 389-413, October, DOI: 10.1007/s10109-011-0149-5.
• Qiuqiong Huang & Richard Howitt & Scott Rozelle, 2012, "Estimating production technology for policy analysis: trading off precision and heterogeneity," Journal of Productivity Analysis, Springer, volume 38, issue 2, pages 219-233, October, DOI: 10.1007/s11123-012-0272-4.
• Cliff Huang & Hung-pin Lai, 2012, "Estimation of stochastic frontier models based on multimodel inference," Journal of Productivity Analysis, Springer, volume 38, issue 3, pages 273-284, December, DOI: 10.1007/s11123-011-0260-0.
• Cheng-Few Lee & Jung-Bin Su, 2012, "Alternative statistical distributions for estimating value-at-risk: theory and evidence," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 3, pages 309-331, October, DOI: 10.1007/s11156-011-0256-x.
• Josep-Maria Arauzo-Carod & Miguel Manjón-Antolín, 2012, "(Optimal) spatial aggregation in the determinants of industrial location," Small Business Economics, Springer, volume 39, issue 3, pages 645-658, October, DOI: 10.1007/s11187-011-9335-6.
• Muhamad Nadratuzzaman Hosen & Lia Syukriyah Sa’Roni, 2012, "The Factors That Influence Success of BMT Berkah Madani Cimanggis," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 4, issue 1-2, pages 11-20, March-Jun.
• Evren Caglar & Jagjit S. Chadha & Katsuyuki Shibayama, 2012, "Bayesian Estimation of DSGE Models: Is the Workhorse Model Identified?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1205, Feb.
• Cem Cakmakli & Richard Paap & Dick van Dijk, 2012, "Measuring and Predicting Heterogeneous Recessions," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1206, Feb.
• Michael Graff & Massimo Mannino & Michael Siegenthaler, 2012, "A real time evaluation of employment forecasts in Switzerland," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 12-320, Nov, DOI: 10.3929/ethz-a-007568961.
• Michael McAleer & Massimiliano Caporin, 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers, Kyoto University, Institute of Economic Research, number 815, Apr.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012, "Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments," KIER Working Papers, Kyoto University, Institute of Economic Research, number 821, Jun.
• Elkin Castaño & Jorge Sierra, 2012, "On the Existence of a Unit Root in the Time Series of Monthly Electricity Prices in Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 259-291.
• Christophe BOUCHER & Benjamin HAMIDI & Patrick KOUONTCHOU & Bertrand MAILLET, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 1718.
• Xiaoshan Chen & Ronald Macdonald, 2012, "Realized and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 6, pages 1091-1116, September, DOI: j.1538-4616.2012.00524.x.
• Paulo Júlio & Pedro M. Esperança, 2012, "Evaluating the forecast quality of GDP components: An application to G7," GEE Papers, Gabinete de Estratégia e Estudos, Ministério da Economia, number 0047, Apr, revised Apr 2012.
• Olivér Miklós Rácz, 2012, "Using confidence indicators for the assessment of the cyclical position of the economy," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 7, issue 2, pages 41-46, June.
• Carlo Mazzaferro & Marcello Morciano, 2012, "CAPP_DYN: A Dynamic Microsimulation Model for the Italian Social Security System," Center for the Analysis of Public Policies (CAPP), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0048, Aug.
• Jean-Bernard Chatelain & Kirsten Ralf, 2012, "Les liaisons fallacieuses : quasi-colinéarité et « suppresseur classique », aide au développement et croissance," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12011, Feb, DOI: 10.3917/reco.633.0557.
• D.S. Poskitt & Wenying Yao, 2012, "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/12, Apr.
• Timothy A. Weterings & Mark N. Harris & Bruce Hollingsworth, 2012, "Extending Unobserved Heterogeneity - A Strategy for Accounting for Respondent Perceptions in the Absence of Suitable Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/12, May.
• D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012, "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/12, Apr.
• D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012, "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/12, Apr.
• André K. Anundsen, 2012, "Econometric regime shifts and the US subprime bubble," NBP Working Papers, Narodowy Bank Polski, number 126.
• Daniel F. Waggoner & Tao Zha, 2012, "Confronting Model Misspecification in Macroeconomics," NBER Working Papers, National Bureau of Economic Research, Inc, number 17791, Jan.
• Jon Faust & Abhishek Gupta, 2012, "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17906, Mar.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers, National Bureau of Economic Research, Inc, number 18046, May.
• Francis X. Diebold, 2012, "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 18391, Sep.
• Cristina Amado & Timo Terasvirta, 2012, "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers, NIPE - Universidade do Minho, number 02/2012.
• Stephen M. Miller & WenShwo Fang & Ozkan Eren, 2012, "Inflation Targeting: Does It Improve Economic Performance?," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1207, Dec.
• Mariana Balan, 2012, "Dynamic Effects Of Migrant Remittances On Growth: An Econometric Model With An Application To Southeast European Countries," New Trends in Modelling and Economic Forecast (MEF 2011), ROMANIAN ACADEMY – INSTITUTE FOR ECONOMIC FORECASTING;"Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, volume 1, issue 1, pages 69-78, January.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W01, Feb.
• Francesco Furlanett & Nicolas Groshenny, 2012, "Matching efficiency and business cycle fluctuations," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2012/06, Oct.
• Ivan Savin & Peter Winker, 2013, "Heuristic model selection for leading indicators in Russia and Germany," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2012, issue 2, pages 67-89, DOI: 10.1787/jbcma-2012-5k49pkpbf76j.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH models," Economics Series Working Papers, University of Oxford, Department of Economics, number 594, Feb.
• David Hendry & Grayham E. Mizon, 2012, "Forecasting from Structural Econometric Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 597, Mar.
• John Muellbauer, 2012, "When is a housing market overheated enough to threaten stability?," Economics Series Working Papers, University of Oxford, Department of Economics, number 623, Sep.
• Xu Cheng & Bruce E. Hansen, 2012, "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 12-046, Oct.
• Xu Cheng & Bruce E. Hansen, 2012, "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-061, May, revised 03 Sep 2013.
• Piotr Misztal, 2012, "The Harberger-Laursen-Metzler Effect In Poland," Oeconomia Copernicana, Institute of Economic Research, volume 3, issue 1, pages 5-28, March, DOI: 10.12775/OeC.2012.001.
• Alina Hagiu, 2012, "Econometric Model Concerning The Status and Evolution of The Automotive Industry in Romania," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 3, pages 83-96.
• Medel, Carlos A., 2012, "How informative are in-sample information criteria to forecasting? the case of Chilean GDP," MPRA Paper, University Library of Munich, Germany, number 35949, Jan.
• Medel, Carlos A., 2012, "¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?
  [Akaike or Schwarz? Which One is a Better Predictor of Chilean GDP?]," MPRA Paper, University Library of Munich, Germany, number 35950, Jan.
• Bezemer, Dirk J & Grydaki, Maria, 2012, "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper, University Library of Munich, Germany, number 36356, Jan.
• Barnett, William A. & Kalonda-Kanyama, Isaac, 2012, "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," MPRA Paper, University Library of Munich, Germany, number 36513, Feb.
• Lanne, Markku & Saikkonen, Pentti, 2012, "Supplementary appendix to "noncausal vector autoregression"," MPRA Paper, University Library of Munich, Germany, number 37732.
• Prowse, Victoria, 2012, "Modeling employment dynamics with state dependence and unobserved heterogeneity," MPRA Paper, University Library of Munich, Germany, number 38038, Apr, revised 10 Apr 2012.
• Koop, Gary & Korobilis, Dimitris, 2012, "Large time-varying parameter VARs," MPRA Paper, University Library of Munich, Germany, number 38591, Feb.
• Fan, Jianqing & Liao, Yuan, 2012, "Endogeneity in ultrahigh dimension," MPRA Paper, University Library of Munich, Germany, number 38698.
• Doretti, Marco, 2012, "Modelli di scoring per il rischio paese
  [Scoring models for country risk]," MPRA Paper, University Library of Munich, Germany, number 38898, Feb.
• Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2012, "Forecasting national recessions using state-level data," MPRA Paper, University Library of Munich, Germany, number 39168, Apr.
• Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012, "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper, University Library of Munich, Germany, number 39277, Jun.
• Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012, "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper, University Library of Munich, Germany, number 39294, Jun.
• Simwaka, Kisu, 2012, "Testing for time-varying fractional cointegration using the bootstrap approach," MPRA Paper, University Library of Munich, Germany, number 39698, Jun.
• Grydaki, Maria & Bezemer, Dirk J., 2012, "The Role of Credit in Great Moderation: a Multivariate GARCH Approach," MPRA Paper, University Library of Munich, Germany, number 39813, Jun.
• Bernardi, Mauro & Maruotti, Antonello & Lea, Petrella, 2012, "Skew mixture models for loss distributions: a Bayesian approach," MPRA Paper, University Library of Munich, Germany, number 39826.
• Chan, Joshua & Eisenstat, Eric, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper, University Library of Munich, Germany, number 40051.
• Zhu, Ke, 2012, "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper, University Library of Munich, Germany, number 40382, Jul.
• Barnett, William A. & Eryilmaz, Unal, 2012, "Hopf bifurcation in the Clarida, Gali, and Gertler model," MPRA Paper, University Library of Munich, Germany, number 40668, Aug.
• Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012, "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper, University Library of Munich, Germany, number 40695, Aug.
• Sirucek, Martin, 2012, "The impact of money supply on stock prices and stock bubbles," MPRA Paper, University Library of Munich, Germany, number 40919, Jun.
• Liu, Chu-An, 2012, "A plug-in averaging estimator for regressions with heteroskedastic errors," MPRA Paper, University Library of Munich, Germany, number 41414, Aug.
• Leeb, Hannes & Pötscher, Benedikt M., 2012, "Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values," MPRA Paper, University Library of Munich, Germany, number 41459.
• Khalfaoui, R & Boutahar, M, 2012, "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper, University Library of Munich, Germany, number 41624, Sep.
• Lanne, Markku & Luoto, Jani, 2012, "Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?," MPRA Paper, University Library of Munich, Germany, number 41820.
• Medel, Carlos A. & Salgado, Sergio C., 2012, "Does BIC Estimate and Forecast Better than AIC?," MPRA Paper, University Library of Munich, Germany, number 42235, Oct.
• Kang, Lili & Peng, Fei, 2012, "Selection and Real wage cyclicality: Germany Case," MPRA Paper, University Library of Munich, Germany, number 42452, Oct.
• Chatelain, Jean-Bernard & Ralf, Kirsten, 2012, "Spurious Regressions and Near-Multicollinearity, with an Application to Aid, Policies and Growth," MPRA Paper, University Library of Munich, Germany, number 42533, Nov.
• Bartolucci, Francesco & Grilli, Leonardo & Pieroni, Luca, 2012, "Estimating dynamic causal effects with unobserved confounders: a latent class version of the inverse probability weighted estimator," MPRA Paper, University Library of Munich, Germany, number 43430, Oct.
• Leon, Jorge, 2012, "Managing the Uncertainty in the Hodrick Prescott Filter," MPRA Paper, University Library of Munich, Germany, number 44531, revised 2012.
• Ferreira Lima, Luis Cristovao, 2012, "The determinants of the academic outcome: an Bayesian approach using a sample of economics students from the University of Brasilia, Brazil," MPRA Paper, University Library of Munich, Germany, number 44784, Nov.
• Teneng, Dean, 2012, "Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian," MPRA Paper, University Library of Munich, Germany, number 47855, Sep.
• Ezzat, Hassan, 2012, "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper, University Library of Munich, Germany, number 50530, Aug.
• Dinda, Soumyananda, 2012, "China Integrates Asia with the World: An Empirical Study," MPRA Paper, University Library of Munich, Germany, number 63952, Jul, revised 08 Nov 2014.
• Marin, J. Miguel & Sucarrat, Genaro, 2012, "Financial Density Selection," MPRA Paper, University Library of Munich, Germany, number 66839, Aug, revised 13 Jun 2012.
• Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012, "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper, University Library of Munich, Germany, number 70772, Apr.
• Herrera Gómez, Marcos & Mur Lacambra, Jesús & Ruiz Marín, Manuel, 2012, "Selecting the Most Adequate Spatial Weighting Matrix:A Study on Criteria," MPRA Paper, University Library of Munich, Germany, number 73700, Jul.
• Melhem, Sadek & terraza, Michel & chikhi, Mohamed, 2012, "Cyclical Mackey Glass Model for Oil Bull Seasonal," MPRA Paper, University Library of Munich, Germany, number 76206, revised 2012.
• Omotosho, Babatunde S. & Doguwa, Sani I., 2012, "Understanding the dynamics of inflation volatility in Nigeria: A GARCH perspective," MPRA Paper, University Library of Munich, Germany, number 96125, Jun.
• Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012, "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers, University of Pretoria, Department of Economics, number 201209, Mar.
• Gary Koop, 2012, "Using VARs and TVP-VARs with Many Macroeconomic Variables," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 3, pages 143-167, September.
• Sofia D. ANASTASIADOU, 2012, "A Structural Model Describe Chinese Tradesmen Attitudes Towards Greek Students Consumption Behavior," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 11, issue 2, pages 102-111.
• Tian Xie, 2012, "Least Squares Model Averaging By Prediction Criterion," Working Paper, Economics Department, Queen's University, number 1299, Nov.
• John Muellbauer, 2012, "When is a Housing Market Overheated Enough to Threaten Stability?," RBA Annual Conference Volume (Discontinued), Reserve Bank of Australia, in: Alexandra Heath & Frank Packer & Callan Windsor, "Property Markets and Financial Stability".
• Ferreyra, Jesús & Vásquez, José, 2012, "Proyección de precios de exportación utilizando tipos de cambio: Caso peruano," Working Papers, Banco Central de Reserva del Perú, number 2012-008, Feb.
• Barrera, Carlos, 2012, "El ciclo común y los grupos homogéneos en la inflación," Working Papers, Banco Central de Reserva del Perú, number 2012-010, Apr.
• Carol Alexander & Marcel Prokopczuk & Anannit Sumawon, 2012, "The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-01, Jan.
• Gary Koop & Dimitris Korobilis, 2012, "Large Time-Varying Parameter VARs," Working Paper series, Rimini Centre for Economic Analysis, number 11_12, Mar.
• Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012, "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series, Rimini Centre for Economic Analysis, number 34_12, Jun.
• Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012, "Model Selection in Equations with Many 'Small' Effects," Working Paper series, Rimini Centre for Economic Analysis, number 53_12, Jul.
• Samuel K. Ampaabeng & Chih Ming Tang, 2012, "The Long-Term Cognitive Consequences of Early Childhood Malnutrition: The Case of Famine in Ghana," Working Paper series, Rimini Centre for Economic Analysis, number 64_12, Sep.
• Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012, "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series, Rimini Centre for Economic Analysis, number 65_12, Nov.
• Dimitris Korobilis, 2012, "Bayesian Forecasting with Highly Correlated Predictors," Working Paper series, Rimini Centre for Economic Analysis, number 67_12, Nov.
• Sergei Aivazian & Mikhail Afanasiev & Victoria Rudenko, 2012, "Some specification aspects for three-factor models of a company's production potential taking into account intellectual capital," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 27, issue 3, pages 36-69.
• Olga Demidova, 2012, "The European residents' attitude towards immigrants: A comparative analysis based on the ESS data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 28, issue 4, pages 23-34.
• Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas, 2012, "Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate," DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics, number 5-2012, Jan.
• Lee, Chien Chiang & Chang, Chun Ping, 2012, "The Demand for Money in China: A Reassessment Using the Bounds Testing Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 74-94, March.
• Stratan, Alexandru & Chistruga, Marcel, 2012, "The Macromodel of the Moldovan Economy Medium-Term Forecast for Moldova," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 68-84, June.
• Pavelescu, Florin Marius, 2012, "Interdendenta dintre tipul de colinearitate si valorile calculate ale testului Student in cazul unei regresii lineare cu doua variabile explicative," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting, number 122502, Mar.
• Georgeta VINTILA & Georgia Maria TOROAPA, 2012, "Forecasting the Bankruptcy Risk on the Example of Romanian Enterprises," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 2, pages 377-388, May.
• Łukasz Goczek, 2012, "Metody ekonometryczne w modelach wzrostu gospodarczego," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 10, pages 49-71.
• Katja Drechsel & Rolf Scheufele, 2012, "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," Working Papers, Swiss National Bank, number 2012-16.
• Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012, "Estimating the system order by subspace methods," Computational Statistics, Springer, volume 27, issue 3, pages 411-425, September, DOI: 10.1007/s00180-011-0264-2.
• George Dikos & Dimitrios Thomakos, 2012, "Econometric testing of the real option hypothesis: evidence from investment in oil tankers," Empirical Economics, Springer, volume 42, issue 1, pages 121-145, February, DOI: 10.1007/s00181-010-0412-5.
• Daniel Buncic, 2012, "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, volume 43, issue 1, pages 399-426, August, DOI: 10.1007/s00181-011-0460-5.
• Jens Hougaard & Tue Tjur & Lars Østerdal, 2012, "On the meaningfulness of testing preference axioms in stated preference discrete choice experiments," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 13, issue 4, pages 409-417, August, DOI: 10.1007/s10198-011-0312-4.
• Lars Hansen & José Scheinkman, 2012, "Pricing growth-rate risk," Finance and Stochastics, Springer, volume 16, issue 1, pages 1-15, January, DOI: 10.1007/s00780-010-0141-9.
• Hassan Mohammadi & Mohammad Jahan-Parvar, 2012, "Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 766-779, July, DOI: 10.1007/s12197-010-9156-5.
• Guillaume Fréchette & John Kagel & Massimo Morelli, 2012, "Pork versus public goods: an experimental study of public good provision within a legislative bargaining framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 49, issue 3, pages 779-800, April, DOI: 10.1007/s00199-011-0611-0.
• Alfredo Pereira & Jorge Andraz, 2012, "Social security and economic performance in Portugal: after all that has been said and done how much has actually changed?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 11, issue 2, pages 83-100, August, DOI: 10.1007/s10258-012-0082-7.
• Matteo Barigozzi & Alessio Moneta, 2012, "Identifying the Independent Sources of Consumption Variation," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2012/16, Sep.
• Yaw Osei Adofo & Joanne Evans & Lester Charles Hunt, 2012, "How sensitive to time period sampling is the asymmetric price response specification in energy demand modelling?," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 138, Nov.
• Paul Levine & Joseph Pearlman & Bo Yang, 2012, "Imperfect Information, Optimal Monetary Policy and Informational Consistency," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1012, Aug.
• James Morley & Jeremy Piger & Pao-Lin Tien, 2012, "Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?," Discussion Papers, School of Economics, The University of New South Wales, number 2012-23, Mar.
• Hong il Yoo, 2012, "The perceived unreliability of rank-ordered data: an econometric origin and implications," Discussion Papers, School of Economics, The University of New South Wales, number 2012-46, Nov.
• Hong il Yoo, 2012, "The confounding effects of consumer heterogeneity on model-based inference of attribute non-attendance," Discussion Papers, School of Economics, The University of New South Wales, number 2012-47, Nov.